CV
Current Positions
Professor and Chair in Applied Econometrics, Liverpool Management School, 2022-present.
Director of LAMBDA (Liverpool Advanced Methods for Big Data Analytics) Research centre, Liverpool Management School, 2022-present.
Past Positions
Professor of Economics and Finance, Durham Business School, 2015-2021.
Director of Quantitative Research in Financial Economics, 2014-2021.
Reader of Economics and Finance, Durham Business School, 2014-2015.
Associate Professor (with tenure), Department of Economics, University of Carlos III of Madrid, 2013- 2014.
Assistant Professor, Department of Economics, University of Carlos III of Madrid, 2007- 2013.
External Examiner at Queen Marry University of London, 2016-2021.
Deputy Director of the MSc Economics & Finance program, Durham Business School, 2015-2019.
Chair of the Recruitment Committee at Durham Business School, 2016-2019.
Editorial Activity
Senior Co-Editor, Advances in Econometrics, AiE, (2023-)
Associate Editor of Journal of the Royal Statistical Society Series A (2022-)
Editorial Board Member of Journal of Risk and Financial Management (2021–)
Education
Ph.D., University of Montreal, November 2007
M.A., Economics, University of Montreal, December 2001.
Honors, Fellowships, and Awards
Elected Fellow of the Econometric Society, 2023: see here.
Panelist for PASRC Career Development Webinar Series, January 7, 2022:
Thematic Guest Resource Person with AERC, January 1, 2022 to December 31, 2024.
Elected member of the Econometric Society Regional Standing Committee, 2021-2024: https://www.econometricsociety.org/content/2020-regional-standing-committee-elections-are-released
Program Chair of 2019 Edition of African Econometric Society Meeting, Rabat, July 11-13, 2019:
https://www.econometricsociety.org/meetings/schedule/2019/07/11/2019-africa-meeting
Reaction of Prof. John Taylor to his participation in the 2019 African Econometric Society Meeting:
Africa Meeting of Econometricians: History, Revival and Ways Forward | Economics One
Many times Excellence in Research Awards at University of Carlos III of Madrid (prizes for publications) and Durham University Business School (Merit Rewards).
Outstanding Referee Award from Journal of Empirical Finance, 2015.
Distinguished Speaker, CIBAFI Webinar on Big Data Analytics in Islamic Finance: Catalyst for Growth and Transformation, January 22nd, 2024.
Keynote Speaker, 15th IWH-CIREQ Macroeconometric Workshop, December 2014.
Keynote Speaker, Lille Research Workshop on Statistics and Econometrics, May 19, 2017, Lille.
Keynote Speaker, 2nd conference on Statistical Methods and Econometric Models: Application in Economics and Finance (ICOSMEM 2023), Tetouan Abdelmalek Essaadi University, Morocco, February 24-25, 2023.
Keynote Speaker, University of Malaga Workshop, June 8-9, 2023.
Keynote Speaker, 7th African International Conference (AIC) on Statistic, Advanced Statistics and Data Science in Africa, June 12-16, 2023.
Juan de la Cierva Fellowship, Spanish Ministry for Science and Innovation, 2010-2013.
Doctoral Fellowship, CIREQ Scholarship of Excellence, 2001-2003.
Fields of Specialization
Econometrics and Finance
Research Grants
Interdisciplinary research grants
SDG Education and Global Citizenship in Qatar. Total grant $2.5M in partnership with State University of New York University, Carnegie Mellon University, Strathclyde University, the United Nations as well as two universities in Qatar (QU & HBKU). PI of one of the sub-projects. 2021-2026:
https://mis.qgrants.org/Public/AwardDetails.aspx?ParamPid=fhgjelhhnp
Designing, and Disseminating a Shared Regional Approach for the Collection, Analysis, and Sharing of the Social and Economic impacts of Cultural and Natural Heritage in County Durham, 2021-2022 (Phase 1). Durham University. Co-PI (Project Team).
World Innovation Summit for Education (WISE), Qatar Foundation, 2018-2019. PI: See some results here.
Other grants
Two ESRC Doctoral Scholarships, 2016. PI.
"Forecasting Risk: Realized Quantile Approach", AXA Research Fund, Doctoral Sponshorship: (PhD dissertation Advisor: PhD student Fabian Rinnen), 2011-2014. PI.
Juan de la Cierva Fellowship, Spanish Ministry for Science and Innovation, 2010-2013. PI.
