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Michael Ellington

Dr Michael Ellington
BA, MSc, PhD

Senior Lecturer (Associate Professor) in Finance
Finance and Accounting

Research outputs

Selected research outputs

  1. Predictive distributions and the market return: The role of market illiquidity (Journal article - 2025)
  2. Persistence in financial connectedness and systemic risk (Journal article - 2024)
  3. Revisiting Real Wage Rigidity (Journal article - 2024)
  4. Fat Tails, Serial Dependence, and Implied Volatility Index Connections (Journal article - 2022)
  5. The Empirical Relevance of the Shadow Rate and the Zero Lower Bound (Journal article - 2021)
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2025

2024

2022

Fat Tails, Serial Dependence, and Implied Volatility Index Connections

Ellington, M. (2022). Fat Tails, Serial Dependence, and Implied Volatility Index Connections. European Journal of Operational Research. doi:10.1016/j.ejor.2021.09.038

DOI
10.1016/j.ejor.2021.09.038
Journal article

2021

The Empirical Relevance of the Shadow Rate and the Zero Lower Bound

Ellington, M. (2021). The Empirical Relevance of the Shadow Rate and the Zero Lower Bound. Journal of Money, Credit and Banking. doi:10.1111/jmcb.12881

DOI
10.1111/jmcb.12881
Journal article

2019

2018

Financial market illiquidity shocks and macroeconomic dynamics: Evidence from the UK

Ellington, M. T. (2018). Financial Market Illiquidity Shocks and Macroeconomic Dynamics: Evidence from the UK. Journal of Banking and Finance, 89, 225-236. doi:10.1016/j.jbankfin.2018.02.013

DOI
10.1016/j.jbankfin.2018.02.013
Journal article

2017

2016

Uncertainty Shocks and the UK Economy from 1762 to 2015

Ellington, M. (2016). Uncertainty Shocks and the UK Economy from 1762 to 2015.

Journal article