Professor Steve Cook
Personal Professor
Accounting & Finance
Telephone: (01792) 602106

Following the award of a D.Phil in econometric modelling from Oxford University under the supervision of Professor Sir David Hendry, Steve moved to Cambridge University to work on the ESRC-funded project Macroeconomic Modelling of the Business Cycle under the direction of Professor Sean Holly.

Research activity has spanned a range of topics including applied econometrics, empirical finance, financial econometrics, numerical simulation and time series analysis. This has resulted in over 140 fully refereed articles appearing in Journal of Applied Econometrics, Oxford Bulletin of Economics and Statistics, Cambridge Journal of Economics, Statistics and Probability Letters, Applied Mathematics and Computation, Communications in Statistics B, Urban Studies, The Manchester School and Economics Letters, along with the receipt of research funding from The British Academy. A member of numerous editorial boards, Steve is editor-in-chief of Routledge’s the Open Access journal Cogent Economics and Finance.

Steve has received repeated and sustained national recognition for his teaching activities at a national level in the form of frequent publication of innovative teaching materials, the delivery of national workshops and seminars, funding for teaching innovation from the Higher Education Academy, and receipt of awards including the 2011 HEA UK Outstanding Teaching Award for Economics. Steve is the only academic in the UK to be recognised twice in the UK Outstanding Teaching Award for Economics category. As a result of his external profile, Steve is a long standing member of the Associate Board of the national body for the teaching of Economics in the UK. Steve's teaching activities have been recognised in the form of numerous presentations and invited chairing at the leading educational conferences in the UK. Steve has acted as external examiner and programme reviewer at numerous institutions over many years and is currently an external examiner at Queen Mary University of London and the University of East Anglia.

Areas of Expertise

  • Applied Econometrics
  • Financial Econometrics
  • Empirical Finance
  • Time Series Analysis


  1. Finite-sample size distortion of the AESTAR unit root test: GARCH, corrected variance–covariance matrix estimators and adjusted critical values. Applied Economics Letters 23(5), 318-323.
  2. & Revisiting the returns–volume relationship: Time variation, alternative measures and the financial crisis. Physica A: Statistical Mechanics and its Applications 470, 228-235.
  3. & Revisiting the returns–volume relationship: Time variation, alternative measures and the financial crisis. Physica A: Statistical Mechanics and its Applications 470, 228-235.
  4. & A new perspective on the ripple effect in the UK housing market: Comovement, cyclical subsamples and alternative indices. Urban Studies 53(14), 3048-3062.

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  • MN-3003 Business and Financial Forecasting

    This module familiarises students with the key concepts in business and financial forecasting. General issues of forecast evaluation, combination and encompassing are considered along with specific time series techniques such as exponential smoothing, Holt's linear method, the Holt-Winters method and ARIMA based forecasting techniques. Emphasis is placed upon the practical application of methods and the subsequent intepretation of results obtained. Particular features of the module are the extensive use of computer software packages (Excel and EViews) and numerous practical sessions (examples classes and computer).

  • MN-M510 International Financial Forecasting

    This module aims to familiarize students with the key concepts used in the forecasting of time series data and financial data. The module exposes students to both the practical and theoretical aspects of time series forecasting, dealing with the application and consideration of a range of forecasting methods and forecast evaluation techniques.


  • Financial Crisis and Policy Responses (current)

    Student name:
    Other supervisor: Dr Dimitrios Vougas
    Other supervisor: Dr Joshy Easaw
    Other supervisor: Dr Tapas Mishra
  • Essays on Microfinance and Poverty Dynamics (current)

    Student name:
    Other supervisor: Dr Davide Avino
  • Profitability and risk of market timing strategies using ETFs and other funds (current)

    Student name:
    Other supervisor: Dr Vineet Upreti
  • Modelling Exchange Rates Using Macroeconomic Fundamentals (current)

    Student name:
    Other supervisor: Dr Syed Shabi-Ul-Hassan
    Other supervisor: Dr Rosen Chowdhury