Econometrics

Overview

Researchers in the Econometrics focus on a wide range of topics such as time series analysis, financial econometrics, macro-econometrics, micro-econometrics, and empirical industrial organisation. Research papers from the group have been published in Econometrica, the Quarterly journal of Economics, the Annals of Statistics, The Journal of Econometrics, the Journal of Business and Economics Statistics, the Journal of Applied Econometrics, Econometric Theory, the International Economic Review, the European Economic Review, the Journal of the European Economic Association, the Journal of Money Credit and Banking, and the Review of Economics and Statistics.

Team

Publications

2023

• Gualdani C., Sinha S. Partial Identification in Matching Models for the Marriage Market, Journal of Political Economy (2023)

2021

• Bianchi D., Tamoni A., Buchner M. Bond Risk Premiums with Machine Learning, The Review of Financial Studies (2021)
• Daniele Bianchi Adaptive Expectations and Commodity Risk Premiums, Journal of Economic Dynamics and Control (2021)
• Gualdani C. An Econometric Model of Network Formation with an Application to Board Interlocks between Firms, Journal of Econometrics (2021)
• Kaminska I., Mumtaz H., Šustek R. Monetary policy surprises and their transmission through term premia and expected interest rates, Journal of Monetary Economics (2021)

2020

• Lam C., Souza PCL Estimation and Selection of Spatial Weight Matrix in a Spatial Lag Model, Journal of Business and Economics Statistics (2020)

2019

• Alessandri P., Mumtaz H. Financial Regimes and Uncertainty Shocks, Journal of Monetary Economics (2019)
• Bianchi D., Billio M., Casarin R., Guidolin M. Modeling Systemic Risk with Markov Switching Graphical SUR Models, Journal of Econometrics (2019)
• Bianchi D., Chiarella C. An Anatomy of Industry Merger Waves, Journal of Financial Econometrics (2019)
• Carriero A., Clark T., Marcellino M. Large Vector Autoregressions with stochastic volatility and non-conjugate priors, Journal of Econometrics (2019)
• Hidalgo J., Souza PCL. A Test for Weak Stationary in the Spectral Domain, Economic Theory (2019)
• Mandalinci Z., Mumtaz H. Global Economic Divergence and Portfolio Capital Flows to Emerging Markets, Journal of Money, Credit and Banking (2019)

2018

• Carriero A., Clark T., Marcellino M. Measuring Uncertainty and Its Impact on the Economy, Review of Economics and Statistics (2018)
• Giraitis L., Surgailis D., Skarnulis A. Stationary integrated ARCH and AR processes with finite variance, Econometric Theory (2018)
• Mumtaz H., Pinter G., Theodoridis K. What do VARs Tell Us about the Impact of a Credit Supply Shock, International Economic Review (2018)
• Mumtaz H., Sunder-Plassmann L., Theophilopoulou A. The State Level Impact of Uncertainty Shocks, Journal of Money, Credit and Banking (forthcoming)
• Mumtaz H., Theodoridis K. The changing transmission of uncertainty shocks in the US: An empirical analysis, Journal of Business and Economic Statistics (2018)

2017

• Alessandri P., Mumtaz H. Financial conditions and density forecasts for US output and inflation, Review of Economic Dynamics (2017)
• Bianchi D., Guidolin M., Ravazzolo F. Macroeconomic Factors Strike Back: A Bayesian Change Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross Section, Journal of Business and Economic Statistics (2017)
• Bianchi D., Guidolin M., Ravazzolo F. Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?, Journal of Financial Econometrics (2017)
• Fan Y., Guerre E., Zhu D. Partial Identification and Confidence Sets for Functionals of the Joint Distribution of ‘Potential Outcomes, Journal of Econometrics (2017)
• Liu P., Mumtaz H., Theodoridis H., Zanetti F. Changing Macroeconomic Dynamics at the Zero Lower Bound, Journal of Business and Economic Statistics (2017)
• Mumtaz H., Theodoridis K. Common and country specific economic uncertainty, Journal of International Economics (2017)
• Mumtaz H., Theophilopoulou A. The impact of monetary policy on inequality in the UK. An empirical analysis, European Economic Review (2017)

