Areas of expertise

The Auckland Centre for Financial Research strives to achieve excellence in empirical finance and applied financial econometric research. We aim to do this by nurturing and developing world-class researchers, establishing relationships with leading academics and centres/institutes in the field, developing research capacity of postgraduate and PhD students, and engaging with industry.

Financial econometrics

The Auckland Centre for Financial Research has a strong focus on applied financial econometric research. Expertise in this area focuses on financial time series analysis, such as the modelling and forecasting of volatility and the modelling of heterogeneous agent models; the modelling of (ultra) high frequency data, for example when explaining the price formation processes in stock markets (market microstructure); and the application of modern econometric methods to empirical corporate finance issues.

Current research in the financial econometrics field includes:

  • Da Fonseca, J. and Malevergne, Y. (2021) “A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy”, Journal of Economic Dynamics & Control.             
  • Fernandez-Perez, A., Fuertes, A.M., Gonzalez, M., and Miffre, J. (2020) "Fear of Hazards in Commodity Futures Markets", Journal of Banking and Finance.
  • Alba, J. and Wang, P. (2021) “Trilemma, Dilemma or 2.5-Lemma in the Transmission of Monetary Policy: Evidence from a Markov-Switching Panel Data Model”, Applied Economics.
  • Roh, T., Tourani-Rad, A., Xu, Y., Zhao, Y. (2020). Volatility-of-volatility risk in the crude oil market, The Journal of Futures Markets, Vol. 41.

Corporate finance and governance

Corporate finance and governance deals with how effectively corporations manage and direct economic resources to their best usage. The centre has a strong team of researchers that investigate pertinent issues in corporate finance and governance, such as corporate valuation, corporate restructuring, small business, etc.

Current projects include:

Financial markets

Financial markets are essential components of modern countries, reallocating and redistributing resources to maximise economic growth. Yet so many aspects of financial markets are not yet well understood and need greater attention to maximise the potential of exchanges and countries. Our research focus is on issues, such as the effects of exchange competition; financial literacy and its role on market participation; and how regulation affects financial markets.

Current research in the financial markets field includes:

Our researchers

The centre's members include internationally recognised researchers.

Our people

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