Nonlinear spatial and spatiotemporal econometrics: theory with applications. Modern societies like Australia have major challenges in the forecasting, measuring and managing of risks associated with global economic and environmental/climate changes. These tasks require advanced econometric techniques in modelling and forecasting of complex nonlinear spatiotemporal variability in economic and social systems. This project will develop frontier econometric technologies that enable more accurate eco ....Nonlinear spatial and spatiotemporal econometrics: theory with applications. Modern societies like Australia have major challenges in the forecasting, measuring and managing of risks associated with global economic and environmental/climate changes. These tasks require advanced econometric techniques in modelling and forecasting of complex nonlinear spatiotemporal variability in economic and social systems. This project will develop frontier econometric technologies that enable more accurate economic and climate forecasts. The tools produced will provide Australia's scientists and policy-makers with a greater capacity to manage the risks associated with these challenges. A side-benefit of the research will be high-quality publications that enhance the nation's reputation in this cutting edge research.Read moreRead less
Nonlinear Panel Data Econometrics: Theory and Practice. This research addresses the ARC National Research Priorities Goal of 'An Environmentally Sustainable Australia', specifically 'Reducing and capturing emissions in transport and energy generation'. Avoiding, managing, and/or adapting to the climate change impacts is now the most pressing global environmental problem. This project will produce tangible and original insights into policy options for institutional adjustment to future climate ....Nonlinear Panel Data Econometrics: Theory and Practice. This research addresses the ARC National Research Priorities Goal of 'An Environmentally Sustainable Australia', specifically 'Reducing and capturing emissions in transport and energy generation'. Avoiding, managing, and/or adapting to the climate change impacts is now the most pressing global environmental problem. This project will produce tangible and original insights into policy options for institutional adjustment to future climate change in Australia; will provide insight into the scope for positive community behavioural change; and possible transformations in Australian social debate to maximise adaptive capacity. It will also strengthen and produce original conceptual approaches and research methods.Read moreRead less
Modelling stock market liquidity in Australia and the Asia Pacific Region. This project will develop new methods of assessing stock market liquidity in Australia and the Asia-Pacific region. These methods will use high frequency transactions-based data provided by the industry partner, SIRCA. The data will be the basis of smart information real time algorithms for measuring market liquidity. They will incorporate generalizations and extensions of recent developments in time series econometrics, ....Modelling stock market liquidity in Australia and the Asia Pacific Region. This project will develop new methods of assessing stock market liquidity in Australia and the Asia-Pacific region. These methods will use high frequency transactions-based data provided by the industry partner, SIRCA. The data will be the basis of smart information real time algorithms for measuring market liquidity. They will incorporate generalizations and extensions of recent developments in time series econometrics, and will be calibrated and evaluated statistically. The novel methods will be crucial to market participants and to regulators, who will be able to apply them to assess market depth and liquidity, and reduce trading costs substantially.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
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
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
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.
Read moreRead less
The econometrics of gravity models of trade: a re-assessment. This research will lead a much greater understanding of the empirical determinants of trade flows between countries. This project will apply cutting-edge data econometric techniques to the popular Gravity model of international trade flows. These more appropriate techniques will shed more light on some previous puzzling findings, such that regional trade agreements had little, or no, affect on trade.