This research stream aims to increase our understanding of the role of risk in finance. In particular, it aims to explore volatility modelling and its implications for equity asset pricing.
Related to this it examines high dimensional volatility and its asset pricing effects using multi-factor modelling procedures.

Research will reassess equity asset pricing (risk and return) models in their application to real estate pricing delineating between consumptions and speculation. It extends the set of candidate risk measures in managing market risk thereby increasing our expertise in modelling uncertainty for financial markets. It examines the managing of long term (pension) investment risk.

It also examines semi-parametric methods in risk modelling. Finally research will examine extreme dependence by copulas and concepts from chaos theory.

Whilst most of the research will be carried out under the heading of risk management, the work packages also have implications for asset pricing as they focus on the impact of risk in asset pricing frameworks.

Here there are strong synergies between the modelling procedures and asset pricing implications of work packages 7 and 10. There is also a strong link in modelling tail behaviour in real estate and tail dependency in equity markets using copulas (see work packages 8 and 11).

This research theme consists of five work packages, three led by Professor John Cotter (WPs 7-9), and two led by Professor Gregory Connor (WPs 10-11).