Centre

Essex Centre for Macro and Financial Econometrics (ECMFE)

Part of Essex Business School

A photograph of Canary Wharf in the City of London

We are the Centre for Macro and Financial Econometrics

The Essex Centre for Macro and Financial Econometrics (ECMFE) brings together academic and industry expertise from both inside and outside the University of Essex to research and help solve important issues in macroeconomics and financial markets.

The centre is a joint venture between Essex Business School (EBS) and the Department of Economics at the University of Essex and brings together leading experts in quantitative finance and econometrics in the two.  An external fellowship scheme also exists to promote and share our research with academic colleagues both in the UK and internationally, and with researchers and  policy makers in national and pan-national central banks and private sector consultancy companies, among others. 

To discover our full list of members and view their academic staff profiles, please visit our people page.

A newspaper with details of the financial markets on.
"Essex is a globally recognised centre of excellence for both quantitative finance and econometrics.  The Essex Centre for Macro and Financial Econometrics builds on these strengths to foster and encourage creative research, both theoretical and practical, in these fields."
Professor Robert Taylor Director Essex Centre for Macro and Financial Econometrics

Our aims:

  • Continue our development towards being a leading international centre for macro and financial econometrics
  • Enhance the academic credibility and international visibility of EBS, the Department of Economics and of the relevant academic staff in these groups in macro and financial econometric methods
  • Conduct research in macro and financial econometrics of a level commensurate with publication in the highest quality international journals, and to foster and encourage end-user engagement with our research
  • Facilitate theoretical and applied uni- and multi- disciplinary research between Essex academics and leading academics from other leading institutions
  • Raise Essex’s profile through international conferences, workshops and seminars held at Essex, and to attract visitors to Essex from leading institutions
  • Establish new and maintain existing links with participants in academic-oriented policy organisations (e.g. Bank of England, Bank of Italy, European Central Bank, Federal Reserve, International Monetary Fund), both at a national and international level, and colleagues in foreign time series research centres and other research organisations
  • Develop new and maintain existing linkages with industry and commerce, such as private economic and financial consultancy firms, investment banks, mutual and hedge funds who make use of high-level financial econometrics techniques
  • Attract high quality research students
  • Link with overall University, EBS and Department of Economics research strategies

Our work

Our research areas

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
  • detecting bubble-type behaviour in financial series
  • forecasting stock returns using predictive regression methods 
  • the analysis of functional time series data
  • macroeconometric forecasting and policy  
  • 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

View our full list of members' research interests and visit their academic staff profiles, by visiting our people page.

Our research activities

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.

Our members have worked in collaboration on these issues with researchers and policy makers at a number of external organisations, including the Bank of England, the Bank of Italy and the Bank of Portugal.   The centre also works closely with industry; one of our current postgraduate students works for Oxford Economics, a highly respected private sector consultancy providing global economic forecasting, and is pursuing a PhD within the centre. Please visit our people page to view our full list of members.

Our education

In addition to the MSc in Financial Econometrics, the ECFME is an active participant in both the PhD in Finance (run by Essex Business School) and the PhD in Economics (run by the Department of Economics). Students are encouraged to take full part in the research activities of the centre including our seminar and workshop programmes.  We actively encourage suitably qualified students to apply to either the PhD Finance programme or the PhD Economics programme as appropriate. To enquire about making an application, please email Professor Simon Price (EBS) informally. To view the full scope of our members' research interests, please visit their individual staff profiles on our people page. 

Visit the PhD in Finance or the PhD in Economics to discover more about the postgraduate research application process at Essex. Students can draw upon the expertise, support and facilities of our centre, regardless of which of these PhD programmes they have been accepted onto.  It is also possible to have one supervisor from EBS and another from the Department of Economics.

Young man using a computer, wearing headphones
Postgraduate study

Our centre offers a number of opportunities for postgraduate study. View our MSc in Financial Econometrics by clicking the link below or get in touch with us to discuss PhD study.

