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Empirical Finance

The Empirical Finance Research Group aims to produce innovative research that makes a material contribution to improving our understanding of international monetary and financial systems.

Working closely with other research groups, we use state-of-the-art econometrics to analyse issues with crucial business or policy implications, providing assistance to policy makers and market participants.

Research in this area includes:

  • Financial econometrics
  • Risk modelling
  • Micro finance
  • International finance
  • Computational finance


Professor Guglielmo Maria Caporale Professor Guglielmo Maria Caporale
Divisional Lead / Professor - Economics & Econometrics
Guglielmo Maria Caporale is Professor of Economics and Finance, Divisional Lead for Economics and Econometrics, and Director of the Centre for Empirical Finance at Brunel University London. He is also a CESifo Research Network Fellow. Prior to taking up his current position, he was a Research Officer at the National Institute of Economic and Social Research in London; a Research Fellow and then a Senior Research Fellow at the Centre for Economic Forecasting at London Business School; Professor of Economics at the University of East London; Professor of Economics and Finance and Director of the Centre for Monetary and Financial Economics at London South Bank University (LSBU). He has also been Visiting Professor at both London Metropolitan University and LSBU, Research Professor at DIW Berlin and an NCID (Navarra Center for International Development) Non-Resident Fellow. He carries out editorial duties for various academic journals (including Journal of International Money and Finance, International Review of Economics and Finance, International Economics, Machine Learning with Applications, Journal of Economics and Finance, SN Business and Economics) and has published extensively in leading academic journals such as Journal of International Money and Finance, Journal of Banking and Finance, Journal of Empirical Finance, Journal of Financial Markets, Institutions & Money, International Journal of Finance and Economics, European Journal of Finance, International Review of Financial Analysis, Economics Letters, Finance Research Letters, Journal of Time Series Analysis, Journal of Financial Econometrics, Oxford Bulletin of Economics and Statistics, Econometric Reviews, Journal of Forecasting, Journal of Economic Psychology, Review of International Economics, Canadian Journal of Economics, Journal of Macroeconomics, Quarterly Review of Economics and Finance, International Review of Economics and Finance, Empirical Economics, Journal of Economics and Finance and several others. Qualifications: Phd Economics (LSE) MSc Economics (LSE) Laurea (Politics, LUISS, Rome) My research focuses mainly on international financial markets and monetary policy. It uses cutting-edge econometrics to analyse issues with crucial business/policy implications. It also aims to make methodological contributions to econometric modelling. Undergraduate Programmes Module convenor EC3065 Financial Engineering Postgraduate Programmes Module convenor EC5605 International Finance Administration
Dr Qiwei Chen Dr Qiwei Chen
Senior Lecturer in Accounting and Finance
Having worked in a Chinese commercial bank for six years, I came to the UK to do my Master’s in 2003. I continued further study and completed my PhD in University of Essex. I worked in University of Kent as Lecturer of Finance before I joined Brunel in 2009. Qualifications: PhD Finance (Essex) MSc Finance and Management (Essex) My research focuses on mainly behavioural finance and behavioural accounting area. My current research seeks to explore quantitative modelling to observe behavioural and incorporate quantified behavioural variables into classical valuation model in finance area. At the same time, I am interested in topics related to CDS valuation as well. Undergraduate Programmes Module convenor Financial Accounting Analysis (Yr 2) Module contributor Dissertation Postgraduate Programmes Module convenor MSc Financial Accounting and Corporate Governance Module contributor Dissertation Administration Overseas UG/PG admission coordinator
Dr Javier Coto-Martinez Dr Javier Coto-Martinez
Lecturer in Economics and Finance
I joined Brunel University as a Lecturer in economics in June 2009. Prior to that I was a Lecturer in economics at City University from 2002 – 2009, and between 2000 – 2002, I was Lecturer in economics at the University of East Anglia. Qualifications: PhD Universitat Autonoma de Barcelona My research area is macroeconomics. I am currently focused on building a general equilibrium model for imperfect product or financial markets. I am also working on the introduction of imperfect financial markets in dynamic macromodels. I aim to consider the impact of banking competition to expand their market share on the credit supply. I have also studied the effect of investment in public capital in economy with imperfect competition. Previously, I have completed work in the area of New Keynesian models, to design optimal monetary rule.
