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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Forecasting Risk Thresholds for Portfolio Management and Regulation. The project will develop new models and methods for dynamic risk modelling, assessment of portfolio risk, and forecasting of portfolio risk thresholds. These novel methods will have extensive applications across investment portfolios for banks and financial institutions globally. The techniques will feature a dynamic updating of risk estimates, and more accurate forecasting of portfolio risk, the correlations of portfolio asset ....Forecasting Risk Thresholds for Portfolio Management and Regulation. The project will develop new models and methods for dynamic risk modelling, assessment of portfolio risk, and forecasting of portfolio risk thresholds. These novel methods will have extensive applications across investment portfolios for banks and financial institutions globally. The techniques will feature a dynamic updating of risk estimates, and more accurate forecasting of portfolio risk, the correlations of portfolio asset classes, and Value at Risk (VaR) thresholds. The innovative methods and models will permit both financial institutions and regulatory authorities to model VaR thresholds more accurately, and enable investment managers to regulate and benchmark their portfolios more effectively against international best practice.
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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
Stochastic Index Numbers and Their Application in Accounting, Economics and Finance. Index numbers of prices, such as the Consumer Price Index and the All Ordinaries Index, are among the most important economic statistics for the whole economy. But despite their importance, currently constructed price indexes do not use all the information available in the underlying price data, namely the dispersion among the individual prices. This project will develop and apply a methodology for a new approa ....Stochastic Index Numbers and Their Application in Accounting, Economics and Finance. Index numbers of prices, such as the Consumer Price Index and the All Ordinaries Index, are among the most important economic statistics for the whole economy. But despite their importance, currently constructed price indexes do not use all the information available in the underlying price data, namely the dispersion among the individual prices. This project will develop and apply a methodology for a new approach to index numbers that incorporates this information and leads to tractable ways of estimating the whole distribution of the index value, rather than just one number. The practical usefulness of this mthodology will be demonstrated with applications in accounting (sustainable earnings), economics (real exchange rates) and finance (share prices).Read moreRead less
Quantifying Country Credit Risk Ratings and Volatility, and Measuring the Impact of Fundamentals. National/community benefits include developing a superior quantifiable ratings method to the qualitative rankings produced by leading international country credit risk ratings agencies, measuring the impact of economic/financial fundamentals on risk ratings, and analysing their fluctuations across countries and risk categories over time. The project provides a solution to the major problems underlyi ....Quantifying Country Credit Risk Ratings and Volatility, and Measuring the Impact of Fundamentals. National/community benefits include developing a superior quantifiable ratings method to the qualitative rankings produced by leading international country credit risk ratings agencies, measuring the impact of economic/financial fundamentals on risk ratings, and analysing their fluctuations across countries and risk categories over time. The project provides a solution to the major problems underlying qualitative country risk ratings, namely the irregularity and infrequency of their measurement, and emphasizes the practicality of the results. Expected outcomes include a clearer understanding of how to quantify qualitative rankings and their fluctuations, using information intelligently, and promoting an innovation and knowledge culture.Read moreRead less
Modelling Dynamic Correlations in the Volatility of Patents and Technical Change. National/community benefits include a clearer understanding of the relation between patents and industrial innovation, measuring the effects of patents on technical change, economic growth and job creation, and analysing their fluctuations over time. The project analyses the variability in technological innovations, measures the impact of innovations on total output and key factors of production, namely labour, cap ....Modelling Dynamic Correlations in the Volatility of Patents and Technical Change. National/community benefits include a clearer understanding of the relation between patents and industrial innovation, measuring the effects of patents on technical change, economic growth and job creation, and analysing their fluctuations over time. The project analyses the variability in technological innovations, measures the impact of innovations on total output and key factors of production, namely labour, capital, energy and materials, and emphasizes the usefulness of the results. Expected outcomes include changing current ideas regarding output generation, understanding broad issues underlying patents and their variability, advancing multi-disciplinary knowledge, using information intelligently and promoting a culture of innovation.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