Read more of our recent publications below:
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Research outputs
This cluster shares common research ground built on the foundation of econometric analysis and data science. Its research activities and output are highly interdisciplinary and find applications in economic policy making and evaluation, event forecasting, gambling and sports management, investment and risk management on financial markets, and more generally in business analytics.
Empirical economics
Ellington, MT and Milas, KC (2019) Global Liquidity, Money Growth and UK Inflation. Journal of Financial Stability, forthcoming.
Ellington, MT (2018) The Case for Divisia Monetary Statistics: A Bayesian Time-varying Approach. Journal of Economic Dynamics and Control, 96, 26-41.
Ellington, Michael, Florackis, Chris and Milas, Costas (2017) Liquidity shocks and real GDP growth: Evidence from a Bayesian time-varying parameter VAR. Journal of International Money and Finance, 72. 93 - 117.
Thijssen, Jacco JJ and Bregantini, Daniele (2017) Costly sequential experimentation and project valuation with an application to health technology assessment. Journal of Economic Dynamics and Control, 77. 202 - 229.
Boumparis, Periklis, Milas, Costas and Panagiotidis, Theodore (2017) Economic policy uncertainty and sovereign credit rating decisions: Panel quantile evidence for the Eurozone. Journal of International Money and Finance, 79. 39 - 71.
Addison, Tony, Ghoshray, Atanu and Stamatogiannis, Michalis P (2016) Agricultural Commodity Price Shocks and Their Effect on Growth in Sub-Saharan Africa. Journal of Agricultural Economics, 67 (1). 47 - 61.
Ghoshray, Atanu and Stamatogiannis, Michalis P (2015) Centurial evidence of breaks in the persistence of unemployment. Economics Letters, 129. 74 - 76.
Econometrics of sports
Tena Horrillo, J, Forrest, DK, Corona, Francisco and Wiper, Mike (2019) Bayesian forecasting of UEFA Champions League under alternative seeding regimes. International Journal of Forecasting, forthcoming.
Corona, Francisco, Horrillo, Juan de Dios Tena and Wiper, Michael Peter (2017) On the importance of the probabilistic model in identifying the most decisive games in a tournament. Journal of Quantitative Analysis in Sports, 13 (1).
Forrest, David, McHale, Ian G, Sanz, Ismael and Tena, JD (2017) An analysis of country medal shares in individual sports at the Olympics. European Sport Management Quarterly, 17 (2). 117 - 131.
Flores, Ramon, Forrest, David, de Pablo, Cesar and Tena, JD (2015) What is a good result in the first leg of a two-legged football match? European Journal of Operational Research, 247 (2). 641 - 647.
Jara, Miguel, Paolini, Dimitri and de Dios Tena Horrillo, Juan (2015) Management Efficiency in Football: An Empirical Analysis of Two Extreme Cases. Managerial and Decision Economics, 36 (5). 286 - 298.
Forecasting
Wang, R, Morley, B and Stamatogiannis, MP (2019) Forecasting the exchange rate using nonlinear Taylor rule based models. International Journal of Forecasting, 35 (2). 429 - 442.
Rao, Yao and McCabe, Brendan (2016) Real-time surveillance for abnormal events: the case of influenza outbreaks. Statistics in Medicine, 35 (13). 2206 - 2220.
Chaudhuri, Kausik, Kim, Minjoo and Shin, Yongcheol (2016) Forecasting distributions of inflation rates: the functional auto-regressive approach. Journal of the Royal Statistical Society Series A – Statistics in Society, 179 (1). 65 - 102.
Cai, C. X., & Zhang, Q. (2016). High-Frequency Exchange Rate Forecasting. European Financial Management, 22(1), 120-141.
Econometrics of financial markets
Bu, R, Fu, Xi and Jawadi, Fredj (2019) Does the Volatility of Volatility Risk Forecast Future Stock Returns? Journal of International Financial Markets, Institutions and Money. Forthcoming.
Ellington, Michael (2018) Financial market illiquidity shocks and macroeconomic dynamics: Evidence from the UK. Journal of Banking and Finance, 89. 225 - 236.
Bu, Ruijun, Jawadi, Fredj and Li, Yuyi (2017) An Empirical Comparison of Transformed Diffusion Models for VIX and VIX Futures. Journal of International Financial Markets, Institutions and Money, 46. 116 - 127.
Fu, Xi, Sandri, Matteo and Shackleton, Mark B (2016) Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures. Journal of Futures Markets, 36 (11). 1029 - 1056.
Dang, Viet Anh, Kim, Minjoo and Shin, Yongcheol (2015) In search of robust methods for dynamic panel data models in empirical corporate finance. Journal of Banking and Finance, 53. 84 - 98.
Kostakis, Alexandros, Magdalinos, Tassos and Stamatogiannis, Michalis P (2015) Robust Econometric Inference for Stock Return Predictability. Review of Financial Studies, 28 (5). 1506 - 1553.
von Eije, Henk, Goyal, Abhinav and Muckley, Cal B (2014) Does the information content of payout initiations and omissions influence firm risks? Journal of Econometrics, 183 (2). 222 - 229.
Econometric methods
Bu, R, Li, Yuyi and Jawadi, Fredj (2019) A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures. Econometric Reviews. Forthcoming.
Kim, M, Cai, X, Shin, Yongcheol and Zhang, Qi (2019) FARVaR: Functional Autoregressive Value-at-Risk. Journal of Financial Econometrics, forthcoming.
Rao, Yao and McCabe, Brendan (2017) Is MORE LESS? The role of data augmentation in testing for structural breaks. Economics Letters, 155. 131 - 134.
Phillips, Garry DA and Liu-Evans, Gareth (2016) Approximating and reducing bias in 2SLS estimation of dynamic simultaneous equation models. Computational Statistics & Data Analysis, 100. 734 - 762.
Hadri, K., Kurozumi, E., & Rao, Y. (2015). Novel panel cointegration tests emending for cross-section dependence with N fixed. Econometrics Journal. 18(3), 363-411.
Hall, A. R., Li, Y., Orme, C. D., & Sinko, A. (2015) Testing for Structural Instability in Moment Restriction Models: An Info-Metric Approach. Econometric Reviews, 34(3), 286-327.
Bregantini, D. (2013) Moment-based estimation of stochastic volatility. Journal of Banking and Finance, 37(12), 4755-4764.
Bu, R, Giet, L, Hadri, K and Lubrano, M (2011) Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations. Journal of Financial Econometrics, 9 (1). 198 - 236. ISSN 1479-8409, 1479-8417.