Professor Philip Davis Professor Philip Davis
Summary: E Philip Davis has been Professor at Brunel since 2000, (currently part-time) and is also a Fellow of the UK’s National Institute of Economic and Social Research and an Adviser and Consultant at the International Monetary Fund. Davis left Oxford University in 1980, and was employed by the Bank of England up to 2000 except for two periods on secondment, to the Bank for International Settlements and the European Monetary Institute. Qualifications: MA (Politics, Philosophy and Economics) Oxford, MPhil (Economics) Oxford, BA (Theology) London School of Theology Financial instability (see “Debt, financial fragility and systemic risk”, OUP, 1992/5); Pension funds/retirement income provision (see “Pension Funds, Retirement Income Security and Capital Markets”, OUP, 1995); Economics of financial institutions (particularly banks and institutional investors) (see “Institutional Investors”, MIT Press and “Financial Structure”, CUP 2000); International Financial Markets; Financial regulation; Application of industrial economics to financial markets; Monetary aspects of securities markets and asset prices; Economics of financial centres; Portfolio modelling; Consumption; EMU, Sectoral Balance Sheets/Flow of Funds; theology and economics. Teaching: MSc Postgraduate Programmes in Economics and Finance Module convenor EC5530 Business Finance Workshop Module convenor EC5613 Banking and Finance workshop
Dr Jan Fidrmuc Dr Jan Fidrmuc
Senior Lecturer
Jan Fidrmuc is a Senior Lecturer in the Department of Economics and Finance. His research interests include political economy, economic development, institutional economics and labor/family economics. He has published his research in leading European and international peer-reviewed journals, including the European Economic Review, European Journal of Political Economy, Journal of Comparative Economics, and Electoral Studies. Jan Fidrmuc obtained his PhD from Center for Economic Research at Tilburg University in the Netherlands in 1999. Before coming to Brunel, he held appointments at the Center for European Integration Studies (ZEI) of Bonn University, Trinity College Dublin and European Centre for Advanced Research in Economics and Statistics (ECARES) of Université Libre de Bruxelles. Qualifications: PhD in Economics (Tilburg) MA in Economics (Columbia, MO) BSc in Accounting (Bratislava) Personal webpage:
Dr Sven Fischer Dr Sven Fischer
Lecturer in Economics
2018/19 EC3601 Introduction to Behavioural Economics and Finance
Professor Sugata Ghosh Professor Sugata Ghosh
I did my UG and PG studies in India. I then came to the UK in 1989, where I first did an MPhil in Economics (1989-’90), and then completed my PhD in 1994 from the University of Cambridge. I was Lecturer/Senior Lecturer at Cardiff University from 1 July 1996 till 31 December 2004. After this, I joined Brunel University with a Readership (from 1 January 2005). I was appointed Professor in Economics at Brunel on 1 July 2011. Qualifications: PhD Economics (Cambridge, UK) MPhil Economics (Cambridge, UK) MPhil Economics (JNU, India) MSc Economics (Calcutta, India) BSc Economics (Calcutta, India) I am primarily a macroeconomist, specializing in growth theory and empirics, and macro theory and policy; but over the years I have also diversified my research interests considerably to include issues in development economics, applied microeconomic theory, and international finance. Many of the courses I have taught at my previous and current institutions (Cardiff and Brunel University respectively) are directly related to my research interests. Undergraduate Programmes Module convenor International Money and Finance (Level 3) Microeconomic Principles (Level 2) Module contributor As above Administration LIBT Coordinator for Economics and Finance Member, Brunel Panel for Economics and Finance for REF 2014
Dr Matthew Gould Dr Matthew Gould
Lecturer in Economics
I joined Brunel as a lecturer in 2018. Prior to that I had held appointments as a Research Associate both here at Brunel and at Westminster University. I completed my PhD at Westminster University on voting in the UN Security Council, my undergraduate degree was in Pure Mathematics at Warwick University. I have a strong interest in programming and computer simulation. My research interests are quite varied, I tend to focus on problems which require a combination of both theoretical and computational approaches. Some of the areas I have worked in include voting theory, behavioural economics, game theory, taxation and labour economics. I currently teach the modules Economics of Information (EC2604) Advanced Topics in Economic Theory (EC3603) I am also module leader for Economics Project (EC3000)
Dr Charles Grant Dr Charles Grant
My research is mainly on empirical issues relating to consumption. Much of my research has investigated the borrowing and repayment (or non-repayment) of debt by households; and how society can alleviate the income risks that households face which might otherwise reduce their welfare.
