Inference in partially non-stationary time series models. Economic theories typically specify the long-run relationship between economic variables. However, researchers usually examine the long-run features of the data by fitting a restrictive class of models using criteria that have only proven useful for short-term forecasting. In this project we consider alternative models and modelling strategies that are appropriate for the study of the long-run. We also develop computer intensive (bootstra ....Inference in partially non-stationary time series models. Economic theories typically specify the long-run relationship between economic variables. However, researchers usually examine the long-run features of the data by fitting a restrictive class of models using criteria that have only proven useful for short-term forecasting. In this project we consider alternative models and modelling strategies that are appropriate for the study of the long-run. We also develop computer intensive (bootstrap) methods, which will provide a much-needed improvement over the existing (asymptotic) methods for making inference about the long-run. Our research will lead to more reliable models for long-term planning in business, industry and government.Read moreRead less
Vector ARMA Models and Macroeconomic Modelling: Some New Methodology and Algorithms. Economic variables are strongly related to each other, as well as being strongly related to their recent history. As a result, good dynamic multivariate models are crucial for effective policy making and forecasting in areas of vital national importance such as monetary and fiscal policy, environmental policy and tourism. Our project advances the frontiers of knowledge in multivariate time series modelling. The ....Vector ARMA Models and Macroeconomic Modelling: Some New Methodology and Algorithms. Economic variables are strongly related to each other, as well as being strongly related to their recent history. As a result, good dynamic multivariate models are crucial for effective policy making and forecasting in areas of vital national importance such as monetary and fiscal policy, environmental policy and tourism. Our project advances the frontiers of knowledge in multivariate time series modelling. The outcome of this project will be immediately useful for macroeconomic policy makers such as the Reserve Bank of Australia and the Treasury, and for industry bodies such as Tourism Australia. Read moreRead less
A Bayesian State Space Methodology for Forecasting Stock Market Volatility and Associated Time-varying Risk Premia. Accurate prediction of stock market volatility is critical for effective financial risk management. Along with information on volatility embedded in historical stock market returns, the prices of options written on the underlying stocks also reflect the option market's assessment of future volatility. This project will exploit this dual data source in a completely new way, using it ....A Bayesian State Space Methodology for Forecasting Stock Market Volatility and Associated Time-varying Risk Premia. Accurate prediction of stock market volatility is critical for effective financial risk management. Along with information on volatility embedded in historical stock market returns, the prices of options written on the underlying stocks also reflect the option market's assessment of future volatility. This project will exploit this dual data source in a completely new way, using it to produce forecasts of both volatility itself and the premia factored into asset prices as a result of traders' perceptions of volatility risk. State-of-the-art statistical methods will be used to produce up-dates of the probability of extreme volatility and/or extreme risk aversion, as new market data becomes available each trading day.Read moreRead less
Non-parametric estimation of forecast distributions in non-Gaussian state space models. The production of accurate forecasts is arguably one of the most challenging tasks in economics, business and finance, where data often assume strictly positive, integer or binary values, or are characterized by many extreme values far from the average. This project will produce new, state-of-the-art statistical methods for generating accurate estimates of the probabilities attached to different possible futu ....Non-parametric estimation of forecast distributions in non-Gaussian state space models. The production of accurate forecasts is arguably one of the most challenging tasks in economics, business and finance, where data often assume strictly positive, integer or binary values, or are characterized by many extreme values far from the average. This project will produce new, state-of-the-art statistical methods for generating accurate estimates of the probabilities attached to different possible future values of such variables. Although far-ranging in scope, the techniques advocated will have particular impact in the financial sphere, where the concept of future risk is inextricably linked to the probability of occurrence of extreme values and, hence, to the future probability distribution of the financial variable. Read moreRead less
New Approaches to the Analysis of Count Time Series. The focus of this proposal is on the analysis of data that enumerate events over time. Occurrences of such count data abound in economics and business, examples being observations on insurance claims, loan defaults and individual product demand. This project develops a suite of innovative methods for modelling and predicting event counts. The methods explicitly accommodate both the discreteness of the data and possible complexities in its evo ....New Approaches to the Analysis of Count Time Series. The focus of this proposal is on the analysis of data that enumerate events over time. Occurrences of such count data abound in economics and business, examples being observations on insurance claims, loan defaults and individual product demand. This project develops a suite of innovative methods for modelling and predicting event counts. The methods explicitly accommodate both the discreteness of the data and possible complexities in its evolution over time. In so doing, they enable both accurate inferences regarding the dynamic structure of the data to be drawn and accurate forecasts of future event counts to be produced.Read moreRead less
