Discovery Projects - Grant ID: DP0988579

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DP0988579

Funding Status
Closed

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Funded Activity Summary

Building flexible multivariate models and their application in Finance. The project will develop methods for analyzing the properties of dependent measurements that may evolve through time. The new methods will significantly improve on current best statistical practice and will be applied to important problems in the financial sector such as asset allocation and risk management. The financial sector is a vital part of the Australian economy and it is important to understand the joint behavior of financial assets in order to understand and allow for risk. The methods will have immediate application in other disciplines such as medicine, engineering and the environmental sciences. The project will train a postdoctoral student and three PhD students in cutting edge financial econometrics.

Funded Activity Details

Start Date: 01-06-2009

End Date: 01-06-2012

Funding Scheme: Discovery Projects

Funding Amount: $520,000.00

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

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