Dr Sam Astill
-
Email
sastill@essex.ac.uk -
Telephone
+44 (0) 1206 872881
-
Location
EBS.3.8, Colchester Campus
-
Academic support hours
You can find details of Academic Support hours on the EBS UG and PG information page on Moodle or by calling EBS Student Services on 01206873911
Profile
Qualifications
-
PhD(Nottingham)
Research and professional activities
Research interests
Time Series Econometrics
Financial Econometrics.
Theoretical Econometrics
Teaching and supervision
Current teaching responsibilities
-
Financial Time Series: Methods and Applications (BE372)
-
Research Methods in Financial Econometrics (BE990)
Previous supervision
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 3/7/2023
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 8/7/2020
Publications
Journal articles (9)
Astill, S., Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2024). Bonferroni Type Tests for Return Predictability and the Initial Condition. Journal of Business and Economic Statistics. 42 (2), 499-515
Astill, S., Taylor, AMR., Kellard, N. and Korkos, I., (2023). Using Covariates to Improve the Efficacy of Univariate Bubble Detection Methods. Journal of Empirical Finance. 70, 342-366
Astill, S., Harvey, DI., Leybourne, SJ., Taylor, AMR. and Zu, Y., (2023). CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility. Journal of Financial Econometrics. 21 (1), 187-227
Astill, S. and Taylor, AMR., (2018). Robust Tests for Deterministic Seasonality and Seasonal Mean Shifts. The Econometrics Journal. 21 (3), 277-297
Astill, S., Harvey, D., Leybourne, S., Sollis, R. and Taylor, AMR., (2018). Real-Time Monitoring for Explosive Financial Bubbles. Journal of Time Series Analysis. 39 (6), 863-891
Astill, S., Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2017). Tests for an end-of-sample bubble in financial time series. Econometric Reviews. 36 (6-9), 651-666
Astill, S., Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2015). Robust and Powerful Tests for Nonlinear Deterministic Components. Oxford Bulletin of Economics and Statistics. 77 (6), 780-799
Astill, S., Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2014). Robust tests for a linear trend with an application to equity indices. Journal of Empirical Finance. 29 (C), 168-185
Astill, S., Harvey, DI. and Taylor, AMR., (2013). A bootstrap test for additive outliers in non-stationary time series. Journal of Time Series Analysis. 34 (4), 454-465
Reports and Papers (3)
Astill, S., Harvey, D., Leybourne, S. and Taylor, R., Tests for an end-of-sample bubble in financial time series
Astill, S., Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2022). Bonferroni Type Tests for Return Predictability and the Initial Condition
Astill, S. and Taylor, AMR., (2018). Robust Tests for Deterministic Seasonality and Seasonal Mean Shifts
Contact
Academic support hours:
You can find details of Academic Support hours on the EBS UG and PG information page on Moodle or by calling EBS Student Services on 01206873911
