World's Best Scientists 2026 revealed!

D-Index & Metrics

Economics and Finance

D-Index
73
Citations
42561
World Ranking
383
National Ranking
262

Neil Shephard publication distribution in Economics and Finance in 2026

The chart shows the distribution of publications by all Research.com ranked scientists in the field of Economics and Finance in 2026. The highlighted bar marks where Neil Shephard sits on this spectrum.

42–46 publications: 1 scientists 47–51 publications: 12 scientists 52–56 publications: 7 scientists 57–61 publications: 23 scientists 62–66 publications: 32 scientists 67–71 publications: 36 scientists 72–76 publications: 56 scientists 77–81 publications: 57 scientists 82–86 publications: 70 scientists 87–91 publications: 86 scientists 92–96 publications: 72 scientists 97–101 publications: 106 scientists 102–106 publications: 97 scientists 107–111 publications: 96 scientists 112–116 publications: 101 scientists 117–121 publications: 103 scientists 122–126 publications: 102 scientists 127–131 publications: 108 scientists 132–136 publications: 107 scientists 137–141 publications: 111 scientists 142–146 publications: 94 scientists 147–151 publications: 96 scientists 152–156 publications: 100 scientists 157–161 publications: 74 scientists 162–166 publications: 68 scientists 167–171 publications: 91 scientists 172–176 publications: 76 scientists 177–181 publications: 75 scientists 182–186 publications: 61 scientists 187–191 publications: 66 scientists 192–196 publications: 68 scientists 197–201 publications: 71 scientists 202–206 publications: 60 scientists 207–211 publications: 56 scientists 212–216 publications: 44 scientists 217–221 publications: 51 scientists 222–226 publications: 65 scientists 227–231 publications: 48 scientists 232–236 publications: 59 scientists 237–241 publications: 37 scientists 242–246 publications: 37 scientists 247–251 publications: 41 scientists 252–256 publications: 43 scientists 257–261 publications: 33 scientists 262–266 publications: 34 scientists 267–271 publications: 39 scientists 272–276 publications: 25 scientists 277–281 publications: 29 scientists 282–286 publications: 29 scientists 287–291 publications: 26 scientists 292–296 publications: 31 scientists 297–301 publications: 31 scientists 302–306 publications: 24 scientists 307–311 publications: 28 scientists 312–316 publications: 24 scientists 317–321 publications: 13 scientists 322–326 publications: 14 scientists 327–331 publications: 25 scientists 332–336 publications: 18 scientists 337–341 publications: 16 scientists 342–346 publications: 18 scientists 347–351 publications: 15 scientists 352–356 publications: 17 scientists 357–361 publications: 19 scientists 362–366 publications: 16 scientists 367–371 publications: 17 scientists 372–376 publications: 7 scientists 377–381 publications: 18 scientists 382–386 publications: 13 scientists 387–391 publications: 19 scientists 392–396 publications: 9 scientists 397–401 publications: 10 scientists 402–406 publications: 13 scientists 407–411 publications: 13 scientists 412–416 publications: 5 scientists 417–421 publications: 10 scientists 422–426 publications: 6 scientists 427–431 publications: 12 scientists 432–436 publications: 9 scientists 437–441 publications: 9 scientists 442–446 publications: 10 scientists 447–451 publications: 12 scientists 452–456 publications: 8 scientists 457–461 publications: 4 scientists 462–466 publications: 7 scientists 467–471 publications: 4 scientists 472–476 publications: 5 scientists 477–481 publications: 6 scientists 482–486 publications: 7 scientists 487–491 publications: 8 scientists 492–496 publications: 5 scientists 497–501 publications: 4 scientists 502–506 publications: 4 scientists 507–511 publications: 5 scientists 512–516 publications: 7 scientists 517–520 publications: 7 scientists 521+ publications: 99 scientists
42 publications 521+

This scientist: 192 publications — 58th percentile

58% of scientists in this discipline score the same or lower.

The last bar groups every scientist with 521 publications or more.

