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Kevin Sheppard

Kevin Sheppard

Associate Professor

University of Oxford

Oxford/London

Background

I currently work at the University of Oxford as a Financial Econometrician. My research focuses on volatility and uncertainty. Measuring and modeling conditional correlation, a key input into portfolio risk models is a cornerstone of my research.

I have produced a large volume of teaching resources, including a complete set of notes in Financial Econometrics, and introductions to both Python and MATLAB. I also maintain a number of widely used toolboxes related to my research. The most broadly used of these are the MFE Toolbox for MATLAB, and the arch (documentation, ) and linearmodels (documentation, ) modules for Python. See my GitHub page for a complete list of projects.

I enjoy hiking and being outdoors, although I don't get out as much as I would like. You can see some pictures of my adventures in the gallery. I have a sweet but rambunctious chocolate labrador, Callie.

Interests

  • Econometrics
  • Finance
  • Volatility and Correlation
  • Time-Series and Forecasting
  • Statistical Software
  • Hiking

Education

  • PhD Economics

    University of California - San Diego

  • BS Mathematics

    University of Texas at Austin

  • BA Economics

    University of Texas at Austin