Spanish Secretaria de Investigacion y Desarrollo, Grant ECO2013, 46395, "Econometric Methods for non-linear Economies with Persistence and Volatility", 2014-2017. Co-PI.
Spanish Ministry for Science and Education, Grant #SEJ2007-63098, "Persistence, Asymmetries and Risk in Economic Models: A Type Threshold Economy ", 2007-2010. Co-PI.
Spanish Ministry for Science and Education, Grant #ECO2010-19357, "Persistence and Non-Linearities in Economics: A Threshold Economy ", 2011-2013. Co-PI.
"Consolidación de Grupos de Investigación: Econometrics", #CCG08-UC3M/HUM-4512, 2009-2010. Co-PI.
"Consolidación de Grupos de Investigación: Econometrics", #2011-00081-001, 2011-2012. Co-PI.
Media Coverage
Financial Times: Response to ''why Europe does not need a return to failed austerity policies that transformed the 2008 financial crisis into a prolonged recession''
Column in VOX: The euro and economic uncertainty in debt crises
National British Newspapers iNews: Coronavirus mass testing is the ‘safest way to reopen economy and society’
Education Business: Daily Covid-19 testing in schools vital to keeping pupils in education
Mirage News: Testing cheaper than lockdown
India Education Diary: Mass testing is the safest way to reopen the economy and society and will cost much less than a hard lockdown, research reveals
BizEd: Tests Versus Lockdowns
Wellbeing News: Mass testing is the safest way to reopen the economy and society
Target Publishing: Research finds mass testing safest approach to emerge from lockdown
ICT For Education : Daily COVID-19 testing in schools is vital to save children’s education
Viralstories: COVID-19 testing needed in schools
The Independent Schools Magazine: Daily COVID-19 testing in schools ‘vital to save children’s education
Publications
[42]"Value-at-Risk under Measurement Error," (with Doukali, M., Song, X.), 2023, Accepted at Oxford Bulletin of Economics and Statistics.
[41] "Investigating the impact of consumption distribution on CRRA estimation: Quantile-CCAPM-based approach," (with Ramos, S.B and Veiga, H.), Accepted at Studies in Nonlinear Dynamics & Econometrics.
[40] "Portfolio Selection Under Non-Gaussianity And Systemic Risk: A Machine Learning Based Forecasting Approach", (with Lin, W.), 2023, Accepted at International Journal of Forecasting.
[39] "Testing Granger non-causality in Expectiles", (with Doukali, M., Bouezmarni, T.), 2023, Accepted at Econometric Reviews.
[38] "Portfolio Selection Under Systemic Risk", (with Lin, W. and Olmo, J.), 2023, Accepted at Journal of Money, Credit and Banking.
[37] "The Market Uncertainty of Ethically Compliant Equity: An Integrated Screening Approach, " (with Abu Bakar, N., Abdelsalam, O., & Elmasry, A.), 2023. Accepted at Journal of International Financial Markets, Institutions and Money.
[36] "Testing for Asymmetric Comovements", (with Chuang, O-C., Song, X.), , 2022, Accepted at Oxford Bulletin of Economics and Statistics.
[35] "Testing the Eigenvalue Structure of Spot and Integrated Covariance", (with Dovonon, P., Williams, J.) Journal of Econometrics, Volume 229, Issue 2, August 2022, Pages 363-395.
[34] ''COVID-19 Control and the Economy: Test, Test, Test'', Oxford Bulletin of Economics and Statistics, 83, no. 5 (2021): 1011-1028.
[33] "A Bargaining Model for PLS Entrepreneurial Financing: A Game Theoretic Model using Agent Based Simulation," 2021, (Accepted) IJFE, (with Elfakir, A., Fairchild, R., and Tkiouat, M.)
[32] "Cointegration, Information Transmission, and the Lead-Lag Effect between Industry Portfolios and the Stock Market," (with Troster, V., Penalva, J.,Taamouti, A. & Wied, D.) Journal of Forecasting, 2021, 40(7), 1291-1309.
[31] "A Nonparametric Measure of Heteroskedasticity", (with Song, X.), Journal of Statistical Planning and Inference, 2021, 212: 45-68.
[30] “Measuring Nonlinear Granger Causality in Quantile”, (with Xiaojun Song). forthcoming Journal of Business & Economic Statistics.