Neil Shephard D-index placement in Economics and Finance in 2026

The chart shows the D-index (discipline H-index) distribution of Economics and Finance scientists ranked by Research.com in 2026. The highlighted bar marks where Neil Shephard sits on this spectrum.

30 D-Index: 126 scientists 31 D-Index: 147 scientists 32 D-Index: 157 scientists 33 D-Index: 178 scientists 34 D-Index: 171 scientists 35 D-Index: 141 scientists 36 D-Index: 132 scientists 37 D-Index: 129 scientists 38 D-Index: 130 scientists 39 D-Index: 120 scientists 40 D-Index: 117 scientists 41 D-Index: 113 scientists 42 D-Index: 114 scientists 43 D-Index: 97 scientists 44 D-Index: 115 scientists 45 D-Index: 86 scientists 46 D-Index: 78 scientists 47 D-Index: 83 scientists 48 D-Index: 62 scientists 49 D-Index: 74 scientists 50 D-Index: 50 scientists 51 D-Index: 66 scientists 52 D-Index: 69 scientists 53 D-Index: 55 scientists 54 D-Index: 67 scientists 55 D-Index: 61 scientists 56 D-Index: 62 scientists 57 D-Index: 45 scientists 58 D-Index: 34 scientists 59 D-Index: 47 scientists 60 D-Index: 46 scientists 61 D-Index: 36 scientists 62 D-Index: 37 scientists 63 D-Index: 56 scientists 64 D-Index: 50 scientists 65 D-Index: 32 scientists 66 D-Index: 28 scientists 67 D-Index: 30 scientists 68 D-Index: 24 scientists 69 D-Index: 25 scientists 70 D-Index: 22 scientists 71 D-Index: 21 scientists 72 D-Index: 26 scientists 73 D-Index: 24 scientists 74 D-Index: 23 scientists 75 D-Index: 12 scientists 76 D-Index: 14 scientists 77 D-Index: 15 scientists 78 D-Index: 15 scientists 79 D-Index: 17 scientists 80 D-Index: 17 scientists 81 D-Index: 11 scientists 82 D-Index: 10 scientists 83 D-Index: 16 scientists 84 D-Index: 11 scientists 85 D-Index: 5 scientists 86 D-Index: 9 scientists 87 D-Index: 13 scientists 88 D-Index: 9 scientists 89 D-Index: 7 scientists 90 D-Index: 6 scientists 91 D-Index: 4 scientists 92 D-Index: 8 scientists 93 D-Index: 10 scientists 94 D-Index: 11 scientists 95 D-Index: 6 scientists 96 D-Index: 4 scientists 97 D-Index: 4 scientists 98 D-Index: 6 scientists 99 D-Index: 6 scientists 100 D-Index: 8 scientists 101+ D-Index: 100 scientists
30 D-Index 101+

This scientist: 73 D-Index — 90th percentile

90% of scientists in this discipline score the same or lower.

The last bar groups every scientist with 101 D-Index or more.

Research.com Recognitions

  • 2004 - Fellows of the Econometric Society

Overview

Neil Shephard is affiliated with Harvard University in the United States and has contributed extensively to the fields of Mathematics and Economics, Econometrics, and Finance. Their research primarily spans topics related to Financial Risk and Volatility Modeling, Statistical Methods and Inference, and Advanced Causal Inference Techniques.

The scientist has published research in several key areas, including:

  • Financial Risk and Volatility Modeling
  • Statistical Methods and Inference
  • Advanced Causal Inference Techniques
  • School Choice and Performance
  • Forecasting Techniques and Applications
  • Bayesian Methods and Mixture Models
  • Economics of Agriculture and Food Markets

Frequent co-authors collaborating with Neil Shephard include:

  • Iavor Bojinov
  • Ashesh Rambachan
  • Mikkel Bennedsen
  • Asger Lunde
  • Almut E. D. Veraart

Key venues where their work has appeared are:

  • arXiv (Cornell University)
  • Journal of Business and Economic Statistics
  • Quantitative Economics
  • Journal of Econometrics
  • Harvard Data Science Review

