Modelling multivariate financial time series using copulas. What are the chances that the losses in the market value of investments exceed the anticipated levels? Given that one country's financial market collapsed, what are the chances that it would lead to financial crises in other countries? These questions often arise in risk management and international finance. This project takes a significant step forward from the existing literature to develop new flexible and innovative methods to an ....Modelling multivariate financial time series using copulas. What are the chances that the losses in the market value of investments exceed the anticipated levels? Given that one country's financial market collapsed, what are the chances that it would lead to financial crises in other countries? These questions often arise in risk management and international finance. This project takes a significant step forward from the existing literature to develop new flexible and innovative methods to answer the foregoing type of questions. Further, this project proposes new measures of market risks that are suitable for communicating to the broader public as well as the experts.Read moreRead less
Understanding and Modelling Weather Derivatives in Australia for the Purpose of their Accurate Pricing: a Statistical and Econometric Investigation. Australia suffers some of the most adverse and extreme weather globally. Its government and industries, especially agriculture and electricity, stand to benefit from improved understanding of weather derivatives and capability to price them accurately. Tailored to Australian weather scenarios, weather derivatives will be tools to manage local risk f ....Understanding and Modelling Weather Derivatives in Australia for the Purpose of their Accurate Pricing: a Statistical and Econometric Investigation. Australia suffers some of the most adverse and extreme weather globally. Its government and industries, especially agriculture and electricity, stand to benefit from improved understanding of weather derivatives and capability to price them accurately. Tailored to Australian weather scenarios, weather derivatives will be tools to manage local risk factors, and increase global competitiveness by hedging against competitors' good weather-related advantage. The US weather derivative market, capitalised at over US$7.5b, began just 7 years ago; there is no organised Australian market. This project's smart techniques for improving pricing accuracy will support the development and vigorous growth of a local market.Read moreRead less
Forecasting with single source of randomness state space models. The framework developed in this project, for identifying and
extrapolating trends, seasonal patterns and economic cycles in time
series, has a large and diverse range of useful applications in
Australia. Some examples include its potential use in the
development of appropriate monetary policy, its use to better inform
finance markets of risk levels associated with shares, its use to
forecast demand in supply chains to provide ....Forecasting with single source of randomness state space models. The framework developed in this project, for identifying and
extrapolating trends, seasonal patterns and economic cycles in time
series, has a large and diverse range of useful applications in
Australia. Some examples include its potential use in the
development of appropriate monetary policy, its use to better inform
finance markets of risk levels associated with shares, its use to
forecast demand in supply chains to provide a better service to
customers, and its use in call centres to better tailor staff
schedules to meet customer calls.Read moreRead less
Change Detection in Causal Relationships and Measurement of Systemic Risk. Empirical measures of interconnectedness between financial institutions based on tests of Granger causality are currently used in detecting systemic risk. However, researchers need to define periods of calm and stress exogenously in order to implement these tests appropriately. This project aims to develop a new procedure to identify changes in causal relationships and the timing of these changes. The new approach has the ....Change Detection in Causal Relationships and Measurement of Systemic Risk. Empirical measures of interconnectedness between financial institutions based on tests of Granger causality are currently used in detecting systemic risk. However, researchers need to define periods of calm and stress exogenously in order to implement these tests appropriately. This project aims to develop a new procedure to identify changes in causal relationships and the timing of these changes. The new approach has the potential to be a significant improvement in the real-time identification of emerging turmoil in financial markets and provide an improved method for the detection of systemic risk. The new test procedure will be implemented using data for financial and non-financial institutions across Europe, the US and Australia.Read moreRead less
The US Interest Rate Conundrum and its Implications for Australia. The project generalises existing factor models of interest rates. The project will result in several benefits nationally as well as internationally. As U.S. interest rates and U.S. monetary policy in general are important determinants of interest rates in Australia, the project will lead to an improved understanding of the international mechanism linking interest rates. This will also provide a better framework in which to unders ....The US Interest Rate Conundrum and its Implications for Australia. The project generalises existing factor models of interest rates. The project will result in several benefits nationally as well as internationally. As U.S. interest rates and U.S. monetary policy in general are important determinants of interest rates in Australia, the project will lead to an improved understanding of the international mechanism linking interest rates. This will also provide a better framework in which to understand and monitor monetary policy in Australia. An important aspect of the project is the development of new testing procedures that improve upon existing nonparametric methods.Read moreRead less
