With the creation of the Department of Economics in Manor Road, the institutional framework for Oxford econometrics changed.
At the same time, the number of graduate students grew dramatically across the University and in economics, where a new MSc in Financial Economics was created jointly with the Said Business School in 2003.
The Nuffield post-doc programme expanded as a joint venture with the Department. A compulsory econometrics component was introduced in the undergraduate PPE programme.The econometricians who arrived in Oxford at the faculty level over this period included Valerie Lechene, 1999-2006, Adrian Pagan, 2000-2003, Kevin Shephard, 2004, Martin Browning, 2006-2019, Debopam Bhattacharya, 2009-2015, Jennifer Castle, 2009, Sophocles Mavroeidis, 2011, Michael Keane, 2012-2017, James Wolter, 2013-2018, Vanessa Berenguer-Rico, 2015, James Duffy, 2016, Anders Kock, 2017, Frank DiTraglia, 2019, Max Kasy, 2020 and Frank Windmeijer, 2020. There has been a constant flow of post-docs in econometrics, including Ola Elerian, 2001-2002, Jeremy Large, 2005-2008, Jennifer Castle, 2006-2009, Brendan Beare, 2007-2008, Mika Meitz, 2006-2008, Shin Kanaya, 2008-2012, Vitaliy Oryshchenko, 2011-2014, Vanessa Berenguer-Rico, 2012-2014, Daniel Gutknecht, 2012-2015, James Wolter, 2012-2013, Liang Chen, 2013-2016, Yingying Lee, 2013-2016, Marianne Bruins, 2014-2018, James Duffy, 2014-2016, Ryoko Ito, 2015-2017, Felix Pretis, 2015-2018, Stefan Hubner, 2016, Sander Barendse, 2018, Xiyu Jiao, 2019, and Susana Martins, 2019. Research Officers included Marianne Sensier, Anthony Murphy and Luca Nunziato. Following the 2008 financial crisis, Hendry received funding from the Institute for New Economic Thinking to set up a Program for Economic Modelling and to develop tools for forecasting after crises, which partly funded a number of the post-docs.
DPhil students in econometrics included Sule Akkoyunlu, Mavroeidis, Domenico Lombardi, Michael Massmann, Guillaume Chevillon, Castle, Carlos Santos, James Reade, Nicholas Fawcett, Julia Giese, Sonja Keller Canto, Pretis, Andrew Martinez, Oleg Kitov, Michael Pitt, Carlos Caceras, Taka Kurita, Diaa Noureldin, Qianzi Zeng, Heiko Hesse, Jiao, Matthias Qian, Aurora Manrique, Cavit Pakel and Clive Bowsher.
Neil Shephard’s research in financial econometrics continued to flourish.
The returns on financial assets were modelled using volatility models driven by a Levy process (see Barndorff-Nielsen and Shephard 2002). These are processes allowing a continuous component and both large and many small jumps. The jumps can be estimated by power and bipower variation (see Barndorff-Nielsen and Shephard 2004a) and multivariate features can be estimated by realised covariation (see ibid. 2004b). Shephard was involved in the creation of the MSc in Financial Econometrics and also in teaching the core financial economics paper. He attracted funding from the Man hedge fund to found the Oxford-Man Institute to study quantitative finance, and was its first Director in 2007—2011. Neil is currently Chair of the Department of Statistics at Harvard University.In 2010, Sophocles Mavroeidis returned to a faculty position from Brown University, working on identification in macroeconomic models. Previously, he had worked on the problem of weak instruments in forward-looking models (Mavroeidis 2004, Kleibergen and Mavroeidis 2009). He next considered the empirical evidence on inflation expectations in the New Keynesian Phillips curve (Mavroeidis et al. 2014), identification using stability restrictions (Magnusson and Mavroeidis 2014) and how learning in representative-agent forward-looking models can generate long memory endogenously (Chevillon and Mavroeidis 2018). This research was supported by a European Research Council (ERC) consolidator grant in 2015. Mavroeidis brought the 30th EC2 conference back to Oxford in 2019 after a long absence since the 4th EC2 conference hosted by Hendry in 1993.
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