2016

• Carriero A., Clark TE., Marcellino M. Common Drifting Volatility in Large Bayesian VARs, Journal of Business and Economic Statistics (2016)
• Carriero A., Kapetanios G., Marcellino M. Structural analysis with multivariate autoregressive index models, Journal of Econometrics (2016)
• Faccini R., Mumtaz H., Surico P. International fiscal spillovers, Journal of International Economics (2016)
• Giraitis L., Galvao A., Kapetanios G., Petrova K. A time-varying DSGE model with financial frictions, Journal of Empirical Finance (2016)

2015

• Carriero A., Mumtaz H., Theophilopoulou A., Theodoridis K. The Impact of Uncertainty Shocks under Measurement Error: A Proxy SVAR Approach, Journal of Money, Credit and Banking (2015)
• Mumtaz H., Surico P. The Transmission Mechanism in Good and Bad Times, International Economic Review (2015)
• Mumtaz H., Theodoridis K. The International Transmission of Volatility Shocks: An Empirical Analysis, Journal of European Economic Association (2015)

2014

• Abadir K., Distaso W., Giraitis L., Koul H. Asymptotic normality for weighted sums of linear processes, Econometric Theory (2014)
• Abadir K., Distaso W., Giraitis L., Koul H. Asymptotic normality for weighted sums of linear processes, Econometric Theory (2014)
• Ellis C., Mumtaz H., Zabczyk P. What Lies Beneath? A Time‐varying FAVAR Model for the UK Transmission Mechanism, Economic Journal (2014)
• Giraitis L., Kapetanios G., Yates T. Inference On Stochastic Time-Varying Coefficient Models, Journal of Economics (2014)

2013

• Baumeister C., Liu P., Mumtaz H. Changes in the effects of monetary policy on disaggregate price dynamics, Journal of Economic Dynamics and Control (2013)
• Giraitis L., Kapetanios G., Price S. Adaptive forecasting in the presence of recent and ongoing structural change, Journal of Econometrics (2013)
• Guay A., Guerre E., Lazarová Š. Robust Adaptive Rate-Optimal Testing For The White Noise Hypothesis, Journal of Econometrics (2013)
• Mumtaz H., Zanetti F. The Impact of the Volatility of Monetary Policy Shocks, Journal of Money Credit and Banking (2013)

2012

• Carriero A., Kapetanios G., Marcellino M. Forecasting government bond yields with large Bayesian vector autoregressions, Journal of Banking and Finance (2012)
• Giraitis L., Phillips PCB. Mean And Autocovariance Function Estimation Near The Boundary Of Stationarity, Economic Journal (2012)
• Guerre E., Sabbah C. Uniform bias study and Bahadur representation for local polynomial estimators of the conditional quantile function, Econometric Theory (2012)
• Mumtaz H., Surico P. Evolving International Inflation Dynamics: World And Country-Specific Factors, Journal of European Economic Association (2012)
• Mumtaz H., Zanetti F. Neutral Technology Shocks And The Dynamics Of Labor Input: Results From An Agnostic Identification, International Economic Review (2012)

2011

• Abadir K., Distaso W., Giraitis L. An I(d) model with trend and cycles, Journal of Econometrics (2011)
• Campo S., Guerre E., Perrigne I., Vuong Q. Semiparametric Estimation Of First-Price Auctions With Risk Averse Bidders, Review of Economic Studies (2011)
• Carriero A. Forecasting The Yield Curve Using Priors From No-Arbitrage Affine Term Structure Models, International Economic Review (2011)
• Carriero A., Giacomini R. How Useful Are No-Arbitrage Restrictions For Forecasting The Term Structure Of Interest Rates?, Journal of Econometrics (2011)
• Liu P., Mumtaz H. Evolving Macroeconomic Dynamics in a Small Open Economy: An Estimated Markov Switching DSGE Model for the UK, Journal of Money Credit and Banking (2011)
• Mumtaz H., Simonelli S., Surico P. International Comovements, Business Cycle and Inflation: a Historical Perspective, Review of Economic Dynamics (2011)

2010

• Giraitis L., Leipus R., Surgailis D. Aggregation of the random Coefficient Glarch(1,1) process, Econometric Theory (2010)
• Giraitis L., Magdalinos T., Phillips PCB. Smoothing Local-To-Moderate Unit Root Theory, Journal of Econometrics (2010)

Events

Seminars

View past seminars