[29] "The Information Content of Forward Moments", (with Andreou, P, Kagkadis, A Philip, D) Journal of Banking and Finance 106, 2019, 527-541.
[28] “Measuring Nonlinear Granger Causality in Mean”, (with Xiaojun Song). Journal of Business & Economic Statistics, Volume 28, 2017, 1-13.
[27] “A Better Understanding of Granger Causality Analysis: A Big Data Environment,” (with Xiaojun Song) Oxford Bulletin of Economics and Statistics 81(4), 2019, 911-936.
[26] "Financial Frictions and the Futures Pricing Puzzle”, (with Gwilym, R., Ebrahim, M.S., El Alaoui, A.O., Rahman, H.) Economic Modelling, Forthcoming.
[25] “The Equity Premium, the Variance Premium and the Maturity Structure of Uncertainty”, (with Bruno Feunou, Jean-Sébastien Fontaine and Roméo Tédongap). Review of Finance, Volume 18, 2014, 219-269.
[24] “Testing Independence Based on Bernstein Empirical Copula and Copula Density”, (with Mohamed Belalia, F. C. Lemyre, T. Bouezmarni , ). Journal of Nonparametric Statistics, Volume 29(2), 2017, 346-380.
[23] “Partial Structural Break Identification”, (with Chulwoo Han). Oxford Bulletin of Economics and Statistics, Volume 79(2), 2017, 145-64.
[22] “Do Investors Price Industry Risk? Evidence From Commodity Dependent Industries”, (with Helena Veiga, Sofia B Ramos, and Chih-Wei Wang). Journal of Energy Markets, Volume 10(1), 2014, 79-108.
[21] “Nonparametric Estimation and Inference for Conditional Density based Granger Causality Measures”, (with Taoufik Bouezmarni and Anouar El Gouch). Journal of Econometrics, Volume 180, 2014, 251-264.
[20] “The Reaction of Stock Market Returns to Unemployment,” (Jesus Gonzalo). Studies in Nonlinear Dynamics & Econometrics, 21(4), 2017, 20150078.
[19] “Sovereign Credit Ratings and Financial Markets Volatility”, (with António Afonso and Pedro Gomes). Journal of Computational Statistics and Data Analysis, Volume 76, 2014, 20-33.
Reprinted as European Central Bank Working Paper 1654.
[18] “In Search of the Determinants of International Asset Market Comovement”, (with Pedro Gomes). International Review of Economics and Finance, 44, 2016, 103-117.
[17] “Did the Euro Change the Effect of Fundamentals on Economic Uncertainty?” (with Jaime Luque). The B.E. Journal of Macroeconomics 14(1), 2014, 625-660.
[16] “Portfolio Selection in a Data-Rich Environment”, (with Mohammed Bouaddi). Journal of Economic Dynamics and Control, Volume 37, Issue 12, December 2013, 2943-2962.
[15] “Nonparametric Tests for Conditional Independence Using Conditional Distribution”, (with Taoufik Bouezmarni). Journal of Nonparametric Statistics, 26(4), 2014, 697-719.
[14] “Stock Market's Reaction to Money Supply: Parametric and Nonparametric Analysis”. Studies in Nonlinear Dynamics and Econometrics, 19(5), 2015, 669-689.
[13] “Finite-Sample Sign-Based Inference in Linear and Nonlinear Regression Models with Applications in Finance”, L'Actualité Économique, 91, no. 1-2, 2015, 89-113.
[12] “Bernstein Estimator for Unbounded Density Copula”, (with Taoufik Bouezmarni and Anouar El Gouch). Statistics & Risk Modeling 30, 2013, 1001-1024.
[11] “Moments of Multivariate Regime Switching with Application to Risk-Return Trade-Off”. Journal of Empirical Finance, Volume 19, Issue 2, 2012, 292-308.
[10] “Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility”, (with Jean-Marie Dufour and René Garcia, Journal of Financial Econometrics, Volume 10, 2012, 124-163.
[9] “Portfolio Risk Management in a Data-Rich Environment”, (with Mohammed Bouaddi). Financial Markets and Portfolio Management, Volume 26, 2012, 469-494.
[8] “What Drives International Equity Correlations? Volatility or Market Direction?” (with Georges Tsafack and Khaled Amira). Journal of International Money and Finance, Volume 30, 2011, 1234-1263.
[7] “Short and Long Run Causality Measures: Theory and Inference” (with Jean-Marie Dufour). Journal of Econometrics, Volume 154, 2010, 42-58.
