Economics at Liverpool has a very long tradition, stretching back over 100 years to the appointment of its first Professor of Economic Science, Sir Edward Gonner, in 1891. Our main fields in economics are health, development, financial markets, industrial organization, entrepreneurship, international economics and macroeconomics.
Econometrics has been a prominent strength at Liverpool in the past and currently. Fields of research include econometric theory, financial econometrics, time series analysis and forecasting, panel data analysis, applied econometric analysis and so on.
Dr Ruijun Bu’s main research interests are in the areas of financial econometrics, quantitative finance, and time series analysis. Dr. Bu is particularly interested in nonparametric and semiparametric methods for modelling nonlinear and non-Gaussian continuous-time stochastic processes with applications to financial forecasting and financial derivatives pricing. Dr. Bu has held research grants from several funding bodies including the British Academy, the Leverhulme Trust, the ESRC and the European Science Foundation. Dr. Bu has publications in Journal of Financial Econometrics, International Journal of Forecasting, Journal of Time Series Analysis, Econometrics Journal, Studies in Nonlinear Dynamics and Econometrics, Economic Modelling, Journal of International Financial Markets, Institutions and Money, etc.
Prof. Brendan McCabe is interested in topics in Time Series analysis and Econometrics, in general. Currently Prof. McCabe is working on (1) models with structural breaks and the ability to identify the correct break location should one occur (2) integer valued time series with particular emphasis on forecasting very large numbers of series simultaneously (3) Bayesian methods in the situation where the likelihood is not tractable and forecasting is the main objective of the analysis. Prof. McCabe’s publications appear in Journal of the Royal Statistical Society: Series B, Econometric Theory, International Journal of Forecasting, Journal of Time Series Analysis, Statistics in Medicine, etc.
Dr J.D. Tena is a Senior Lecturer in Sports Business and Management. He has a BA in Economics and a Master from Universidad Carlos III. He gained his PhD from University of Newcastle Upon Tyne in 2004. After holding a post-doctoral position at the University of Tel Aviv (Israel), he has worked for the Universidad de Concepción (Chile), Università di Sassari (Italy) and Universidad Carlos III (Spain). He has also served as a forecasting analyst for Instituto Flores de Lemus (Spain). His research mainly focuses on applied econometrics. He is especially interested in the quantitative analysis of economic behaviour and in the use of sport economics as an experimental field to analyse human reactions to different incentive schemes. He has published intensively on different sport related topics such as, for example, causes and consequences of football managers dismissals, competitive balance in football leagues, identification of key matches in international football tournaments, effects of migrant labour on the productivity of domestic basketball players and the distribution of medals at the Olympic Games. Dr. Tena’s publications appear in European Journal of Operational Research, International Journal of Forecasting, Journal of the Operational Research Society, Journal of Quantitative Analysis in Sports, Journal of Applied Statistics, etc.
Daniele’s interest lies in the statistical estimation of continuous time processes. His work in this area find applications in a range of topics, such as the analysis of volatility in high-frequency financial data, optimal stopping rules for trading and Bayesian decision-making in health-care. Daniele’s publications appear in The Journal of Banking and Finance and the Journal of Economics Dynamics and Control.
Professor Charlie Cai dedicates his research efforts to a wide range of finance topics, including asset pricing, investment and financial technology. His recent research focus has been in the area of factor investing and impact of technology on financial markets (issues such as algorithmic trading, machine learning and crowdfunding). Charlie has developed the practical finance skills that are rooted in fundamental values. These, combined with his strong quantitative analytical skills, enable him to provide consultancy and sponsored research in finance and investment, both in the UK and internationally. He is innovative in providing database-driven analytical solutions for quantitative trading strategies. He has published in leading finance and accounting journals including Journal of Accounting and Economics, Journal of Money, Credit and Banking and Journal of Financial Econometrics.
Dr Liu-Evans' research interests are in econometrics, statistical learning, and financial econometrics. He has investigated analytical and computational methods to reduce estimation bias, and has work in progress relating to lasso methods and high dimensional modeling. A substantial part of his work has been computational, making use of the Advanced Research Computing facilities at the University of Liverpool. He has published in the following journals: Computational Statistics and Data Analysis, Econometrics and Statistics, and Journal of Time Series Econometrics.
Dr Michael Ellington is currently working on Bayesian nonlinear models with applications to economic and financial time series. His current projects include: examining the economic impact of liquidity conditions in the financial sector; investigating the relative benefits of theoretically consistent measures on money; and assessing structural breaks within the labour market. Dr Ellington’s publications appear in Journal of Banking and Finance andJournal of International Financial Markets, Institutions and Money.
Dr. Rob Edwards’s research interests fall broadly within Industrial Economics, Microeconomic Theory and Game Theory, with applications for competition policy and regulation. Specifically, Dr. Edwards focuses on price and non-price competition in retail markets, and the implications of incomplete information for competition. Recent work includes: (1) Investigating firms' incentives to obfuscate product information when consumers exhibit behavioural biases, (2) Investigating the consequences of incomplete information amongst both firms and consumers. Dr. Edwards has presented work at international conferences held in UK, Hungary, Germany and Russia.
Dr. Xi Fu’s research interests are in the areas of empirical asset pricing, risk management, and applied financial econometrics. Dr. Fu is particularly interested in the information contents of various financial and non-financial data and their predictabilities on the financial markets. Dr. Fu’s research relies heavily on cutting-edge econometric and statistical methods for analysing data (i.e. extracting information and testing predictability) typically in large cross sections. Dr. Fu’s currently projects are on the questions of (1) how to extract forward-looking information embedded in financial derivatives markets for explaining or predicting asset returns and (2) how to explain or predict the tail risks of financial assets (e.g., price crash risks). Dr. Fu has published in Journal of Futures Markets and Journal of Derivatives.
Dr. Minjoo Kim is interested in topics in financial econometrics and empirical finance, in general. Currently Dr. Kim is working on (1) modelling with large dataset (firm-level panel data and (tick-by-tick) high-frequency trading data) (2) forecasting financial risk (idiosyncratic, systematic and systemic risk) (3) impact of financial technology innovations on stability of financial system (4) firm’s financial decision -- cash flow uncertainty and (5) predictability of behavioural factors in asset pricing. Dr. Kim’s publications appear in Journal of Corporate Finance, Journal of Money, Credit and Banking, Journal of Banking and Finance, Journal of Royal Statistical Society: Series A, Journal of Financial Econometrics, Journal of Empirical Finance, etc.
Dr Yuyi Li is generally interested in theoretical and applied econometrics. He currently works on transformed diffusion models for financial time series, where some tractable underlying diffusion processes are parametrically transformed to yield richer dynamics. He is also interested in detection of structural breaks and Bayesian methods. Yuyi has published in Econometric Reviews and Journal of International Financial Markets, Institutions and Money.
Dr Michalis Stamatogiannis’s main research interests lie in the areas of financial econometrics and time series econometrics. He has a particular interest in testing stock return predictability in the context of long-horizon regressions when the degree of persistence of the potential predictors is varying and uncertain. Additionally, he is interested in testing for non-linearities in relationships of interest in finance and macroeconomics. His research has been published in the Journal of Econometrics, The Review of Financial Studies, International Journal of Forecasting, Journal of Agricultural Economics and Economics Letters.