GOLCER researchers have interest in both high frequency data modelling and banking.
Current research interests in high frequency volatility modelling data include:
1. The understanding of market dynamics, especially during crisis periods when large, frequent jumps in prices occur and the impact this has on the various forecasting models.
2. The development and modification of jumps detection techniques.
3. The properties of realised measures under different data aggregation and time deformation methods.
4. High Frequency Switching Regimes and Continuous Threshold Processes.
5. Genetic Algorithms and Signal Extraction in Large Data.
Current research interests in Banking/ Islamic Banking:
1. Efficiency and Productivity Measurement
2. Loan Loss Provision and Earnings management
3. Banking Stability, Survival and Stress testing
4. Asset-liability management in Islamic banks, and corporate social responsibility practices in conventional and Islamic financial institutions
5. The Inter-temporal Relationship between Capital, Risk and Efficiency; The case of Conventional and Islamic Banks
Our research is disseminated through academic papers, reports and newsletters. Click the relevant links below to find out more and to read our publications.