Research:
Professor Speight has a range of research interests in empirical finance and financial economics, and has published extensively on these topics in refereed journals concerned with finance, economics, econometrics and statistics. His research interests lie primarily in the modelling and analysis of financial market volatility and risk using high-frequency intra-day data; the interdependence between the macro economy and financial markets and their cyclical and non-linear properties; house price dynamics, and nonlinear time series analysis in general.

PhD Areas and Topics in Economics 

Administration:
Dean of the Faculty of Business, Economics and Law (2003 to date)
University Learning and Teaching Committee
University Academic Regulations Committee
University Equal Opportunities Committee
University Academic Staffing Committee
University Admissions Committee
University Matriculation Committee
University Senate
University Court

External Activity:
ESRC Reviewer, Funding Applications & End-of-Project Reports
ESRC Money, Macro and Finance (MMF) Research Group
Conference of Professors of Accounting & Finance (CPAF)
British Accounting (and Finance) Association (BAA)

Selected recent publications:

• How useful is intraday data for evaluating value-at-risk? Evidence from three euro rates (with D G McMillan and K P Evans), Journal of Multinational Financial Management, forthcoming.
• Value-at-risk in emerging equity markets: comparative evidence for symmetric, asymmetric and long-memory GARCH models, International Review of Finance, in press (with D G McMillan).
• Long-memory in high frequency exchange rate volatility under temporal aggregation, Quantitative Finance, in press (with D G McMillan).
• Weekly volatility forecasts with applications to risk management, Journal of Risk Finance, 2007, 8, 214-229 (with D G McMillan).
• Non-linear long horizon returns predictability: evidence from six South-East Asian markets, Asia-Pacific Financial Markets, 2007, 13, 95-111 (with D G McMillan).
• Real-time risk pricing over the business cycle: some evidence for the UK, Journal of Business Finance and Accounting, 2006, 33, 263-283 (with K P Evans). [doi:10.1111/j.1468-5957.2006.01356.x]
• Non-linear dynamics and competing behavioural interpretations: evidence from intra-day FTSE-100 index and futures data, Journal of Futures Markets, 2006, 26, 343-368 (with D G McMillan). [doi:10.1002/fut.20203]
• Volatility dynamics and heterogeneous markets, International Journal of Finance and Economics, 2006, 11, 115-121 (with D G McMillan).
• Long memory and heterogeneous components in high frequency pacific-basin exchange rate volatility, Asia-Pacific Financial Markets, 2005, 12, 199-226 (with D G McMillan).
• Daily volatility forecasts: reassessing the performance of GARCH models, Journal of Forecasting, 2004, 23, 449-460 (with D G McMillan). [doi:10.1002/for.926]
• Nonlinear dynamics in high frequency intra-day financial data: evidence for the UK long gilt futures market, Journal of Futures Markets, 2002, 22, 1037 -1057 (with D G McMillan).
• Temporal aggregation, volatility components and volume in high frequency UK bond futures, European Journal of Finance, 2002, 8, 70-92 (with D G McMillan).
• Volatility spillovers in East European black-market exchange rates, Journal of International Money and Finance, 2001, 20, 367-378 (with D G McMillan). [doi:10.1016/S0261-5606(01)00003-1]