Dr Matteo Barigozzi
Associate Professor Department of Statistics LSE

Research Interests
High-Dimensional Time Series Analysis and Specifically on Large Dynamic Factor Models with Extensions to the Non-Stationary Setting

Visiting between:
(03 Feb 2020 - 13 Feb 2020)

Host: Alexey Onatskiy

Dr Simon Clinet
Keio University

Research Interests
Statistical Inference, Stochastic Processes, Financial Statistics, Financial Econometrics, High Frequency Data, Market Microstructure, Limit Order Books

Visiting between:
(16 Dec 2019 - 21 Dec 2019)

Host: Alexey Onatskiy

Dr Yoann Potiron
Keio University

Research Interests
Econometrics, Finance, High Frequency Data, Market Microstructure Noise, Limit Order Book

Visiting between:
(16 Dec 2019 - 21 Dec 2019)

Host: Alexey Onatskiy

Chaohua Dong
Zhongnan University of Economics and Law

Visiting between:
(03 Sep 2019 - 30 Oct 2019)

Host: Oliver Linton

Prof Yoon-Jae Whang
Seoul National University

Research Interests
Econometrics

Visiting between:
(23 Jul 2019 - 25 Jul 2019)

Host: Oliver Linton

Prof Farshid Vahid-Araghi
Monash University

Research Interests
Econometrics, Applied Economics, Time Series Analysis, Econometric Analysis of Experimental Data

Visiting between:
(15 Jul 2019 - 30 Jul 2019)

Host: Oliver Linton

Prof Heather Anderson
Monash University

Research Interests
Econometrics, Nonlinear Time Series Analysis, Empirical Finance, Macro-econometrics

Visiting between:
(15 Jul 2019 - 30 Jul 2019)

Host: Oliver Linton

Jean-Yves Gnabo
University of Namur

Research Interests
International Finance, Financial Econometrics, Systemic Risk Modelling, Contagion

Visiting between:
(11 Jun 2019 - 12 Jun 2019)

Host: Marco Valerio Geraci

Prof Wolfgang Härdle
Humboldt-Universität zu Berlin

Research Interests
Smoothing Methods, Discrete Choice Models, Statistical Modeling of Financial Markets

Visiting between:
(19 May 2019 - 23 May 2019)

Host: Oliver Linton

Dr Yegor Klochkov
Humboldt-Universität zu Berlin

Visiting between:
(15 May 2019 - 30 May 2019)

Host: Oliver Linton

Prof Christiane Baumeister
Professor of Economics at the University of Notre Dame

Research Interests
Empirical Macroeconomics

Visiting between:
(05 May 2019 - 12 May 2019)

Host: Oliver Linton

Dr Miguel Delgado
University Carlos III de Madrid

Research Interests
Econometría

Visiting between:
(09 Mar 2019 - 29 Mar 2019)

Host: Oliver Linton

Dr Alexandra Soberon
University of Cantabria

Research Interests
Estimation and testing of nonparametric and semiparametric models, the analysis of the individuals’ behavior through panel data techniques, empirical microeconomics with applications to firm’s technical efficiency.

Visiting between:
(01 Nov 2018 - 31 Jan 2019)

Host: Oliver Linton

Sven Panz
Goethe University Frankfurt

Research Interests
Electronic Markets Engineering; Risk Management, Market Quality & Design; Algorithmic and High Frequency Trading

Visiting between:
(18 Sep 2018 - 15 Nov 2018)

Host: Oliver Linton

Tim Armstrong
Yale

Research Interests
Econometrics, Industrial Organization. Applied Econometrics

Visiting between:
(17 Sep 2018 - 21 Sep 2018)

Host: Oliver Linton

Dr Yingying Li
HKUST

Research Interests
Financial econometrics, Financial risk management high-frequency data, Volatility estimation and market microstructure, Statistical inference for stochastic processes, Asymptotic statistics

Visiting between:
(12 Sep 2018 - 13 Sep 2018)

Host: Oliver Linton

Dr Mingli Chen
Warwick University

Research Interests
Econometrics, Time Series Econometrics, Financial Econometrics, Industrial Organization

Visiting between:
(06 May 2018 - 12 May 2018)

Host: Alexey Onatskiy

Xiaohong Chen
Yale

Visiting between:
(19 Nov 2017 - 28 Nov 2017)

Host: Oliver Linton

Alain Chaboud
Federal Reserve

Visiting between:
(08 Oct 2017 - 12 Oct 2017)

Host: Oliver Linton

Songnian Chen
Hong Kong University of Science and Technology

Visiting between:
(22 May 2017 - 24 May 2017)

Host: Oliver Linton

Don Andrews
Yale University

Visiting between:
(15 May 2017 - 18 May 2017)

Host: Oliver Linton

Faustino Prieto Mendoza
University of Cantabria

Visiting between:
(01 Apr 2017 - 30 Apr 2017)

Host: Oliver Linton

Vera Zhao
Lancaster University Management School

Visiting between:
(05 Feb 2017 - 08 Feb 2017)

Host: Oliver Linton

Prof Wolfgang Härdle
Humboldt-Universität zu Berlin

Research Interests
Smoothing Methods, Discrete Choice Models, Statistical Modeling of Financial Markets

Visiting between:
(31 Jan 2017 - 03 Feb 2017)

Host: Oliver Linton

Prof Wolfgang Härdle
Humboldt-Universität zu Berlin

Research Interests
Smoothing Methods, Discrete Choice Models, Statistical Modeling of Financial Markets

Visiting between:
(08 Nov 2016 - 10 Nov 2016)

