Discovery Projects - Grant ID: DP0664121

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DP0664121

Funding Status
Closed

Does something not look right? The information on this page has been harvested from data sources that may not be up to date. We continue to work with information providers to improve coverage and quality. To report an issue, use the .

Funded Activity Summary

New Statistical Procedures for Analysing Dependence in Non-Gaussian Time Series Data. In the economic, finance and business spheres, statistical data is often discrete, binary, strictly positive, or characterized by an uneven distribution of values above and below the average. Prominent examples are the high frequency financial data that have become accessible with the computerization of financial markets, including the number of trades in successive time intervals, the direction of price changes, the time between trades and the return on a financial asset over short periods. This project develops a range of new statistical tools that will enable both researchers and practitioners to analyze the dynamic behaviour in such data and thereby validate and implement a range of financial models.

Funded Activity Details

Start Date: 03-01-2006

End Date: 30-06-2009

Funding Scheme: Discovery Projects

Funding Amount: $220,000.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Time-Series Analysis | Financial Econometrics | Econometric And Statistical Methods | Econometrics |

ANZSRC Socio-Economic Objective (SEO)

Finance and investment services | Economic issues not elsewhere classified | Mathematical sciences

Other Keywords

Econometric And Statistical Methods | Econometrics | Economic issues not elsewhere classified | Finance and investment services | Financial Econometrics | Mathematical sciences | Time-Series Analysis

Related Links