Professor Robert Sollis
Professor of Financial Economics
- Email: firstname.lastname@example.org
- Telephone: +44 (0) 191 208 1639
- Address: Floor 7, Room 7.19
Newcastle University Business School
5 Barrack Road
Newcastle upon Tyne
Office hour 2016-2017, Semester 2: Friday, 14.00-15.00.
Professor Robert Sollis has a Ph.D. in Economics from the University of Nottingham, specialising in time series econometrics. Prior to this post Robert was a Reader in Financial Econometrics at the University of Durham, and before that a Lecturer in Economics at Trinity College Dublin.
Robert is a time series econometrician by training. His broad research interests are modelling and forecasting financial time series and hypothesis testing in finance. Current research projects include developing empirical tests for the detection of asset price bubbles, and developing empirical tests for the detection of stock return predictability. Robert's research has been published in highly-rated journals such as the Journal of Applied Econometrics, Journal of Empirical Finance, Journal of Financial Econometrics, and the Journal of Money, Credit and Banking.
Robert has particular expertise in using the computer programming language MATLAB for empirical analysis in finance, and is the author of a MATLAB-based textbook on empirical finance designed for postgraduate students and researchers in banking and finance (Empirical Finance for Banking and Finance, published by John Wiley & Sons, 2012). A Chinese translation of this textbook was published in 2014 (John Wiley & Sons, Dongbei University of Finance & Economics Press).
Robert has been an external examiner at the University of Liverpool (postgraduate), the University of Nottingham (postgraduate) and the University of Sheffield (undergraduate and postgraduate). He has been an external PhD examiner at CASS Business School (University of London), the University of St Andrews and the University of Nottingham, and an external assessor on appointment panels at Adam Smith Business School (University of Glasgow) and Michael Smurfit Graduate Business School (University College Dublin), and in 2010-2014 he was an Associate Editor of the Journal of the Royal Statistical Society (Series A).
Robert is an external research affiliate of the Centre for Dynamic Macroeconomic Analysis, University of St Andrews, and is a Fellow of the Higher Education Academy.
Broad research areas: empirical finance, financial econometrics.
My current work in progress can be grouped into five themes.
(i) Modelling and detecting asset price bubbles
(ii) The implications of asset price bubbles for portfolio management and risk management
(iii) Detecting stock return predictability in real time and in the presence of regime changes
(iv) Digital currency markets: modelling, forecasting, and risk management
(v) Quantitative easing and its impact on financial markets
Ph.D. and D.B.A. supervision at Newcastle University
William Berry (Ph.D. Economics, current student, quantitative easing, funded by a Peter and Norah Lomas scholarship).
Ge Yu, (Ph.D. Finance, current student, detecting asset price bubbles and the transmission of bubbles between financial markets in different countries).
Suwat Chritamara (D.B.A., awarded 10/2017, real options applied to a large transport infrastructure project).
Wai-man Kwong (Ph.D. Economics, awarded 05/2017, detecting asset price bubbles).
Peter Metzing (Ph.D. Economics, awarded 10/2016, funded by an ESRC NEDTC studentship, macroprudential financial regulation).
Turki Abalala (Ph.D. Economics, awarded 07/2013, the link between oil prices and stock markets).
Zishun Ma (Ph.D. Economics, awarded 12/2012, risk management and volatility modelling).
Kasra Pourkermani (Ph.D. Economics, awarded 07/2012, global shipping markets: modelling and efficiency).
Current teaching (all M.Sc. level)
Financial Derivatives (Semester 2, lectures)
MATLAB for Finance (Semester 2, lectures and computer classes)
Risk Modelling (Semester 2, lectures)
Previous postgraduate teaching
Applied Econometrics, Econometrics for Finance, Financial Econometrics, Financial Modelling and Business Forecasting, Mathematics and Statistics, Time Series Econometrics.
Previous undergraduate teaching
Applied Econometrics, Econometrics, Econometric Theory, Investment Analysis, Quantitative Methods.
- 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.