Discovery Early Career Researcher Award - Grant ID: DE170100713

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DE170100713

Funding Status
Closed

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Funded Activity Summary

Nonparametric estimation and forecasting of yield curve dynamics. This project aims to develop a suite of nonparametric estimation and forecasting techniques for yield curves, which describe how interest rates vary with different maturities. Its significance for monetary policy and fixed-income investment is interesting to policy makers and financial practitioners. Time-varying features are needed in the specification of the yield curve, given the constantly changing financial environment in which bond markets operate. Expected outcomes include new statistical methods and forecasting procedures applicable to empirical problems in economics and finance.

Funded Activity Details

Start Date: 01-07-2017

End Date: 30-11-2022

Funding Scheme: Discovery Early Career Researcher Award

Funding Amount: $340,000.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Econometric and Statistical Methods | Economic Models and Forecasting | Econometrics |

ANZSRC Socio-Economic Objective (SEO)

Expanding Knowledge in Economics | Expanding Knowledge in the Mathematical Sciences | Monetary Policy

Other Keywords

Econometric and Statistical Methods | Econometrics | Economic Models and Forecasting | Expanding Knowledge in Economics | Expanding Knowledge in the Mathematical Sciences | Monetary Policy

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