Research
Bayesian Econometrics, Financial Econometrics, Monetary and Financial Economics
Research groups
Research collaborations
Ryland Thomas
Bank of England
Are Quantitative Easing Policies State Contingent?
Dr Mykola Babiak
University of Lancaster
Pricing and predictability of commonalities in firm-level implied volatility and volatility risk premium
doc. PhDr. Jozef Barunik Ph.D.
Charles University, Prague
Persistence in financial connectedness and systemic risk (EJOR). Asset pricing using commonalities in firm level implied volatility and volatility risk premium.
Dr Maria Kalli
King's College London
Predictive distributions and the market return: The role of market illiquidity (EJOR)
Professor Chris Martin
University of Bath
Search frictions and evolving labour market dynamics (JEDC) Revisiting real wage rigidity (JMCB)
Dr Bingsong Wang
University of Sheffield
Search frictions and evolving labour market dynamics (JEDC) Revisiting real wage rigidity (JMCB)
Dr Mattia Bevilacqua
Asset pricing using commonalities in firm-level implied volatility and volatility risk premium. Various financial economics/financial econometric projects. Including multiple work on foreign exchange data and high frequency options. We also supervise 3 PhD students.
Dr Xi Fu
Real Estate Illiquidity and Returns
Professor Chris Florackis
Liquidity Shocks and Real GDP Growth: Evidence from a Time-varying Parameter VAR (JIMF)
Professor Costas Milas
Liquidity Shocks and Real GDP Growth: Evidence from a Time-varying Parameter VAR (JIMF), Global Liquidity, Money Growth and UK Inflation (JFS), Are Quantitative Easing Policies State Contingent?
Dr Rodrigo Hizmeri
Various financial economics/financial econometric projects. Including multiple work on foreign exchange data and high frequency options.