Time-series econometrics
The group is interested in theoretical and methodological developments in econometrics and statistics, with particular emphasis on applications in macroeconomics and finance. The research interests of the group include estimation, inference and testing in non-linear models, fractional integration, semi-parametric and non-parametric methods, real time monitoring, explosive processes and forecasting. The group organises an annual workshop in econometrics, and aims to build research networks and partnerships both in the UK and internationally.
Research group leader
Academic staff
Events
Upcoming events
Workshop on Bubbles and Crashes (15 May 2024)
The School of Economics at the University of 含羞草传媒 is pleased to announce the Workshop on Bubbles and Crashes to be held on 15 May 2024. The workshop is jointly sponsored by the Royal Economic Society and the School of Economics. The workshop will bring together researchers interested in advancing our understanding of economic and financial bubbles. Please visit this page for more details.
Previous events
Workshop on Contributions in Theoretical and Applied Time-Series Econometrics (2023)
The 含羞草传媒 Time Series Econometrics Research Group hosted their second annual workshop in May 2023 on 鈥Contributions in theoretical and applied time series econometrics鈥, sponsored by the Royal Economic Society. The workshop brought together leading researchers, from the UK and internationally, with expertise in a diverse set of research topics within the field of time series econometrics. For more details visit this page.
Advances in Econometrics Workshop (2022)
The 含羞草传媒 Time Series Econometrics Research Group held its inaugural Advances in Econometrics Workshop on 24 May 2022, sponsored by the Royal Economic Society. The workshop promoted recent advances in econometrics and their applications in finance and economics. The event included six presentations on a diverse set of research topics within the field, with the keynote speech given by Professor Frank Windmeijer (University of Oxford).
Representative publications
Emily Whitehouse, Harvey DI & Leybourne SJ (2023) . Oxford Bulletin of Economics and Statistics.
Cavaliere G, Indeewara Perera and Rahbek A (2023) . Journal of Business & Economic Statistics.
Indeewara Perera. and Silvapulle, M. J. (2022). . The Journal of Econometrics.
Chisiridis, K., Kostas Mouratidis and Panagiotidis, T. (2021). . Journal of International Money and Finance
Indeewara Perera and Silvapulle, M. J. (2021). The Journal of Econometrics.
Kanchana Nadarajah, Martin, G. M. and Poskitt, D. S. (2021). . Journal of Statistical Planning and Inference.
Koul, H. L. and Indeewara Perera. (2021). . Journal of Statistical Theory and Practice.
Montagnoli, A., Kostas Mouratidis and Whyte, K. (2021). . Journal of International Money and Finance.
Harvey, D.I., Leybourne, S.J. and Emily Whitehouse (2020). . Journal of Empirical Finance.
Martin, G. M., Kanchana Nadarajah and Poskitt, D. S. (2020). The Journal of Econometrics.
Emily Whitehouse (2019). Oxford Bulletin of Economics and Statistics.
Harris, D., Martin, G., Indeewara Perera, and Poskitt, D. (2019). . The Journal of Computational and Graphical Statistics.
Harvey, D.I., Leybourne, S.J. and Emily Whitehouse (2018). Studies in Nonlinear Dynamics and Econometrics.
Harvey, D.I., Leybourne, S.J. and Emily Whitehouse (2017). International Journal of Forecasting.
Indeewara Perera and Koul, H. L. (2017). The Journal of Econometrics.
Indeewara Perera and Silvapulle, M. J. (2017). . Econometric Theory.