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
Integrable Functional and Delay Differential Equations. Major challenges such as predicting epidemics or modelling the dynamics of human movement, rely on our understanding of functional and delay differential equations. This research will provide new methods for prediction and analysis of such models.
New mathematical and statistical methods that inform the control of infectious disease outbreaks. Emerging infectious diseases are an ever-present threat to our community, as highlighted by the recent SARS epidemic and current fears concerning avian influenza. The research proposed by this project will help policy makers implement effective border control and outbreak control against a variety of emerging and re-emerging infectious diseases, including SARS, influenza and the deliberate release o ....New mathematical and statistical methods that inform the control of infectious disease outbreaks. Emerging infectious diseases are an ever-present threat to our community, as highlighted by the recent SARS epidemic and current fears concerning avian influenza. The research proposed by this project will help policy makers implement effective border control and outbreak control against a variety of emerging and re-emerging infectious diseases, including SARS, influenza and the deliberate release of an infectious disease such as smallpox. The project will enhance preparedness through a better understanding of the relative merits of different control strategies, and provide new methodology that can dynamically guide border and outbreak control in the midst of an outbreak by making effective use of data. Read moreRead less
Modelling and estimation techniques for the transmission and control of Tuberculosis with new and existing vaccines. Most Tuberculosis in Australia is seen in foreign-born people. Australia has an important role in providing leadership in the Asia-Pacific region in Tuberculosis control, which will have flow-on benefits to TB control in this country. Using mathematical models, this project will assess the use of vaccines for Tuberculosis in the developing world. Rising levels of extremely drug r ....Modelling and estimation techniques for the transmission and control of Tuberculosis with new and existing vaccines. Most Tuberculosis in Australia is seen in foreign-born people. Australia has an important role in providing leadership in the Asia-Pacific region in Tuberculosis control, which will have flow-on benefits to TB control in this country. Using mathematical models, this project will assess the use of vaccines for Tuberculosis in the developing world. Rising levels of extremely drug resistant infections make this a timely and important study with significant policy implications, both externally and in the Australian context. Read moreRead less
Stochastic methods for studying models of infection and abundance. The outcomes of this project will have immense benefit to Australia. They impact upon two areas of national importance, namely ensuring an environmentally sustainable Australia, and safeguarding Australia. In particular, the project will provide models, methodology and optimal strategies for sustainable use of Australia's biodiversity, for protecting Australia from invasive diseases and pests, and for protecting Australia from te ....Stochastic methods for studying models of infection and abundance. The outcomes of this project will have immense benefit to Australia. They impact upon two areas of national importance, namely ensuring an environmentally sustainable Australia, and safeguarding Australia. In particular, the project will provide models, methodology and optimal strategies for sustainable use of Australia's biodiversity, for protecting Australia from invasive diseases and pests, and for protecting Australia from terrorism and crime. Special focus will be given to the control of invasive species, the control of emerging infections, and the optimal allocation of resources. The current risks posed by invasive diseases and pests, and the alarming rate of destruction of biodiversity, warrant urgent funding of this project.Read moreRead less