Newcastle University Business School

Staff Profile

Professor Robert Sollis

Professor of Financial Economics

Background

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.


 

 

 

 

 

 

 

Research

Research interests

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). 





Teaching

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.


 

Publications