
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.
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

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.
Frontiers of Factor Investing Conference
We would like to thank all contributors to the recent 'Frontiers of Factor Investing' Conference in Lancaster.
We enjoyed many excellent paper and poster presentations, but there could only be one best conference paper award from each of our sponsors - Invesco and Robeco.
Many congratulations to Benjamin Holcblat from University of Luxembourg for being awarded the Invesco Factor Investing Prize (GBP 1000) for his paper "Anomaly or Possible Risk Factors? Simple-To-Use Tests" and Glen Gostlow from London School of Economics for being awarded the Robeco Prize (GBP 1000) for his paper "Pricing Physical Climate Risk in the Cross-Section of Returns".

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 to view the research produced by Centre members and visitors.
Research Projects
Our current projects include four key topics on real-estate markets, bank supervisory and price risks.

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 ObservatoryPast Research Projects
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.
Publications
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
ProfessorCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Macroeconomics and Financial Markets
Professor Mike Tsionas
ProfessorCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Centre for Productivity & Efficiency, DSI - Foundations, DSI - Health, Economics Research Group, Labour, Education and Health Economics, 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
Lecturer in FinanceCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Dr Yuting Bai
LecturerCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Economics Research Group, Macroeconomics and Financial Markets
Dr Olivier Cardi
Senior Lecturer 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
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
LecturerAsset 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
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
PhD studentCentre 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
ProfessorCentre 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 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
Alexander Swade
PhD studentCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy
Dr William Tayler
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
Professor Mike Tsionas
ProfessorCentre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Centre for Productivity & Efficiency, DSI - Foundations, DSI - Health, Economics Research Group, Labour, Education and Health Economics, Macroeconomics and Financial Markets
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
Shifan Yu
PhD studentCentre 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
- 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.
Discover our upcoming events
More Events