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, 2023.
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
High dimensional dependence modelling with heavy tailed, asymmetric factor models.
bottom of page