Quantitative Research in Economics and Finance (QREF)

QREF is an interdisciplinary research group with members from both the Accounting and Finance and Economics subject groups of the Business School.

The general research theme of the group is finance and financial services (banking, insurance, etc.), with a particular emphasis on risk management. The group has particular expertise in quantitative modelling (econometric, mathematical and statistical).

Specific Areas of Focus

  • Retail financial services: banking and insurance.
  • Quantitative risk management – credit risk modelling, density forecasting and value at risk
  • Financial econometrics – bootstrapping and simulation techniques forecasting, interest rate and term structure modelling, modelling contagion, time series nonlinearity, and volatility modelling
  • Financial markets – behavioural finance, statistical arbitrage, stock market microstructure, and technical analysis
  • The financial services industry – corporate pensions and employee benefit provision
  • Accounting – experimental approaches to the incentive properties underlying the provision of information in agency settings

The director of QREF is Professor Robert Sollis. Professor Sollis has a PhD in Economics from the University of Nottingham, specialising in time series econometrics. His research and teaching interests span various topics in banking, economics and finance, mostly related to econometric and statistical modelling.

The deputy director is Professor Robert Hudson who is the author of a book on stock market investment, over thirty refereed articles in leading international journals and a range of other publications and has presented at many universities of international conferences. He is a Fellow of the Institute of Actuaries, a Chartered Mathematician and has extensive business experience of financial services.

Publications and Journal Editorship

Group members have published in many leading finance, economics and accounting journals including:

  • Journal of Money, Credit and Banking
  • Journal of Banking and Finance
  • Financial Analysts Journal
  • Journal of International Money and Finance
  • Journal of International Financial Markets, Institutions and Money
  • Economic Journal
  • Economics Letters
  • Economic Modelling
  • Journal of Applied Econometrics
  • British Accounting Review
  • Critical Perspectives on Accounting
  • Journal of Business Finance and Accounting

Members of the group are associate or assistant editors of a number of journals including the Journal of the Royal Statistical Society, the British Actuarial Journal and the Journal of Financial Regulation and Compliance.

Group Members:

Mr Robert Anderson,
Mr David Barlow
Dr Fabrizio Casalin,
Prof. Ian Dobbs,
Dr Lynne Evans,
Dr Bartosz Gebka,
Prof. Robert Hudson,
Dr Simon Hussain,
Dr Sara Maioli
Mr Tony Miller,
Dr Roxana Radulescu
Prof. Robert Sollis