Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy
We are a collaboration of leading academics, from the fields of finance, econometrics and economics, focusing on mutual research projects.
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About this Centre
Our members include financial and time series econometricians, macroeconomists, and researchers in asset pricing. Together, we aim to promote high-quality and high-impact research, foster international collaboration and inspire the next generation of young researchers in the field.
We provide powerful insights to help those who make decisions and who interpret a range of financial phenomena; from regional house price variations to asset pricing, bubbles, FinTech, cyber security in finance, sustainable and climate finance, volatility and risk modelling and investments. We host distinguished international visitors and we are home to a vibrant doctoral student community.
The work of our Centre members has been published in the top economics and finance journals. We secure research funding from a variety of bodies including the Economic and Social Research Council, Leverhulme Trust, the British Council and The Austrian Science Fund (FWF). We also run a series of popular events and host guest speakers throughout the year.
Our Mission
We bring together leading experts and scholars from academia and industry to research and share critical knowledge about financial markets and decision-making. This work attracts high-level funding, and our events draw large audiences and high-profile international keynote speakers. We are particularly delighted to have hosted the Frontiers of Factor Investing , and , the and Conferences and the SoFIE conference on Financial Econometrics and Empirical Asset Pricing.
4th Frontiers of Factor Investing Conference
The 2024 FOFI Conference featured topics including asset pricing, factor investing, sustainable investment, risk management, and next-generation quantitative methods.
Prize winners
- Invesco Factor Investing Prize: Professor Robert Korajczyk, Northwestern University
- Robeco Sustainable Investing Prize: Cheng Xue, PhD researcher, Queen Mary University
- Quoniam Innovation in Data-Driven Investing Prize: Dr Alejandro Lopez-Lira, Warrington College of Business, University of Florida
Our research themes
Our research activities span several topics and explore many themes. They include measuring and forecasting volatility, pricing bubbles, fiscal policies, investments, banking failure risk and stability.
Visit our publications section to view the research produced by Centre members and visitors.
Centre publicationsaccordion
This research includes the modelling and forecasting of multivariate volatility processes. We focus on the understanding of individual trading behaviour at the micro level, and the effect of high-frequency news flows on price, volatility, and limit order book processes.
It is also closely linked to the topics of market microstructure research, non-linear time series analysis and asset pricing, bubbles, and investments.
Key areas of interest include:
- The development of accurate multivariate integrated volatility estimators using point process methods and price duration data
- The modelling of local intraday volatility and co-volatility processes
- Understanding which general and market microstructure factors, and limit order book effects, drive local and integrated volatility processes
- Estimation of jump variation
Here we focus on improving our understanding of the microstructure of equity and derivative markets, their interrelations on a micro level and their information content for future prices, volatility, liquidity and jump risks. Research is carried out partly in a collaborative ESRC-FWF funded research project known as and jointly with Nikolaus Hautsch at the University of Vienna and Torben Andersen at Northwestern University.
In the field of market microstructure, our research looks at establishing microstructure foundations for integrated equity and derivative markets. We do this by studying combined limit order books, for the first time, and we expect to enhance research into high-frequency volatility estimation.
This research focuses on the increasing digitalization of financial markets and businesses and the need to keep them safe and resilient.
Key areas of interest include:
- Fintech lending
- Fake news, flash crashes and risk
- Cryptocurrencies and the dark web markets
This area of research advances the application of nonlinear time series models to arbitrage conditions. It also models exchange rates in the presence of commodity market frictions.
Our time series econometrics research activities shed light on the effects of temporal aggregation on estimation methods; the impact of conditional heteroscedasticity on linearity tests and model-specification procedures; and the performance of forecast evaluation measures.
Our research activities in this area cover a wide variety of themes such as factor investing, mutual fund performance, option pricing and credit risk modelling. They include work to find new methodological contributions to gain a better understanding of the dynamics and risk factors governing financial markets.
The research also examines the issue of exuberance in asset prices or, bubbles, and develops methods to detect explosive behaviour in asset prices in real time as well as the implementation of early warning diagnosis tests.
One research projects analyses the housing market in detail, considering three areas:
- Changes in the time series properties of house prices, shedding light on the timing of the exuberance
- The synchronisation across countries and regions
- The drivers of exuberance in general
The centre hosts the , which includes real-time monitoring of real estate markets and forecasting house prices. Our researchers also collaborate with the of the Federal Reserve Bank of Dallas to monitor international housing markets.
In Dynamic Stochastic General Equilibrium models (DSGE), a major focus of our research are the interactions between the financial sector and the real economy altered by various forms of credit and financial frictions. We investigate the effects of monetary policies, financial regulation, and fiscal policies on the dynamics of the business cycle and welfare.
