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Professor Jean-Yves Pitarakis MA, PhD (Boston University, USA)

Professor of Economics

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Jean-Yves Pitarakis is a Professor of Economics at the University of Southampton.

His research interests are in the area of theoretical and applied econometrics and his recent agenda involves modelling phenomena such as episodic predictability, threshold effects, varying coefficients, the detection of change-points in large dimensional datasets and the econometric modelling of investment strategies. His papers have been published in leading journals including the Journal of Econometrics, Econometrica, Journal of Business and Economic Statistics, International Economic Review, Econometric Theory, Econometrics Journal. Parts of this research has been funded by the ESRC.

He holds a PhD from Boston University.


Research interests

Estimation, inference and prediction in models that combine nonlinear dynamics with very persistent variables; econometric modelling of investment strategies; factor models

Current research projects

  • Regime specific predictability in predictive regressions (with Jesus Gonzalo)
  • Varying coefficient models with persistent variables (with Anurag Banerjee)
  • Model selection in large dimensional factor models (with Ronaldo Nazare)
  • State dependence in Predictability (with Jesus Gonzalo and Anibal Emiliano Da Silva Neto)
  • Econometric Modelling of Value investment strategies
  • Assessing state dependence in out of sample forecasts from predictive regressions (British Academy Grant SRG170220)


Research project(s)

Episodic Predictability in Models with Persistent Variable and Endogeneity: Detection and Estimation

Assessing State Dependence in Out of Sample and In-Sample Economic Forecasts from Predictive Regressions

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 I teach a third year undergraduate module in Empirical Finance and a Masters module in Econometrics. I supervise about 10 to 15 undergraduate and Masters dissertations every year and currently have 1 PhD student working in the area of forecasting.


Professor Jean-Yves Pitarakis
Economics, University of Southampton, Southampton, SO17 1BJ United Kingdom

Room Number : 58/3053

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