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.

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.

Frontiers of Factor Investing Conference

The Centre is delighted to be hosting the 4th Frontiers of Factor Investing Conference on 24 - 26 April 2024.

Conference website

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 2022, 2021, and 2018, the Mutual Funds, Hedge Funds and Factor Investing and Financial Econometrics Conferences and the SoFIE conference on Financial Econometrics and Empirical Asset Pricing.

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 publications

High-frequency financial econometrics
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
Market microstructure research

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.
Cyber security in finance
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
Non-linear time series analysis

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.
Asset pricing, bubbles and investments
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 UK Housing Observatory, which includes real-time monitoring of real estate markets and forecasting house prices. Our researchers also collaborate with the Globalization Institute of the Federal Reserve Bank of Dallas to monitor international housing markets.
Optimal monetary and fiscal policies

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.
Banking: Credit allocation and financial stability
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
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).

The ViLa-LOB project is led by LUMS Professors Ingmar Nolte and Stephen Taylor, with Professor Nikolaus Hautsch, from the University of Vienna. The project also includes Professor Torben Andersen, from Northwestern University, as a distinguished international collaborator. The objectives of the research are to improve 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. It involves financial econometrics, limit order book analysis, volatility modelling, market microstructure and derivative pricing.

Project Events

As part of the ESRC-FWF grant 'Bilateral Austria: Order Book Foundations of Price Risks and Liquidity: An Integrated Equity and Derivatives Markets Perspective', we are organising a virtual workshop on the “Econometrics of Option Markets” taking place on April 19-21, 2021.

Our last conference, “Financial Econometrics Conference: Market Microstructure, Limit Order Books and Derivative Markets” took place in September 2018, and a workshop, on "Limit Order Book and OPRA Data", took place in March 2018 in Vienna, Austria.

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.

UK Housing Observatory

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 Gulf One Investment Bank.

Made up of researchers and students from the Department of Economics, as well as other global academic institutions, research expertise is in the area of applied econometric modelling, banking, Bayesian analysis, energy markets, environmental economics, high frequency data econometrics and Islamic finance. Please visit our Research Initiatives for more information.

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.

The research evaluates how the public disclosure of supervisory assessments of individual banks affect bank stakeholders, other banks, and bank supervisors in both crisis and non-crisis periods. The insights for this study aim to inform the debate on whether, and under which conditions, such assessments should be made publicly available.

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 study

Publications

View Publications

People

Centre Director

Professor Ingmar Nolte

Professor of Finance & Econometrics

Asset Pricing and Financial Econometrics, Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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Steering Committee

Professor Olga Kolokolova

Chair in Finance, External Examiner

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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Professor Ingmar Nolte

Professor of Finance & Econometrics

Asset Pricing and Financial Econometrics, Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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Professor Ivan Paya

Professor

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Macroeconomics and Financial Markets

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Professor David Peel

Professor Emeritus

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Macroeconomics and Financial Markets

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Professor Stephen Taylor

Emeritus Professor

Accounting, Finance, Governance and Banking, Asset Pricing and Financial Econometrics, Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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Research Fellows

Dr Alexey Akimov

Senior Lecturer

Accounting, Finance, Governance and Banking, Asset Pricing and Financial Econometrics, Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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Dr Mykola Babiak

Lecturer in Finance

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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Dr Yuting Bai

Lecturer

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Centre for Scholarship and Innovation in Management Education, Economics Research Group, Macroeconomics and Financial Markets

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Dr Olivier Cardi

Senior Lecturer in Macroeconomics

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Macroeconomics and Financial Markets

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Marco Cinquetti

Doctoral Research Associate, PhD student

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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Aikaterini Deligianni

PhD student

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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Dr Stefano Fasani

Lecturer in Macroeconomics

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Macroeconomics and Financial Markets

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Dr Christoph Frey

Honorary Researcher

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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Aya Ghalayini

Honorary Researcher

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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David Happersberger

Honorary Researcher

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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Rodrigo Hizmeri

Visiting Researcher

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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Dr James Huang

Lecturer

Accounting, Finance, Governance and Banking, Asset Pricing and Financial Econometrics, Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Lancaster China Management Centre

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Professor Marwan Izzeldin

Professor of Financial Econometrics

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Gulf One Lancaster Centre for Economic Research, Macroeconomics and Financial Markets

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Dr Anastasios Kagkadis

Honorary Researcher

Asset Pricing and Financial Econometrics, Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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Professor Olga Kolokolova

Chair in Finance, External Examiner

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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Dr Spyridon Lazarakis

Lecturer (Assistant Professor) in Macroeconomics

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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Dr Luca Lochi

PhD student

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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Dr Harald Lohre

Honorary Researcher

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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Dr Mirela Miescu

Lecturer

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Macroeconomics and Financial Markets

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Dr Giorgio Motta

Lecturer

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Macroeconomics and Financial Markets

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Professor Ingmar Nolte

Professor of Finance & Econometrics

Asset Pricing and Financial Econometrics, Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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Professor Sandra Nolte

Personal Chair, Head of Department

Accounting, Finance, Governance and Banking, Asset Pricing and Financial Econometrics, Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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Professor Efthymios Pavlidis

Professor

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Macroeconomics and Financial Markets

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Professor Ivan Paya

Professor

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Macroeconomics and Financial Markets

