Discovery Projects - Grant ID: DP0452807

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DP0452807

Funding Status
Closed

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Funded Activity Summary

Modelling multivariate financial time series using copulas. What are the chances that the losses in the market value of investments exceed the anticipated levels? Given that one country's financial market collapsed, what are the chances that it would lead to financial crises in other countries? These questions often arise in risk management and international finance. This project takes a significant step forward from the existing literature to develop new flexible and innovative methods to answer the foregoing type of questions. Further, this project proposes new measures of market risks that are suitable for communicating to the broader public as well as the experts.

Funded Activity Details

Start Date: 01-07-2004

End Date: 31-12-2007

Funding Scheme: Discovery Projects

Funding Amount: $90,000.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Time-Series Analysis | Finance | Financial Econometrics | Banking, Finance and Investment

ANZSRC Socio-Economic Objective (SEO)

Finance and investment services | Exchange rates |

Other Keywords

Banking, Finance and Investment | Exchange rates | Finance | Finance and investment services | Financial Econometrics | Time-Series Analysis

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