Michael Ashby
Williams Downing Fellow and College Teaching Officer in Economics, Downing College;
College Teaching Officer in Economics, St Edmund’s College;
College Teaching Officer in Economics, Hughes Hall
Research Interests
Empirical Finance (especially Empirical Asset Pricing), Portfolio Construction
Dr Debopam Bhattacharya
University Reader
Research Interests
Empirical Microeconomics and Micro-econometrics
Professor 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 Distinguished Chair in Economics and Director of Centre for Applied Financial Economics at 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 Reader
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
Microeconometrics
Dr Weilun Zhou
Cambridge-INET Postdoctoral Research Fellow
Research Interests
Non- and Semi-parametric Econometrics, Time Series Analysis, and Financial Econometrics
Thomas Auld
Title: Market Efficiency and Political Events
Research Interests
Market Efficiency, Bayesian Methods, Politics, High Frequency Trading, Market Microstructure
Yashuang Ding
Title: Essays in Financial Economics, Continuous Time, Stochastic Models
Shuyi Ge
Title: Financial networks and risk spillovers
Research Interests
Financial Econometrics, Asset Pricing, Network, and Machine Learning
Shaoran Li
Title: Specification, Selection, Estimation and Classification of semi-parametric Regressions
Research Interests
Fields: Financial Econometrics, Asset Pricing, Portfolio Management, Machine Learning
Weiguang Liu
Title: Non-parametric Econometrics and Empirical Finance
Eoghan O'Neill
Title: State-of-the-BART: Simple Bayesian Tree Algorithms for Prediction and Causal Inference
Research Interests
Econometrics, Machine Learning, Energy Economics
Dario Palumbo
Title: Modelling and Extracting the Term Structure of Interest Rates: A Unifying Framework
Research Interests
Time Series, Heavy Tailed Distribution, Circular Data and Financial Econometrics
Zhaocheng Zhang
Research Interests
Credit Risk Prediction with Supply Chain Factors
Research Grants
- Empirical Demand and Welfare Analysis (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 (MiMo) (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. Project Summary and Output
- Dynamic Models for Volatility and Heavy Tails (JHLH) - Harvey, A. C. Project Summary and Output
- Persistence and Forecasting in Climate and Environmental Econometrics (JHUS) - Harvey, A. Project Summary and Output
- The Effectiveness of Circuit Breakers on the LSE (JHLD) - Linton, O. Project Summary and Output
- Central Clearing and the Demand for Risk Sharing in OTC Derivative Markets (JHOF) - Linton, O. Project Summary and Output
- High-dimensional Cointegration Analysis (JHOY) - Onatskiy, A. and Wang, C. Project Summary and Output
- Robust Estimation and Inference (JHOK) - Smith, R. J. and Patel, A. Project Summary and Output
Published Papers
Hwang, S., Rubesam, A. and Salmon, M. Beta Herding Through Overconfidence: A Behavioral Explanation of the Low-Beta Anomaly, Journal of International Money and Finance (2021)Jochmans, K. A Portmanteau Test for Serial Correlation in Short Panels, Econometric Theory, forthcoming (2020)
Jochmans, K. and Verardi, V. twexp and twgravity: Fitting Exponential Regression Models with Two-way Fixed Effects, Stata Journal (2020)
Jochmans, K. and Verardi, V. xtserialpm: A Portmanteau Test for Serial Correlation in a Linear Panel Model, Stata Journal (2020)
Jochmans, K. Heteroskedasticity-Robust Inference in Linear Regression Models with many Covariates, Journal of the American Statistical Association (2020)
Onatski, A. and Wang, C. Spurious Factor Analysis, Econometrica, forthcoming (2020)
Harvey, A. C. and Kattuman, P. A Farewell to R: Time Series Models for Tracking and Forecasting Epidemics, Covid Economics (2020)
Harvey, A. C. and Thiele, S. Co-integration and Control: Assessing the Impact of Events Using Time Series Data, Journal of Applied Econometrics, forthcoming (2020)
Bhattacharya, D. The Empirical Content of Binary Choice Models, Econometrica (2020)
Harvey, A. C. and Kattuman, P. Time Series Models Based on Growth Curves with Applications to Forecasting Coronavirus, Harvard Data Science Review (2020)
More Papers >>
Cambridge Working Papers in Economics
Ahmed, R. and Pesaran, M. H. Regional Heterogeneity and U.S. Presidential Elections, CWPE2092
(2020)Dong, C., Gao, J., Linton, O., Peng, B. On Time Trend of COVID-19: A Panel Data Study, CWPE2065
(2020)Escanciano, J C., Hoderlein, S., Lewbel, A., Linton, O., Srisuma, S. Nonparametric Euler Equation Identification and Estimation, CWPE2064
(2020)Linton, O. and Tang, H. Estimation of the Kronecker Covariance Model by Quadratic Form, CWPE2050
(2020)Jochmans, K. Heteroskedasticity-Robust Inference in Linear Regression Models with Many Covariates, CWPE2033
(2020)Jochmans, K. Testing Random Assignment to Peer Groups, CWPE2024
(2020)Anderson, G., Linton, O., Pittau, M G., Whang, Y-J., Zelli, R. On Unit Free Assessment of The Extent of Multilateral Distributional Variation, CWPE20123
(2020)Lee, K., Linton, O., Whang, Y-J. Testing for Time Stochastic Dominance, CWPE20121
(2020)Ge, S. Text-Based Linkages and Local Risk Spillovers in the Equity Market, CWPE20115
(2020)Ge, S. A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model, CWPE20114
(2020)More Papers >>
Authored Books
Linton, O. Probability, Statistics and Econometrics, (2017), Academic PressHarvey, 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 PublishingLinton, 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) - RoutledgeConference 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, CanadaCross, 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
