Research
Recent research in the area of Financial Econometrics has concentrated on
- The application of Copulae in Finance and the Econometric/Statistical issues involved,
- The modelling of order books with Forex and Fixed Income transactions level data to measure market pressure and liquidity
- The application of extreme value theory to measure risks asset price collapses - particularly in the UK housing market.
Other research lies in the area of Behavioural Finance-- in particular:-
- The distinction between Knigthian Uncertainty and Risk
- The impact of Uncertainty on Asset Pricing and Robust Portfolio design.
- Loss aversion and the forward premium
- Assessing the limits to arbitrage in the formation of asset price bubbles
- measuring market sentiment.
Recent Working Papers:
- Modelling the Probability of UK Housing Market Events (Crashes) using Extreme Value Theory, August 2004