Dr Vanessa Smith
Senior Lecturer

Profile

Biography

I joined the Department of Economics and Related Studies in October 2013. Prior to joining I was a Senior Research Fellow at the Centre of Financial Analysis and Policy at the University of Cambridge (2002-2013).

• PhD in Econometrics (University of Nottingham)
• MSc in Finance (University of York)
• BSc in Mathematics (University of Patras, Greece)

Departmental roles

• Director of MSc in Finance and Econometrics.

University roles

• Member, Economics, Law, Management, Politics and Sociology (ELMPS) Ethics Committee
• Departmental Research Committee (ex officio, ELMPS Committee Member)
• 2nd Admission Assessor for Finance & Econometrics
• Member, UG Admissions & Open Day Team
• Organiser of the Econometrics Seminars for the Econometrics Cluster

Research

Overview

My research interests are mainly in panel data econometrics (testing and estimation in the presence of cross sectional dependence), Global VAR modelling, and estimation of large covariance matrices. I am also interested in financial econometrics. My work in this area includes modelling the spread of financial crises and testing for jumps and their determinants in the term structure of interest rates.

For information on global VAR (GVAR) modelling and the latest version of the GVAR Toolbox visit here.

Research group(s)

• Econometrics

Publications

Selected publications

Working Papers

• “Transformed Likelihood Estimation of Short Dynamic Panels with a Multi-Factor Structure” (with K. Hayakawa and M. H. Pesaran)
• “A multiple testing approach to the regularisation of large sample correlation matrices” (with N. Bailey and M. H. Pesaran)

Teaching

Undergraduate

• Statistics 1 (1st Year)
• Applied Econometrics (3rd Year)

Postgraduate

• Statistics Review
• Econometrics I & II