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:
- “Time-Varying Arbitrage and Dynamic Price Discovery”. (2018) Journal of Economic Dynamics and Control 91, 485-502.
- “Determinants of Intraday Price Discovery in VIX Exchange Traded Notes”. (2018) Journal of Futures Markets 38, 535–548.
- “Higher Moment Risk Premiums for the Crude Oil Market: A Downside and Upside Conditional Decomposition”. (2017) Energy Economics 67, 410-422.