[6] “A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality”, (with Taoufik Bouezmarni and Jeroen V.K. Rombouts). Journal of Business & Economic Statistics, Volume 30, 2012, 275-287.
[5] “Asymptotic Properties of the Bernstein Density Copula for Dependent Data”, (with Taoufik Bouezmarn and Jeroen V.K. Rombouts). Journal of Multivariate Analysis, Volume 101, 2010, 1-10.
[4] “Exact Optimal and Adaptive Inference in Linear and Nonlinear Models under Heteroskedasticity and Non-Normality of Unknown Forms”, (with Jean-Marie Dufour). Journal of Computational Statistics and Data Analysis, Volume 54, 2010, 2532-2553.
[3] “Analytical Value-at-Risk and Expected Shortfall under Regime Switching”. Finance Research Letters, Volume 6, 2009, 138-151.
[2] “Asymptotic and Small Sample Properties of Conditional-Distribution-based Tests for Conditional”, (with Roch Roy and Taoufik Bouezmarni). 2010 Proceedings of the Business and Economic Statistics Section of the American Statistical Association, Vancouver, 1436-1447.
[1] “Nonparametric Short and Long Run Causality Measures”, (with Jean-Marie Dufour). Proceedings of the Business and Economic Statistics Section of the American Statistical Association, Washington, D.C., 3986-3992.
Grant Evaluation
Social Sciences and Humanities Research Council, Government of Canada (SSHRC)
Natural Sciences and Engineering Research Council of Canada (NSERC)
Scientific Research-FNRS
Sapienza University of Rome - Research Projects Review
Referee
Econometrica, Journal of Econometrics, Econometric Theory, Biometrika, Econometric Journal, Journal of Business and Economics Statistics, Journal of Money, Credit and Banking, Quantitative Economics, Journal of Applied Econometrics, Journal of Time Series Analysis, Journal of Multivariate Analysis, Journal of Empirical Finance, Journal of Time Series Econometrics, Journal of Financial Markets, Annals of the Institute of Statistical Mathematics, Economic letters, Empirical Economics, Applied Financial Economics, European Journal of Finance, IEEE Signal Processing Letters, Journal of Computational Statistics and Data Analysis, Journal of Banking and Finance, Statistics and Probability Letters, Macroeconomic Dynamics, Tourism Management, Test, International Review of Economics and Finance, Economics Bulletin, Journal of Economic Behavior & Organization.
Invitation for seminars
ISEG Lisbon Economics & Management (Scheduled for May 2024), Texas Tech University (Dept. of Mathematics & Statistics, Scheduled for March 2024), Centre for Global Finance Research (Scheduled, May 2024), University of Surrey (Scheduled, November 2023), University of Malaga (2022), SOAS University of London, Centre for Econometrics and Business Analytics at St. Petersburg University, University of Sherbrooke, Oxford University, Bristol University, Cardiff University, Sussex University, University of Warwick, York University, Queen Mary University of London, University of Western Ontario, University of Aix Marseille, Universitat Pompeu Fabra, University of Liverpool, Judge Business School (University of Cambridge), University of Piraeus Department of Banking and Financial Management, CORE, Universidad de Malaga, Bank of Canada, Durham Business School, Humboldt University, Maastricht University, Institute of Statistics and the Institute of Actuarial Sciences (CORE), University of Sherbrooke, University of Carlos III de Madrid (Economics Department), University of Carlos III de Madrid (Statistics Department), Luxembourg School of Finance, ESSEC Paris.
Visits
London School of Economics (2017), University College London, (2015, 2016), McGill University ( 2014), Institute of Statistics and the Institute of Actuarial Sciences, Université catholique de Louvain (2010), University of Sherbrooke (2012), HEC Montreal (2012), University of Carlos III de Madrid (2016), Universidad de Malaga, (2016).
Presentations at the Workshops and Conferences
Keynote Speaker (Plenary talk): 7th African International Conference (AIC) on Statistic, Advanced Statistics and Data Science in Africa, Marrakesh, Morocco, June 12-16, 2023.
Organized a Session at the 2023 Econometric Society African Meeting, Jun 1 - 3, The African Economic Research Consortium (AERC) in Nairobi, Kenya.
Keynote Speaker (Plenary talk), University of Malaga Workshop, June 8-9, 2023.
