PhD Theses

Supervised by Professor Kate Phylaktis:

  • Joe Delveaux, “Essays on foreign debt in Sub-Sahara Africa using proprietary data”, (not yet completed)
  • (James) Shi He “A Study on Information and Volatility Transmission in FX Markets with the Application of Point Process” (not yet completed)
  • Cheng Yan "International Speculative Capital Flow and Asset pricing in Emerging Markets",
    June 2015
  • Chiara Banti "Essays in Market Microstructure", 2013
  • Tugba Bas "Capital Structure of Firms and Financial Development" January 2012
  • Kwabena Duffuor "Microstructure of FOREX in Ghana", December 2010
  • Long Chen "Microstructure of Foreign Exchange Markets", March 2008
  • Antonios Aristidou "Microstructure Issues related to the Greek Stock Market", November 2007
  • Lichuan Xia " The Industry effects, Contagion and Equity Market Co-movement: New Implications for International Diversification", November 2005
  • Fabiola Ravazzolo "Stock and Foreign Exchange Markets In the Pacific Basin Countries", November 2002
  • Kenneth Wing-Keung Lo "Financial Policies and Macroeconomic Adjustments in Indonesia", June 2000

Supervised by Professor Barbara Casu:

  • Aysel Bandad: “The Impact of External Shocks on Macroeconomic Environment in Azerbaijan: How to Alleviate shocks and Sustain Economic Growth” (not yet completed)
  • Sohail Niazi: How Ready are Banks in the GCC countries for the FinTech revolution? (not yet completed)
  • Jaafar Al-Sarraf: “Financial Inclusion FinTech” (not yet completed)
  • Muhammad Nadeem Aslam “The critical determinants of quasi-equity investments and firm’s capital structures – An Islamic banking perspective” (not yet completed)
  • Zana Beqiri ,  "Volume and pricing of syndicated loans in developing countries" 2017
  • Lucie (Bimei) Deng "The Impact of Deregulation and Re-regulation on Bank Efficiency: Evidence from Asia", December 2014
  • Nashwa Saleh "Towards a New Effective Global Early Warning System for Financial Crises", March 2012.
  • Shazida Mohd Khan "South East Asian Banking after the Crisis: a Non-Parametric Analysis of the Impact of Environmental Factor", June 2011.
  • Anna Sarkisyan "Securitisation and Bank Performance", October 2010.
  • Tianshu Zhao "Total factor productivity growth, ownership structure and competitive behaviour: the role of deregulation and prudential re-regulation", January 2009.

Supervised by Professor Alec Chrystal:

  • A Awdeh "Banking in the Lebanon", March 2006.

Supervised by Professor Ana-Maria Fuertes:

  • Nan Zhao "Forecasting International Bond Return" (Not yet completed)
  • Orkun Saka "Informational Role of Ratings in Asset-Backed Securities Market", July 2017
  • Mattew Osborne "Behavioural and macroeconomic impacts of bank regulation", December 2013
  • Wei Liu "Essays on Economic Value of Intraday Covariation Estimators for Risk Prediction", December 2013
  • Fei Fei "Credit Risk Measurement", June 2013
  • Giorgos Rallis "On Commodity Trading Strategies: Momentum, Term Structure, Maturity, Indexation", July 2010.
  • Elena Kalotychou "Sovereign Default Prediction", March 2005.

Supervised by Dr Elena Kalotychou:

  • Orkun Saka "Informational Role of Ratings in Asset-Backed Securities Market", July 2017
  • Wei Liu "Essays on the Economic Value of Intraday Covariation Estimators for Risk Prediction", December 2012.
  • Fei Fei "Essays on Quantitative Risk Management", December 2012.

Supervised by Professor Ian Marsh:

  • Eugen Andre Marinoff:” Unravelling the Value of Cryptocurrencies: Do Digital Coins Improve the Efficiency and Performance of Traditional Investment Portfolios?”(not yet completed)
  • Panagiotis   Panayiotou " Essays in Empirical Market Microstructure ",2020
  • Jiatao Liu -" Essays in Financial Market and Information Acquisition"2021
  • Jason Cen "Forecasting Currency Returns", August 2015.
  • Slawa Roschkow "Market Microsctructure dynamics: modelling Russian cross-listed securities on the London Stock Exchange", May 2013.
  • Evgenia Passari "Exchange Rate Modelling and Forecasting: Implications for Dynamic Asset Allocation in International Portfolios", December 2013.
  • Maxim Zagonov "Financial Intermediation and Interest Rate Risk", June 2011.
  • Lorenzo Bertolini "Carry Trades", November 2010.
  • Teng Miao "Essays in Microstructure Analysis in the Foreign Exchange Market", August 2010.
  • Myria Kyriakou "Foreign Exchange Market Microstructure and Forecasting", June 2010.
  • Kwabena Duffuor "Order Flow and Exchange Rate Dynamics in Emerging Markets: The Case of Ghana", January 2010.

Supervised by Professor Richard Payne:

  • Lulu Feng  " Asset pricing across asset classes and microstructure analysis in equity and crypto currency market" 2020
  • Jason Cen "Forecasting Currency Returns", August 2015.
  • Torben Latza "Equity microstructure", September 2011.

Supervised by Professor Lucio Sarno:

  • Robin Tietz " Monetary Policy and Financial Markets "2021
  • Barbara Ulloa "Monetary Policy and Financial Stability: Modeling Optimal Targets and Intervention Policies" January 2014

Supervised by Dr Sotiris Staikouras:

  • Yiou Lu "The importance of China real estate market: the dynamics and its role in domestic and international market", 2014

Supervised by Professor Giovanni Urga:

  • Lars Erik – “The Econometrics of Foreign Exchange Rates”(not yet completed)
  • Michele Bergamelli "Structural Breaks and Outliers Detection in Time-series Econometrics: Methods and Applications", March 2015
  • Ekaterina Ipatova "Testing for cross sectional correlation in financial time series", March 2014.
  • Riccardo Pianeti "Essays in Systemic Risk and Contagion", October 2013.
  • Simona Boffelli "European Government Bond Spreads: Modelling Jumps, Cojumps, Macro Drivers, Synchronization and Integrated Covariance Estimators", October 2013.
  • Vincenzo Maini "Price and Liquidity Discovery, Jumps and Co-Jumps using High Frequency Data from the Foreign Exchange Markets", June 2012.
  • Antonio Frenda "Estimating Business Cycles: from Bandpass Filters to Eurocoin", March 2012.
  • Matteo Mogliani "Dynamiques Monétaires, Politiques de Stabilisation", February 2011.
  • Ana-Maria Dumitru "Modeling and Testing for Jumps in the Prices of Financial Assets", January 2010.
  • Dennis Philip "Estimation and Testing of Latent Factors in Term Structure of Interest Rates", July 2008.
  • Daniel Braberman "The Impact of Macro News on the Term Structure of Interest Rates", September 2007.
  • Arturo Leccadito "On the Markovian Behavior of Asset Pricing", January 2007.
  • Juan Cajigas "A Multivariate GARCH Model for the Non-Normal Behaviour of Financial Assets", September 2006.
  • Lucio Della Ratta "Credit Spread, Fractional Integration and the Pricing of Credit Risk", September 2006.
  • Michele Meoli "Does Ownership Structure Matter? The Case of Big European Groups", January 2006.
  • Lorenzo Trapani "Essays on Panel Data Econometrics", January 2005.