Highlights of our research

Events

Our members regularly host high profile workshops, conferences and attend research seminars to discuss and promote their work. Some of their most notable appearances include:

  • A one-day workshop on "High-dimensional Econometrics and Machine Learning" was held on 23 May 2024. The workshop finished with the 2024 Annual John Nankervis Memorial Lecture, in which Professor David Harvey (University of Nottingham) spoke on "Forecast Evaluation in the Presence of Instability".
  • A workshop on Methods and Applications for Network Data, held on June 1 2022, funded by ESRC grant ES/R006032/1
  • A three-day ESRC virtual workshop, co-funded by the Money Macro and Finance Society on Predictability, Forecasting and Monitoring, held on 12-14 July 2021, funded by ESRC grant ES/R00496X/1
  • An Order Book Dependent Hawkes Process for Large Datasets - A research seminar by external speaker Alessio Sancetta from Royal Holloway, University of London, held in December 2020. Alessio is a Professor of Economics at Royal Holloway since 2012, and an adjunct professor at LUISS in Rome since 2017. He previously held a University lectureship at the University of Cambridge where he completed his PhD in 2002. His work has been published on Journal of Econometrics, Econometric Theory, Journal of Financial and Quantitative Analysis and the Journal of Multivariate Analysis.
  • The Econometrics of Portfolio Sort - A research seminar by external speaker Valentina Corradi from the University of Surrey, held in November 2020. 

    Valentina is a Professor of Econometrics at the University of Surrey. She obtained a PhD in Economics in 1994 at the University of California, San Diego. She held positions at University of Pennsylvania, Queen Mary-University of London, University of Exeter and University of Warwick. Her work has been published on Journal of Econometrics, Econometric Theory, Journal of the American Statistical Association, Review of Economic Studies, International Economic Review and Journal of Monetary Economics.

  • Factor Models with Downside Risk - A research seminar by external speaker Lorenzo Trapani from the University of Nottingham, held in October 2020.
  • Wild Bootstrap Testing for Speculative Bubbles using Spot and Futures Prices - A research seminar by Dr Ioannis Korkos, held in April 2020.
  • Heterogenous Effects of the Monetary Policy in the Euro Area: A Factor-Augmented VAR (FAVAR) Approach - A research seminar by Dr Miguel Angel Gavilan-Rubio, held in January in 2020.
  • Nonparametric Estimation of the Variance Function in a Structural Break Autoregressive Model - A research seminar held by external speaker Yang Zu from the Nottingham University, held in October 2019.
  • Predictive Regression Models: Theory and Applications to Returns (.pdf) - A research seminar held at Wivenhoe House Hotel at the University of Essex, in September 2019. Speakers included; Amit Goyal, Matei Demetrescu, Tassos Magdalinos, Ekaterini Panopoulou, Peter Boswijk, Jean-Yves Pitarakis, Paulo Rodrigues and Professor Robert Taylor.
  • The Role of Conditioning in Predictive Regressions - A research seminar by external speaker Professor Peter Boswijk from the University of Amsterdam, in May 2019.
  • Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility - A research seminar by external speaker Konstantinos Theodoridis from Cardiff Business School, held in January 2019.
  • Conference in Banking and Finance 2018: What we have learned ten years on from the financial crisis? An conference hosted by the The Essex Finance Centre (EFiC) and the Essex Centre for Macro and Financial Econometrics (ECMFE), supported by the Money Macro and Finance Research Group (MMF), the Bank of England and the Centre for Applied Macroeconometric Analysis (CAMA), held at Essex Business School in July 2018.
  • Hypothesis Testing Under Matrix Normalisation - A research seminar by external speaker Professor Anastasios Magdalinos from the University of Southampton, held in October 2017.
  • Econometric Modelling with Mixed Frequency and Aggregated Data (.pdf) - A research seminar held at Wivenhoe House Hotel at the University of Essex, in July 2017. Speakers included; Michael Thornton, Roderick McCrorie, Peter Zadrozny, Claudia Foroni and Mark Hallam.
  • Co‐integration, Multivariate Time Series Modelling and Structural Change (.pdf) - A research seminar held at Essex Business School at the University of Essex, in July 2016. Speakers included; David Harris, Josep Lluís Carrion‐i‐Silvestre, James Mitchell, Ivan Petrella, George Kapetanios and Andreas Beyer.

We also frequently organise joint seminars with the Department of Economics. To discover relevant events please visit the Econometrics Research Seminar Series.

Publications

Our academic staff regularly publish work in leading journals and publications. Examples of their most recent work include:

Please visit the University of Essex research repository to view all papers from the Department of Economics.

Please visit the University of Essex research repository to view all papers from the Essex Finance Centre

Notable research grants and awards

Our Centre is a rich environment for active research. Our academics have been awarded many high profile research grants to investigate everything from time series modelling to financial crisis. Some of our most recent notable grant awards include:

Essex Business School Building (Colchester campus)
Contact us
Essex Centre for Macro and Financial Econometrics (ECMFE) University of Essex
Wivenhoe Park, Colchester CO4 3SQ
Essex Business School University of Essex
Wivenhoe Park, Colchester CO4 3SQ
Telephone: 01206 873333