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Faculty of Economics

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Dr Debopam Bhattacharya
University Reader

Research Interests
Empirical Microeconomics and Micro-econometrics

Tony Cockerill
Leverhulme Emeritus Fellow

Research Interests
Industrial structure, performance and public policy

Professor Andrew Harvey
Professor of Econometrics

Research Interests
Time series; financial econometrics; state space models; signal extraction; volatility.

Dr Koen Jochmans
University Reader

Research Interests
Econometric Theory, Microeconometrics

Mr Oleg Kitov
College Lecturer in Economics (Selwyn College)

Research Interests
Time-series Econometrics, Empirical Macroeconomics, Income Distribution and Inequality

Professor Oliver Linton
Professor of Political Economy
Director of Research

Research Interests
Econometric Theory and practice; Empirical Finance

Professor Alexey Onatskiy
Professor of Econometrics
Placement Director

Research Interests
Econometrics, statistics, factor models, large random matrices.

Professor 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 Center for Applied Financial Economics.

Research Interests
Econometric Analysis of Heterogeneous Panels. Panel/Global Vector Autoregressive Models(PVAR/GVAR). Long-run Structural Macroeconometrics

Dr Donald Robertson
University Senior Lecturer

Research Interests
Applied Macroeconomics and Finance. Econometrics.

Professor Mark Salmon
Senior Teaching Associate

Research Interests
Finance; Econometrics; Behavioural Finance

Professor Richard Smith
Professor of Econometric Theory and Economic Statistics

Research Interests
Econometric theory, estimation and inference, hypothesis testing, model selection.

Dr Melvyn Weeks
University Senior Lecturer

Research Interests


Michael Ashby

Title: Do Consumption-based asset pricing models explain mean reversion in stock returns

Thomas Auld

Title: Market Efficiency and Political Events

Research Interests
Market Efficiency, Bayesian Methods, Politics, High Frequency Trading, Market Microstructure

Alexis De Boeck

Title: Inference in Partially Identified Non-separable Models

Yashuang Ding

Title: Essays in Financial Economics, Continuous Time, Stochastic Models

Shuyi Ge

Title: Network Econometrics

Shaoran Li

Title: Specification, Selection, Estimation and Classification of semi-parametric Regressions

Weiguang Liu

Title: Non-parametric Econometrics and Empirical Finance

Eoghan O'Neill

Title: Estimation of Conditional Average Treatment Effects Using Many Covariates - An Application to Electricity Smart Meter Trial Data

Dario Palumbo

Title: Modelling and Extracting the Term Structure of Interest Rates: A Unifying Framework

Research Interests
Econometrics, Macroeconometrics, Empirical Finance, Asset Pricing


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.
  • Inference in Microeconometric Models (ECH2020 EUROPEAN RESEARCH COUNCIL (ERC)) - Jochmans, K.
  • 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.
  • High-dimensional Cointegration Analysis (JHOY) - Onatskiy, A. and Wang, C.
  • Robust Estimation and Inference (JHOK) - Smith, R. J. and Patel, A. Project Summary and Output
More Sponsored Projects >>

Published Papers

Linton, O. and Xiao, Z. Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity, Journal of Econometrics (2019)
Rocha, M., Baddeley, M., Pollitt, M. and Weeks, M. Addressing self-disconnection among prepayment energy consumers: A behavioural approach, Energy Economics (2019)
Chen, J., Li, D., & Linton, O. A new semiparameteric estimation approach for large dynamic covariance matrices with multiple conditioning variables, Journal of Econometrics (2019)
Jochmans, K., and Weidner, M. Fixed-Effect Regressions on Network Data, Econometrica, forthcoming (2019)
Lee, Y-Y. and Bhattacharya, D. Applied welfare analysis for discrete choice with interval-data on income, Journal of Econometrics, forthcoming (2019)
Harvey, A. C. and Lange, R-J. Modeling the Interactions between Volatility and Returns using EGARCH‐M, Journal of Time Series Analysis (2018)
Dong, C. and Linton, O. Additive nonparametric models with time variable and both stationary and nonstationary regressors, Journal of Econometrics (2018)
Linton, O. and Mahmoodzadeh, S. Implications of high-frequency trading for security markets, Annual Review of Economics (2018)
Johnstone, I. M. and Onatski, A. Testing in High-dimensional Spiked Models, Annals of Statistics, forthcoming (2018)
Chen, J., Li, D., Linton, O., and Lu, Z. Semiparametric ultra-high dimensional model averaging of nonlinear dynamic time series, Journal of the American Statistical Association (2018)

