Dr Mark Hallam
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Email
mark.hallam@essex.ac.uk -
Telephone
+44 (0) 1206 873164
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Location
EBS.3.52, Colchester Campus
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Academic support hours
You can find details of Academic Support hours on the EBS UG and PG information page on Moodle or by calling EBS Student Services on 01206873911
Profile
Qualifications
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BSc (York)
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MSc (York)
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PhD (City University London)
Appointments
University of Essex
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Lecturer in Finance, Essex Business School, University of Essex (1/8/2016 - present)
Other academic
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Postdoctoral Research Fellow, FMC2 Research Cluster, Smurfit Graduate School of Business, University College Dublin (1/6/2015 - 31/8/2016)
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Postodoctoral Researcher and Adjunct Lecturer, Economics, Koc University (1/9/2013 - 31/5/2017)
Research and professional activities
Research interests
Financial and time series econometrics
systemic risk and market spillovers
macro-financial linkages
forecasting of return and volatility processes
Current research
Mixed-Frequency Macro-Financial Spillovers, with John Cotter and Kamil Yilmaz
Teaching and supervision
Current teaching responsibilities
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Financial Modelling (BE314)
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Finance Research Techniques Using Matlab (BE368)
Publications
Journal articles (4)
Arvanitis, S., Hallam, M., Post, T. and Topaloglou, N., (2019). Stochastic Spanning. Journal of Business and Economic Statistics. 37 (4), 573-585
Hallam, M. and Olmo, J., (2018). Statistical Tests of Distributional Scaling Properties for Financial Return Series. Quantitative Finance. 18 (7), 1211-1232
Hallam, M. and Olmo, J., (2014). Forecasting daily return densities from intraday data: A multifractal approach. International Journal of Forecasting. 30 (4), 863-881
Hallam, M. and Olmo, J., (2014). Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data. Journal of Financial Econometrics. 12 (2), 408-432
Contact
Academic support hours:
You can find details of Academic Support hours on the EBS UG and PG information page on Moodle or by calling EBS Student Services on 01206873911