
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 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
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
- 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. C. Project Summary and Output
- Forecasting and Policy in Environmental Econometrics (JHVL) - Harvey, A. and Simons, J. 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. and Dalderop, J. 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
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
Pesaran, M. H., Yang, L. Heterogeneous Autoregressions in Short T Panel Data Models, CWPE2342

Pesaran, M. H., Smith, R. P. The Role of Pricing Errors in Linear Asset Pricing Models with Strong, Semi-strong, and Latent Factors, CWPE2317

Im, K S., Pesaran, M. H., Shin, Y. Reflections on "Testing for Unit Roots in Heterogeneous Panels", CWPE2310

Bachmair, K. The Effects of the LIBOR Scandal on Volatility and Liquidity in LIBOR Futures Markets, CWPE2303

Chen, J., Li, D., Li, Y., Linton, O. B. Estimating Time-Varying Networks for High-Dimensional Time Series, CWPE2273

Linton, O. B., Xu, E. Auditing the Auditors: An evaluation of the REF2021 Output Results, CWPE2266

Ashby, M., Linton, O. B. Do consumption-based asset pricing models explain the dynamics of stock market returns?, CWPE2259

Cheng, T., Dong, C., Gao, J., Linton, O. GMM Estimation for High–Dimensional Panel Data Models, CWPE2245

Vogt, M., Walsh, C., Linton, O. CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects, CWPE2242

More Papers >>
Authored Books
Linton, O. The Models and Methods of Financial Econometrics, (2019), Cambridge University PressLinton, 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 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
