top of page
Research Interest
My main research interests are in econometrics and financial economics.
Published
Modeling circular time series. (with Andrew Harvey, Dario Palumbo and Stan Hurn). Journal of Econometrics, 2024.
Co-integration and control: Assessing the impact of events using time series data (with Andrew Harvey). Journal of Applied Econometrics, 2021.
Modelling the conditional distribution of financial returns with asymmetric tails. Journal of Applied Econometrics, 2020.
Detecting underestimates of risk in VaR models. Journal of Banking and Finance, 2019.
Which oil shocks really matter in equity markets? (with Cody Shield and Adam Clements) Energy Economics, 2019.
Testing for time varying correlation. (with Andrew Harvey), Journal of Empirical Finance, 2016.
Working Papers
Modelling Value at Market Risk in Electricity Markets (with Stan Hurn and Lina Xu).
Weighted Estimates for High-Dimensional Realized Covariance Matrices (with Adam Clements})
High dimensional dependence modelling with heavy tailed, asymmetric factor models.
Work in Progress
Volatility Timing and Timing Aggressiveness in Portfolio Construction
Imperfect Foresight when Constructing Portfolio under Transaction Costs
Modelling Intra-day Volatility: A Multiple Equation Approach under Regularization (with Benjamin Gould and Adam Clements)
Are We Sure It's Endogenous? A New Model Equivalence Test (with Meiko Matsuda)
Testing Endogeneity in Just Identified IV Models
bottom of page