Neil Shephard (born October 8, 1964), FBA, is a British econometrician, currently Professor of Economics at the University of Oxford. He is also a Professorial Fellow of Nuffield College, Oxford.
He studied economics and statistics as an undergraduate at York University graduating in 1986 and did his M.Sc. and Ph.D. (awarded in 1990) at the LSE where he was a faculty lecturer from 1988 to 1993. He moved to Nuffield College, Oxford in 1991, originally as the Gatsby Research Fellow in Econometrics. He became an Official Fellow in Economics in 1993, a position he held until 2006 when he was appointed to a statutory professorship in economics at Oxford University. He was Director of the Oxford Financial Research Centre from 2006 to 2007 and with Colin Mayer (Saïd Business School, Oxford) founded Oxford University's Masters in Financial Economics (MFE). In 2007 he founded the Oxford-Man Institute, which he directed from 2007 to 2011.
He was elected a Fellow of the British Academy in 2006, a Fellow of the Econometric Society in 2004 and a Fellow of Nuffield College, Oxford in 1991. He was awarded an honorary doctorate by Aarhus University in 2009.
His most well known contributions are: (i) the formalisation of the econometrics of realized volatility, which nonparametrically estimates the volatility of asset prices, (ii) the introduction of the auxiliary particle filter (signal extraction), (iii) the nonparametric identification of jumps in financial economics, through multipower variation, (iv) the development of realized kernels, which extends realized volatility to nonparametrically deal with market microstructure effects.