Research
Publications
Taking stock of long-horizon predictability tests: Are factor returns predictable?, with Alexandros Kostakis and Tassos Magdalinos, Journal of Econometrics, (2023) 237 (2 Part C).
Can we forecast better in periods of low uncertainty? The role of technical indicators, with María Ferrer-Fernández, Ólan Henry and Sam Pybis, Journal of Empirical Finance (2023) 71, 1-12.
A study of cross-industry return predictability in the Chinese stock market, with Michael Ellington and Yawen Zheng, International Review of Financial Analysis, (2022) 83, 102249.
Testing for news and noise in non-stationary time series subject to multiple revisions, with Alain Hecq and Jan P.A.M. Jacobs, Journal of Macroeconomics, (2019) 60, 396-407.
Forecasting the exchange rate using non-linear Taylor rule based models, with Rudan Wang and Bruce Morley, International Journal of Forecasting, (2019) 35(2), 429-442.
Agricultural commodity price shocks and their effect on growth in Sub-Saharan Africa, with Tony Addison and Atanu Ghoshray, Journal of Agricultural Economics, (2016) 67 (1), 47-61.
Robust econometric inference for stock return predictability, with Alexandros Kostakis and Tassos Magdalinos, Review of Financial Studies, (2015) 28 (5), 1506-1553.
GAUSS code (applicable only to short-horizon regressions)
Centurial evidence of breaks in the persistence of unemployment, with Atanu Ghoshray, Economics Letters, (2015) 129, 74-76.
The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators, with Steve Lawford, Journal of Econometrics, (2009) 148 (2), 124-130.