Research
Bayesian Econometrics, Financial Econometrics, Monetary and Financial Economics
Research groups
Research collaborations
Ryland Thomas
Bank of England
Are the Effects of Quantitative Easing & Tightening State Contingent?
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 (International Journal of Forecasting)
Professor Chris Florackis
Liquidity Shocks and Real GDP Growth: Evidence from a Time-varying Parameter VAR (Journal of International Money and Finance)
Professor Costas Milas
Liquidity Shocks and Real GDP Growth: Evidence from a Time-varying Parameter VAR (Journal of International Money and Finance), Global Liquidity, Money Growth and UK Inflation (Journal of Financial Stability), Are the Effects of Quantitative Easing & Tightening State Contingent?
Dr Rodrigo Hizmeri
Various financial economics/financial econometric projects. Including multiple work on foreign exchange data and high frequency options.
Dr Mykola Babiak
University of Lancaster
Pricing and predictability of commonalities in firm-level implied volatility and volatility risk premium