Research
Overview
My main research interest is in arbitrage-free asset pricing models and I have recently been using these to model long term consumption and investment decisions and the valuation of distressed assets. I also work on issues in macro-finance, financial risk management and financial regulation. I am currently working on the following topics:
- Long-term consumption and investment optimisation
- Macro-finance models of international spillovers and the exchange rate
- Default risk in the inter-bank market
Publications
Selected publications
Full details of publications can be found at RePEc
- "The Mills Ratio and the behaviour of redeemable bond prices in the Gaussian structural model of corporate default" Finance Research Letters, 2014, 11, pp 8–15, DOI 0.1016/j.frl.2013.05.006,
- (with Adam Golinski) “The Advantages of using Excess Returns to model the Term Structure”, Journal of Financial Economics 2017, 125, pp 163–181.
- (with Vito Polito) “The Optimal Control of Heteroscedastic Macroeconomic Models”, The Journal of Applied Econometrics, 2015,Volume 31, Issue 7 November 2016, pp 1430–1444 http://dx.doi.org/10.1002/jae.2488
- "US Bank Credit Spreads during the Financial Crisis", Journal of Banking & Finance 71 (2016) 168–182. http://dx.doi.org/10.1016/j.jbankfin.2016.04.015
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(with Adam Golinski) 'Modelling the Covid-19 Epidemic using Time Series Econometrics', 2022, Journal of Health Economics:
http://doi