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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



Group members:

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. Growth theory and empirics Macroeconomic theory and policy Applied microeconomic theory Development economics 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
Email 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. Computational economics, behavioural economics, voting theory 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. Applied Microeconometrics
Dr John Hunter Dr John Hunter
Email 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. Arbitrage in economic and financial markets Exchange rate and small macro modelling Non-stationary time series Regulatory econometrics 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
Email 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 Asset Pricing Banking Financial Markets Financial Engineering Corporate Finance Module Leader of EC1030 Financial Markets Module Leader of EC5609 Global Financial Markets
Professor Menelaos Karanasos Professor Menelaos Karanasos
Email 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. Empirical finance Applied macroeconomics Time series analysis Financial development 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
Email 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. Early Warning Systems Banking Crises Financial Regulation 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
Email 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. Financial econometrics and forecasting Market microstructure and asset pricing Applied macroeconomics 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
Email 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. The impact of derivatives on underlying markets The information content of Director trades Executive stock options Insider trading (general) Undergraduate Programmes Module convenor Financial Markets Corporate Finance Administration Admissions Tutor (EU coordinator)
Dr Siming Liu Dr Siming Liu
Email 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 have actively engaged in research activities by publishing papers in internationally recognised journals, attending conferences and applying for grants. My main research areas concern accountancy and health economics. I have published in 4* journals in health economics. The contribution and impact of my accounting research is to inform the future accounting policy for different groups of firms. The research output has been cited by various 3* journals, public policy papers and practitioners’ conferences. 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 Tomoe Moore Dr Tomoe Moore
Email 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. . Emerging financial markets Applied macroeconomics in emerging and developing countries Global finance Banking sector in emerging economies 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
Email 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. Credit risk and company credit rating Behavioural finance and neuroeconomics Innovation and company performance Non- and semi-parametric methods 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
Email Dr Matteo Pazzona Senior Lecturer in Economics
Personal Website: Economics of Crime, Economics of Conflict, Labor Economics, Political Economy and Economic History. 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. Corporate financial reporting Textual analysis Accounting narratives Market-based accounting research 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 Financial econometrics International finance Nonlinear time series 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. Applied macroeconomics Empirical finance Energy Economics Financial crises and contagion Time series econometrics Undergraduate Programmes Postgraduate Programmes Administration
Dr Angeliki Theophilopoulou Dr Angeliki Theophilopoulou
Email 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. Applied Macroeconomics Monetary and Fiscal Policies Income and Wealth Inequality Economic Uncertainty Climate Change I am the Module Leader for the following modules: EC3608 Further Econometrics EC2002 Macroeconomic Principles II I also supervise BSc, MSc and PhD theses
Dr Jessica Wang Dr Jessica Wang
Email 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 Finance Behavioural Economics and Finance