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
Onatski, A. and Wang, C. Spectral Distribution of the Sample Covariance of High-Dimensional Time Series With Unit Roots, Statistica Sinica, forthcoming (2021)Onatski, A. and Wang, C. Spurious Factor Analysis, Econometrica vol 89(2) (2021) pp. 591-614
Johnstone, I. M. and Onatski, A. Testing in High-dimensional Spiked Models, Annals of Statistics vol 48 no. 3 (2018) pp. 1231-1254
Onatski, A. and Wang, C. Alternative Asymptotics for Cointegration Tests in Large VARs, Econometrica vol 86(4) (2018) pp. 1465-1478
Onatski, A. Asymptotic analysis of the squared estimation error in misspecified factor models, Journal of Econometrics vol 186(2) (2015) pp. 388-406
Cambridge Working Papers in Economics
Onatski, A. and Wang, C. Spurious Factor Analysis, (2020) CWPE2003Onatski, 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
Neuro Tensors in Finance Mini-Conference
The Janeway Institute is organising a mini-conference on Neuro Tensors in Finance. It will be held in the Faculty of Economics, in March 2023.
Event Date - Thursday 16th March 2023
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
The Janeway Institute for Economics
Coordinator for Empirical Analysis of Financial Markets Research Theme
Keynes Fund Sponsored Projects
Onatskiy, A. and Wang, C., High-dimensional Cointegration Analysis (JHOY)
Teaching
PI Paper 3 - Mathematics for Economists
MPhil R300 - Econometrics I
PhD Students
Supervisor
Yinfeng Zeng
PhD Title:
Research:
PhD Title:
Research:
Advisor
Yashuang (Dexter) Ding
PhD Title: Essays in Volatility Modelling
Research: Financial Econometrics, Time Series, Empirical Asset Pricing, Continuous Time Finance
PhD Title: Essays in Volatility Modelling
Research: Financial Econometrics, Time Series, Empirical Asset Pricing, Continuous Time Finance
Christian Tien
PhD Title:
Research: Causal inference, Microeconometrics, Machine Learning, Factor Models
PhD Title:
Research: Causal inference, Microeconometrics, Machine Learning, Factor Models
Radu Cristea
PhD Title:
Research: Adopting the Euro: Curse or Blessing? Exploring the optimal policy mix
PhD Title:
Research: Adopting the Euro: Curse or Blessing? Exploring the optimal policy mix