Dr John Hunter Dr John Hunter
Senior Lecturer
My career started as a researcher at Liverpool University. I then moved to Birkbeck College for my Masters and there worked with Ron Smith on my first article. After taking classes in Introductory Statistics, level I Economics and Level III Applied Economics at the LSE, I lectured at Southampton, Queen Mary College and Surrey before coming to Brunel. At the LSE I consulted with Sushil Wadhwani for HM Treasury. I have also worked for Oftel with Martin Cave and Chris Ioannidis, and Accenture, KPN Mobile and UCAS. I have refereed for the ESRC project panel, and journals such as the EJ, Applied Econometrics, the Journal of Business and Economic Statistics, the Journal of Economic Dynamics and Control, the Journal of Productivity Analysis and the Energy Journal. In addition to Brunel I have working papers published at Cambridge, Louvain la Neuve and Surrey and as a student at the LSE. Qualifications: BA Economics (Warwick) MSc Economics (Birkbeck, London) PhD Econometrics (London School of Economics) Arbitrage and Dynamic Specification in Exchange Rate Models; Classification, specification and testing of Discrete Data using Neural Networks, Semi-parametric and Parametric Methods; Cointegrating Exogeneity; Consumer Detriment (Hunter, Ioannidis, Iossa and Skerratt, OFT, 2001), Market Monitoring and Definition in Economics and Finance; Corporate Failure Prediction; Merger and Acquisition; Modelling Expectations, Estimation, Identification and Solution, and Modelling Non-Stationary Time Series, Econometric Identification and Test Simulation. Undergraduate Programmes Module convenor Financial Engineering Postgraduate Programmes Programme convenor Financial Modelling and Forecasting Module contributor Dissertation Administration Associate Head of the Department
Dr Woo-Young Kang Dr Woo-Young Kang
Lecturer in Finance
Woo-Young Kang is a Lecturer in Finance at Brunel University London since 2017 when he completed his PhD in Finance at Cranfield School of Management in the UK. He is also a graduate of Boston University (BA Economics, 2006; MSc Mathematical Finance, 2009) in US and Sogang University (MBA Finance, 2008) in South Korea with finance industry experience. He teaches Financial Markets and Global Financial Markets for the undergraduate and graduate levels, respectively. His research areas are in Asset Pricing, Banking, Financial Markets, Financial Engineering and Corporate Finance. He has published his research in leading international peer-reviewed journals, including the Journal of Banking and Finance, the Review of Quantitative Finance and Accounting, the Journal of International Financial Markets, Institutions and Money, and the Finance Research Letters. His research are being presented at leading academic conferences, such as the meetings of the Southern Finance Association, the Eastern Finance Association and the Southwestern Finance Association. Current additional research: behavioral finance and cryptocurrency Module Leader of EC1030 Financial Markets Module Leader of EC5609 Global Financial Markets
Professor Menelaos Karanasos Professor Menelaos Karanasos
Divisional Lead / Professor - Accountancy & Finance
I completed my PhD in 1997. I joined Keele University as a Lecturer in Financial Economics in September 1996. From 1997 - 2004 I was a Lecturer in Financial Economics at the University of York. I was appointed Professor of Financial Economics at Newcastle University in September 2004. I moved to Brunel in September 2005. Qualifications: PhD Financial Economics (University of London) MSc Economics (University of London) BSc Economics (Athens University of Economics and Business) I consider myself a quantitative macro/financial economist. My research interests are quite wide and I enjoy collaborating with other academics. My research focuses on: i) stock volatility and its volume, ii) commodity prices, iii) finance and growth, iv) macroeconomic uncertainty, v) models with time-varying coefficients, vi) mutual funds, and vi) transmission of memory. Postgraduate Programmes Programme convenor Director of all MSc programmes Module convenor Modelling Financial Decisions and Markets Derivative Securities Introduction to Quantitative Methods Administration Director of the MSc Programmes Director of the Brunel Macroeconomics Research Centre Member of the SSS REF Panel
