Research Interests
- estimation, specification testing and prediction of financial Volatility in continuous time models
- analyzing macroeconomic and financial time series using long memory models
- identifying the macroeconomic determinants of stock-market volatility
- studying the dependence of multivariate financial time series using copulae and strings
- statistical tools to evaluate competing trading strategies
- analyzing the features and the effects of market microstructure noise
Research Grants
2011-2012
British Academy Mid-Career Fellowship.
2007-2010
Research supported by the ESRC, grant RES-062-23-0790, titled "Extraction of trend, cycle, and memory from economic and financial series", together with Karim Abadir, Imperial College Business School, Imperial College London and Liudas Giraitis, Queen Mary, University of London.
Grade assigned to the grant: Outstanding.
2007-2009
Research supported by the ESRC (PI), grant RES-062-23-0311, titled "Conditional Independence, Noncausality and International Market Links: A Realized Measure Approach", together with Valentina Corradi, University of Warwick, and Marcelo Fernandes, Queen Mary, University of London.
Grade assigned to the grant: Outstanding.
2002-2005
Research supported by the ESRC, grant R000230006, titled "Modeling, testing and prediction of integrated volatility through realized volatility", together with Valentina Corradi, University of Warwick.
Grade assigned to the grant: Outstanding.
2001-2004
Research supported by the ESRC, grant R000239538, titled "Improved inference for partially one-sided hypotheses", main applicant Karim Abadir, Imperial College Business School, Imperial College, London.
Grade assigned to the grant: Outstanding.
Research Student Supervision
Sivapalan,A, Variance Matrix Estimation for Portfolio Choice
Zikes,F, Testing multivariate normality of asset returns using high frequency data.