Discovery Projects - Grant ID: DP0665710

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DP0665710

Funding Status
Closed

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Funded Activity Summary

New approaches for testing in nonlinear models. The outcome of this project is a new econometric methodology that will be particularly useful for developing our understanding of Australian (and global) financial markets. Specific benefits are that (i) our value-at-risk models will enhance national and international awareness of issues relating to financial risk management; (ii) our exchange rate pass through model will aid the development of Australian trade and pricing policies and (iii) our duration models for trade in Australian stocks will lead to a better understanding of the microstructure of the Australian stock market.

Funded Activity Details

Start Date: 01-08-2006

End Date: 31-12-2009

Funding Scheme: Discovery Projects

Funding Amount: $172,000.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Financial Econometrics | Econometric And Statistical Methods | Econometrics

ANZSRC Socio-Economic Objective (SEO)

Exchange rates | Monetary policy |

Other Keywords

Econometric And Statistical Methods | Econometrics | Exchange rates | Financial Econometrics | Monetary policy

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