Teaching Material

• PhD Financial Econometrics ; 2006-7 Course outline 
• Behavioural Finance ; 2006-7 Course Outline  

Biography   

Curriculum Vitae

Recent Working Papers:

• Are listed on the FERC and WFRI working paper series

Evidence to the STERN Review on The Economics of Climate Change  

Slides for presentation at the Society of Business Economists Masterclass, Guildhall, London, April 22nd 2010;

How to Assess if Markets are Correctly Valued?

Recent Publications:

• Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation, (2009), with Roman Kozhan, Journal of Economic Dynamics & Control , 33 (2009) 1106–1122
• Dynamic Copula Quantile Regressions and Tail Area Depenedence in Forex Markets; (2009), with Eric Bouye, The European Journal of Finance, Vol. 15, Nos. 7–8, October–December 2009, 721–750
• Pricing Multivariate Currency Options with Copulas ; (2006) with Christoph Schleicher, in Copulas, from theory to application in Finance, edited by Dr Jörn Rank  RISK books.
• Loss Averse Performance Measurement (with G. Gemmill and S. Hwang), vol7, number 3/4 Sept/November (2006), Jnl of Asset Management
• Market Stress and Herding , (with Soosung Hwang),(2004) Journal of Empirical Finance, Volume 11, Issue 4, September, Pages 585-616 
• An Analysis of Performance Measures using Copulae , (2003) (with S.Hwang) in  Perfomance Measurement, edited by John Knight and Steve Satchell, Heinemman
• Robust Decision Theory and the Lucas Critique ,(2002), Macroeconomic Dynamics, with Massimiliano Marcellino, vol 6, Number 1, pps 167-185.
• On Preferred Point Geometry in Statistics , Journal of Statistical Planning and Inference, 102 (2) (2002) pp. 229-245, (with Paul Marriott and Frank Critchley)

Recent Presentations:

• Modelling the Probability of UK Housing Market Events (Crashes) using Extreme Value Theory, August 2004. 

• Slides for lecture on "The Econometrics of Copulae" presented at Bologna Summer School : Frontiers in Financial  Mathematics, Sept 2004. 

• Slides for lecture on "Financial Applications of Copulae" given at Sun-Yat Sen University and the Shanghai University of Economics and Finance,  November 2004. 
  
•  "Doubly Stochastic Binominal Point Processes and Time Deformation in Financial Markets",  presented at The Royal Statistical Society, London, June 2005.( with James McCulloch) 

•  "Using Copulae to Construct Bivariate Foreign Exchange Distributions",  presented at The York Financial Econometrics Conference,  June 2006.( with Christoph Schleicher and Mathew Hurd) 

•  "On the Predictability of Tick by Tick Exchange Rates using the Structure of the Order Book",  presented at The European Science Foundation Exploratory Workshop on High Frequency Econometrics and Foreign Exchange Markets,  June 2006.( with Roman Kozhan) 

•  "Information Flow Along the Yield Curve; An analysis using transaction level data",  presented at The ESRC/WFRI/MMF conference on, June 2006.( with Wing Wah Tham and Nick Webber) 
• Sentiment and Beta Herding in Financial Markets , Invited Plenary talk to Australian Economics Association Annual Conference in Perth, September 2006. (largely based on paper with similar title joint with Soosung Hwang)
•  Alternative Risk Transfer Mechanisms; Catastrophe Derivatives and Climate Change,   presented by Steve Weston  at PCS Catastrophe Conference Europe October 2006.