Host: Oliver Linton

Martina Mincheva
Fox School of Business, Temple University

Visiting between:
(06 Jun 2016 - 10 Jun 2016)

Host: Oliver Linton

Prof Whitney Newey
MIT

Visiting between:
(31 Mar 2016 - 02 Apr 2016)

Host: Richard Smith

Prof Gordon Anderson
University of Toronto

Research Interests
Applied econometrics

Visiting between:
(15 Feb 2016 - 19 Feb 2016)

Host: Oliver Linton

Prof Yoon-Jae Whang
Seoul National University

Visiting between:
(18 Jan 2016 - 22 Jan 2016)

Host: Oliver Linton

Prof Roger Koenker
University of Illinois

Visiting between:
(30 Nov 2015 - 12 Dec 2015)

Host: Oliver Linton

Prof Offer Lieberman
Bar-Ilan

Research Interests
Econometric Theory, Econometric Practice, Time Series Analysis

Visiting between:
(04 Oct 2015 - 14 Oct 2015)

Host: Richard Smith

Prof Jianqing Fan
Princeton

Visiting between:
(21 Sep 2015 - 02 Oct 2015)

Host: Oliver Linton

Prof Jon Wellner
University of Washington

Research Interests
Large sample theory in statistics, theory of empirical processes and probability in Banach spaces, and efficient estimation for semiparametric models.

Visiting between:
(20 Sep 2015 - 25 Oct 2015)

Host: Oliver Linton

Marcelo Moreira
Escola Brasileira De Economia E Financas

Visiting between:
(04 Aug 2015 - 07 Aug 2015)

Host: Alexey Onatskiy

Prof Wolfgang Härdle
Humboldt University

Research Interests
Smoothing Methods, Discrete Choice Models, Statistical Modeling of Financial Markets

Visiting between:
(01 May 2015 - 15 May 2015)

Host: Oliver Linton

Prof Timothy Guinnane
Yale University

Visiting between:
(06 Apr 2015 - 24 Apr 2015)

Host: Oliver Linton

Prof Joon Park
Indiana University

Research Interests
Econometric theory, time series and financial econometrics

Visiting between:
(23 Mar 2015 - 06 Apr 2015)

Host: Oliver Linton

Prof Yoosoon Chang
Indiana University

Visiting between:
(23 Mar 2015 - 06 Apr 2015)

Host: Oliver Linton

Prof Yoon-Jae Whang
Seoul National

Visiting between:
(25 Jan 2015 - 06 Feb 2015)

Host: Oliver Linton

Prof Simon Lee
Seoul National

Research Interests
Econometrics, Applied Microeconomics, Statistics

Visiting between:
(19 Jan 2015 - 23 Jan 2015)

Host: Oliver Linton

Prof Nikolaus Hautsch
University of Vienna

Research Interests
Financial econometrics, empirical finance, market microstructure analysis, price discovery, estimation of volatility, liquidity, high-dimensional covariance prediction, systemic risk, financial network analysis

Visiting between:
(25 Nov 2014 - 30 Nov 2014)

Host: Oliver Linton

Prof Anders Rahbek
University of Copenhagen

Research Interests
Time series analysis in finance and macro: co-integration analysis; bootstrap methods; count models; (stochastic) volatility and GARCH modeling; discrete time vs. continuous time modeling.

Visiting between:
(25 Jun 2014 - 09 Jul 2014)

Host: Oliver Linton

Prof Victor Chernozhukov
MIT

Visiting between:
(24 Jun 2014 - 26 Jun 2014)

Host: Oliver Linton

Prof Jean-Michel Zakoian
CREST

Research Interests
Time Series, Theoretical and Financial Econometrics, Statistics.

Visiting between:
(31 May 2014 - 07 Jun 2014)

Host: Oliver Linton

Prof Thomas Rothenberg
University of California, Berkeley

Research Interests
Inference in nonstationary time-series models; second order efficiency of tests

Visiting between:
(29 May 2014 - 06 Jun 2014)

Host: Oliver Linton

Prof Wolfgang Härdle
Humboldt University

Visiting between:
(23 May 2014 - 30 May 2014)

Host: Oliver Linton

Prof Michael Jansson
University of California, Berkeley

Visiting between:
(04 May 2014 - 10 May 2014)

Host: Oliver Linton

Prof Eric Ghysels
University of North Carolina

Research Interests
MIDAS

Visiting between:
(28 Apr 2014 - 07 May 2014)

Host: Oliver Linton

Prof Jiti Gao
Monash

Visiting between:
(28 Apr 2014 - 10 May 2014)

Host: Oliver Linton

Prof Paul Embrechts
ETH

Visiting between:
(28 Apr 2014 - 02 Apr 2014)

Host: Oliver Linton

Prof Maureen O'Hara
Cornell

Research Interests
Market microstructure

Visiting between:
(27 Apr 2014 - 02 May 2014)

Host: Oliver Linton

Prof Thierry Post
University of Bangor

Visiting between:
(21 Apr 2014 - 04 May 2014)

Host: Oliver Linton

Prof Peter Hansen
European University Institute

Research Interests
Econometrics, Cointegration, Multiple Comparisons and Model Selection

Visiting between:
(06 Mar 2014 - 07 Mar 2014)

Host: Oliver Linton

Prof Andrew Patton
Duke

Visiting between:
(05 Mar 2014 - 07 Mar 2014)

Host: Oliver Linton

Marc Hallin
ECARES and Princeton

Research Interests
Nonparametric and Robust Statistics

Visiting between:
(20 Jan 2014 - 23 Mar 2014)

Host: Oliver Linton