Profile

Profile

My areas of expertise lie in the econometric analysis of macroeconomic and financial time series. Most of my recent research has focused on two related issues: (i) detecting and modelling structural change in time series data on asset prices (e.g., stock prices, commodity prices) due to the presence of bubbles and crashes; (ii) forecasting asset prices and macroeconomic time series when structural change occurs. I regularly publish in leading academic journals and have supervised eight doctoral students to completion as main supervisor. I have presented my research at several major conferences, such as the Royal Economic Society annual conference, the Scottish Economic Society annual conference, and the International Conference on Computational and Financial Econometrics.

I have extensive experience of teaching economics, econometrics, and finance at both the undergraduate and postgraduate levels, and have taught these subjects at Newcastle University, Durham University, and Trinity College Dublin. I have also developed several new modules and degree programmes at Newcastle University including the modules Risk Modelling, MATLAB for Finance, and Retail and Investment Banking, and the degree programmes MSc Finance and MSc Banking and Finance.

I have held a range of administrative and leadership roles at Newcastle University, such as module leader, degree programme director, research group director, and subject group head. I am currently co-lead for Research, Scholarship, and Impact, Chair of the Board of Studies, and Exam Convenor for the Finance subject group.

Qualifications

• BA (Hons) - University of Liverpool
• MSc (Distinction) - University College London
• PhD - University of Nottingham
• FHEA

External examining

• External UG/PG examiner: University of Liverpool, University of Nottingham, University of Sheffield
• External PhD examiner: Bayes Business School (City, University of London), University of Nottingham, University of St Andrews

External assessor (appointment panels)

• Lancaster University
• UCD Michael Smurfit Graduate Business School
• University of Glasgow

Research interests

• Broad areas: financial econometrics, time series econometrics, financial risk management
• Current research: market timing, detecting asset price bubbles and crises, financial forecasting

Research funding

• BA/Leverhulme small research grant (CI), 2013-15

Doctoral supervision

• Seven PhD students
• One DBA student (Grenoble Ecole de Management joint programme)

Journal referee

• Empirical Economics, Economics Letters, Journal of Applied Econometrics, Journal of Econometrics, Journal of Empirical Finance, Journal of Forecasting, Journal of Money, Credit and Banking, Journal of the Royal Statistical Society: Series C, Journal of Time Series Analysis, Oxford Bulletin of Economics and Statistics

Editorial experience

Associate Editor, Journal of the Royal Statistical Society: Series C

Grant referee

• ESRC
• Research Grants Council (Hong Kong)

Current modules

• NBS8975 Financial Analysis, Decisions and Markets
• NBS8185 MATLAB for Finance
• NBS8201 Risk Modelling

Office hours

• Email for an appointment

• Articles

  • Evripidou AC, Harvey DI, Leybourne SJ, Sollis R. Testing for co-explosive behaviour in financial time series. Oxford Bulletin of Economics and Statistics 2022, 84(3), 624-650.
  • Harvey DI, Leybourne SJ, Sollis R, Taylor AMR. Real‐time detection of regimes of predictability in the US equity premium. Journal of Applied Econometrics 2020, 36(1), 45-70.
  • Astill S, Harvey DI, Leybourne SJ, Sollis R, Taylor AMR. Real-time monitoring for explosive financial bubbles. Journal of Time Series Analysis 2018, 39(6), 863–891.
  • 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.
  • 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.
  • 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.
  • 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. Testing the unit root hypothesis against TAR nonlinearity with STAR-based tests. Economics Letters 2011, 112(1), 19-22.
  • Sollis R. Spurious Regression: A Higher-Order Problem. Economics Letters 2011, 111(2), 141-143.
  • Sollis R. Value at Risk: A Critical Overview. Journal of Financial Regulation and Compliance 2009, 17(4), 398-414.
  • 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. 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, 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. Testing for bubbles: an application of tests for change in persistence. Applied Financial Economics 2006, 16(6), 491-498.
  • Sollis R. Predicting returns and volatility with macroeconomic variables: evidence from tests of encompassing. Journal of Forecasting 2005, 24(3), 221-231.
  • 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. Asymmetric adjustment and smooth transitions: a combination of some unit root tests. Journal of Time Series Analysis 2004, 25(3), 409-417.
  • 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, 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, Wohar ME. US and UK interest rates 1890-1934: new evidence on structural breaks. Working Paper Trinity College Dublin 2001, 1-20.
  • Sollis R. US and UK inflation: evidence on structural change in the order of integration. Working Paper Trinity College Dublin 2001, 1-17.
  • 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.

• Authored Books

  • 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.
  • Harris R, Sollis R. Applied Time Series Modelling and Forecasting. Chichester, UK: John Wiley, 2003.

• Book Chapter

  • 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.

• Working Paper

  • Berry W, Dietrich D, Sollis R. Financial stress and forecasting UK equity risk premiums. 2022.