Research

My research focuses on time series and financial econometrics. In particular, I am interested in robust methods for detecting financial market features such as asset price bubbles and stochastic volatility, as well as testing for nonlinear stationarity, and topics in forecast evaluation.

Working Papers

"Monitoring changes in the persistence of stochastic volatility" 

"Sequential monitoring for cointegrating regressions" (Trapani, L and Whitehouse, E.J.)

"Real time monitoring procedures for earlier detection of bubbles" (Whitehouse, E.J, Harvey, D.I. and Leybourne, S.J.)

Publications

"Real time monitoring of bubble crashes", Oxford Bulletin of Economics and Statistics, 2023, 85, 482-513  (Whitehouse, E.J, Harvey, D.I. and Leybourne, S.J.)

"Date-stamping multiple bubble regimes", Journal of Empirical Finance, 2020, 58, 226-246 (Harvey, D.I., Leybourne, S.J. and Whitehouse, E.J.)

"Explosive asset price bubble detection with unknown bubble duration and initial condition" , Oxford Bulletin of Economics and Statistics, 2019, 81, 20-41

"Testing for a unit root against ESTAR stationarity", Studies in Nonlinear Dynamics and Econometrics, 2017, 22 (Harvey, D.I., Leybourne, S.J. and Whitehouse, E.J.)

"Forecast evaluation tests and negative long-run variance estimates in small samples", International Journal of Forecasting, 2017, 33, 833-847 (Harvey, D.I., Leybourne, S.J. and Whitehouse, E.J.)