Building flexible multivariate models and their application in Finance

构建灵活的多元模型及其在金融中的应用

• 批准号: DP0988579
• 负责人: Prof Robert Kohn
• 金额: $ 36.07万
• 依托单位: The University of New South Wales
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2009
• 资助国家: 澳大利亚
• 起止时间: 2009-06-01 至 2012-06-01
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP0988579
• 关键词: Building; flexible; multivariate; models; their

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.

该项目将开发方法来分析可能随时间演变的相关测量的属性。新方法将显着改进当前的最佳统计实践，并将应用于金融领域的重要问题，例如资产配置和风险管理。金融部门是澳大利亚经济的重要组成部分，了解金融资产的共同行为对于理解和考虑风险非常重要。这些方法将立即应用于医学、工程和环境科学等其他学科。该项目将培训一名博士后学生和三名博士生，学习前沿金融计量经济学。