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Faculty of Economics

Researchers

ResearchersResearchersResearchersResearchersResearchersResearchersResearchersResearchersResearchersResearchersResearchersResearchersResearchers Debopam Bhattacharya - University Reader
Tony Cockerill - Leverhulme Emeritus Fellow
Andrew Harvey - Professor of Econometrics
Koen Jochmans - University Reader
Oleg Kitov - College Lecturer in Economics (Selwyn and Robinson College)
Oliver Linton - Professor of Political Economy
Director of Research
Alexey Onatskiy - Professor of Econometrics
Placement Director
M. Hashem Pesaran - Emeritus Professor of Economics, and Fellow of Trinity College, University of Cambridge.
John
Elliot Chair in Economics and Distinguished Professor of Economics, University of Southern
California.
Director, USC Dornsife Institute for New Economic Thinking.
Director, USC
Dornsife Center for Applied Financial Economics.
Donald Robertson - University Senior Lecturer
Mark Salmon -
Richard Smith - Professor of Econometric Theory and Economic Statistics
Chen Wang - INET Research Associate
Melvyn Weeks - University Senior Lecturer

PhD Students

Michael Ashby
Jeroen Dalderop
Alexis De Boeck
Shuyi Ge
Shaoran Li
Eoghan O'Neill
Dario Palumbo
Ashish Patel
Ekaterina Smetanina
Ondrej Tobek
Ruochen Wu
PhD StudentsPhD StudentsPhD StudentsPhD StudentsPhD StudentsPhD StudentsPhD StudentsPhD StudentsPhD StudentsPhD StudentsPhD Students

Research Grants

  • Edwel (ECH2020 EUROPEAN RESEARCH COUNCIL (ERC)) - Bhattacharya, D.
  • Globalisation And Manufacturing (CAMBRIDGE ECONOMETRICS LTD) - Cockerill, T.
  • Dynamic Common Factor Models For Regional Time Series (ESRC) - Harvey, A. C.
  • Time-Varying Quantiles (ESRC) - Harvey, A. C.
  • Namsef - Nonparametric And Semiparametric Methods In Economics And Finance (EC FP7 ERC AIG) - Linton, O.
  • International Economic Linkages And Synchronisation In Business Cycles (EUROPEAN CENTRAL BANK) - Pesaran, M. H.
  • Dynamic Panel Analysis Of Interactions And Nonlinearities (ESRC) - Pesaran, M. H.
  • Real Time Econometrics, And/Or Forecasting Time Series Subject To Multiple Structural Breaks (SINOPIA ASSET MANAGEMENT) - Pesaran, M. H.
  • Major Research Fellowship For R Smith (LEVERHULME TRUST) - Smith, R.

Keynes Fund Sponsored Projects

  • Dynamic Models for volatility and heavy tails (JHLC) - Harvey, A. C. Research Output
  • Dynamic Models for volatility and heavy tails (JHLH) - Harvey, A. C. Research Output
  • The effectiveness of circuit breakers on the LSE (JHLD) - Linton, O. Research Output
  • Central Clearing and the Demand for Risk Sharing in OTC Derivative Markets (JHOF) - Linton, O.
  • Robust Estimation and Inference (JHOK) - Smith, R. J. and Patel, A. Project Summary and Output
More Sponsored Projects >>

Published Papers

TitleAuthorsJournalYear
Alternative Asymptotics for Cointegration Tests in Large VARs Onatski, A. and Wang, C. Econometrica, forthcoming (2018)
Empirical Welfare Analysis for Discrete Choice: Some General Results Bhattacharya, D.Quantitative Economcs, forthcoming (2018)
Run-time Reconfigurable Acceleration for Genetic Programming Fitness Evaluation in Trading Strategies Funie, A-I., Grigoras, P., Burovskiy, P., Luk, W. and Salmon, M.Journal of Signal Processing Systems (2018)
More Papers >>

Cambridge Working Papers in Economics

TitleAuthorsCWPE NumberYear
Asymptotics of the principal components estimator of large factor models with weak factors and i.i.d. Gaussian noise. Onatski, A.CWPE1808 (2018)
Local Asymptotic Normality of the Spectrum of High-Dimensional Spiked F-Ratios Dharmawansa, P., Johnstone, I. M., and Onatski, A.CWPE1807 (2018)
Testing in High-Dimensional Spiked Models Johnstone, I. M. and Onatski, A.CWPE1806 (2018)
More Papers >>

Econometrics Research Group




Byunghoon (David) Kang
(Lancaster University)
'Inference in Nonparametric Series Estimation with Specification Searches for the Number of Series Terms'
Wednesday 25th April 2018 2:00pm
Keynes Room,
Dacheng Xiu
(Chicago Booth)
'Asset Pricing with Omitted Factors'
Wednesday 2nd May 2018 2:00pm
B4, Criminology



Faculty Events



12 Sep




Recent Publications


Onatski, A. and Wang, C. Alternative Asymptotics for Cointegration Tests in Large VARs Econometrica, forthcoming [2018]



Latest CWPE


18
07

Local Asymptotic Normality of the Spectrum of High-Dimensional Spiked F-Ratios, Dharmawansa, P., Johnstone, I. M., and Onatski, A.

18
08

Asymptotics of the principal components estimator of large factor models with weak factors..., Onatski, A.

18
02

Implications of High-Frequency Trading for Security Markets, Linton, O. and Mahmoodzadeh, S.