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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, 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 next conference on Frontiers of Factor Investing takes place on 2nd and 3rd April 2020.

Library

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 Mutual Funds, Hedge Funds and Factor Investing Conference (2019), the Frontiers of Factor Investing and Financial Econometrics Conferences (2018) and the SoFIE conference on Financial Econometrics and Empirical Asset Pricing (2016).

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.

It is also closely linked to the topics 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
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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.

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.

Stock 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 heteroskedasticity on linearity tests and model-specification procedures; and the performance of forecast evaluation measures.

Stock Markets

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 and Monetary Policy Institute of the Federal Reserve Bank of Dallas for monitoring international housing markets.

Housing

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.

Pound coins

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.

Bank

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
Coin stack

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 Prof. Dr. 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.

More information can be found via the links below:

Gateway to Research

FWF Austrian Science Fund

 

Project Events

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.

Bank Supervisory Disclosures

This project explores “the Public Disclosure of Individual Bank Supervisory Assessments”. It is a two year project funded by a research grant from the Leverhulme Trust and it is led by Vasso Ioannidou, Professor of Finance at 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.

Bank
Housing

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.

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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.

 

   

Saudi Arabia

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

Ingmar Nolte

Professor Ingmar Nolte

Professor of Finance & Econometrics

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

+44 (0)1524 592644 C048, C - Floor, Management School

Steering Committee

Vasso Ioannidou

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

+44 (0)1524 592083
Ingmar Nolte

Professor Ingmar Nolte

Professor of Finance & Econometrics

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

+44 (0)1524 592644 C048, C - Floor, Management School
Ivan Paya

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

+44 (0)1524 593504 B012, B - Floor, Management School
David Peel

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

+44 (0)1524 593590
Mike Tsionas

Centre 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

+44 (0)1524 592668
Stephen Taylor

Professor Stephen Taylor

Professor in Finance

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

+44 (0)1524 593624 C027, C - Floor, Management School

Research Fellows

Alexey Akimov

Dr Alexey Akimov

Senior Lecturer

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

+44 (0)1524 593635 C044, C - Floor, Management School
Christos Argyropoulos

Dr Christos Argyropoulos

Lecturer in Finance

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

+44 (0)1524 595144
Yuting Bai

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

+44 (0)1524 593178
Olivier Cardi

Dr Olivier Cardi

Senior Lecturer in Macroeconomics

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

+44 (0)1524 594983
Konstantinos Fokianos

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Changepoints and Time Series, DSI - Foundations, STOR-i Centre for Doctoral Training

+44 (0)1524 594338 B76, B - Floor, PSC
Yanying Guan

Yanying Guan

PhD student

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

David Happersberger

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

Rodrigo Hizmeri

Rodrigo Hizmeri

Casual - Teaching, PhD student

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

James Huang

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

+44 (0)1524 593633
Vasso Ioannidou

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

+44 (0)1524 592083
Marwan Izzeldin

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

+44 (0)1524 594674
Sanja Jakovljevic

Dr Sanja Jakovljevic

Research Associate

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

+44 (0)1524 592960
Anastasios Kagkadis

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

+44 (0)1524 594603
Giorgio Motta

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

+44 (0)1524 594232 B043, B - Floor, Management School
Ingmar Nolte

Professor Ingmar Nolte

Professor of Finance & Econometrics

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

+44 (0)1524 592644 C048, C - Floor, Management School
Sandra Nolte

Dr Sandra Nolte

Senior Lecturer

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

+44 (0)1524 593634 C050, C - Floor, Management School
Efthymios Pavlidis

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

+44 (0)1524 594849 B015, B - Floor, Management School
Ivan Paya

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

+44 (0)1524 593504 B012, B - Floor, Management School
David Peel

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

+44 (0)1524 593590
Manh Pham

Dr Manh Pham

Lecturer in Financial Econometrics

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

+44 (0)1524 594816
Roberto Pinto

Dr Roberto Pinto

Lecturer (Assistant Professor) in Finance

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

+44 (0)1524 592711
Vikas Raman

Dr Vikas Raman

Senior Lecturer in Finance

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

+44 (0)1524 592997
Philipp Renner

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

+44 (0)1524 593254
Mark Shackleton

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

+44 (0)1524 594131
Stefano Soccorsi

Dr Stefano Soccorsi

Lecturer in Financial Economics

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

+44 (0)1524 510550
Alina Spiru

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

+44 (0)1524 594834
Mohan Subbiah

Dr Mohan Subbiah

Senior Research Fellow in Accounting, Teaching Fellow

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

William Tayler

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

+44 (0)1524 594235
Stephen Taylor

Professor Stephen Taylor

Professor in Finance

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

+44 (0)1524 593624 C027, C - Floor, Management School
Mike Tsionas

Centre 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

+44 (0)1524 592668
Konstantinos Vasilopoulos

Konstantinos Vasilopoulos

Casual - Teaching

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

George Wang

Dr George Wang

Senior Lecturer in Finance

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

+44 (0)1524 592577
Jiali Yan

Jiali Yan

Casual - Teaching, PhD student

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

+44(0)79222485780
Yaqiong Yao

Dr Yaqiong Yao

Senior Lecturer

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

+44 (0)1524 510731
Ally Zhang

Dr Ally Zhang

Lecturer in Finance

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

+44 (0)1524 592776

Centre Administrator

Teresa Aldren

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 Marketing Analytics & Forecasting, Centre for Productivity & Efficiency, Centre for Technological Futures

+44 (0)1524 510906 B003a, B - Floor, Management School

Visiting Research Fellows

Events

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