Website
http://dataportal.arc.gov.au/NCGP/API/grants/DP230101472
Funding Status
Active
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Funded Activity Summary
Price Discovery in Equity and Volatility Futures for Trading and Hedging. This project aims to develop a multivariate asynchronous technique to analyse the price discovery of movements in equity stock indices, volatility index futures and exchange traded products. This project expects to generate new knowledge in the area of financial econometrics using an innovative mixed frequency sampling approach to establish robust causal inferences. Expected outcomes of the project include enhanced econometric theory and its implementation in applied finance. This should provide significant benefits in the price discovery of the equity index in Australia, including insights that will help Australian funds in hedging and trading volatility.Funded Activity Details
Start Date: 2023
End Date: 12-2025
Funding Scheme: Discovery Projects
Funding Amount: $250,855.00
Funder: Australian Research Council
Research Topics
ANZSRC Field of Research (FoR)
Finance | Financial econometrics | Banking finance and investment
ANZSRC Socio-Economic Objective (SEO)
