- Financial econometrics and forecasting
- Market microstructure and asset pricing
- Applied macroeconomics
Aris is working on modelling the joint distribution of asset returns and trading volume implied by various market microstructure theoretical frameworks. He is also working on the economic and financial forecasting in the presence of structural breaks and long memory.
Research grants and projects
A Bayesian VAR approach to forecasting US stock returnsAris Kartsaklas (CI) with Andrea Carrierro.
Stochastic and Garch type volatility estimation using range based dataAris Kartsaklas (PI)
Mutual fund flows and stock market volatility Aris Kartsaklas (CI) with Hayan Omran and Menelaos Karanasos
Trader type effects on the volatility-volume relationship: evidence from the KOSPI200 Index futures marketAris Kartsaklas (PI)
Long-run dependencies in stock volatility and trading volumeAris Kartsaklas (CI) & Menelaos Karanasos
Derivatives trading and the volume-volatility link in the Indian stock marketAris Kartsaklas (CI) with Menelaos Karanasos & Sumon Bhaumik