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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).
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.
Dr L. Vanessa Smith
Department of Economics
Tel: +44 (0)1904 323754
Office and feedback hours for York Students only during term time:
Mondays, 1-3pm. Some weeks are different. Consult and book using google calendar.
Other times may be available by email appointment.