The Institute's Centre for Financial Econometrics (CoFiE) intends to be a world-class research centre in financial econometrics with strong practical applications and international links. Its primary goals are to

• promote the development of econometric methodology and its applications within the field of financial economics,
• provide an active academic forum for financial econometric research,
• establish a local and regional nexus with the financial industry and practice in Singapore and Asia.

Econometric methods and the growing availability of electronic databases help economists and policy makers understand the complex environment in which the financial world currently functions. As the recent financial crisis and turmoil has demonstrated, this environment is constantly evolving and subject to shocks. One of CoFiE's key roles is to respond to this challenge by developing relevant new tools for analysing emerging empirical problems, such as those associated with the recent financial crisis, and especially those that relate to Singapore and Asia . As part of its ongoing operations, CoFiE supports research activities of affiliated faculty and students, organizes seminars, conferences, promotes synergies with overseas centres of financial econometrics and interactive visits to develop opportunities for collaborative activities with industry and government. CoFiE is supported by a scientific committee comprising internationally distinguished academics in financial econometrics and leaders in the financial industry.

The Co-Directors of CoFiE are Professors Peter C.B. Phillips (Yale and SMU) and Professor Jun Yu (SMU).

CoFiE has hosted a number of significant events in Singapore. In 2008, it co-hosted, with the School of Economics at SMU , the Far Eastern and South Asian Meeting of the Econometric Society which attracted more than 200 economists and econometricians to Singapore. Every year CoFiE hosts the annual Singapore Econometric Study Group (SESG) Meeting. In July 2008, the SESG Meeting was organised by CoFiE in honor of Peter Phillips, one of CoFiE's Co-Directors, on the occasion of his 60th birthday. Based on this conference, two conference volumes are scheduled to be published in the Journal of Econometrics. In April 2010, CoFiE organized the sixth International Symposium on Econometric Theory and Applications. A conference volume associated with the keynote presentation of this conference will be published in the journal Econometric Theory.

CoFiE's research thematic is broad based. Its ambit of research encompasses parametric, semi-parametric, and nonparametric methods in financial economics as well as substantial empirical projects in financial economics. Ongoing research in CoFiE includes the following topics:

• Modeling and dating the origination and termination of financial bubbles
• Econometric methods for mildly explosive processes and market contamination
• Nonlinear nonstationary dynamic modeling under misspecification
• Modeling endogeneity under location shifts with panel data applications
• Econometric analysis of credit risk in emerging markets
• Bayesian analysis of unit roots in volatility
• Finite sample theory in state space models, continuous time models, and volatility models
• Modeling and estimation of stochastic volatility
• Realised volatility, including measurement, modeling and forecasting issues