Within dynamic general-equilibrium overlapping-generations models (OLG), recent research evaluates policy changes that involve redistributions both within and across generations in the presence of uninsurable risks. Other important research themes include the association between taxation, bank bailouts and macro-prudential regulations. And, an understanding of the stabilisation and redistribution properties of monetary and fiscal policies in an economy populated by heterogeneous agents and characterised by inequality.
Our research in this area aims to understand the fundamental mechanisms, institutions, and policies that shape the functioning of banks, their credit policies, and interconnectivity.
Key focuses include:
- The efficiency and productivity of the banking sector
- Risk-taking in the banking sector and its interaction with monetary policy and other prudential banking regulations (e.g., deposit insurance credit guarantee programs, capital regulation, and other micro- and macro-prudential banking regulations)
- Systemic risk and financial stability
- Relationship banking and SME finance
- Endogeneity problems in econometric studies of the banking sector
These research objectives are especially important in the post-subprime-crisis era and span the global banking sector with a special emphasis on the UK and European banks. We propose new state-of-the-art tools to address problems of measurement and estimation of bank efficiency, productivity (an elusive concept) as well as stability in the financial sector.
Islamic banking is estimated to be $1.9 trillion worldwide, featuring double-digit compound annual growth rates, and accounts for a substantial, and systemically important, part of the banking sector in the Middle and Far East. (BOE Quarterly Bulletin Q3-2017; EY, 2016). A catalyst for this growth has been the resilience of the sector during the 2007 Global Financial Crisis. This is an area of research that is also closely linked to our Gulf One Lab for Computational and Economic Research project.
Our current research themes include:
- Productivity and efficiency
- Risk-taking behaviour
- Earnings management
- Corporate governance
- Securitization
- Microfinance
Research Projects
Our current projects include four key topics on real-estate markets, bank supervisory and price risks.
ViLa-LOB
We are currently hosting a project on “Order Book Foundations of Price Risks and Liquidity: An Integrated Equity and Derivatives Markets Perspective”. This is a three-year project funded jointly by the ESRC and the Austrian Science Fund (FWF).
UK Housing Observatory
This is a project developed by the Economics Department at Lancaster University Management School aimed at improving understanding of the UK national and regional house price dynamics. This includes real-time monitoring of real estate markets and indicators of house price exuberance.
Gulf One Lab for Computational and Economic Research
The Gulf One Lab for Computational and Economic Research (GOLCER) is a hub for interdisciplinary research in quantitative aspects of economics and finance at Lancaster University Management School. It was established in May 2008 with a philanthropic donation from the .
Past Research Projects
Bank Supervisory Disclosures
This project explored “the Public Disclosure of Individual Bank Supervisory Assessments”. It was a two year project funded by a research grant from the Leverhulme Trust and it was led by Vasso Ioannidou, Professor of Finance at Bayes Business School (formerly LUMS) and CEPR research fellow in financial economics who specialises in banking.
PhD Programmes
We are home to a vibrant doctoral community where our PhD students are encouraged to take advantage of the School's research strengths to develop core skills. We welcome applications from those who wish to study in economics and finance. For more information, please contact Teresa Aldren.
