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.
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.
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.
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.
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.
- Harvey DI, Leybourne SJ, Sollis R. Improving the accuracy of asset price bubble start and end date estimators. Journal of Empirical Finance 2016, Epub ahead of print.
- 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.