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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.

Charles Carter

Engaging Leading Experts

Our events bring together leading experts and young scholars from academia and industry to promote our research. Our SoFIE joint conference on Financial Econometrics and Empirical Asset Pricing in 2016 and our recent Frontiers of Factor Investing Conference both attracted over 100 participants from academia and industry. Please visit our website for our upcoming Financial Econometrics Conference taking place on the 13th - 14th of September 2018.

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.

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.

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.

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.

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.

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.

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

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.

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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.

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

People

Centre Director

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

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

+44 (0)1524 592083

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

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

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

+44 (0)1524 593590

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Centre for Productivity & Efficiency, Economics Research Group, Labour, Education and Health Economics, Macroeconomics and Financial Markets

+44 (0)1524 592668

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

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

Dr Christos Argyropoulos

Lecturer in Finance

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

+44 (0)1524 595144

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

+44 (0)1524 593178

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

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

C042a, C - Floor, Management School

Yanying Guan

PhD student

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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

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

+44 (0)1524 592083

Dr Marwan Izzeldin

Senior Lecturer

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

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

+44 (0)1524 594603

Yifan Li

PhD student

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

+44 (0)7707 013401

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

+44 (0)1524 593075

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

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

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

Dr Efthymios Pavlidis

Senior Lecturer

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

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

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

+44 (0)1524 593590

Tristan Linke

PhD student

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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

Casual - Teaching, PhD (Integrated) student

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

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

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

+44 (0)1524 594834

Dr Mohan Subbiah

Senior Research Fellow in Accounting, Teaching Fellow

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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

+44 (0)1524 594235

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

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Centre for Productivity & Efficiency, Economics Research Group, Labour, Education and Health Economics, Macroeconomics and Financial Markets

+44 (0)1524 592668

Dr George Wang

Senior Lecturer in Finance

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

+44 (0)1524 592577

Jiali Yan

PhD student

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

+44(0)79222485780

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

+44 (0)1524 510731

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

+44 (0)1524 594034

Centre Administrator

Teresa Aldren

Research Centres Administrator, Administrator

Centre for Marketing Analytics & Forecasting

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

Events

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