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:
- “Quantile regression analysis of the asymmetric return-volatility relation”, Journal of Futures Markets, forthcoming.
- “Political Crises and the Stock Market Integration of Emerging Markets”, (2012) Journal of Banking and Finance 36, 644-653.
- “Modeling structural changes in the volatility process”, (2011) Journal of Empirical Finance 18, 522-532.