Keynote Speaker (Plenary talk): 2nd conference on Statistical Methods and Econometric Models: Application in Economics and Finance (ICOSMEM 2023), Tetouan Abdelmalek Essaadi University, Morocco, February 24-25, 2023
Invited: 5th Workshop on Goodness-of-Fit, Change-Point and Related Problems, Rennes, France, 2-4 September 2022
2022 Econometric Society African Meeting, Jun 1 - 4, 20212, Addis Ababa, Ethiopia.
Liverpool Econometrics Workshop, Liverpool, 1st of April, 2022
XII Workshop in Time Series Econometrics, Zaragoza, 31 of March-1st of April, 2022.
Invited: The 15th International Conference on Computational and Financial Econometrics (CFE 2021), King's College London, 18-20 December 2021.
2021 Econometric Society African Meeting, Jun 3 - 5, 2021, Abidjan, Ivory Coast.
Invited: 6th Canadian Conference in Applied Statistics, July 15 – 18, 2021
Invited: 12th International Conference on Computational and Financial Econometrics, 14-16 December 2018, Pisa.
Invited: 11th International Conference on Computational and Financial Econometrics, 16-18 December 2017, London.
70th European Meeting of the Econometric Society, 21-25 August 2017, Lisbon.
61st World Statistics Congress ISI2017, 16-21 July, 2017, Marrakech.
2017 Africa Meeting of the Econometric Society, June 29 to 1st of July, 2017, Algiers.
Invited: Lille Research Workshop on Statistics and Econometrics, May 19, 2017, Lille (Keynote Speaker).
Invited: 10th International Conference on Computational and Financial Econometrics, 9-11 December 2017, Seville.
Invited: 3rd conference of the International Society for Non-Parametric Statistics (ISNPS), Avignon 11-16 June 2016.
Invited: CIREQ Montreal Econometrics Conference in honor of Jean-Marie Dufour, May 7-8, 2016.
Invited: Southampton Finance and Econometrics Workshop, May 4-6, 2016, Southampton.
Invited: 5th Annual Econometrics Workshop, March 18, 2016, Liverpool.
Invited: Organize a session at the 9th International Conference on Computational and Financial Econometrics, London, 12-14 December 2015.
11th World Congress of the Econometric Society, Montreal, Canada, from 17th to 21st August 2015.
Second International Workshop in Financial Markets and Nonlinear Dynamics (FMND), Paris, June 4-5, 2015.
Royal Economic Society Conference at University of Manchester from 30th March to 1st April 2015.
XXXIX Simposio of the Spanish Economic Association (SAEe), Palma de Mallorca, Spain, on 11-13 December 2014.
15th IWH-CIREQ Macroeconometric Workshop: Identification and Causality in Macroeconometrics and Finance, Halle, Germany, December 1-2, 2014 (Keynote Speaker).
NBER - NSF Time Series Conference, hosted by the Federal Reserve Bank of St. Louis, September 26-27, 2014.
CEAFE 2014, Agadir Morocco, April 26-27, 2014.
Invited: 7th International Conference on Computational and Financial Econometrics (CFE'13), London, UK, 14- 16 December 2013.
XXI Finance Forum, Segovia, November 14th and 15th, 2013.
XXXVIII Simposio of the Spanish Economic Association (SAEe), Santander, Spain, on 12 -14 December 2013.
NBER - NSF Time Series Conference, hosted by the Federal Reserve Board, Washington, D.C., September 26-27, 2013.
2013 Asian Meeting of the Econometric Society, Singapore on 2-4 August 2013.
Workshop in Time Series Econometrics, Zaragoza. April 11-12, 2013.
XXVII Simposio of the Spanish Economic Association (SAEe), Vigo, 13-15 December 2012.
Invited: 6th International Conference on Computational and Financial Econometrics (CFE'12), Oviedo, Spain 1-3 December 2013.
Congress of the European Economic Association and the Econometric Society European meeting (EEA-ESEM) in Malaga (Spain), 27 - 31 August 2012.
4th International IFABSB conference on Rethinking Banking and Finance: Money, Markets and Models, Valencia, 18th-20th June 2012.
Workshop in Time Series Econometrics, Zaragoza. April 19-20, 2012.
Invited: Workshop on Exact Tests, Vienna, 17-18 April, 2012
Invited: 3rd Annual CIRPEE Applied Financial Time Series Workshop, HEC Montreal February 18, 2012.
Jamboree, February 10-11, 2012, Barcelona.
