Essex Centre for Macro and Financial Econometrics
The way in which financial markets and their participants affect the
price of securities is a subject of contention. Some commentators suggest
that relatively new, high-frequency traders in equity markets, or
speculators in commodity markets, have boosted liquidity and market
efficiency. Others argue that they increase volatility and risk. This
dichotomy has led to fierce policy debate regarding the appropriate
financial regulatory approach at national and international levels.
Decisions on financial policy require expertise in both finance and
econometrics. Financial analysis requires computational methods and the handling
of large-scale datasets to statistically model returns, volatility, higher
moments and generate forecasts.
The Essex Centre for Macro and Financial Econometrics brings together
academic and industry expertise from inside and outside the University of Essex
to research and help solve important issues in financial markets.
Our work
Financial econometrics is a multi-disciplinary activity, combining
research in finance, statistics, economics, mathematics and computing. We
have a strong tradition of high quality internationally recognised research
in the following areas:
- time series analysis in general and financial econometrics
- the application of time series methods to problems in macro-economics and
finance
- forecasting with high frequency data
- the relationship between trading partners and trading volume
- how modelling volatility affects statistical tests of financial data
- whether speculator positions affect food and energy prices
- the effect of policy on banking activity
Upcoming events
You can see all of our department's events in our
calendar.
Past events
-
2018
- 5 - 6 July - MMF-EFiC Conference in Banking and Finance 2018: What we have learned ten years on from the financial crisis?
- 21 March - Dr Anders Kock, Oxford University
- 31 January - Professor Valentine Corradi, University of Strathclyde
-
2017
-
2016
Members
-
External Fellows
- Karim Abadir, UCL
- Yacine Ait-Sahalia, Princeton
- Richard Baillie, MSU and QMUL
- Dr Andreas Beyer, European Central Bank
- Chris Brookes, Reading
- Dr Fabio Busetti, Bank of Italy
- Giuseppe Cavaliere, Bologna
- BJ Christensen, Aarhus
- Alex Clymo, University of Amsterdam
- Dick van Dijk, Erasmus, Rotterdam
- Andrew Harvey, Cambridge
- Peter Hansen, EUI
- George Kapetanios, QMUL
- Dennis Kristensen, UCL
- Tassos Magdalinos, Southampton
- Michael McAleer, Erasmus, Rotterdam
- Andreas Müller, University of Oslo
- Professor Roderick McCrorie, St Andrews
- Morten Nielsen, Queen’s Canada
- Denise Osborn, Manchester
- Andrew Patton, Duke
- Hashem Pesaran, USC and Cambridge
- Peter Phillips, Yale
- Professor Paulo Rodrigues, Bank of Portugal
- Neslihan Sakarya, The Ohio State University
- Mark Salmon,Cambridge
- Joao Santos Silva, University of Surrey
- Allan Timmerman, UCSD
- Giorgio Valente, City University of Hong Kong
- Professor Martin Weale, Bank of England
- Mark Wohar, Nebraska
-
Internal Fellows
- Director:
Professor Robert Taylor, Essex Business School
- Deputy Director:
Professor Marcus Chambers, University of Essex, Department of Economics
- Deputy Director:
Professor Simon Price, Essex Business School
- Dr Sam Astill, Essex Business
School
- Professor
Jerry Coakley, Essex Business School
- Dr
Jayant Ganguli, University of Essex, Department of Economics
- Dr
Abhimanyu Gupta, University of Essex, Department of Economics
- Dr Mark
Hallam, Essex Business School
- Professor
Neil Kellard, Essex Business School
- Dr
Gordon Kemp, University of Essex, Department of Economics
- Professor
Alexandros Kontonikas, Essex Business School
- Professor
Dimitris Korobilis, Essex Business School
- Professor
Michael Lamla, Essex Business School
- Dr
Roland Meeks ,University of Essex, Department of Economics
- Dr
Stefan Niemann , University of Essex, Department of Economics
- Professor
Edward Tsang, University of Essex, Computer Science and Electrical
Engineering
- Professor
Andrew Wood, Essex Business School
Postgraduate study
Our Centre offers a number of opportunities for postgraduate study:
Masters study
PhD study
If you are interested in studying for a PhD with us, please contact
Professor Neil Kellard or Professor
Marcus Chambers.
Read our research
Read our latest business research papers
in the Essex Research Repository. Explore our publications and see the wide variety of fields we work in, from accounting, finance, management and entrepreneurship to broader societal issues.
Research degree funding
Join our internationally recognised research community. We’re home to several doctoral training centres and offer many
research degree studentships and scholarships that could make your course fully-funded.
Ask us a question
Would you like to find out more about our business courses or School? We know how important your choice of university is so
ask us a question and our friendly team
is on hand to offer support and information.
Doctoral training
Proficio is our innovative doctoral training scheme. Our University gives you funding to spend on
a variety of courses, from research skills to personal development and career management.