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.
We are delighted to host the Financial Econometrics Conference to mark Stephen Taylor's Retirement - 29th-31st March 2023. Please refer to our website for the Call for Papers and further details.
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.
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.
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 ViLa-LOB and jointly with Nikolaus Hautsch at the University of Vienna and Torben Andersen at Northwestern University.
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.
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.
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.
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.
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.
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.
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.
UK Housing ObservatoryGulf 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.
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.
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 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 Seok Young Hong
Senior Lecturer in FinanceCentre 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
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
Dr Sandra Nolte
Senior Lecturer, 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
Head of Department, 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, 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, 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
Doctoral Research Associate, 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 student, Associate LecturerCentre 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 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
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