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 five publications
‘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.
‘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 (Note: additional results are available upon request).
Monetary Variability and Monetary Variables in the Franc Zone’, with S. Coleman, Economic Issues 15(2), 2010.