Discovery Projects - Grant ID: DP160102350

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DP160102350

Funding Status
Closed

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Funded Activity Summary

Asset Market Interconnectedness and Exotic Options: The Mean Impact Surface. The project intends to develop models to price financial risk more accurately during periods of financial stress and increasing global interconnectedness. Specifically, it plans to develop a new class of latent factor models with time-varying loadings to model the interconnectedness of global financial markets during periods of financial stress. A key feature of the proposed model is the role of second-order conditional moments of the underlying innovation processes in modelling asset return dynamics. The proposed model is characterised by higher order nonlinear structures which are captured graphically by the mean impact surface. The project also plans to develop a new class of tests to detect higher order dependencies among asset returns in the presence of time-varying volatility, and to investigate the implications for constructing portfolios with exotic options to hedge risk during financial crises.

Funded Activity Details

Start Date: 01-03-2016

End Date: 30-06-2020

Funding Scheme: Discovery Projects

Funding Amount: $285,000.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Time-Series Analysis | Financial Economics | Econometrics

ANZSRC Socio-Economic Objective (SEO)

Economic Framework not elsewhere classified | Finance Services |

Other Keywords

Econometrics | Economic Framework not elsewhere classified | Finance Services | Financial Economics | Time-Series Analysis

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