Newcastle University Business School

Staff Profile

Professor Robert Sollis

Professor of Financial Economics

Background

Professor Robert Sollis has a Ph.D. in Economics from the University of Nottingham. Prior to this post he was a Reader in Financial Econometrics at the University of Durham, and before that a Lecturer in Economics at Trinity College Dublin. His current research interests are in the areas of financial economics, financial econometrics, time series analysis and applied macroeconomics. He is a Research Affiliate of the Centre for Dynamic Macroeconomic Analysis at the University of St Andrews.

Professor Sollis has been an external examiner of undergraduate and postgraduate taught programmes at the University of Nottingham (School of Economics), University of Sheffield (Department of Economics) and the University of Liverpool (Management School), and an external Ph.D. examiner at City, University of London (CASS Business School), the University of Nottingham (School of Economics), and the University of St Andrews (School of Management). 
 


 

 

 

 

 

 

 

Research

Research interests/expertise

Financial economics: asset pricing, derivatives pricing, market efficiency, risk management.

Financial econometrics and time series analysis: causality in high-dimensional financial systems, detecting market predictability, detecting the presence of asset price bubbles, nonlinear time series, spurious regressions in finance, volatility modelling and forecasting.

Applied macroeconomics: Granger causality, modelling and forecasting with VAR and VECM models, quantitative easing, spurious regressions in macroeconomics, structural break analysis, unit root testing.






Teaching

Current teaching 

MSc Financial Derivatives 

MSc MATLAB for Finance 

MSc Risk Modelling 


 

Publications