John Hunter

Lecturer in Econometrics
Economics and Finance

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Room: Marie Jahoda Room 257
Brunel University
Uxbridge, UB8 3PH
United Kingdom
Tel: +44 (0)1895 266648
Email: john.hunter@ brunel.ac.uk

Biography

Qualifications

  • BA Economics (Warwick)
  • MSc Economics (Birkbeck, London)
  • PhD Econometrics (London School of Economics)

Personal Biography

My career started as a researcher at Liverpool University. I then moved to Birkbeck College for my Masters and there worked with Ron Smith on my first article. After taking classes in Introductory Statistics, level I Economics and Level III Applied Economics at the LSE, I lectured at Southampton, Queen Mary College and Surrey before coming to Brunel. At the LSE I consulted with Sushil Wadhwani for HM Treasury. I have also worked for Oftel with Martin Cave and Chris Ioannidis, and Accenture, KPN Mobile and UCAS.

I have refereed for the ESRC project panel, and journals such as the EJ, Applied Econometrics, the Journal of Business and Economic Statistics, the Journal of Economic Dynamics and Control, the Journal of Productivity Analysis and the Energy Journal. In addition to Brunel I have working papers published at Cambridge, Louvain la Neuve and Surrey and as a student at the LSE.

Research

Research Overview

Arbitrage and Dynamic Specification in Exchange Rate Models; Classification, specification and testing of Discrete Data using Neural Networks, Semi-parametric and Parametric Methods; Cointegrating Exogeneity; Consumer Detriment (Hunter, Ioannidis, Iossa and Skerratt, OFT, 2001), Market Monitoring and Definition in Economics and Finance; Corporate Failure Prediction; Merger and Acquisition; Modelling Expectations, Estimation, Identification and Solution, and Modelling Non-Stationary Time Series, Econometric Identification and Test Simulation.

Member, Brunel Macroeconomics Research Centre

Member, Empirical Finance Research Centre

 

Current Projects

Modelling Non-Stationary Economic Time Series
Book for Palgrave MacMillan
2009 - 2012
John Hunter (PI) S.P. Burke (PI) and A Canepa (CI)

Consumption Based Asset Pricing Models
2008 - 2013
John Hunter (PI) Feng Wu (CI), Mauro Costantini (CI) and Andros Gregoriou (CI)

 

Recently Completed Projects

Equilibrium Price Targetting
2007 - 2011
S P Burke and J Hunter (PIs)

 

PhD Supervision

R. Al-Salty: Merger and Acquisitions in the UK; 2007 -

Asma. Al-Tenaiji: Three papers in arbitrage and the pre-conditions for currency union; 2009

S. Tabaghdehi: Stationarity and cointegeration properties of the US gasoline market: A market efficiency approach; 2009 –

Faek Menla Ali: Exchange rate modelling; 2010 –

Abdul Nahaas: International monetary & financial relationships; 2011 –

Teaching

Undergraduate Programmes

Module convenor

  • Financial Engineering

Postgraduate Programmes

Programme convenor

  • Modelling Financial Decisions

Module contributor

  • Dissertation

Administration

  • Deputy Head of Dept
  • Director of Teaching
  • Senate Member of the Resources, Risks and Results Development Group

External Activity

  • Editor Quantitative and Qualitative Analysis in the Social Sciences
  • External Examiner, Reading University
  • External Examiner, David Game College

Publications

Publications

Journal Papers

(2014) Hunter, J., Special Issue for the European Economics and Finance Society Conference 2012 in Koç University Istanbul, Economic Modelling 36 539- 540

(2014) Hunter, J. and Wu, F., Multifactor consumption based asset pricing models using the US stock market as a reference: Evidence from a panel of developed economies, Economic Modelling 36 557- 565

(2013) Hunter, J., Special Issue for the European Economics and Finance Society Conference 2012 in Koç University Istanbul, Economic Modelling

(2013) Hunter, J. and Ali, FM., The monetary model of the US Dollar–Japanese Yen exchange rate: An empirical investigation, Economics and Finance Working Paper, Brunel University13-08 Download publication

(2013) Caporale, GM., Hunter, J. and Ali, FM., On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007–2010, CES ifo Working Paper.4189

(2012) Burke, S. and Hunter, J., Arbitrage, market definition and monitoring a time series approach, Economics and Finance Working Paper12-20 Download publication

(2011) Hunter, J. and Burke, SP., Long-run equilibrium price targetting, Quantitative and Qualitative Analysis in the Social Sciences 5 (1) : 26- 36 Download publication

