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Asset Pricing and Financial Econometrics

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The Department has a long-standing reputation in financial econometrics and derivatives. In recent years, the department has been making significant investments in this area through recruitment and a distinguished visitor scheme.

The research contacted by faculty members in these areas cover a wide spectrum of topics including portfolio optimization under uncertainty, bond and derivatives pricing, asset pricing dynamics, volatility modelling, high-frequency financial econometrics, understanding of individual trading behaviour, behavioural finance, mutual funds, and real estate.

Faculty members in this area have published in the Journal of Financial and Quantitative Analysis, the Journal of Econometrics, the Journal of Economic Theory, the Journal of Business and Economic Statistics, the Review of Finance, and many other reputable finance journals. Steven Taylor’s book, “Asset Price Dynamics, Volatility, and Prediction” (Princeton University Press, 2005), provides a comprehensive resource for researchers in this area and is being used on advanced-level courses around the world, while his book “Modelling Financial Time Series” (now in its second edition) is widely acknowledged as the definitive textbook on the subject.

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