Imperial College London


Business School

Chair in Financial Econometrics







3.0353 Prince's GateSouth Kensington Campus





  • Mathematical Statistics and Theoretical Econometrics: Distribution Theory, Time Series, Nonlinear Models (including Semi/Non-Parametrics).
  • Econometrics: Modelling Methodologies.
  • Finance: Financial Markets, International Finance.
  • Economics: Macroeconomics.
  • Applied Mathematics: Special Functions and Applied Analysis.

Main grants since 2000:

  • 2001-04: ESRC grant "Improved inference for partially one-sided alternative hypotheses" was awarded GBP129,055. Output graded "Outstanding".
  • 2003-06: ESRC grant "Persistence and non-linearities in macroeconomic time series" was awarded GBP164,740 to Talmain and Abadir. Output graded "Outstanding".
  • 2008: Capula Investment Management awarded approx. GBP25,000 per year to sponsor the seminar series in Finance.
  • 2008-10: ESRC grant "Extraction of trend, cycle, and memory from economic and financial series" was awarded GBP506,914 (full economic costing) to Abadir, Distaso, and Giraitis. Output graded "Outstanding".
  • 2009-12: Named British Academy Postdoctoral Fellowship for Adriana Cornea, awarded GBP262,127.

Editorial work

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Refereed papers for: Annals of Statistics, Annals of the Institute of Statistical Mathematics, Biometrika, Bulletin of Economic Research, Communications in Statistics (Theory and Methods), Computational Statistics and Data Analysis, Econometric Reviews, Econometric Theory, Econometrica, Econometrics Journal, Economic Journal, Economic Modelling, Economics Letters, European Journal of Finance, IEEE Transactions, International Economic Review, International Journal of Forecasting, Journal of Applied Econometrics, Journal of Applied Statistics, Journal of Business and Economic Statistics (American Statistical Association), Journal of Cultural Economics, Journal of Econometrics, Journal of Economic Dynamics and Control, Journal of Empirical Finance, Journal of Financial Econometrics, Journal of Mathematical Analysis and Applications, Journal of Multivariate Analysis, Journal of Quantitative Economics, Journal of Statistical Computation and Simulation, Journal of Statistical Planning and Inference, Journal of the American Statistical Association, Journal of the Royal Statistical Society B (Methodological) , Journal of Time Series Analysis, Journal of Time Series Econometrics, Management Science, Manchester School, Mathematical Modelling and Analysis, Oxford Bulletin of Economics & Statistics, Oxford Economic Papers, Portuguese Economic Journal, Review of Economic Studies, Review of Economics and Statistics, Scandinavian Journal of Statistics, Scottish Journal of Political Economy, SIAM (Society for Industrial and Applied Mathematics) Journal on Scientific Computing, Statistical Methods and Applications, Statistics and Probability Letters.

Refereed proposals for: Agence Nationale de la Recherche (ANR, France), Economic & Social Research Council (ESRC, UK), Engineering and Physical Sciences Research Council (EPSRC, UK), Fonds quebecois de recherche sur la societe et la culture, Irish Research Council for the Humanities and Social Sciences, National Science Foundation (NSF, USA) Economics Program, National Science Foundation (NSF, USA) Statistics and Probability Program, Social Sciences Research Council of the Netherlands (NWO), The British Academy, The Leverhulme trust, Cambridge University Press, John Wiley & Sons, Oxford University Press, Springer-Verlag.

Additional research material

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Abadir K M, Heijmans R, Magnus JR, Statistics (see Table of Contents), Cambridge University Press, forthcoming as Volume 2 in the series  Econometric Exercises. The erratum for Volume 1, Abadir and Magnus (2005), Matrix Algebra, is given here.

The erratum for 3 papers on unit roots in the 1990s is given here.

The 99.5% quantiles from Theorem 1 of Abadir and Paruolo (1997) are 10.06 for Zu and 7.836 for Zr, which extends the results in Table I. These may be used for 2-sided inference at the 1% level. 

Download the R code for calculating the Kummer 1F1 function as in Abadir (1999). In connection with this paper, see also: Abadir KM (2002). Invited comment on 'Box-Cox transformations in linear models: large sample theory and tests of normality' by Gemai Chen, Richard A. Lockhart and Michael A. Stephens. Canadian Journal of Statistics, Vol: 30, Pages: 210,233-234.

The files of Abadir and Magnus (2002) (incl. PDF paper, LaTeX paper, LaTeX style file ee.sty) are downloadable here. If you're a user of SW(P), you can input the ee.sty file in your "preamble" (\input{ee.sty}), and access the LaTeX commands by downloading this SW(P)5 reg file and copying AR.0261-AR.0428 into your own reg file; see this sample file. Alternatively (not as convenient), try this SW(P)3.5 shell file. Finally, there is also the CTAN package written by Erik Kole.

The VRT techniques of Abadir and Paruolo (2009) are found here.

Download the MATLAB codes (M1, M2, M3, M4, M5) or Gauss codes (G1, G2) for calculating the FELW estimator of Abadir, Distaso and Giraitis (2007).

Download the MATLAB codes, Data, and Read Me files for Abadir, Caggiano and Talmain (2013).

Download the OxMetrics code for the Abadir, Distaso and Zikes (2014) estimators here.

Some research papers:
-Abadir, K. M. and C. V. Atanasova. Outlier-robust evidence for the expectation hypothesis.
-Abadir, K. M. and A. Cornea. Link of moments before and after transformations, with an application to resampling from fat-tailed distributions.
-Abadir, K. M. and M. Lubrano. Explicit solution for the asymptotically-optimal bandwidth in cross validation.
-Abadir, K. M. and G. Talmain. Beyond co-integration: modelling co-movements in macro finance.

Other papers (not listed) are available upon request.