XXVI Simposio of the Spanish Economic Association (SAEe), Malaga, 15-17 December 2011.
Invited: 5th International conference on Computational and Financial Econometrics (CFE'11), London, 17-19 December 2011.
NBER - NSF Time Series Conference, Michigan, September 16,17 2011.
65th European Meeting of the Econometric Society, Oslo, 25-29 August, 2011.
2011 AEA Annual meeting, Denver, January 6-9, 2011
The 25th Congress of the European Economic Association, Glasgow, August, 23-26, 2010.
The 18th Annual Symposium of the Society for Nonlinear Dynamics and Econometrics, Novara, Italy on April 1-2, 2010.
North American Summer Meeting of the Econometric Society, June 4-7, 2009, Boston.
European Meeting of the Econometric Society, August 23-27, 2009, Barcelona.
Humboldt-Copenhagen Conference 2009, March 20-21, 2009, Berlin.
25th Annual Meeting of the Canadian Econometrics Study Group, September 26-28, 2008, Montreal.
7th World Congress in Probability and Statistics, July 14-19, 2008, Singapore.
Eighth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, July 6-11, 2008, Montreal.
2nd International Workshop on Computational and Financial Econometrics, June 19-21, 2008, Neuchâtel, Switzerland.
European Meeting of the Econometric Society (ESEM), August 27-31, 2007, Budapest.
Canadian Economics Association (CEA), June 1-3, 2007, Halifax, Nova Scotia.
Conference on Volatility and High Frequency Data, April 21-22, 2007, Chicago.
NBER-NSF Time Series Conference, Montreal, September 29-30, 2006, Montreal.
European Meeting of the Econometric Society (ESEM), August 24-28, 2006, Vienna.
CAIMS-MITACS 2006 Joint Annual Conference, June 16-20, 2006, Toronto.
Canadian Economics Association (CEA), May 26-28, 2006, Montreal.
Société Canadienne de Science Économique (SCSE), May 3-4, 2006, Montreal.
CIREQ Time Series Conference, December 2-3, 2005, Montreal.
Canadian Econometrics Study Group Meeting, October 21-22, 2005, Vancouver.
2005 Joint Statistical Meeting in Minneapolis, August 7-11, 2005, Minnesota.
Société Canadienne de Science Économique (SCSE), May 12-13, 2005, Manoir Richelieu.
Discussions
«Beta-Sorted Portfolios» (Weining Wang , Matias Cattaneo and Richard K. Crump), the 9 th Asset Pricing Workshop, University of York, UK, 4-5 July 2022 .
«Asset pricing with regime-dependent preferences and learning» (Tony Berrada, Jerome Detemple, Marcel Rindisbacher), XXI Finance Forum, Segovia, November 14th and 15th, 2013.
«Liquidity and asset prices: An empirical investigation of the Finnish stock market» (Butt Hilal Anwar and Virk Nader Shahzad), 4th International IFABSB conference on Rethinking Banking and Finance: Money, Markets and Models, Valencia, 18th-20th June 2012.
«Regime Switching GARCH Models» (Luc Bauwens, Arie Preminger, and Jeroen V.K. Rombouts), Société Canadienne de Science Économique (SCSE), Montréal (May 3-4, 2006).
«A Model Selection Method for S-Estimation» (Shinichi Sakata and Arie Preminger), 2006 Canadian Econometrics Study Group Meeting, Niagara Falls (October 19-21, 2006).
Seminars, Conferences, Workshops Organization, Roundtables
LAMBDA Research Cluster: Big Data Analytics Roundtable, 26 June 2023, University of Liverpool Management School
Co-founder of Virtual Time Series Seminar, 2022:
Since September 2022: With group of friends and colleagues, we launched a new initiative: a Virtual Time Series Seminar series (VTSS). The new series started in September 15 2022 and takes place regularly on Thursday at 16:00 UK time. All info and registration are available at:
https://sites.google.com/view/vtss/home
June, 2020, Created Virtual (Online) Workshop Duo to Covid-19, at Durham University Business School:
https://www.dur.ac.uk/business/research/economics/qrfe/seminars/
March-June, 2020, Created Virtual (Online) seminars Duo to Covid-19, at Durham University Business School:
https://www.dur.ac.uk/business/research/economics/qrfe/seminars/
https://www.youtube.com/watch?v=ToCBGohUpvE
At Durham University Business School:
Organizer of the QRFE Seminar series (Econometrics and Finance), 2015-
Organized QRFE Workshop on High Frequency Econometrics, 18th and 19th July, 2016.