Miss Dilruba Karim Miss Dilruba Karim
Senior Lecturer in Economics and Finance
Since completion of my PhD I have been employed as a lecturer at Brunel with a focus on research into banking crises. I am also a visiting researcher at the National Institute of Economic and Social Research. I have collaborated on research for the Financial Services Authority, EU Commission, and HM Treasury. Qualifications: PhD Economics (Brunel University) BSc Economics (Brunel University) My research focuses on the prediction of banking crises and their economic impacts. I am interested in Early Warning System design and how policy makers can use such models to avert the costs of crises. In conjunction, my work covers financial regulation and its associated costs. I have examined banking systems in the OECD, Latin America, Caribbean and Asia. Recently my focus has turned to the role of domestic credit in crisis evolution. Undergraduate Programmes Module convenor Macroeconomic Principles (Yr 1) Module contributor Dissertation Module (Yr 3) Postgraduate Programmes Module convenor MSc Banking Module contributor Business Finance Workshop Administration Clearing Admissions Tutor Recruitment and Admissions Committee (RAC) member
Dr Aris Kartsaklas Dr Aris Kartsaklas
Senior Lecturer in Economics & Finance
Aris joined Brunel University as a Lecturer in January 2011. He was previously a Lecturer of Financial Economics at the School of Economics and Finance, Queen Mary University of London. At the end of 2008, Aris completed his PhD in Applied Market Microstructure from the University of York, UK. Qualifications: PhD Economics (University of York) MSc Banking and Finance (Loughborough University) BSc Accounting and Finance (Middlesex University) Aris is working on modelling the joint distribution of asset returns and trading volume implied by various market microstructure theoretical frameworks. He is also working on the economic and financial forecasting in the presence of structural breaks and long memory. Undergraduate Programmes Module convenor Financial Accounting (Year 3) Postgraduate Programmes Module convenor Financial Analysis Module contributor Introduction to Quantitative Methods Administration EU / Overseas Undergraduate Admissions
Dr Kyriacos Kyriacou Dr Kyriacos Kyriacou
Associate Dean / Senior Lecturer
I have been working at Brunel since 1995 and have taught on various under-graduate and post-graduate Finance modules. During this time I completed my PhD on a part-time basis in 2002. Qualifications: BSc (Hons) Economics MSc Finance PhD Derivatives and Spot Markets My research concerns the interaction between derivative and underlying markets. As well as modelling the relationship between volume and volatility in derivative markets I have also examined the impact of short-selling restrictions on underlying and option markets. My current interests lie in the area of insider trading with particular focus on the information content of managerial stock option transactions. Undergraduate Programmes Module convenor Financial Markets Corporate Finance Administration Admissions Tutor (EU coordinator)
Dr Siming Liu Dr Siming Liu
Senior Lecturer
I joined Brunel University in 2013 as the lecturer in finance and accounting. I was promoted to senior lecturer in 2019. My research focuses market-based accounting research. I have led and taught undergraduate and postgraduate modules. I am an ACCA qualified accountant and I was working as an auditor at KPMG before pursuing PhD studies at Brunel University. Determinants and consequences of financial reporting quality Financial contracts, auditing and taxation on earnings quality Accounting regulations and financial reporting of SMEs Health-related quality of life I currently lead two postgraduate modules and have previously taught on two undergraduate modules. I have always achieved high satisfaction rates in teaching evaluations and this is re-enforced by positive student feedback. My teaching innovations have enabled me to improve student assessment and feedback methods. These have been extremely well-received by students.