PhD studyPublications
People
Centre Director
Professor Ingmar Nolte
Professor of Finance & EconometricsAsset Pricing and Financial Econometrics, Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Steering Committee
Professor Olga Kolokolova
Chair in Finance, External ExaminerCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Professor Ingmar Nolte
Professor of Finance & EconometricsAsset Pricing and Financial Econometrics, Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Professor Ivan Paya
ProfessorCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Macroeconomics and Financial Markets
Professor David Peel
Professor EmeritusCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Macroeconomics and Financial Markets
Professor Stephen Taylor
Emeritus ProfessorAccounting, Finance, Governance and Banking, Asset Pricing and Financial Econometrics, Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Research Fellows
Dr Alexey Akimov
Senior LecturerAccounting, Finance, Governance and Banking, Asset Pricing and Financial Econometrics, Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Dr Mykola Babiak
Senior Lecturer in FinanceCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Dr Yuting Bai
LecturerCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Centre for Scholarship and Innovation in Management Education, Economics Research Group, Macroeconomics and Financial Markets
Professor Olivier Cardi
Professor in MacroeconomicsCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Macroeconomics and Financial Markets
Marco Cinquetti
Doctoral Research Associate, PhD studentCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Katerina Deligianni
PhD studentCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Dr Stefano Fasani
Lecturer in MacroeconomicsCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Macroeconomics and Financial Markets
Dr Christoph Frey
Honorary ResearcherCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Aya Ghalayini
Honorary ResearcherCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy
David Happersberger
Honorary ResearcherCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Rodrigo Hizmeri
Visiting ResearcherCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Dr James Huang
LecturerAccounting, Finance, Governance and Banking, Asset Pricing and Financial Econometrics, Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Lancaster China Management Centre
Professor Marwan Izzeldin
Professor of Financial EconometricsCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Gulf One Lancaster Centre for Economic Research, Macroeconomics and Financial Markets
Dr Anastasios Kagkadis
Honorary ResearcherAsset Pricing and Financial Econometrics, Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Professor Olga Kolokolova
Chair in Finance, External ExaminerCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Dr Spyridon Lazarakis
Lecturer (Assistant Professor) in MacroeconomicsCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Luca Lochi
PhD studentCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Dr Harald Lohre
Honorary ResearcherCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Dr Mirela Miescu
LecturerCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Macroeconomics and Financial Markets
Dr Giorgio Motta
LecturerCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Macroeconomics and Financial Markets
Professor Ingmar Nolte
Professor of Finance & EconometricsAsset Pricing and Financial Econometrics, Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Professor Sandra Nolte
Personal Chair, Head of DepartmentAccounting, Finance, Governance and Banking, Asset Pricing and Financial Econometrics, Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Ananthalakshmi Pallasena Ranganathan
Honorary ResearcherCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Professor Efthymios Pavlidis
ProfessorCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Macroeconomics and Financial Markets
Professor Ivan Paya
ProfessorCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Macroeconomics and Financial Markets
Professor David Peel
Professor EmeritusCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Macroeconomics and Financial Markets
Dr Manh Pham
Lecturer in FinanceCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Dr Roberto Pinto
Lecturer (Assistant Professor) in FinanceCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Corporate Finance and Banking
Dr Anthony Priolo
Lecturer in EconomicsCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Macroeconomics and Financial Markets
Dr Vikas Raman
Senior Lecturer in FinanceAsset Pricing and Financial Econometrics, Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Dr Philipp Renner
Senior LecturerCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Industrial Organisation and Economic Theory, Macroeconomics and Financial Markets
Professor Lorenza Rossi
Chair in MacroeconomicsCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Macroeconomics and Financial Markets
Professor Mark Shackleton
ProfessorAccounting, Finance, Governance and Banking, Asset Pricing and Financial Econometrics, Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Centre for Scholarship and Innovation in Management Education, Energy and Society, Energy Lancaster, Pentland Centre
Dr Stefano Soccorsi
Senior Lecturer in Financial EconomicsCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Macroeconomics and Financial Markets
Dr Alina Spiru
LecturerCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Macroeconomics and Financial Markets
Dr Mohan Subbiah
Teaching FellowCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Dr William Tayler
Senior LecturerCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Centre for Scholarship and Innovation in Management Education, Economics Research Group, Macroeconomics and Financial Markets
Professor Stephen Taylor
Emeritus ProfessorAccounting, Finance, Governance and Banking, Asset Pricing and Financial Econometrics, Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Dr Michail Vamvakaris
Honorary ResearcherCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Nikolas Vasilas
PhD studentCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Konstantinos Vasilopoulos
Visiting ResearcherCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Macroeconomics and Financial Markets
Dr George Wang
Senior Lecturer in FinanceCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Dr Ally Zhang
Lecturer in FinanceAsset Pricing and Financial Econometrics, Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Centre Administrator
Teresa Aldren
Research Enhancement and Centres AdministratorCentre for Consumption Insights, Centre for Family Business, Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Centre for Health Futures, Centre for Marketing Analytics & Forecasting, Centre for Productivity & Efficiency, Centre for Scholarship and Innovation in Management Education, Centre for Technological Futures , Centre for Transport & Logistics (CENTRAL)
Visiting Research Fellows
- , Northwestern University
- Berenberg Bank
- , Cass Business School
- , Fordham University
- , University of New Orleans
- , University of Vienna
- Bayes Business School
- University of Manchester
- , Invesco Quantitative Strategies
- , Federal Reserve Bank of Dallas
- , Federal Reserve of Dallas
- , University of Zurich, Swiss Finance Institute, KU Leuven and CEPR
- , University of Bath
- Northwestern University
- National Sun Yat-sen University
Events
Discover our upcoming events and activities. For past events, please visit our Events Archive.
More Events
Financial Econometrics Conference
In March 2023, we were delighted to host the to mark Stephen Taylor's Retirement.
Following on from the conference, the invites submissions to a special issue in Honour of Stephen J. Taylor.
Visit the conference website for further details.
