Neil Shephard has been Professor of Economics and of Statistics at Harvard University since 2013. In September 2015 he will take on the additional responsibility of being Chair of the Statistics Department. He holds a B.A. in Economics and Statistics (first class awarded with distinction) from the University of York and a M.Sc. in Statistics (awarded with distinction) and Ph.D. from the London School of Economics (LSE). He previously was a faculty member at the LSE and Nuffield College, Oxford University.
His research interests are mainly focused on theoretical and applied econometrics and statistics. He has been a leader in the development of the econometrics of stochastic volatility as well as simulation based inference. He is credited with important contributions to the development in sequential learning (e.g. the auxiliary particle filter). He is currently focusing on non-parametric Bayesian methods, simulation, high frequency finance and valuing income contingent student loans.
During his time at Oxford University he cofounded the Masters in Financial Economics and founded the interdisciplinary Oxford-Man Institute, which he directed from 2007-2011. He is an emeritus fellow at Nuffield College, Oxford, a Fellow of the Econometric Society, a Fellow of the British Academy and received an honorary doctorate in economics from Aarhus University. He was awarded the Richard Stone Prize in Applied Econometrics in 2012.