People

Dr Mark Hallam

Lecturer
EBS - Finance
Dr Mark Hallam
  • Email

  • Telephone

    +44 (0) 1206 873164

  • Location

    EBS.3.52, Colchester Campus

  • 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

  • BSc (York)

  • MSc (York)

  • PhD (City University London)

Appointments

University of Essex

  • Lecturer in Finance, Essex Business School University of Essex ( 1/8/2016 - present )

Other academic

  • Postdoctoral Research Fellow, FMC2 Research Cluster, Smurfit Graduate School of Business University College Dublin ( 1/6/2015 - 31/8/2016 )

  • 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

  • Financial Modelling (BE314)

  • Finance Research Techniques Using Matlab (BE368)

Publications

Journal articles (4)

Hallam, M. and Olmo, J., (2018). Statistical Tests of Distributional Scaling Properties for Financial Return Series. Quantitative Finance. 18 (7), 1211-1232

Arvanitis, S., Hallam, MS., Post, T. and Topaloglou, N., (2017). Stochastic Spanning. Journal of Business and Economic Statistics, 1-13

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

mark.hallam@essex.ac.uk
+44 (0) 1206 873164

Location:

EBS.3.52, Colchester Campus

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