Keyboard

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

A collaboration of leading academics across Finance, Econometrics and Economics focused 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 host several distinguished international visitors and are home to a vibrant doctoral student community.

Our Centre members have published in the top journals in Economics and Finance and secured research funding from a variety of bodies such as the ESRC, Leverhulme Trust, British Council and FWF. We also run a series of events and guest speakers throughout the year.

Themes
Projects
Publications
People
Events & Seminars
Charles Carter

Engaging Leading Experts

We bring together leading experts and scholars from academia and industry. Our events such as the 2016 SoFIE conference on Financial Econometrics and Empirical Asset Pricing, the 2018 Frontiers of Factor Investing and Financial Econometrics Conferences as well as the recent Mutual Funds, Hedge Funds and Factor Investing Conference in 2019 all attracted large audiences and high profile international keynote speakers.

Our Research Themes

Our research activities span several topics, exploring themes such as 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, focusing 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. 

The key areas of focus 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 as well as limit order book effects drive local and integrated volatility processes
  • Estimation of jump variation.

The research under this topic is closely linked to the topics market microstructure research, non-linear time series analysis and asset pricing, bubbles, and investments.

Code

Market Microstructure Research

The research focuses 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. This research is carried out partly in a collaborative ESRC-FWF funded research project known as ViLa-LOB jointly with Nikolaus Hautsch, University of Vienna and Torben Andersen, Northwestern University.

Within the field of market microstructure, this research looks at establishing microstructure foundations for integrated equity and derivative markets 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

Research advances the application of nonlinear time series models to arbitrage conditions and modelling of exchange rates in the presence of commodity market frictions. 

In the domain of 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

Research activities cover a wide variety of themes in financial markets such as factor investing, mutual fund performance, option pricing and credit risk modelling. They include 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, commonly known as, 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 of the research projects analyses the housing market in detail and looks at the three areas below:

  • Changes in the time series properties of house prices to shed 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 that includes real-time monitoring of real estate markets and forecasting house prices. Our researchers 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 the context of Dynamic Stochastic General Equilibrium models (DSGE) a major focus of the research are the interactions between the financial sector and the real economy altered by various forms of credit and financial frictions. Key aspects of the research activities investigate the effects of monetary policies, financial regulation, and fiscal policies on the dynamics of the business cycle and welfare.

In the context of 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 on understanding 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

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
  • The 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. New state-of-the-art tools are proposed and used 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 has grown to an estimated $1.9 trillion worldwide featuring double-digit compound annual growth rates, and accounts for a substantial part of the banking sector in the Middle and Far East where Islamic banks have become systemically important (BOE Quarterly Bulletin Q3-2017; EY, 2016). Catalyst to its growth has been the resilience of the sector during the 2007 Global Financial Crisis. This area of research is also closely linked to our research project Gulf One Lab for Computational and Economic Research.

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're 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, University of Vienna on the Austrian side. The project also includes Professor Torben Andersen, Northwestern University as 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

A workshop on "Limit Order Book and OPRA Data" took place on the 8th March in Vienna, Austria.

Bank Supervisory Disclosures

Exploring “the Public Disclosure of Individual Bank Supervisory Assessments”. This is a two year project funded by a research grant from the Leverhulme Trust.

This project 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

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.

Read More

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.

Comprising of researchers and students from the Department of Economics as well as other global academic institutions, the research expertise of GOLCER lies 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're home to a vibrant doctoral community where our PhD students are encourage to take advantage of the School's research strengths to develop core skills. We welcome PhD applicants for study in Economics and Finance. For more information, please contact Teresa Aldren.

Publications

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

Professor Vasso Ioannidou

Professor

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

Professor Ivan Paya

Professor

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

Professor David Peel

Professor

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

+44 (0)1524 593590
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

Dr Yuting Bai

Lecturer

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
Fei Ding

Dr Fei Ding

Developmental Lecturer (Applied Macroeconomics)

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

+44 (0)1524 592687
Konstantinos Fokianos

Professor Konstantinos Fokianos

Chair in Statistics

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

David Happersberger

PhD student

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

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

+44 (0)1524 593633
Vasso Ioannidou

Professor Vasso Ioannidou

Professor

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

+44 (0)1524 592083
Marwan Izzeldin

Dr Marwan Izzeldin

Professor

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

Dr Anastasios Kagkadis

Lecturer

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

+44 (0)1524 594603
Alberto Martin Utrera

Dr Alberto Martin Utrera

Lecturer

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

+44 (0)1524 593075
Giorgio Motta

Dr Giorgio Motta

Lecturer

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

Dr Efthymios Pavlidis

Professor

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

Professor Ivan Paya

Professor

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

Professor David Peel

Professor

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

Professor Mark Shackleton

Professor

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
Simon Spavound

Dr Simon Spavound

Casual - Researcher

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

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

Dr Alina Spiru

Lecturer

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

Dr William Tayler

Lecturer

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
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

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 Leadership Studies & Practice, Centre for Marketing Analytics & Forecasting, Centre for Productivity & Efficiency, Centre for Sustainable Healthcare , Centre for Technological Futures

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

Visiting Research Fellows

Events

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

Discover our upcoming events

23rd Aug

Heather Anderson, Monash University - Seminar

Friday 23 August 2019, 10:15am to 11:30am
20th Sep

Dan Amiram, Tel Aviv University - Seminar

Friday 20 September 2019, 10:15am to 11:30am
8th Oct

Vikas Agarwal, Georgia State University - Seminar

Tuesday 8 October 2019, 10:15am to Friday 8 November 2019, 11:30am
11th Oct

Guillaume Vuillemey, HEC Paris - Seminar

Friday 11 October 2019, 10:15am to 11:30am
1st Nov

Ilan Cooper, BI Norwegian Business School - Seminar

Friday 1 November 2019, 10:15am to 11:30am
4th Nov

High-Frequency Financial Econometrics using Matlab

Monday 4 November 2019, 9:00am to Tuesday 5 November 2019, 5:30pm

More Events

Contact us

Visit us