Nonlinear and Nonstationary Time Series Econometrics: Theory and Applications. The outcomes of this project will not only complement but also enhance the existing research strengths of Australian researchers in time series econometrics. Such a research goal falls within the National Research Priority 3 (PG1). In addition, our models will be applicable in stablizing the national financial market for more accurate forecasts. This falls within the National Research Priority 3 (PG5). The research ou ....Nonlinear and Nonstationary Time Series Econometrics: Theory and Applications. The outcomes of this project will not only complement but also enhance the existing research strengths of Australian researchers in time series econometrics. Such a research goal falls within the National Research Priority 3 (PG1). In addition, our models will be applicable in stablizing the national financial market for more accurate forecasts. This falls within the National Research Priority 3 (PG5). The research outcomes will also provide novel models to respond to climate change and variability and to provide accurate warming estimates for improving the policy making process. This falls within the National Research Priority 1 (PG7) Read moreRead less
Modelling a portfolio of financial assets: structure, estimation, testing and forecasting. Information regarding financial returns and risk is essential for optimal portfolio selection and asset management. Returns and risk have typically been analysed for individual assets. The project provides a theoretical solution to the important practical problem of modelling a portfolio of financial assets in realistic situations. The significance of the research is the development of a new approach to an ....Modelling a portfolio of financial assets: structure, estimation, testing and forecasting. Information regarding financial returns and risk is essential for optimal portfolio selection and asset management. Returns and risk have typically been analysed for individual assets. The project provides a theoretical solution to the important practical problem of modelling a portfolio of financial assets in realistic situations. The significance of the research is the development of a new approach to analyse a portfolio of returns and risk, and the determination of its applicability using numerical simulation techniques. The expected outcomes are an optimal practical method for analysing a portfolio of assets, a scientific monograph, and publications in leading international journals.Read moreRead less
New Statistical Procedures for Analysing Dependence in Non-Gaussian Time Series Data. In the economic, finance and business spheres, statistical data is often discrete, binary, strictly positive, or characterized by an uneven distribution of values above and below the average. Prominent examples are the high frequency financial data that have become accessible with the computerization of financial markets, including the number of trades in successive time intervals, the direction of price change ....New Statistical Procedures for Analysing Dependence in Non-Gaussian Time Series Data. In the economic, finance and business spheres, statistical data is often discrete, binary, strictly positive, or characterized by an uneven distribution of values above and below the average. Prominent examples are the high frequency financial data that have become accessible with the computerization of financial markets, including the number of trades in successive time intervals, the direction of price changes, the time between trades and the return on a financial asset over short periods. This project develops a range of new statistical tools that will enable both researchers and practitioners to analyze the dynamic behaviour in such data and thereby validate and implement a range of financial models.Read moreRead less
Nonparametric and Semiparametric Approaches in Nonlinear Time Series Econometrics and Financial Econometrics. This research proposal involves new theoretical investigations using nonparametric and semiparametric approaches in high dimensional nonlinear economic and financial dynamical systems.
The main aims of this proposal are
(i) to make new theoretical investigations of high dimensional nonlinear economic and financial dynamical models which incorporate to varying degrees, nonlinearit ....Nonparametric and Semiparametric Approaches in Nonlinear Time Series Econometrics and Financial Econometrics. This research proposal involves new theoretical investigations using nonparametric and semiparametric approaches in high dimensional nonlinear economic and financial dynamical systems.
The main aims of this proposal are
(i) to make new theoretical investigations of high dimensional nonlinear economic and financial dynamical models which incorporate to varying degrees, nonlinearity, and additivity;
(ii) to develop novel computational procedures and programmes for the necessary statistical inference associated with new high dimensional nonlinear dynamical models; and
(iii) to apply the techniques and programmes to improve economic and financial model building and forecasts from better models.
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New Procedures for Multiple Testing of Econometric Models. In discipline areas ranging from biological and medicine sciences to economics and commerce, very important decisions are made on the basis of statistical or econometric models. There is usually a high degree of uncertainty about the exact form the model should take and the data available to help decide on the best form of the model is often limited. The new procedures developed in this project will help statisticians and econometricians ....New Procedures for Multiple Testing of Econometric Models. In discipline areas ranging from biological and medicine sciences to economics and commerce, very important decisions are made on the basis of statistical or econometric models. There is usually a high degree of uncertainty about the exact form the model should take and the data available to help decide on the best form of the model is often limited. The new procedures developed in this project will help statisticians and econometricians make better decisions about the best form of their models. Our approach gives a new method of validating an estimated model before it is put to use to make critical decisions.Read moreRead less