(2009) Gregoriou, A., Hunter, J. and Wu, F., An empirical investigation of the relationship between the real economy and stock returns for the United States, Journal of Policy Modeling 31 (1) : 133- 143 Download publication

(2008) Hunter, J. and S. P. Burke., Common trends, cointegration and competitive price behaviour, Economics and Finance Working Paper, Brunel University (08) : 07

(2007) Burke, S. and Hunter, J., The Wold representation, degree of non-cointegration and the Johansen trace test, Quantitative and Qualitative Analysis in Social Sciences (QASS) 1 (3) : 21- 39

(2007) Beirne, J., Hunter, J. and Simpson, M., Is the real exchange rate stationary? The application of similar tests for a unit root in the univariate and panel cases, Quantitative and Qualitative Analysis in Social Sciences (QASS) 1 (2) : 55- 70

(2006) Hunter, J. and Isachenkova, N., Aggregate economy risk and company failure: an examination of UK quoted firms in the early 1990s, Journal of Policy Modeling 28 (8) : 911- 919

(2004) Serguieva, A. and Hunter, J., Fuzzy interval methods in investment risk appraisal, Fuzzy Sets and Systems 142 (3) : 443- 466

(2001) Hunter, J. and Isachenkova, N., Failure risk: a comparative study of UK and Russian firms, Journal of Policy Modeling 23 (5) : 511- 521

(2000) Hunter, J., Ioannidis. and Monoyios., Transaction costs and nonlinear adjustment in option prices, Neural Network World 10 (1-2)

(1994) Hunter, J., Tests of Cointegrating Exogeneity for PPP and Uncovered Interest Rate Parity for the UK,

(1990) Hunter, J., Cointegrating exogeneity, Economics Letters 34 (1) : 33- 35

(1985) Smith, RP. and Hunter, J., Cross arbitrage and specification in exchange rate models, Economics Letters 18 (4) : 375- 376

Conference Papers

(2012) Hunter, J. and Wu, F., Multifactor consumption based asset pricing models using the US stock market as a reference: Evidence from a panel of developed economies, EEFS2012, Economic Modelling Download publication

(2011) Hunter, J. and Wu, F., Multifactor consumption based asset pricing model of the UK Stock Market: The US Stock Market as a wealth reference, Money Macro Finance Annual Conference Download publication

(2010) Hunter, J. and Wu, F., A multifactor consumption based asset pricing model of the UK stock market: the US stock market as a wealth, Infiniti Conference

(2010) Hunter, J. and Burke, SP., Cointegration, common trends and long-run arbitrage, Conference on Macro and Financial Economics

(2009) Hunter, J. and Wu, F., A multifactor consumption based asset pricing model of the UK stock market: the US stock market as a wealth, EEFS Conference

(2008) Hunter, J. and Ioannidis, C., Matrix polynomial conditions for the existence of rational expectations solutions, The Econometrics Study Group Conference

(2007) Hunter, J. and Burke, SP., Common trends, cointegration and competitive price behaviour, ESRC Econometrics Study Group Annual Conference 2007

(2007) Hunter, J. and Burke, SP., Common trends, cointegration and competitive price behaviour, Royal Economics Society Conference

(2001) Hunter, J. and Ioannidis, C., Identification and identifiability of non-linear IV/GMM Estimators, , LACEA conference, Montevideo, Uruguay

(2001) Bauwens, L. and Hunter, J., IDENTIFICATION AND EXOGENEITY IN THE LONG-RUN, , EC-Squared Conference in Causality and Exogeneity in Economics

(2001) Serguieva, A., Hunter, J. and Kalganova, T., Soft computing in investment appraisal, International Conference in Fuzzy Logic and Technology Download publication

(1998) Dunne, JP. and Hunter, J., The allocation of government expenditure in the UK: a forward looking dynamic model, , International Institute of Public Finance Conference, Cordoba, Argentina

(1996) Hunter, J. and Simpson, M., Exogeneity and identification in a model of the UK effective exchange rate, , European Econometrics Society Meeting in Istanbul

(1989) Hunter, J., The effect of cointegration on solutions to rational expectations models, , European Econometrics Society Conference in Munich

Book Chapters

(1998) Fairclough, D. and Hunter, J., The ex-ante classification of take-over targets using neural networks. In: Refenes, APN., Burgess, AN. and Moody, E. eds. Decision technologies for computational finance. Springer (2) : -

Books

(Forthcoming) Hunter, J., Burke, SP. and Canepa, A., Modelling non-stationary economic time series: a multivariate approach. Palgrave Macmillan

(2005) Burke, SP. and Hunter, J., Modelling non-stationary economic time series: a multivariate approach. Palgrave Macmillan

Page last updated: Thursday 12 July 2012