Economics and Strategy Group
Econometric theory, stochastic, randomised, and deterministic unit roots, time-varying processes, financial econometrics, volatility dynamics, macroeconomic modelling and forecasting, non-parametric detection of structural changes, nonlinear time series models, density forecasting.
Time series econometrics, quantitative risk management.
The last ten publications
- ‘Have the GIPSI settled down? Breaks and multivariate stochastic volatility models for, and not against, the European financial integration’, with B. Gebka, Journal of Banking & Finance 37(9), 2013.
- ‘Is there life in the old dogs yet? Making break-tests work on financial contagion’, with B. Gebka, Review of Quantitative Finance and Accounting, 40(3), 2013.
- ‘Purchasing power parity and structural instability in the US/UK exchange rate’, with B. Morley, Journal of International Financial Markets, Institutions and Money, 22(4), 2012.
- ‘Risk and Structural Instability in US House Prices’, The Journal of Real Estate Finance and Economics, with B. Morley and D. Thomas (online first), 2011.
- ‘One Date, One Break?’, with P. Demetriades and S. H. Law, Empirical Economics 41(1), 2011.
- ‘Forecasting the UK/US exchange rate with divisia monetary models and neural networks’, with R. K. Bissoondeeal and A. Gazely, Scottish Journal of Political Economy 58(1), 2011.
- ‘Breaking down the non-normality of daily stock returns’ European Journal of Finance 16 (1), 2010.
- ‘Monetary Variability and Monetary Variables in the Franc Zone’, with S. Coleman, Economic Issues 15(2), 2010.
- ‘Financial Liberalisation and Stock Market Volatility: The Case of Indonesia’, with G. James, Applied Financial Economics 20(6), 2010.
- ‘Stock market efficiency before and after a financial liberalisation reform: Do breaks in volatility dynamics matter?’, Journal of Emerging Market Finance, 8 (3), 2009.