Dr Bryan Mase Dr Bryan Mase
Senior Lecturer
I have been at Brunel University since completing my PhD at Warwick University. Qualifications: PhD Warwick My research focuses on issues in corporate finance and on stock price and liquidity effects associated with corporate actions. It also focuses on the trading decisions taken by company executives, and how these decisions relate to those taken by their respective firms. Undergraduate Programmes Module contributor Financial Theory and Corporate Policy Postgraduate Programmes Module convenor Advanced Corporate Finance Administration Economics and Finance, Head of Admissions, Employability Convenor School of Social Sciences, Deputy Head, Undergraduates University, Academic Appeals Committee, PAG, Library Resources Group, HEAR Working Group
Dr Tomoe Moore Dr Tomoe Moore
Senior Lecturer in Economics and Finance
Dr. Tomoe Moore joined Brunel University in September 2007. She obtained a Distinction in her MSc from Loughborough University and her Ph.D was funded by the DFID ‘Finance and Development’ program. Previously, she taught at Coventry University, whilst she was a visiting lecturer at Loughborough University. She was engaged with the African Development Bank as a consultant by running seminars on poverty-reduction monetary policy for Central Banks and Ministry of Finance in Easten African countries. Among others, she was invited for a flow of funds workshop as a speaker by the Massachusettse Institute of Technology. Her publication includes such leading international journals as Economica, World Development, Economic Development and Cultural Change, Journal of Comparative Economics, Journal of Development Studies and Journal of Banking and Finance. Qualifications: PhD Economics and Finance (Loughborough) MSc Economics and Finance (Loughborough) BSc Economics (Loughborough) My research interest ranges from macroeconomics to finance in the context of emerging and developing economies. In macroeconomics, I am, in particular, interested in a flow of funds analysis in a general equilibrium framework, and monetary policy for developing economies. Recently, I have been engaged in researching the banking sector and its market structure in relation to profitability and competition. . Postgraduate Programmes Module convenor Quantitative Methods for Business Finance (MSc Business Finance) Bank regulation and macro-prudential policy (MSc Banking and Finance) Administration Director of Postgraduate Research
Dr Russ Moro Dr Russ Moro
Lecturer in Economics and Finance
I completed my PhD at Humboldt University in 2007 and currently hold a position of a Lecturer in Economics and Finance at Brunel since 2009. Qualifications: PhD Economics MSc Economics and MSc Statistics My research focuses on the following areas: Company rating, risk evaluation, bankruptcy analysis, robust event forecasting; Decision making under bounded rationality, behavioural finance, estimation of preferences and risk perception, neuroeconomics; The propagation of shocks, macroeconomic analysis in frequency domain; Non-parametric and semi-parametric statistical techniques esp. support vector machines, ensemble methods, boosting. Undergraduate Programmes Module convenor Advanced Topics in Finance Statistics Postgraduate Programmes Module contributor SecurityInvestment Analysis Money and Banking Administration Data and software support, including Bloomberg training Library liaison Dept research seminar organisation Web support
Dr Matteo Pazzona Dr Matteo Pazzona
Senior Lecturer in Economics
Personal Website: Economics of Crime, Economics of Conflict, Labor Economics, Political Economy and Economic History.
