Centre

Essex Centre for Macro and Financial Econometrics

Part of Essex Business School

We are the Centre for Macro and Financial Econometrics

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.

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 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
a girl sits in a seminar room
Visit our event calendar

Essex Business School run regular seminars, lectures and events. We invite many guest lecturers and City practitioners to speak. Visit our department's event calendar and discover our series of upcoming events.

View the department's event calendar

Past events

2017

25 October - Hypothesis Testing Under Matrix Normalisation - Professor Anastasios Magdalinos, University of Southampton
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.

Get in touch
Get in touch
Centre for Macro and Financial Econometrics University of Essex
Wivenhoe Park, Colchester CO4 3SQ
Essex Business School University of Essex
Wivenhoe Park, Colchester CO4 3SQ
Telephone: 01206 873333