Essex Centre for Macro and Financial Econometrics (ECMFE)

Part of Essex Business School

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We are the Centre for Macro and Financial Econometrics

The Essex Centre for Macro and Financial Econometrics (ECMFE) brings together academic and industry expertise from both inside and outside the University of Essex to research and help solve important issues in macroeconomics and financial markets.

The centre is a joint venture between Essex Business School (EBS) and the Department of Economics at the University of Essex and brings together leading experts in quantitative finance and econometrics in the two.  An external fellowship scheme also exists to promote and share our research with academic colleagues both in the UK and internationally, and with researchers and  policy makers in national and pan-national central banks and private sector consultancy companies, among others. 

To discover our full list of members and view their academic staff profiles, please visit our people page.

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"Essex is a globally recognised centre of excellence for both quantitative finance and econometrics.  The Essex Centre for Macro and Financial Econometrics builds on these strengths to foster and encourage creative research, both theoretical and practical, in these fields."
Professor Robert Taylor Director Essex Centre for Macro and Financial Econometrics

Our work

Our research areas

Financial econometrics is a multi-disciplinary activity, combining research in finance, statistics, economics, mathematics and computing. We have a strong tradition of high quality internationally recognised research in the following areas:

  • time series analysis in general and financial econometrics
  • the application of time series methods to problems in macro-economics and finance
  • detecting bubble-type behaviour in financial series
  • forecasting stock returns using predictive regression methods 
  • the analysis of functional time series data
  • macroeconometric forecasting and policy  
  • forecasting with high frequency data
  • the relationship between trading partners and trading volume
  • how modelling volatility affects statistical tests of financial data
  • whether speculator positions affect food and energy prices
  • the effect of policy on banking activity

View our full list of members' research interests and visit their academic staff profiles, by visiting our people page.

Our research activities

The way in which financial markets and their participants affect the price of securities is a subject of contention. Some commentators suggest that relatively new, high-frequency traders in equity markets, or speculators in commodity markets, have boosted liquidity and market efficiency. Others argue that they increase volatility and risk. This dichotomy has led to fierce policy debate regarding the appropriate financial regulatory approach at national and international levels.

Decisions on financial policy require expertise in both finance and econometrics. Financial analysis requires computational methods and the handling of large-scale datasets to statistically model returns, volatility, higher moments and generate forecasts.

Our members have worked in collaboration on these issues with researchers and policy makers at a number of external organisations, including the Bank of England, the Bank of Italy and the Bank of Portugal.   The centre also works closely with industry; one of our current postgraduate students works for Oxford Economics, a highly respected private sector consultancy providing global economic forecasting, and is pursuing a PhD within the centre. Please visit our people page to view our full list of members.

Our education

In addition to the MSc in Financial Econometrics, the ECFME is an active participant in both the PhD in Finance (run by Essex Business School) and the PhD in Economics (run by the Department of Economics). Students are encouraged to take full part in the research activities of the centre including our seminar and workshop programmes.  We actively encourage suitably qualified students to apply to either the PhD Finance programme or the PhD Economics programme as appropriate. To enquire about making an application, please email Professor Simon Price (EBS) informally. To view the full scope of our members' research interests, please visit their individual staff profiles on our people page. 

Visit the PhD in Finance or the PhD in Economics to discover more about the postgraduate research application process at Essex. Students can draw upon the expertise, support and facilities of our centre, regardless of which of these PhD programmes they have been accepted onto.  It is also possible to have one supervisor from EBS and another from the Department of Economics.

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Postgraduate study

Our centre offers a number of opportunities for postgraduate study. View our MSc in Financial Econometrics by clicking the link below or get in touch with us to discuss PhD study.

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Upcoming events

We run an active seminar series as part of our many research activities. You can view these events by visiting our departmental event calendar.

View our departmental calendar

Highlights of our research


Our members regularly host high profile workshops, conferences and attend research seminars to discuss and promote their work. Some of their most notable appearances include:

We also frequently organise joint seminars with the Department of Economics. To discover relevant events please visit the Econometrics Research Seminar Series.


Our academic staff regularly publish work in leading journals and publications. Examples of their most recent work include:

Please visit the University of Essex research repository to view all papers from the Department of Economics.

Please visit the University of Essex research repository to view all papers from the Essex Finance Centre

Notable research grants and awards

Our Centre is a rich environment for active research. Our academics have been awarded many high profile research grants to investigate everything from time series modelling to financial crisis. Some of our most recent notable grant awards include:

  • An ESRC research grant was awarded to Professor Robert Taylor for a project entitled "Investigating Structural Change in Predictive Regressions with Applications to Forecasting Stock Returns". More details about the project can be found on the UKRI website.
  • An ESRC research grant was awarded to Professor Robert Taylor and Professor Marcus Chambers for their research on "The Analysis of Non-stationary Time Series in Economics and Finance: Co-integration, Trend Breaks, and Mixed Frequency Data". More details about the project can be found on the UKRI website.
Essex Business School Building (Colchester campus)
Contact us
Essex Centre for Macro and Financial Econometrics (ECMFE) University of Essex
Wivenhoe Park, Colchester CO4 3SQ
Essex Business School University of Essex
Wivenhoe Park, Colchester CO4 3SQ
Telephone: 01206 873333