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Faculty of Economics

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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

Professor Debopam Bhattacharya
Professor of Econometrics
Faculty Executive Director of Research

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.

Mr Oleg Kitov
Robert Martin Fellow in Economics (Selwyn College)
Assistant Teaching Professor
Convener of Undergraduate Admissions

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

Professor Oliver Linton
Professor of Political Economy

Research Interests
Econometric Theory and practice; Empirical Finance

Professor Alexey Onatskiy
Professor of Econometrics

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

Dario Palumbo
Fellow and Director of Studies (Homerton College)

Research Interests
Empirical Finance, Fixed Income Markets, Yield Curve Modeling, Volatility, Heavy Tails Distribution Modeling

Professor M. Hashem Pesaran
Emeritus Professor of Economics, and Fellow of Trinity College, University of Cambridge.
John Elliott 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

Professor Donald Robertson
Professor of Economics

Research Interests
Applied Macroeconomics and Finance. Econometrics.

Professor Mark Salmon
Affiliated Professor

Research Interests
Finance; Econometrics; Behavioural Finance

Professor Richard J Smith
Professor of Econometric Theory and Economic Statistics

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

Dr Julius Vainora
University Assistant Professor

Research Interests
Econometrics, Machine Learning, Network Econometrics

Dr Melvyn Weeks
University Senior Lecturer
Director of Teaching
Director of Undergraduate Studies

Research Interests


Kilian Bachmair

Research Interests
Financial Econometrics - effects of market reforms on aspects of financial market functioning

Yashuang (Dexter) Ding

Title: Essays in Volatility Modelling

Research Interests
Financial Econometrics, Time Series, Empirical Asset Pricing, Continuous Time Finance

Ganesh Karapakula

Research Interests
Applied Econometrics

Weiguang Liu

Title: Non-parametric Econometrics and Empirical Finance

Research Interests
Econometrics and Empirical Finance

Cheuk Fai Ng

Research Interests
Cluster Robust Inference In High Dimensional Linear Regression

Christian Tien

Research Interests
Causal inference, Microeconometrics, Machine Learning, Factor Models

Zhaocheng Zhang

Research Interests
Empirical Research in Finance and Networks


Research Grants

  • Empirical Demand and Welfare Analysis (EDWEL) (ECH2020 EUROPEAN RESEARCH COUNCIL (ERC)) - Bhattacharya, D.
  • Demand and Welfare Analysis using Micro-data (ESRC) - 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

More Sponsored Projects >>

Published Papers

Harvey, A. C., Hurn, S., Palumbo, D. and Thiele, S. Modeling Circular Time Series, Journal of Econometrics, to appear (2023)
Harvey, A. C. and Palumbo, D. Score-Driven Models for Realized Volatility, Journal of Econometrics, to appear (2023)
Harvey, A. C. and Liao, Y. Dynamic Tobit Models, Econometrics and Statistics (2023)
Harvey, A. C. and Palumbo, D. Regime Switching Models for Circular and Linear Time Series, Journal of Time Series Analysis, forthcoming (2023)
Bhattacharya, D., Dupas, P. and Kanaya, S. Demand and Welfare Analysis in Discrete Choice Models with Social Interactions, Review of Economic Studies, accepted (2023)
Bhattacharya, D. Nonparametric Approaches to Empirical Welfare Analysis, Journal of Economic Literature, forthcoming (2023)
Ding, Y. A Simple Joint Model for Returns, Volatility and Volatility of Volatility, Journal of Econometrics (2023)
Harvey, A. C. Score-Driven Time Series Models, Annual Review of Statistics and Its Application (2022)
Mohaddes, K., Ng, R. N. C., Pesaran, M. H., Raissi, M. and Yang, J-C. Climate Change and Economic Activity: Evidence from U.S. States , Oxford Open Economics, accepted (2022)
Boneva, L., Elliott, D., Kaminska, I., Linton, O., McLaren, N. and Morley, B. The Impact of Corporate QE on Liquidity: Evidence from the UK, The Economic Journal (2022)

More Papers >>

Cambridge Working Papers in Economics

Johnsson, I., Pesaran, M. H., Yang, C. F. Structural Econometric Estimation of the Basic Reproduction Number for Covid-19 Across U.S. States and Selected Countries, CWPE2360 (2023)
Pesaran, M. H., Yang, L. Heterogeneous Autoregressions in Short T Panel Data Models, CWPE2342 (2023)
Pesaran, M. H., Smith, R. P. The Role of Pricing Errors in Linear Asset Pricing Models with Strong, Semi-strong, and Latent Factors, CWPE2317 (2023)
Im, K S., Pesaran, M. H., Shin, Y. Reflections on "Testing for Unit Roots in Heterogeneous Panels", CWPE2310 (2023)
Bachmair, K. The Effects of the LIBOR Scandal on Volatility and Liquidity in LIBOR Futures Markets, CWPE2303 (2023)
Chen, J., Li, D., Li, Y., Linton, O. B. Estimating Time-Varying Networks for High-Dimensional Time Series, CWPE2273 (2022)
Linton, O. B., Xu, E. Auditing the Auditors: An evaluation of the REF2021 Output Results, CWPE2266 (2022)
Ashby, M., Linton, O. B. Do consumption-based asset pricing models explain the dynamics of stock market returns?, CWPE2259 (2022)
Cheng, T., Dong, C., Gao, J., Linton, O. GMM Estimation for High–Dimensional Panel Data Models, CWPE2245 (2022)
Vogt, M., Walsh, C., Linton, O. CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects, CWPE2242 (2022)

More Papers >>

Authored Books

Linton, O. The Models and Methods of Financial Econometrics, (2019), Cambridge University Press
Linton, O. Probability, Statistics and Econometrics, (2017), Science Direct
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

Mogens Fosgerau
(University of Copenhagen)
"Network Route Choice and the Perturbed Utility Model"
Sunday 1st October 2023 12:24am
Hybrid Keynes (Econometrics)
Jeroen Dalderop
(University of Notre Dame)
Sunday 1st October 2023 12:24am
Hybrid Keynes (Econometrics)

Recent Publications

Ding, Y. A Simple Joint Model for Returns, Volatility and Volatility of Volatility Journal of Econometrics [2023]

Harvey, A. C. and Liao, Y. Dynamic Tobit Models Econometrics and Statistics [2023]

Harvey, A. C. and Palumbo, D. Score-Driven Models for Realized Volatility Journal of Econometrics, to appear [2023]

Selected CWPE


Causal effects of the Fed's large-scale asset purchases on firms' capital structure, Nocera, A., Pesaran, M. H.


GMM Estimation for High–Dimensional Panel Data Models, Cheng, T., Dong, C., Gao, J., Linton, O.


Reflections on "Testing for Unit Roots in Heterogeneous Panels", Im, K S., Pesaran, M. H., Shin, Y.