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
College Lecturer in Economics (Selwyn College)
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
Microeconometrics
Thomas Auld
Title: Essays on the behaviour of political and financial markets
Research Interests
Market Efficiency, Bayesian Methods, Politics, High Frequency Trading, Market Microstructure
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
- 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
Bhattacharya, D., Dupas, P. and Kanaya, S. Demand and Welfare Analysis in Discrete Choice Models with Social Interactions, Review of Economic Studies, accepted (2023)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)
Bhattacharya, D. Nonparametric Approaches to Empirical Welfare Analysis, Journal of Economic Literature, 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, forthcoming (2022)
Ding, Y. A Simple Joint Model for Returns, Volatility and Volatility of Volatility, Journal of Econometrics, forthcoming (2022)
Merrick Li, Z. and Linton, O. A ReMeDI for Microstructure Noise, Econometrica (2022)
Wu, J., Zhang, Z. and Zhou, S. X. Credit Rating Prediction Through Supply Chains: A Machine Learning Approach, Production and Operations Management (2021)
Onatski, A. and Wang, C. Spectral Distribution of the Sample Covariance of High-Dimensional Time Series With Unit Roots, Statistica Sinica, forthcoming (2021)
Kahn, M. E., Mohaddes, K., Ng, R. N. C., Pesaran, M. H., Raissi, M. and Yang, J-C. Long-Term Macroeconomic Effects of Climate Change: A Cross-Country Analysis, Energy Economics (2021)
Harvey, A. C. Time Series Models for Epidemics: Leading Indicators, Control Groups and Policy Assessment, National Institute Economic Review (2021)
More Papers >>
Cambridge Working Papers in Economics
Im, K S., Pesaran, M. H., Shin, Y. Reflections on "Testing for Unit Roots in Heterogeneous Panels", CWPE2310
(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)Auld, T. Political markets as equity price factors, CWPE2264
(2022)Auld, T. Betting and financial markets are cointegrated on election night, CWPE2263
(2022)Ashby, M., Linton, O. B. Do Consumption-based Asset Pricing Models Explain Own-history Predictability in 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)Gao, J., Linton, O., Peng, B. A Nonparametric Panel Model for Climate Data with Seasonal and Spatial Variation, CWPE2239
(2022)Bhattacharya, D., Shvets, J. Inferring the Performance Diversity Trade-Off in University Admissions: Evidence from Cambridge, CWPE2238
(2022)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
