Newcastle University Business School

Staff Profile

Professor Robert Sollis

Professor of Financial Economics



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.


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

M.Sc. Environmental and Natural Resource Economics (Distinction), UCL.

Ph.D. Economics, University of Nottingham, supervised by Prof. Paul Newbold and Prof. Stephen Leybourne.

Administrative/Management roles at Newcastle University

09/2015-present: Co-director of the Applied Econometrics research group, Newcastle University Business School.

09/2015-present: Postgraduate exam convenor, Newcastle University Business School.

09/2009-09/2014: Head/Deputy Head of Economics, Newcastle University Business School.

06/2007-09/2009: Degree Programme Director, M.Sc. Banking and Finance, M.Sc. Finance, M.Sc. International Economics and Finance, Newcastle University Business School.

10/2006-06/2007: Degree programme development: M.Sc. Banking and Finance, M.Sc. Finance, Newcastle University Business School.

Consultancy experience

The Reserve Bank of India, The Royal Statistical Society, RWE Group.

External research affiliation

External research affiliate: Centre for Dynamic Macroeconomic Analysis, University of St Andrews.

External examiner

2013-present. University of Nottingham (School of Economics, postgraduate econometrics modules).

2012-2016. University of Sheffield (Department of Economics, undergraduate econometrics and finance modules). 

2007-2010. University of Liverpool (Management School, postgraduate finance modules).

External appointment/promotion panels

04/2017, Michael Smurfit Graduate Business School, University College Dublin.

05/2016, Adam Smith Business School, University of Glasgow.









Research interests

Broad research areas: financial econometrics, time series econometrics.

My primary research interests lie in the areas of financial econometrics and time series econometrics. I have a long-standing interest in modelling and testing for nonlinearity in economic and financial time series. I have also recently been involved in several linked research projects focusing on the development of econometric tests to help detect the presence of asset price bubbles. I have authored a MATLAB-based textbook on empirical finance designed for postgraduate students and researchers in banking and finance, published by John Wiley & Sons in 2012, with a Chinese translation published in 2014.

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.