Discovery Projects - Grant ID: DP0985234

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DP0985234

Funding Status
Closed

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Funded Activity Summary

Non-parametric estimation of forecast distributions in non-Gaussian state space models. The production of accurate forecasts is arguably one of the most challenging tasks in economics, business and finance, where data often assume strictly positive, integer or binary values, or are characterized by many extreme values far from the average. This project will produce new, state-of-the-art statistical methods for generating accurate estimates of the probabilities attached to different possible future values of such variables. Although far-ranging in scope, the techniques advocated will have particular impact in the financial sphere, where the concept of future risk is inextricably linked to the probability of occurrence of extreme values and, hence, to the future probability distribution of the financial variable.

Funded Activity Details

Start Date: 01-01-2009

End Date: 31-12-2012

Funding Scheme: Discovery Projects

Funding Amount: $210,000.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Financial Econometrics | Economic Models And Forecasting | 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 Models And Forecasting | Economic issues not elsewhere classified | Finance and investment services | Financial Econometrics | Mathematical sciences

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