Fractional Integration, Power Laws and Econometric Models: Some Methodological and Theoretical Developments. The fundamental objectives of this project are to: (i) Extend
current econometric practice and consider the use of power laws as
a basis for the construction of a more flexible and realistic
class of models for the analysis of economic and financial time
series. (ii) To develop inferential techniques appropriate for the
modelling of dynamic econometric systems that incorporate
struc ....Fractional Integration, Power Laws and Econometric Models: Some Methodological and Theoretical Developments. The fundamental objectives of this project are to: (i) Extend
current econometric practice and consider the use of power laws as
a basis for the construction of a more flexible and realistic
class of models for the analysis of economic and financial time
series. (ii) To develop inferential techniques appropriate for the
modelling of dynamic econometric systems that incorporate
structure characterized by power laws. This will be achieved by
building upon the class of fractionally integrated processes. New
econometric models and methodologies for the analysis of
non-stationarity series will be developed, along with the
associated theoretical results.Read moreRead less
Advanced Computational and Analytic Studies in Lattice Statistical Mechanics and Applications. Lattice Statistical Mechanics is one of the current success stories of Australian Science with a significant international presence. The applicants represent a centre of excellence, particularly in the area of combining computational and analytic studies for maximum scientific benefit. The programme of research maximises Australia's investment in this human resource by focussing on an integrated set of ....Advanced Computational and Analytic Studies in Lattice Statistical Mechanics and Applications. Lattice Statistical Mechanics is one of the current success stories of Australian Science with a significant international presence. The applicants represent a centre of excellence, particularly in the area of combining computational and analytic studies for maximum scientific benefit. The programme of research maximises Australia's investment in this human resource by focussing on an integrated set of projects comprising a diverse and innovative group of applications in areas such as polymer science, DNA denaturation, combinatorics and the study of traffic flows. The underlying theme is always the utility of lattice statistical mechanics in 21st century science.Read moreRead less
Key combinatorial problems in lattice statistical mechanics. The enumeration of lattice animals is a famous open problem in combinatorics. These discrete structures also underpin our understanding of many physical phenomena, including polymer collapse and percolation in random media, through the integral part they play in many models in statistical mechanics and theoretical chemistry.
The project aims to answer some key open problems in this area using exact and numerical techniques. We expe ....Key combinatorial problems in lattice statistical mechanics. The enumeration of lattice animals is a famous open problem in combinatorics. These discrete structures also underpin our understanding of many physical phenomena, including polymer collapse and percolation in random media, through the integral part they play in many models in statistical mechanics and theoretical chemistry.
The project aims to answer some key open problems in this area using exact and numerical techniques. We expect that this will lead to proofs of the insolvability of certain problems, new exact solutions of others, and a greater understanding of the effect of topology and geometry on the behaviour of these models.Read moreRead less
Solvable models on regular and random lattices in statistical mechanics and field theory. There are only a few solvable models in statistical mechanics and field theory, but those that are known give deep insights into the cooperative behaviour that characterizes a critical point, as well as
leading to fascinating mathematics. The two chief investigators have been at the forefront of this field for many years. Currently there are many notable exciting challenges they wish to address:
the re ....Solvable models on regular and random lattices in statistical mechanics and field theory. There are only a few solvable models in statistical mechanics and field theory, but those that are known give deep insights into the cooperative behaviour that characterizes a critical point, as well as
leading to fascinating mathematics. The two chief investigators have been at the forefront of this field for many years. Currently there are many notable exciting challenges they wish to address:
the relationship between Tutte's work on dichromatic polynomials and matrix models, the outstanding problem of calculating the order parameters of the chiral Potts model, and the eigenvalue spectra of the transfer matrices that occur in integrable models.
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Exact dynamics of the asymmetric exclusion process with boundaries. This project offers an opportunity for a postgraduate student to participate in world-class research. It further strengthens collaborative ties with the renowned department of theoretical physics at Oxford University. The outcomes of this project are expected to provide valuable fundamental information for any applied science in which transport plays a crucial role.