Staff Profile

Profile

• Professor of Financial Economics
• Chair: Board of Studies, MSc Finance programmes

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.