I encourage students with an interest around the areas of empirical finance and assert pricing, empirical macroeconomics and business cycles, monetary policy and other topics that is related to the time series econometrics.
Regarding the research topics, I am willing to supervise the following topics. If you consider any other research topics within the above areas or want to amend/change these topics, you are more than welcomed.
- Financial markets asymmetric return distribution and asymmetric volatility: Leverage effect and volatility effect.
- Financial markets persistent and asymmetric volatility clustering.
- Speculative bubbles in asset prices, particularly stock markets and cryptocurrencies.
- Flash crashes (steep fall in a stock price at a higher frequency).
- Stock market crash (steep fall in the stock market at a lower frequency).
- Testing random walk hypothesis and efficient market hypothesis (Does market incorporates all of the available information?).
- CAPM with constant coefficient or time-varying coefficients.
- Forecasting trend and cycle output for the U.S., the U.K., or other economies.
- Quantity theory of money, zero lower bound, conventional and unconventional monetary policy before and after COVID-19.
- Asset prices, inflation, quantity and velocity of money.
Regarding the methodology, you may apply one or some methods to address the research question(s). I am familiar with these methods: Linear models (e.g., Regression), ARCH and GARCH models, correlation models, Vector Auto Regressive (VAR), Principal Component Analysis (PCA) and factor models, structural break tests, random walk tests, asymmetric random walk, Markov Switching, state-space models and trend cycle decomposition, Value at Risk (VaR), event study, difference in difference regression.
Finally, I expect that you know/have:
- Basic econometrics background. Your motivation to learn new methods is important.
- Basic programming skills (MATLAB, R, Python). You can learn one of them since they are not difficult.
- How to review the literature in order to specify one or two research questions. Develop a suitable econometrics model, run it and report/interpret the empirical results. Of course, I will guide you to develop the model.