Professor Robert Sollis
Professor of Financial Economics
- Email: firstname.lastname@example.org
- Address: Newcastle University Business School
5 Barrack Road
Newcastle upon Tyne
Office hour 2017-2018, Semester 2: email for an appointment.
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).
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.
MSc Financial Derivatives
MSc MATLAB for Finance
MSc Risk Modelling
- Harvey DI, Leybourne SJ, Sollis R. Improving the accuracy of asset price bubble start and end date estimators. Journal of Empirical Finance 2017, 40, 121-138.
- Sollis R. Fixed and Recursive Right-Tailed Dickey-Fuller tests in the Presence of a Break under the Null. Journal of Time Series Econometrics 2016, 8(1), 1-19.
- Harvey DI, Leyboume SJ, Sollis R, Taylor AMR. Tests for explosive financial bubbles in the presence of non-stationary volatility. Journal of Empirical Finance 2016, 38(Part B), 548-574.
- Abalala T, Sollis R. The Saturday effect: an interesting anomaly in the Saudi stock market. Applied Economics 2015, 47(58), 6317-6330.
- Harvey D, Leybourne SJ, Sollis R. Recursive right-tailed unit root tests for an explosive asset price bubble. Journal of Financial Econometrics 2015, 13(1), 166-187.
- Sollis R. Empirical Finance for Finance and Banking (Authorized Chinese translation). Chichester, UK: John Wiley & Sons/Dongbei University of Finance & Economics Press, 2014.
- Sollis R. Empirical Finance for Finance and Banking. Chichester: John Wiley & Sons, 2012.
- Sollis R. Spurious Regression: A Higher-Order Problem. Economics Letters 2011, 111(2), 141-143.
- Sollis R. Testing the unit root hypothesis against TAR nonlinearity with STAR-based tests. Economics Letters 2011, 112(1), 19-22.
- Sollis R. A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries. Economic Modelling 2009, 26(1), 118-125.
- Sollis R. Value at Risk: A Critical Overview. Journal of Financial Regulation and Compliance 2009, 17(4), 398-414.
- Sollis R. Forecasting interest rates: an application of the stochastic unit root and stochastic cointegration frameworks. In: Rapach D; Wohar ME, ed. Forecasting in the Presence of Structural Breaks and Model Uncertainty. Bingley: Emerald, 2008, pp.535-559.
- Sollis R. U.S. dollar real exchange rates: nonlinearity revisited. Journal of International Money and Finance 2008, 27(4), 516-528.
- Wohar ME, Sollis R. Tests for asymmetric threshold cointegration with an application to the term structure. Journal of Economics 2007, 33, 1-19.
- Sollis R. Testing for bubbles: an application of tests for change in persistence. Applied Financial Economics 2006, 16(6), 491-498.
- Sollis R, Wohar ME. The real exchange rate-real interest rate relation: evidence from tests for symmetric and asymmetric threshold cointegration. International Journal of Finance and Economics 2006, 11(2), 139-153.
- Sollis R. Evidence on purchasing power parity from univariate models: The case of smooth transition trend-stationary. Journal of Applied Econometrics 2005, 20(1), 79-98.
- Sollis R. Predicting returns and volatility with macroeconomic variables: evidence from tests of encompassing. Journal of Forecasting 2005, 24(3), 221-231.
- Sollis R, Wohar ME. A cautionary note on the order of integration of post-war aggregate wage, price and productivity measures. Manchester School 2004, 72(2), 261-282.
- Sollis R. Asymmetric adjustment and smooth transitions: a combination of some unit root tests. Journal of Time Series Analysis 2004, 25(3), 409-417.
- Harris R, Sollis R. Applied Time Series Modelling and Forecasting. Chichester, UK: John Wiley, 2003.
- Sollis R, Leybourne SJ, Newbold P. Tests for Symmetric and Asymmetric Nonlinear Mean Reversion in Real Exchange Rates. Journal of Money, Credit, and Banking 2002, 34(3a), 686-700.
- Newbold P, Leybourne SJ, Sollis R. U.S. and U.K. Interest Rates, 1890-1934: New Evidence on Structural Breaks. Journal of Money, Credit, and Banking 2001, 33(2a), 235-250.
- Sollis R, Leybourne SJ, Newbold P. Stochastic unit roots modelling of stock market indices. Applied Financial Economics 2000, 10(3), 311-315.
- R. Sollis, S.J. Leybourne and P. Newbold. Unit roots and asymmetric smooth transitions. Journal of Time Series Analysis 1999, 20, 671-677.