skip to content

Faculty of Economics


Euro Flag

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 Assoicate

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
Microeconometrics


 
 

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


Jeroen Dalderop

Title: Econometric Analysis of Derivative Prices

Research Interests
Econometrics, Financial Economics, and Asset Pricing

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


Ashish Patel

Title: Partition-based goodness of fit tests for moment condition models

Ondrej Tobek

Title: In Search of Ultimate Liquidity Proxy

Research Interests
Empirical Finance, Asset pricing


Ruochen Wu

Title: Semi-parametric Bayesian Bootstrapped Semiparametric Bayesian Inference: An Application to Demand SystemsEconometrics

 

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

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)
Mitchell, J., Robertson, D. and Wright, S. R² bounds for predictive models: what univariate properties tell us about multivariate predictability, Journal of Business and Economic Statistics (2018)
Onatski, A. and Wang, C. Alternative Asymptotics for Cointegration Tests in Large VARs, Econometrica, forthcoming (2018)
Bhattacharya, D. Empirical Welfare Analysis for Discrete Choice: Some General Results, Quantitative Economics, forthcoming (2018)
Funie, A-I., Grigoras, P., Burovskiy, P., Luk, W. and Salmon, M. Run-time Reconfigurable Acceleration for Genetic Programming Fitness Evaluation in Trading Strategies, Journal of Signal Processing Systems (2018)
Harvey, A. C. and Lange, R-J. Volatility Modeling with a Generalized t Distribution, Journal of Time Series Analysis (2017)

More Papers >>

Cambridge Working Papers in Economics

Onatski, A. Asymptotics of the principal components estimator of large factor models with weak factors and i.i.d. Gaussian noise., CWPE1808 (2018)
Dharmawansa, P., Johnstone, I. M., and Onatski, A. Local Asymptotic Normality of the Spectrum of High-Dimensional Spiked F-Ratios, CWPE1807 (2018)
Johnstone, I. M. and Onatski, A. Testing in High-Dimensional Spiked Models, CWPE1806 (2018)
Linton, O. and Mahmoodzadeh, S. Implications of High-Frequency Trading for Security Markets, CWPE1802 (2018)
Harvey, A. and Thiele, S. Co-integration and control: assessing the impact of events using time series data, CWPE1731 (2017)
Boneva, L. and Linton, O. A Discrete Choice Model For Large Heterogeneous Panels with Interactive Fixed Effects with an Application to the Determinants of Corporate Bond Issuance, CWPE1703 (2017)
Doppelhofer, G., Moe Hansen, O-P. and and Weeks, M. Determinants of long-term economic growth redux: A Measurement Error Model Averaging (MEMA) approach, CWPE1702 (2017)
Pesaran, Hashem. and Johnsson. Ida. Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes, CWPE1679 (2016)
Pesaran, H. and Yang, C. F. Econometric Analysis of Production Networks with Dominant Units , CWPE1678 (2016)
Chudik, A., and Kapetanios, G. and Pesaran, Hashem A One-Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models, CWPE1677 (2016)

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

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
Euro Flag

Econometrics Research Group




Giuseppe Cavaliere
(Bologna)
'Random Bootstrap Measures'
Wednesday 21st November 2018 2:00pm
Keynes Room,
Anders Kock
(Oxford)
'TBA'
Wednesday 16th January 2019 2:00pm
Keynes Room,



Faculty Events




Recent Publications


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



Selected CWPE


18
06

Testing in High-Dimensional Spiked Models, Johnstone, I. M. and Onatski, A.

18
02

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

17
31

Co-integration and control: assessing the impact of events using time series data, Harvey, A. and Thiele, S.