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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

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

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 (Dexter) Ding

Title: Essays in Volatility Modelling


Shuyi Ge

Title: Financial networks and risk spillovers

Research Interests
Financial Econometrics, Asset Pricing, Network, and Machine Learning

Weiguang Liu

Title: Non-parametric Econometrics and Empirical Finance


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

Christian Tien

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


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

More Sponsored Projects >>

Published Papers

Li, S. and Linton, O. When Will the Covid-19 Pandemic Peak?, Journal of Econometrics (2021)
Merrick Li, Z. and Linton, O. A ReMeDI for Microstructure Noise, Econometrica, forthcoming (2021)
Ai, C., Linton, O., Motegi, K. and Zhang, Z. A Unified Framework for Efficient Estimation of General Treatment Models, Quantitative Economics, forthcoming (2021)
Escanciano, J C., Hoderlein, S., Lewbel, A., Linton, O. and Srisuma, S. Nonparametric Euler Equation Identification and Estimation, Econometric Theory, forthcoming (2021)
Linton, O. and Tang, H. Estimation of the Kronecker Covariance Model by Quadratic Form, Econometric Theory, forthcoming (2021)
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)
Onatski, A. and Wang, C. Spurious Factor Analysis, Econometrica (2021)
Bhattacharya, D. The Empirical Content of Binary Choice Models, Econometrica (2021)
Parente, P. M. D. C. and Smith, R. J. Quasi-Maximum Likelihood and the Kernel Block Bootstrap for Nonlinear Dynamic Models, Journal of Time Series Analysis (2021)
Jochmans, K. A Portmanteau Test for Serial Correlation in Short Panels, Econometric Theory, forthcoming (2020)

More Papers >>

Cambridge Working Papers in Economics

Laudati, D. and Pesaran, M. H. Identifying the Effects of Sanctions on the Iranian Economy using Newspaper Coverage, CWPE2155 (2021)
Li, Y-N., Chen, J. and Linton, O. Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor Model, CWPE2150 (2021)
Chung, D., Linton, O. and Whang Y-J. Consistent Testing for an Implication of Supermodular Dominance, CWPE2134 (2021)
Harvey, A. Score-Driven Time Series Models, CWPE2133 (2021)
Li, M. Z. and Linton, O. Robust Estimation of Integrated Volatility, CWPE2115 (2021)
Harvey, A. C. Time Series Modeling of Epidemics: Leading Indicators, Control Groups and Policy Assessment, CWPE2114 (2021)
Huang, W., Linton, O., Zhang, Z. A Unified Framework for Specification Tests of Continuous Treatment Effect Models, CWPE2113 (2021)
Ding, Y. Augmented Real-Time GARCH: A Joint Model for Returns, Volatility and Volatility of Volatility, CWPE2112 (2021)
Palumbo, D. Testing and Modelling Time Series with Time Varying Tails, CWPE2111 (2021)
Ahmed, R. and Pesaran, M. H. Regional Heterogeneity and U.S. Presidential Elections, CWPE2092 (2020)

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





There are currently no Seminars scheduled




Faculty Events


24 Jun

Fourteenth Annual SoFiE Conference
Churchill College



Recent Publications


Parente, P. M. D. C. and Smith, R. J. Quasi-Maximum Likelihood and the Kernel Block Bootstrap for Nonlinear Dynamic Models Journal of Time Series Analysis [2021]

Bhattacharya, D. The Empirical Content of Binary Choice Models Econometrica [2021]

Vogt, M., Linton, O. Multiscale clustering of nonparametric regression curves Journal of Econometrics [2020]



Selected CWPE


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Modified-Likelihood Estimation of Fixed-Effect Models for Dyadic Data, Jochmans, K.

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46

Inference on a distribution from noisy draws, Jochmans, K. and Weidner, M.

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93

Testing for Correlation in Error-Component Models, Jochmans, K.