Welcome to the Centre for International Macroeconomics and Finance (CIMF)

The CIMF augments the existing centres in the Judge Business School and the Statistical Laboratory, and complements them by focussing on empirical finance with special emphasis on international macroeconomic financial issues such as global economy interactions, financial crisis, contagion, interactive learning, market and credit risk diversification, real time analysis and signal extraction.

The CIMF builds on the Faculty's existing strength in the areas of time series analysis, econometrics, finance and macroeconomics, and through collaborative research within the University and beyond promotes a more unified and rigorous interdisciplinary approach to research in finance that cuts across mathematical finance, econometrics and international macroeconomics.

       
Recent Publications

Pesaran, M.H. , (2012) , On the Interpretation of Panel Unit Root Tests , details.....

Kapetanios, G. , and Pesaran, M.H. , (2012) , Comment on `Fast Sparse Regression and Classication' by J. H. Friedman , details.....

Corrado, L. , and Holly, S. , (2011) , Multiplicative Habit Formation and Consumption: A Note , details.....

Dhyne, E. , Fuss, C. , Pesaran, M.H. , and Sevestre, P. , (2011) , Lumpy Price Adjustments: A Microeconometric Analysis , details.....

Kapetanios, G. , Pesaran, M.H. , and Yamagata, T. , (2011) , Panels With Nonstationary Multifactor Error Structures , details.....

Corrado, L. , and Fingleton, B. , (2011) , Where is the Economics in Spatial Econometrics? , details.....

Chudik, A. , Pesaran, M.H. , Pick, A. , and Tosetti, E. , (2011) , Weak and Strong Cross Section Dependence and Estimation of Large Panels , details.....

Pesaran, M.H. , Pick, A. , and Timmerman, A. , (2011) , Variable Selection, Estimation and Inference for Multi-period Forecasting Problems , details.....

Pesaran, M.H. , and Tosseti, E. , (2011) , Large Panels with Common Factors and Spatial Correlation , details.....

Chudik, A. , and Pesaran, M.H. , (2011) , Infinite Dimensional VARs and Factor Models , details.....

Holly, S. , Pesaran, M.H. , and Yamagata, T. , (2011) , The Spatial and Temporal Diffusion of House Prices in the UK , details.....

Chadha, J. , Corrado, L. , Sun, Q. , (2010) , Money, Prices and Liquidity Effects , details.....

Pesaran, B. , and Pesaran, M.H., (2010) , Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash. details.....

Holly, S. , Pesaran, M.H. , and Yamagata, T., (2010) , A Spatio-Temporal Model Of House Prices In The US. details.....

Pesaran, M.H. , Smith, L.V. and Smith, R., (2009) , Identification of New Keynesian Phillips Curves from a Global Perspective. details.....

Pesaran, M.H. , Smith, L.V. and Schuermann, T., (2009) , Response to discussions on "Forecasting Economic and Financial Variables with Global VARs". details.....

Pesaran, M.H. , Smith, L.V. and Schuermann, T., (2009) , Forecasting Economic and Financial Variables with Global VARs. details.....

Hendry, F. , and Pesaran, M.H. , (2009) , Obituary in Memory of Clive Granger: An Advisory Board Mmember of The Journal. details.....

De Rossi, G. and A.C. Harvey., (2009) , Quantiles, expectiles and splines.

Delle Monache, D. and A.C. Harvey., (2009) , Computing the Mean Square Error of Unobserved Components Extracted by Misspecified Time Series Models.

Pesaran, M.H. , Smith, R.P. and Yamagata, T., (2009) , Pairwise Tests of Purchasing Power Parity. details.....

Pesaran, M.H. and Esfahani, H.S., (2009) , The Iranian Economy in the Twentieth Century: A Global Perspective. details.....

Pesaran, M.H. and Timmermann, A., (2009) , Testing Dependence Among Serially Correlated Multicategory Variables. details.....

News & Events

New Cross-sectional Dependence in Panel Data Models Projec, with related Conference and Course details.....

Interest Rates, Prices and Liquidity - Book Published details.....
Seminars