AMBS 5.006
Oxford Road
Manchester, M15 6PB
United Kingdom
Alliance Manchester Business School
New-Keynesian ICAPM, Return Anomalies, Capital Market Imperfections, Misspecification-Robust Inference
Time-varying Relative Risk Aversion; ICAPM; Nonlinear State-Space Model with GARCH
Time-varying Relative Risk Aversion, Hedging Components, Return Predictability, the Value Premium; Nonlinear State-Space Model with GARCH
Monetary Policy, Capital Market Imperfections, the Size and Value Premium, Momentum Premium, Misspecification-Robust Inference
The Size Premium, Volatility Regime Switching, Capital Market Imperfections
Business Cycle Asymmetries, Friedman’s Plucking Model, Okun’s Law, Structural Break, Trend-Cycle Decomposition.
Slow Recovery, Productivity Puzzle, Business Cycles, Trend-Cycle Decomposition, Okun’s Law, Dynamic Factor Model (DFM), Structural Break, Open-economy Macroeconomics.
Time-varying Risk-Return Tradeoff and Hedging Coefficient, ICAPM
Market Microstructure, Information Share, High-frequency Data, Price Formation, State Space Model
Cross-Border Bank Flows, House Prices, Financial Development, Historical Decomposition
Trade Classification, Bayesian State-Space Method, Market Micro-structure, Brexit Referendum, Effective Bid-Ask Spread
Market Microstructure, Information Share, High-frequency data, Price Formation, State Space Model
Exchange Rates, Term Structure, Regime Switching