More Papers >>

Cambridge Working Papers in Economics

Ma, S., Linton, O. and Gao, J. Estimation and Inference in Semiparametric Quantile Factor Models, CWPErem (2019)
Harvey, A., Hurn, S., Thiele, S. Modeling directional (circular) time series, CWPE1971 (2019)
Dhaene, G., Jochmans, K. Profile-Score Adjustments for Incidental-Parameter Problems, CWPE1959 (2019)
Jochmans, K. Modified-Likelihood Estimation of Fixed-Effect Models for Dyadic Data, CWPE1958 (2019)
Jochmans, K. Heteroskedasticity-Robust Inference in Linear Regression Models, CWPE1957 (2019)
Jochmans, K. and Weidner, M. Inference on a distribution from noisy draws, CWPE1946 (2019)
Jochmans, K. and Verardi, V. twexp and twgravity: Estimating exponential regression models with two-way fixed effects, CWPE1945 (2019)
Jochmans, K. and Verardi, V. xtserialpm: A portmanteau test for serial correlation in a linear panel model, CWPE1944 (2019)
Jochmans, K. and Weidner, M. Fixed-Effect Regressions on Network Data, CWPE1938 (2019)
Boneva, L., Elliott, D., Kaminska, I., Linton, O., McLaren, N., Morley, B. The Impact of QE on Liquidity: Evidence from the UK Corporate Bond Purchase Scheme, CWPE1937 (2019)

More Papers >>

Authored Books

Linton, O. Probability, Statistics and Econometrics, (2017), Academic Press
Harvey, A. C. Dynamic models for Volatility and Heavy Tails, (2013), Cambridge University Press
Pesaran, B. and Pesaran, M.H. Time series econometrics using Microfit 5.0: a user's manual, (2010), Oxford University Press

Chapter in Book

Funie, A-I., Guo, L., Niu, X., Luk, W. and Salmon, M. Custom Framework for Run-Time Trading Strategies, (2017), forthcoming in Applied Reconfigurable Computing. - Springer International Publishing
Linton, O. and Xiao, Z. Quantile regression applications in finance, (2017), forthcoming in Handbook of quantile regression . Edited by Roger Koenker, Victor Chernozhukov, He Xuming - CRC Press
Kurek, M., Becker, T., Guo, C., Denholm, S., Funie, A-I., Salmon, M., Todman, T. and Luk, W. Self-aware Hardware Acceleration of Financial Applications on a Heterogeneous Cluster, (2016), forthcoming in Self-aware Computing Systems: An Engineering Approach. - Springer International Publishing
Nolte, I. and Salmon, M. Introduction, (2014), forthcoming in High frequency trading and limit order book dynamics. Edited by Ingmar Nolte, Mark Salmon, Chris Adcock - Routledge
Dell Monache, D. and Harvey, A. C. Specification and misspecification of unobserved components models, (2012), forthcoming in Economic time series: modeling and seasonality. Edited by William Bell, Scott Holan, Tucker McElroy - CRC Press
Linton, O. and Park, S. Realized volatility : theory and applications, (2012), forthcoming in Handbook of volatility models and their applications. Edited by Luc Bauwens, Christian Hafner, Sebastian Laurent - Wiley
Xia, Y., Haerdle, W. and Linton, O. Optimal smoothing for a computationally and statistically efficient single index estimator, (2011), forthcoming in Exploring research frontiers in contemporary statistics and econometrics : a festschrift for Leopold Simar. Edited by Ingrid Van Keilegom, Paul Wilson - Springer / Physica Verlag
Pesaran, M.H. Predictability of asset returns and the efficient market hypothesis, (2010), forthcoming in Handbook of Empirical Economics and Finance. Edited by Aman Ullah, David Giles - Taylor & Francis
Li, S. and Linton, O. Evaluating hedge fund performance: a stochastic dominance approach , (2010), forthcoming in Handbook of portfolio construction: contemporary applications of Markowitz techniques. Edited by John Guerard - Springer

Chapter in Book

eds. Nolte, I. and Salmon, M. High frequency trading and limit order book dynamics, (2014) - Routledge

Conference Publication

Cross, A.-I., Luk, W. Guo,- L. and Salmon, M. CJS: Custom Jacobi solver, (2018) 9th International Symposium on Highly-Efficient Accelerators and Reconfigurable Technologies, Toronto, Canada
Cross, A.-I., Guo, L., Luk, W. and Salmon, M. CRRS: Custom regression and regularisation solver for large-scale linear systems, (2018) 28th International Conference on Field-Programmable Logic and Applications, Dublin, Ireland
Funie, A-I., Grigoras, P., Burovskiy, P., Luk, W. and Salmon, M. Reconfigurable acceleration of fitness evaluation in trading strategies, (2015) IEEE 26th International Conference on Application-specific Systems, Architectures and Processors (ASAP), Toronto, ON, Canada
Funie, A-I., Salmon, M. and Luk, W. A Hybrid Genetic-Programming Swarm-Optimisation Approach for Examining the Nature and Stability of High Frequency Trading Strategies, (2014) 13th International Conference on Machine Learning and Applications, IEEE, Detroit, MI, USA
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Econometrics Research Group

Ryo Okui
(Seoul National University)
Wednesday 16th October 2019 2:00pm
Keynes Room,
Pedro Souza
(Warwick University)
Wednesday 20th November 2019 2:00pm
Keynes Room,

Recent Publications

Jochmans, K., and Weidner, M. Fixed-Effect Regressions on Network Data Econometrica, forthcoming [2019]

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

Selected CWPE


Quantilograms under Strong Dependence, Lee, L., Linton, O., Whang, Y-J.


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


Income Effects and Rationalizability in Multinomial Choice Models, Bhattacharya, D.