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Research Interests

Econometrics, statistics, factor models, large random matrices.


Dr. Onatski received PhD from Harvard University in 2001. He took up his first academic position at Columbia University, NY. Dr. Onatski joined the Economics Faculty at Cambridge in 2010.

Recent Publications

Published Papers

Johnstone, I. M. and Onatski, A. Testing in High-dimensional Spiked Models, (2018) Annals of Statistics, forthcoming
Onatski, A. and Wang, C. Alternative Asymptotics for Cointegration Tests in Large VARs, (2018) Econometrica
Onatski, A. Asymptotic analysis of the squared estimation error in misspecified factor models, (2015) Journal of Econometrics
Onatski, A., Moreira, M. J. and Hallin, M. Signal Detection in High Dimension: The Multispiked Case, (2014) The Annals of Statistics
Onatski, A. and Ruge-Murcia, F. Factor analysis of a large dsge model, (2013) Journal of Applied Econometrics

Cambridge Working Papers in Economics

Onatski, A. and Wang, C. Extreme canonical correlations and high-dimensional cointegration analysis, (2018) CWPE1805
Johnstone, I. M. and Onatski, A. Testing in High-Dimensional Spiked Models, (2018) CWPE1806
Dharmawansa, P., Johnstone, I. M., and Onatski, A. Local Asymptotic Normality of the Spectrum of High-Dimensional Spiked F-Ratios, (2018) CWPE1807
Onatski, A. Asymptotics of the principal components estimator of large factor models with weak factors and i.i.d. Gaussian noise., (2018) CWPE1808

Recent Activities

J M Keynes Fellowship Fund Lectures 2018 - Publication Date: 2018-01-25
The Managers of the J M Keynes Fellowship Fund proudly present an evening of special lectures, featuring two of the Fund's distinguished Fellows speaking about their innovative research in the field of financial economics.

Econometrics of Networks Workshop - Publication Date: 2015-06-05
The Econometrics of Networks Workshop is a joint workshop between Cambridge-INET and The Econometrics Journal. It will be held on 17th June 2015, from 09:00 AM to 05:00 PM at the Cambridge City Hotel, Cambridge.

Big Data Conference - Publication Date: 2015-05-21
CeMMAP and Cambridge-INET are hosting a conference on Economic and Econometric Applications of Big Data to be held in Cambridge, UK June 11-12, 2015.

Workshop on Developments in Time Series - Publication Date: 2015-03-05
2nd April 2015 - Winstanley Lecture Theatre, Trinity College, Cambridge

Workshop on Microstructure Theory and Application - Publication Date: 2014-12-01
This conference aims to bring together cutting edge theoretical and empirical research in market microstructure together to address issues of contemporary importance.

Institute for New Economic Thinking (INET)

The Cambridge-INET Institute
Coordinator for Empirical Analysis of Financial Markets Research Theme

Keynes Fund Sponsored Projects

High-dimensional Cointegration Analysis Onatskiy, A. and Wang, C. (JHOY)


PIIA Paper 3 - Introduction to Econometrics II - Macroeconometrics

PhD Students


Thomas Auld
PhD Title: Market Efficiency and Political Events
Research: Market Efficiency, Bayesian Methods, Politics, High Frequency Trading, Market Microstructure


Alexis De Boeck
PhD Title: Inference in Partially Identified Non-separable Models
Bowei Guo
PhD Title: Essays on Investigating Energy Market Reforms
Research: Empirical Economics, Econometrics, and Energy Economics
Xiaohua Chen
PhD Title: Financial Cycles
Yashuang Ding
PhD Title: Essays in Financial Economics, Continuous Time, Stochastic Models

Professor Alexey Onatskiy

Professor of Econometrics
Placement Director

Research Group:

CV: Curriculum Vitae

Contact Details
Room: 28
Office Hours: Wednesday 16:00-17:00
College: Churchill College