Recent papers by Neil Shephard include:

  • "Fitting Vast Dimensional Time-Varying Covariance Models," 2020, Journal of Business and Economic Statistics
  • "Panel experiments and dynamic causal effects: A finite population perspective," 2021, Quantitative Economics
  • "Inference and forecasting for continuous-time integer-valued trawl processes," 2023, Journal of Econometrics
  • "An estimator for predictive regression: reliable inference for financial economics," 2020, arXiv (Cornell University)
  • "Inference and forecasting for continuous-time integer-valued trawl processes," 2021, arXiv (Cornell University)

Neil Shephard was recognized as a Fellow of the Econometric Society in 2004.

Best Publications

  • Filtering via Simulation: Auxiliary Particle Filters

    Michael K. Pitt;Neil Shephard

  • STOCHASTIC VOLATILITY : LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS

    Sangjoon Kim;Neil Shephard;Siddhartha Chib

  • Econometric analysis of realized volatility and its use in estimating stochastic volatility models

    Ole E. Barndorff-Nielsen;Neil Shephard

  • Power and Bipower Variation with Stochastic Volatility and Jumps

    Ole E. Barndorff-Nielsen;Neil Shephard

  • Non-Gaussian Ornstein–Uhlenbeck-based models and some of their uses in financial economics

    Ole E. Barndorff-Nielsen;Neil Shephard

  • Multivariate stochastic variance models

    Andrew Harvey;Esther Ruiz;Neil Shephard

  • Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation

    Ole Eiler Barndorff-Nielsen;Neil Shephard

  • Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise ∗

    Ole E. Barndorff-Nielsen;Peter Reinhard Hansen;Asger Lunde;Neil Shephard

  • Statistical aspects of ARCH and stochastic volatility

    Neil Shephard

  • Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

    Ole Eiler Barndorff-Nielsen;N. Shephard

  • STAMP 6.0 Structural Time Series Analyser, Modeller and Predictor

    S.J. Koopman;A.C. Harvey;J.A. Doornik;N. Shephard

  • Realized kernels in practice: trades and quotes

    O. E. Barndorff‐Nielsen;P. Reinhard Hansen;A. Lunde;N. Shephard

  • Markov chain Monte Carlo methods for stochastic volatility models

    Siddhartha Chib;Federico Nardari;Neil Shephard

  • Estimating quadratic variation using realized variance

    Ole E. Barndorff-Nielsen;Neil Shephard

  • Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

    Ole E. Barndorff-Nielsen;Peter Reinhard Hansen;Asger Lunde;Neil Shephard

  • The simulation smoother for time series models

    Piet De Jong;Neil Shephard

  • Statistical algorithms for models in state space using SsfPack 2.2

    Siem Jan Koopman;Neil Shephard;Jurgen A. Doornik

  • Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns

    Andrew C. Harvey;Neil Shephard

  • LIKELIHOOD INFERENCE FOR DISCRETELY OBSERVED NONLINEAR DIFFUSIONS

    Ola Elerian;Siddhartha Chib;Neil Shephard

  • Stochastic volatility with leverage: Fast and efficient likelihood inference

    Yashuhiro Omori;Siddhartha Chib;Neil Shephard;Jouchi Nakajima

  • Stochastic volatility : selected readings

    Neil Shephard

  • Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models

    Neil Shephard;Kevin Sheppard

Frequent Co-Authors

Siem Jan Koopman
Siem Jan Koopman Vrije Universiteit Amsterdam
Andrew Harvey
Andrew Harvey University of Cambridge
Asger Lunde
Asger Lunde Copenhagen Economics
Peter Reinhard Hansen
Peter Reinhard Hansen University of North Carolina at Chapel Hill
Anna Vignoles
Anna Vignoles Leverhulme Trust
David F. Hendry
David F. Hendry University of Oxford
Lorraine Dearden
Lorraine Dearden University College London
Robert F. Engle
Robert F. Engle New York University
Per A. Mykland
Per A. Mykland University of Chicago
Arnaud Doucet
Arnaud Doucet University of Oxford

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