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Michael Pitt

Associate Professor

Phone: +44 (0)24 76 523226
Email: m.pitt (at)

Fax: +44 (0)24 76 523032
Room: S2.111

Office Hours: Thurs 11.00 am - 1.00 pm.

Recent Administrative Duties


MORSE liaison officer, Undergraduate open day coordinator.


Recent Teaching Experience


EC203 Economic Statistics & Econometrics (Undergraduate, running 2005/06).

EC913 Statistical Analysis of Time Series (Masters).

Advanced Econometrics (PhD, running 2005/6).

Techniques in Mathematical Economics and Econometrics (Undergraduate).

Simulation Methods (Masters).

Econometrics B (Masters).

Econometrics A (Masters classes, running 2005/06). Mon (10 -11, 3-4, T1), Wed (10-11, T1).

Research in Applied Economics (Undergraduate, running 2005/06). Thu (3-4, T1).


Research Interests


Financial Time Series; Non-Gaussian state space models; Stochastic Volatility models; Financial Econometrics; Bayesian methodology and Markov Chain Monte Carlo; Filtering and Smoothing; Time series with specified marginal densities.