Dr Sheehan Rahman Dr Sheehan Rahman
I joined the Economics and Finance Department at Brunel University London as Lecturer in Accounting in August 2017. Prior to this, I completed my PhD in Accounting and Finance from Alliance Manchester Business School, The University of Manchester and MSc in International Accounting and Finance from Birmingham Business School, The University of Birmingham. My current research interest includes textual analysis of UK trading updates and interim management statements. EC5601 International Accounting Standards and Policy
Dr Fabio Spagnolo Dr Fabio Spagnolo
I obtained my PhD from Birkbeck, University of London in 2001, where I also undertook my Post Doctoral Fellowship, funded by the ESRC Programme. In 2002 I joined the Centre for the Analysis of Risk and Optimisation Modelling Applications (CARISMA), Brunel University. In 2004 I was appointed Senior Lecturer in the Economics and Finance Department, where I am currently Reader in Economics and Finance. Qualifications: PhD (Birkbeck, University of London) MSc (Birkneck, University of London) Laurea (University of Naples) My work combines contributions to econometric theory with applications that shed light on policy-relevant issues. My research focuses on a number of fields and includes: i) the study of properties of nonlinear time series models; ii) the development of a new class of probabilistic threshold models; iii) the development of methodologies for testing for financial contagion; iv) the analysis of the relationship between stock prices and bubbles; v) the analysis of the term structure of interest rates; vi) testing for the unbiased forward exchange rate hypothesis; vii) the analysis of debt sustainability/saving-investment; viii) forecasting nonlinear time series. Research Leader, Centre for the Analysis of Risk and Optimisation Modelling Steering Committee Member, Centre for Empirical Finance Undergraduate Programmes Module convenor Financial Theory and Corporate Policy (Yr 3) Postgraduate Programmes Module convenor Advanced Financial Theory Module contributor Advanced Financial Theory and Corporate Policy Administration Research Ethics Coordinator Health and Safety Officer
Dr Nicola Spagnolo Dr Nicola Spagnolo
Dr Nicola Spagnolo joined Brunel University London after receiving his Ph.D. from the University of London in 2001. He is a Research Associate at the Centre for Applied Macroeconomic Analysis (CAMA), the Australian National University; Research Fellow at the Centre for Empirical Finance (CEF), Brunel Univesrity London; and at the Centre for the Analysis of Risk and Optimisation Modelling Applications (CARISMA), Brunel University, London. Research interests include: contagion in financial markets; small sample properties of non linear models; renewable energy and economic growth; the effect of terrorism on macroeconomics and financial markets; modelling stock market returns. Undergraduate Programmes Postgraduate Programmes Administration
Dr Angeliki Theophilopoulou Dr Angeliki Theophilopoulou
Senior Lecturer in Economics
I am a Senior Lecturer in Economics at the Economics and Finance Department. Before joining Brunel University I held positions at the University of Westminster, Birkbeck College, UCL and the European Central Bank. My research lies in the area of Applied Macroeconomics and I am currently working on projects related to Monetary and Fiscal Policies, Income and Wealth Inequality and Economic Uncertainty. I am Module Leader for the following modules: EC3608 Futher Econometrics EC2002 Macroeconomic Principles II EC5500 PG Dissertations
Dr Jessica Wang Dr Jessica Wang
Lecturer in Finance
Prior to joining Brunel University London, Dr Wang held various positions in Accounting, Finance and Economics in Nottingham Trent University, Richmond The American University in London and University of East Anglia, where she taught Financial Risk Management, Corporate Finance, Investments, and Financial Modeling. Dr Wang's primary research interests lie in behavioural finance, with focus on investor attention and sentiment. She has been working on various projects, including investor decision-making mechanisms in determining the asset prices and market performances; cross-border mergers and acquisitions and banking efficiency; commodity sentiment. Dr Wang holds a dual degree BBA (1st) in Business Administration with specialisation in Accounting and Finance, and BA (1st) in English Literature, an MSc (Merit) in International Accounting and Financial Management, and a PhD in Finance. Investors attention and sentiment Behavioural Economics and Finance