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Professor David Peel

Professor Emeritus

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Macroeconomics and Financial Markets

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Dr Manh Pham

Lecturer in Finance

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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Dr Roberto Pinto

Lecturer (Assistant Professor) in Finance

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Corporate Finance and Banking

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Dr Anthony Priolo

Lecturer in Economics

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Macroeconomics and Financial Markets

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Dr Vikas Raman

Senior Lecturer in Finance

Asset Pricing and Financial Econometrics, Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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Dr Philipp Renner

Senior Lecturer

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Industrial Organisation and Economic Theory, Macroeconomics and Financial Markets

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Professor Lorenza Rossi

Chair in Macroeconomics

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Macroeconomics and Financial Markets

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Professor Mark Shackleton

Professor

Accounting, 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 Lancaster, Pentland Centre

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Dr Stefano Soccorsi

Senior Lecturer in Financial Economics

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Macroeconomics and Financial Markets

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Dr Alina Spiru

Lecturer

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Macroeconomics and Financial Markets

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Dr Mohan Subbiah

Teaching Fellow

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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Dr William Tayler

Lecturer

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Professor Stephen Taylor

Emeritus Professor

Accounting, Finance, Governance and Banking, Asset Pricing and Financial Econometrics, Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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Dr Michail Vamvakaris

Honorary Researcher

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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Nikolas Vasilas

PhD student

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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Konstantinos Vasilopoulos

Visiting Researcher

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Macroeconomics and Financial Markets

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Dr George Wang

Senior Lecturer in Finance

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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Shifan Yu

PhD student

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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Dr Ally Zhang

Lecturer in Finance

Asset Pricing and Financial Econometrics, Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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Centre Administrator

Teresa Aldren

Research Enhancement and Centres Administrator

Centre 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)

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Visiting Research Fellows

Professor Torben G. Andersen, Northwestern University
Dr Christoph Frey, Berenberg Bank
Professor Ana-Maria Fuertes, Cass Business School
Professor Iftekahr Hassan, Fordham University
Professor Kabir Hassan, University of New Orleans
Professor Nikolaus Hautsch, University of Vienna
Professor Vasso Ioannidou, Bayes Business School
Dr Yifan Li, University of Manchester
Dr Harald Lohre, Invesco Quantitative Strategies
Dr Enrique Martinez-Garcia, Federal Reserve Bank of Dallas
Dr Anthony Murphy, Federal Reserve of Dallas
Professor Steven Ongena, University of Zurich, Swiss Finance Institute, KU Leuven and CEPR
Dr Vasileios Pappas, University of Bath
Professor Viktor Torodov, Northwestern University
Dr Vincent Tsai, National Sun Yat-sen University

Events

Discover our upcoming events and activities. For past events, please visit our Events Archive.

Financial Econometrics Conference

In March 2023, we were delighted to host the Financial Econometrics Conference to mark Stephen Taylor's Retirement.

Following on from the conference, the Journal of Time Series Analysis invites submissions to a special issue in Honour of Stephen J. Taylor.

Visit the conference website for further details.

Financial Econometrics Conference website

A group of people standing on steps in front of a turreted building

24th Apr

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

About this Centre

Frontiers of Factor Investing Conference

Our Mission

Our research themes

Accordion

Research Projects

ViLa-LOB

UK Housing Observatory

Gulf One Lab for Computational and Economic Research

Past Research Projects

Bank Supervisory Disclosures

PhD Programmes

Publications

View Publications

People

Centre Director

Professor Ingmar Nolte

Steering Committee

Professor Olga Kolokolova

Professor Ingmar Nolte

Professor Ivan Paya

Professor David Peel

Professor Stephen Taylor

Research Fellows

Dr Alexey Akimov

Dr Mykola Babiak

Dr Yuting Bai

Dr Olivier Cardi

Marco Cinquetti

Aikaterini Deligianni

Dr Stefano Fasani

Dr Christoph Frey

Aya Ghalayini

David Happersberger

Rodrigo Hizmeri

Dr James Huang

Professor Marwan Izzeldin

Dr Anastasios Kagkadis

Professor Olga Kolokolova

Dr Spyridon Lazarakis

Dr Luca Lochi

Dr Harald Lohre

Dr Mirela Miescu

Dr Giorgio Motta

Professor Ingmar Nolte

Professor Sandra Nolte

Professor Efthymios Pavlidis

Professor Ivan Paya

Professor David Peel

Dr Manh Pham

Dr Roberto Pinto

Dr Anthony Priolo

Dr Vikas Raman

Dr Philipp Renner

Professor Lorenza Rossi

Professor Mark Shackleton

Dr Stefano Soccorsi

Dr Alina Spiru

Dr Mohan Subbiah

Dr William Tayler

Professor Stephen Taylor

Dr Michail Vamvakaris

Nikolas Vasilas

Konstantinos Vasilopoulos

Dr George Wang

Shifan Yu

Dr Ally Zhang

Centre Administrator

Teresa Aldren

Visiting Research Fellows

Events

Financial Econometrics Conference

4th Frontiers of Factor Investing Conference

“Workshop on Empirical and Theoretical Macroeconomics – ETM Lancaster”

Mete Kilic, University of Southern California - seminar

LUMS Spring School “Inference in Macro Models: From Big Data to Structural VARs“

Sergey Chernenko, Purdue University - seminar