Organized QRFE Workshop on Econometrics, 19 and 20 of November, 2016.
Organized QRFE Workshop on Financial Econometrics, 30 March 2017.
Organized QRFE Workshop on Big Data Analysis, 28 June 2019.
At Universidad Carlos III de Madrid:
"First UC3M-LSE Workshop on Econometrics and Financial Econometric," March, 9th, 2009.
"Second UC3M-LSE Workshop on Econometrics and Financial Econometric," April, 16th, 2010.
Organizer of the Econometric Seminars at the Universidad Carlos III de Madrid, 2009-2014
C0-organizer of the IID Seminar at the Universidad Carlos III de Madrid, 2011-2013
Organizer of the UC3M-CEMFI Joint Seminars.
Organizer of the reading group in Econometrics 2010-2013.
Program Committee :
Econometric Society meetings (Africa Meetings) 2018, 2019, 2021, 2022, 2023
Colloque International Statistique Econometrie, Mahdia, Tunisia, 17-19 Mai, 2024
The 10th Days of Econometrics for Finance jointly organized with The 12th Workshop on High Dimensional Data Analysis (HDDA-XII),April 26-28th, 2023, Mohammed V University in Rabat (UM5R) and ESSEC Africa, Morocco
Ph.D. Thesis Supervision and Thesis Committee
Ph.D. Thesis Supervision
Victor Troster (Finished 2015, Currently Associate Professor at Univerity of Illes Balears)
Christian Engels (Finished 2020, Currently Assistant Professor University of St Andrews )
Matt Sekerke (Finished 2021, Currently President of Ndogenous, strategy firm)
Abdullah Alshami (Finished 2017, Currently Assistant Professor at University of Aberdeen)
Kaveh Salehzadeh-Nobari (Finished 2020, Past: Post-Doc, Department of Mathematics and Statistics at Univrsiry of Lancaster, Currently: Research Associate, Imperial College London)
Norhidayah Abu-bakar (Finished 2018, Currently Senior Lecturer at Universiti Sultan Zainal Abidin, School of Finance & Banking)
Fabian Rinnen (in progress University of Carlos III of Madrid, Currently Senior Adviser at Competition Economists Group, Germany)
Weidong Lin (Finished 2023, Assistant Professor at NEOMA Business School)
Yassine Essanaani (Finished 2023, Assistant Professor at Nottingham Trent University)
Xiangyu Wu (Finished 2022, Durham Business School)
Hao Xu (in progress, Durham Business School)
Ph.D. Thesis Committee
Aixi Zhang (University of Sydney, Australia)
Ehsan Fazel (Concordia University, Canada)
Paul Wohlfarth (University of London, UK)
Zed Gharbi (Lille University, UK)
Chi Wan Cheang (University of Southampton, UK)
Igor Kheifets (PhD, Thesis committee, University of Carlos III de Madrid, Spain).
Heiko Rachinger (PhD, Thesis committee, University of Carlos III de Madrid, Spain).
Xuexin Wang (PhD, Thesis committee, University of Carlos III de Madrid, Spain).
Liang Chen (PhD, Thesis committee, University of Carlos III de Madrid, Spain).
Yunus Emre Ergemen (PhD, Thesis committee, University of Carlos III de Madrid, Spain).
Courses Taught in the Past
Asset Pricing (Ph.D), Durham Business School
Econometrics II (Master) at Durham Business School
Financial Modelling and Business Forecasting (Master) at Durham Business School
Econometrics (Ph.D) at Carlos III de Madrid, Economics department.
Statistics (Ph.D) at Carlos III de Madrid, Economics department.
Time Series Analysis (Master) at Carlos III de Madrid, Economics department.
Quantitative Finance (Master) at Carlos III de Madrid, Business department.
Statistics and Probability (Master) at Carlos III de Madrid, Economics department.
Introduction to Econometrics (Undergraduate) at Carlos III de Madrid, Economics department.
Econometric II, Time series (Undergraduate) at Carlos III de Madrid, Economics department.
Principles of Economics (Undergraduate) at University of Montreal, Economics department.
Other Tasks and Responsibilities at the Department Level
Job Market committee at University of Carlos III de Madrid
Teaching quality committee at University of Carlos III de Madrid