Maximum likelihood estimation of the parameters of stochastic differential equations. The primary objective of this project is to develop efficient algorithms for estimating the parameters of stochastic differential equations (SDEs) by simulated and exact maximum likelihood. The research will draw on both parametric and non-parametric analysis in novel ways to construct estimation procedures that are computationally feasible. These methods will then be applied in the area of finance and used to ....Maximum likelihood estimation of the parameters of stochastic differential equations. The primary objective of this project is to develop efficient algorithms for estimating the parameters of stochastic differential equations (SDEs) by simulated and exact maximum likelihood. The research will draw on both parametric and non-parametric analysis in novel ways to construct estimation procedures that are computationally feasible. These methods will then be applied in the area of finance and used to estimate the parameters of stochastic-volatility models, thus contributing to knowledge in a prominent area of complex systems, namely financial risk. The execution of this collaborative project will deliver quality research training in the topical area of mathematical finance and produce high-calibre postgraduates.
Read moreRead less
Modelling Hidden Processes which Drive Economic and Financial Systems. The ability to forecast complex economic systems is crucial to benefit from peak performance, and to prepare for and safeguard against downturn. This project aims to make significant discoveries concerning hidden processes which drive such systems, using rigorous, cutting-edge, flexible econometric methods. Resulting outcomes will be improved understanding of - and ability to forecast - important economic phenomena such as vo ....Modelling Hidden Processes which Drive Economic and Financial Systems. The ability to forecast complex economic systems is crucial to benefit from peak performance, and to prepare for and safeguard against downturn. This project aims to make significant discoveries concerning hidden processes which drive such systems, using rigorous, cutting-edge, flexible econometric methods. Resulting outcomes will be improved understanding of - and ability to forecast - important economic phenomena such as volatility in price series, extremal (risky) behaviour of financial systems, and turning points of the business cycle. Discoveries will be disseminated through published papers and presentations at a major international conference. Ongoing e-research links with France will also be established.Read moreRead less
Financial Instability and Risk Management: New Statistical Treatment of the Occurrence and Persistence of Shocks in International Markets. Global economies are complex systems: their complexity is increasing due to market connectivity, borderless trading and rapid electronic transactions. This collaboration will improve understanding of market interdependence, important because of its profound macroeconomic influence on individual consumersf decisions and corporate investment. A novel combinati ....Financial Instability and Risk Management: New Statistical Treatment of the Occurrence and Persistence of Shocks in International Markets. Global economies are complex systems: their complexity is increasing due to market connectivity, borderless trading and rapid electronic transactions. This collaboration will improve understanding of market interdependence, important because of its profound macroeconomic influence on individual consumersf decisions and corporate investment. A novel combination of nonlinear time series and dynamical systems theories will be used to describe propagation and persistence of market shocks. Focusing on smart information use and innovation economies, this project will deliver publications on new practical econometric methodologies, training for early career researchers, and a strong sustainable research relationship between Australia and France.Read moreRead less