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.
"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."
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:
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 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.
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:
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.
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:
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: