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Research Interests


Econometrics, statistics, factor models, large random matrices.

Biography


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. Spurious Factor Analysis, (2020) CWPE2003
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

Research Activities


J M Keynes Fellowship Fund Lectures 2018
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.
Published on - Thursday 25th January 2018

Econometrics of Networks Workshop
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.
Event Date - Wednesday 17th June 2015

Big Data Conference
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.
Event Date - Friday 12th June 2015

Workshop on Developments in Time Series
2nd April 2015 - Winstanley Lecture Theatre, Trinity College, Cambridge
Event Date - Thursday 2nd April 2015

Empirical Microstructure Workshop
This workshop confronts recent empirical findings in market microstructure with methodological developments in high-frequency econometrics to shed new light on important aspects of contemporary financial markets.
Event Date - Friday 28th November 2014

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) Project Summary and Output

Teaching


PIIA Paper 3 - Introduction to Econometrics II - Macroeconometrics

PhD Students


Supervisor

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

Advisor

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

Professor Alexey Onatskiy













Professor of Econometrics
Placement Director

Research Group:
Econometrics

CV: Curriculum Vitae


Contact Details
Email: ao319@cam.ac.uk
Room: 28
Office Hours: Wednesday 16:00-17:00
College: Churchill College