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
Full details of publications can be found at RePEc
- (with Adam Golinski) “The Advantages of using Excess Returns to model the Term Structure”, Journal of Financial Economics 2017, 125, pp 163–181.
- "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
- (with Adam Golinski) "Modelling the Covid-19 Epidemic using Time Series Econometrics", 2022, Journal of Health Economics: https://onlinelibrary.wiley.com/doi/10.1002/hec.4413
- (with Andrew Meldrum and Marek Raczko) "The Information in Joint Term Structures of Bond Yields", Journal of International Money and Finance, forthcoming, 2023.
- (with Haicheng Shu) "The Oil Price in the Real Economy", The Journal of Applied Econometrics, forthcoming, 2023.