Essex Centre for Macro and Financial Econometrics (ECMFE)

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.

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.

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.

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 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.

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

• The estimation of continuous time models with mixed frequency data by Professor Marcus Chambers in the Journal of Econometrics
• Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data by Professor Marcus Chambers in the Journal of Econometrics
• Real-time monitoring for explosive financial bubbles co-authored by Professor Robert Taylor and Dr Sam Astill in the Journal of Time Series Analysis
• Testing for episodic predictability in stock returns co-authored by Professor Robert Taylor in the Journal of Econometrics
• Testing for parameter instability in predictive regression models co-authored by Professor Robert Taylor in the Journal of Econometrics
• Bubbling over! The behaviour of oil futures along the yield curve co-authored by Professor Neil Kellard and Professor Jerry Coakley in the Journal of Empirical Finance
• Macro-financial spillovers co-authored by Dr Mark Hallam in the Michael J. Brennan Irish Finance Working Paper Series
• The econometrics of the Hodrick-Prescott filter co-authored by Dr Neslihan Sakarya in the Review of Economics and Statistics
• A property of the Hodrick-Prescott filter and its application co-authored by Dr Neslihan Sakarya in Econometric Theory
• Tests for conditional heteroscedasticity of functional data co-authored by Dr Yuqian Zhao in Journal of Time Series Analysis
• Information inertia co-authored by Dr Jayant Ganguli in the Journal of Finance
• Policy uncertainty and the capital shortfall of global financial firms co-authored by Professor Ekaterini Panopoulou in the Journal of Corporate Finance
• Quantile forecast combinations in realised volatility prediction co-authored by Professor Ekaterini Panopoulou in the Journal of the Operational Research Society

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. 

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:

• An ESRC research grant was awarded to Professor Robert Taylor. Visit the UKRI website to read more about the project Investigating Structural Change in Predictive Regressions with Applications to Forecasting Stock Returns.
• An ESRC research grant was awarded to Professor Robert Taylor and Professor Marcus Chambers. Visit the UKRI website to read more about the project for their research on The Analysis of Non-stationary Time Series in Economics and Finance: Co-integration, Trend Breaks, and Mixed Frequency Data.
• An ESRC grant was awarded to Dr Abhimanyu Gupta. Visit the UKRI website to read more about the project Methods for Network Dependent Data. 
• An ESRC grant was awarded to Dr Abhimanyu Gupta for a research project entitled Structural Change Tests for Nonparametric and Increasing Dimensional Models
• A BA/Leverhulme Small Research grant was awarded to Dr Abhimanyu Gupta  entitled Nonlinear Spatial Dynamic Panel Data Models
• An Innovate UK grant was awarded via a Knowledge Transfer Partnership with the firm Above Surveying Ltd. The Support Academic was Professor Neil Kellard.