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University of Essex

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

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


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

Scientist conducting experiment

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

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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

TBC

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.