I am a PhD candidate in Finance at Bayes Business School. My research focuses on theoretical and applied econometrics, particularly high-dimensional factor models, forecasting, and high-frequency econometrics. My current projects include:
- Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings,
- Combining P-Values for Multivariate Predictive Ability Testing,
- High-Frequency commonalities in currency markets,
- A risk indicator for the UK real estate market.
I have worked extensively with large datasets, dimensionality reduction methods, linear and non-linear filtering techniques, as well as various other time-series methods. Furthermore, I have worked as a Research Assistant in the area of development economics on projects investigating the effects of aid and oil price shocks on exchange rates using Bayesian SVAR and DSGE models.
- MSc Economics, University of Tübingen, Germany, Oct 2018 – Sep 2019
- MSc Economics, University of Nottingham, United Kingdom, Sep 2017 – Sep 2019
- Fellowship, German Academic Scholarship Foundation (Studienstiftung), Germany, Oct 2016 – Sep 2019
- Best Student MSc Economics Stream 2018/19, University of Nottingham, United Kingdom
- Research Assistant, University of Nottingham, Jun – Sep 2019
- Research Associate, University of Nottingham, Apr – Jul 2019
- Research Assistant, University of Nottingham, Jun – Aug 2018
- Intern, MLP Financial Services, Feb 2017 – May 2019
English, French and German.
- Spreng, L. and Urga, G. (2022). Combining p-values for Multivariate Predictive Ability Testing. Journal of Business & Economic Statistics pp. 1–13. doi:10.1080/07350015.2022.2067545.
Working papers (3)
- Spreng, L. and Morrissey, O. (2020). Macroeconomic management on becoming an African oil exporter. CREDIT Working Paper.
- Spreng, L., Hillebrand, E., Urga, G. and Mikkelsen, J. (2020). Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings. CREATES Research Paper.
- Spreng, L., Morrissey, O. and Roger, L. (2019). Aid and exchange rates in sub-Saharan Africa: No more Dutch Disease? CREDIT Working Paper.