People

Dr Sam Astill

Senior Lecturer
EBS - Finance
Dr Sam Astill
  • Email

  • 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

Open to supervise

Financial Econometrics.

Open to supervise

Theoretical Econometrics

Open to supervise

Teaching and supervision

Current teaching responsibilities

  • Quantitative Methods and Finance (BE300)

  • Introduction to Finance (BE302)

  • Student Success Tutorial (BE917)

Previous supervision

Ioannis Korkos
Ioannis Korkos
Thesis title: On Explosive Time Series
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 8/7/2020

Publications

Journal articles (7)

Astill, S., Harvey, DI., Leybourne, SJ., Taylor, AMR. and Zu, Y., CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility. Journal of Financial Econometrics

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 (2)

Astill, S., Harvey, D., Leybourne, S. and Taylor, R., Tests for an end-of-sample bubble in financial time series

Astill, S. and Taylor, AMR., (2018). Robust Tests for Deterministic Seasonality and Seasonal Mean Shifts

Contact

sastill@essex.ac.uk
+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