His most well known contributions are: (i) the formalisation of the econometrics of realised 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) stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes, known as 'Barndorff-Nielsen-Shephard' models.

His father was Tom Shephard (1930-2023), who was a Norfolk high school head.

He studied economics and statistics as an undergraduate at the University of York in the UK 1983-1986, awarded a first class degree with distinction.

He was awarded an honorary doctorate in economics by Aarhus University in 2009, the 2012 Richard Stone Prize in Applied Econometrics and the 2017 Guy Medal in Silver of the Royal Statistical Society.

With Colin Mayer he founded Oxford University's Masters in Financial Economics.