← All authors Michael Ellington University of Liverpool (per OpenAlex) · ORCID · OpenAlex
16 papers in scope · 16 published · 1 on the econ.EM arXiv · 211 citations · h-index 7 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Christis Katsouris Pentti Saikkonen Mika Meitz Nina Kuriyama Alex Maynard Chuan Goh Peter W. Glynn Jozef Baruník Fan Lin Savi Virolainen Bas J. M. Werker Yannick Hoga Bo Zhou Jayeeta Bhattacharya Bernd Funovits Jean-Yves Pitarakis Iliyan Georgiev Marcelo C. Medeiros Giuseppe Cavaliere Tobias Fissler Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 16)
Industry Portfolio Volatility Connections and Industry Portfolio Returns
published 2026 · International Journal of Finance & Economics
with Michalis P. Stamatogiannis, Yawen Zheng
Testing for differences in high-frequency network connectedness from variance decompositions
published 2026 · Journal of Econometrics · first circulated 2024
with Mattia Bevilacqua, Rodrigo Hizmeri
Predictive distributions and the market return: The role of market illiquidity
published 2025 · European Journal of Operational Research · first circulated 2024
with Maria Kalli
published 2023 · European Journal of Operational Research · 47 citations · first circulated 2020
Revisiting Real Wage Rigidity
published 2023 · Journal of money credit and banking · 1 citations
with Christopher Martin, Bingsong Wang
A study of cross-industry return predictability in the Chinese stock market
published 2022 · International Review of Financial Analysis · 6 citations
with Michalis P. Stamatogiannis, Yawen Zheng
Of votes and viruses: the UK economy and economic policy uncertainty
published 2022 · European Journal of Finance · 11 citations · first circulated 2021
with Marcin Michalski, Costas Milas
The Empirical Relevance of the Shadow Rate and the Zero Lower Bound
published 2021 · Journal of money credit and banking · 5 citations · first circulated 2018
Fat tails, serial dependence, and implied volatility index connections
published 2021 · European Journal of Operational Research · 17 citations
Real estate illiquidity and returns: A time-varying regional perspective
published 2021 · International Journal of Forecasting · 5 citations · first circulated 2019
with Xi Fu, Yunyi Zhu, Yunyi
Search Frictions and Evolving Labour Market Dynamics
published 2021 · Journal of Economic Dynamics and Control · first circulated 2019
with Christopher Martin, Bingsong Wang
Global liquidity, money growth and UK inflation
published 2019 · Journal of Financial Stability · 15 citations · first circulated 2014
with Costas Milas
The case for Divisia monetary statistics: A Bayesian time-varying approach
published 2018 · Journal of Economic Dynamics and Control · 30 citations
On the economic impact of aggregate liquidity shocks: The case of the UK
published 2018 · The Quarterly Review of Economics and Finance · 6 citations
with Costas Milas
Financial market illiquidity shocks and macroeconomic dynamics: Evidence from the UK
published 2018 · Journal of Banking & Finance · 44 citations
Liquidity shocks and real GDP growth: Evidence from a Bayesian time-varying parameter VAR
published 2016 · Journal of International Money and Finance · 24 citations
with Chris Florackis, Costas Milas
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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