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D-Index & Metrics

Economics and Finance

D-Index
44
Citations
10387
World Ranking
1836
National Ranking
210

Mathematics

D-Index
42
Citations
9967
World Ranking
1761
National Ranking
125

Overview

Stephen J. Leybourne is affiliated with the University of Nottingham in the United Kingdom. Their research primarily focuses on economics, econometrics, and finance, with a total of 39 publications in these fields. Within this broad domain, Leybourne's work spans several subfields, including economics and econometrics, general economics, finance, management science and operations research, and statistics, probability, and uncertainty.

The scientist's key areas of research interest include market dynamics and volatility, monetary policy and economic impact, financial risk and volatility modeling, complex systems and time series analysis, financial markets and investment strategies, housing market economics, and forecasting techniques and applications.

Stephen J. Leybourne has published research in a variety of academic journals. Frequent venues for their work include:

  • Oxford Bulletin of Economics and Statistics
  • Journal of Applied Econometrics
  • Journal of Time Series Analysis
  • Journal of Business and Economic Statistics
  • Journal of Financial Econometrics

Collaboration with co-authors is a notable aspect of Leybourne's research trajectory. Several frequent co-authors include:

  • David I. Harvey
  • Yang Zu
  • Robert Taylor
  • Emily J. Whitehouse
  • Sam Astill

Recent papers authored or co-authored by Stephen J. Leybourne demonstrate a focus on financial econometrics and empirical finance topics. These include:

  • "CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility," 2021, published in the Journal of Financial Econometrics
  • "Date-stamping multiple bubble regimes," 2020, published in the Journal of Empirical Finance
  • "Real-time detection of regimes of predictability in the US equity premium," 2020, published in the Journal of Applied Econometrics
  • "Simple tests for stock return predictability with good size and power properties," 2021, published in the Journal of Econometrics
  • "Real-Time Monitoring of Bubbles and Crashes," 2023, published in the Oxford Bulletin of Economics and Statistics

Best Publications

  • Testing the equality of prediction mean squared errors

    David Harvey;Stephen Leybourne;Paul Newbold

  • Tests for Forecast Encompassing

    David S. Harvey;Stephen J. Leybourne;Paul Newbold

  • Unit roots and smooth transitions

    Stephen Leybourne;Paul Newbold;Dimitrios Vougas

  • More powerful panel data unit root tests with an application to mean reversion in real exchange rates

    L. Vanessa Smith;Stephen Leybourne;Tae Hwan Kim;Paul Newbold

  • A Consistent Test for a Unit Root

    S. J. Leybourne;B. P. M. McCabe

  • Spurious rejections by Dickey–Fuller tests in the presence of a break under the null

    Stephen J Leybourne;Terence C. Mills;Paul Newbold

  • TESTING FOR UNIT ROOTS USING FORWARD AND REVERSE DICKEY‐FULLER REGRESSIONS

    S. J. Leybourne

  • A Powerful Test for Linearity When the Order of Integration is Unknown

    David I Harvey;Stephen J Leybourne;Bin Xiao

  • Spurious rejections by cointegration tests induced by structural breaks

    Stephen J. Leybourne;Paul Newbold

  • Tests for explosive financial bubbles in the presence of non-stationary volatility

    David I. Harvey;Stephen J. Leybourne;Robert Sollis;A.M. Robert Taylor

  • Can Economic Time Series Be Differenced to Stationarity

    S. J. Leybourne;B. P. M. McCabe;A. R. Tremayne

  • Unit root tests with a break in innovation variance

    Tae Hwan Kim;Stephen Leybourne;Paul Newbold

  • Trade liberalization and Growth

    David Greenaway;Steve Leybourne;David Sapsford

  • Testing for time series linearity

    David I. Harvey;Stephen J. Leybourne

  • UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION

    David I. Harvey;Stephen J. Leybourne;A.M. Robert Taylor

  • Tests for Symmetric and Asymmetric Nonlinear Mean Reversion in Real Exchange Rates

    Robert Sollis;Stephen Leybourne;Paul Newbold

  • Modified tests for a change in persistence

    David I. Harvey;Stephen J. Leybourne;A.M. Robert Taylor

  • Tests for a change in persistence against the null of difference‐stationarity

    Stephen Leybourne;Tae‐Hwan Kim;Vanessa Smith;Paul Newbold

  • SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS

    David I. Harvey;Stephen J. Leybourne;A.M. Robert Taylor

  • Trends and Cycles in British Industrial Production, 1700–1913

    N. F. R. Crafts;S. J. Leybourne;T. C. Mills

  • A powerful test for linearity when the order of integration is unknown [Revised to become No. 07/06 above]

    David I. Harvey;Stephen J. Leybourne;Bin Xiao

Frequent Co-Authors

David I. Harvey
David I. Harvey University of Nottingham
A. M. Robert Taylor
A. M. Robert Taylor University of Essex
David Harris
David Harris University of Sydney
Terence C. Mills
Terence C. Mills Loughborough University
Nicholas Crafts
Nicholas Crafts University of Sussex
David Greenaway
David Greenaway University of Nottingham
Mark E. Wohar
Mark E. Wohar University of Nebraska at Omaha
Clive W. J. Granger
Clive W. J. Granger University of California, San Diego
Yongcheol Shin
Yongcheol Shin University of York

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