Recent research in the area of Financial Econometrics has  concentrated on

1.  The application of Copulae in Finance and the Econometric/Statistical issues involved,
2. The modelling of order books with  Forex and  Fixed Income transactions level data to measure market pressure and liquidity
3. 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:-

1.  The distinction between Knigthian Uncertainty and Risk
2.  The impact of Uncertainty on Asset Pricing and Robust Portfolio design.
3. Loss aversion and the forward premium
4. Assessing the limits to arbitrage in the formation of asset price bubbles
5. measuring market sentiment.

Recent Working Papers:

• Modelling the Probability of UK Housing Market Events (Crashes) using Extreme Value Theory, August 2004

•  "The Econometrics of Copulae" presented at Bologna Summer School :
  Frontiers in Financial Mathematics,Sept 2004

• Slides for lecture on "Financial Applications of Copulae" given at Sun-Yat Sen University and the Shanghai University of Economics and Finance,  November 2004,