Staff Profile

I have degrees from the University of Liverpool, University College London, and the University of Nottingham. My Ph.D. focused on detecting and modelling structural change in financial and economic time series and was written under the supervision of Professor Steve Leybourne and the late Professor Paul Newbold. My current research interests lie in the areas of financial econometrics, financial risk management, and the econometric analysis of linkages between financial markets and the wider economy.

Qualifications

Ph.D. Economics, University of Nottingham

M.Sc. Environmental and Resource Economics (Distinction), University College London

B.A. (Hons.) Economics, University of Liverpool

Memberships/affiliations

Committee member: Royal Statistical Society, Finance and Economics Special Interest Group

Research affiliate, Centre for Dynamic Macroeconomics, School of Economics and Finance, University of St Andrews

Royal Statistical Society

Current roles

Chair, Board of Studies for M.Sc. Finance-based programmes

Google scholar: Click here.

Current research interests

Detecting asset price bubbles; equity premium predictability; market risk management; macro-financial linkages; financial markets and the business cycle

Ph.D./D.B.A. supervision since 2014

Ge Yu, Ph.D., Empirical Essays on Stock Market Bubbles, awarded December 2019.

William Berry, Ph.D., An Empirical Analysis of the Impact of Financial Stress and Quantitative Easing on U.K. Financial Markets, awarded 2019, funded by a Peter and Norah Lomas scholarship.

Suwat Chritamara, D.B.A. (joint with Grenoble Ecole de Management), An Application of the Real Option Framework to Large Infrastructure Projects, awarded 2017.

Wai-man Kwong, Ph.D., Essays on Value at Risk and Asset Price Bubbles, awarded 2017.

Peter Christian Metzing, Ph.D., Macro-Prudential Financial Regulation of Banks After the Crisis of 2008, awarded 2016, funded by an ESRC studentship.

Ph.D. external examining

Cass Business School (Finance), University of Nottingham (Economics), University of St Andrews (Finance)

Grants

Leverhulme Trust, Macroeconomic effects of liquidity risks, CI, 2013-15

Current teaching

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, Epub ahead of print.
  • 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