Long memory and nonlinearity in macroeconomic and financial time series

点击翻译按钮获取中文摘要

This research proposal on the topic "Fractional cointegration and nonlinearties in macroeconomic and financial time series" demonstrates a research work plan for the 12-month ESRC postdoctoral fellowship. This research fellowship is planned to conduct in the Department of Economics at the University of Southampton within the South Coast ESRC DTP, with Prof. Jean-Yves Pitarakis as mentor. Having the common research interest in financial econometrics between mentor and candidate, it is believed that the candidate can receive effective feedback and support in terms of reshaping and extending the current research works during the fellowship.The theme of this research topic blends both theories and applications in financial economics. It aims to identify and to resolve economically interesting phenomena, via modified econometric techniques proposed in this research, and hence to deliver evidence based economic implications for general public.This fellowship is bent upon three areas. First, at the early stage of the fellowship, the candidate needs toconsolidate the research output from her PhD thesis and submits to international journals for publication. It is important for the disseminations of her existing research output, and for the development of research agenda for her future academic career. Second, the candidate works with her mentor for a permitted amount (25%) of further research. There is a clear plan for further research in both theory and application aspects in financial econometrics during the fellowship. Third, the candidate will actively participate in conferences and workshops to receive feedback for the research work and to build the network of collaborations and impact opportunities. Involved in a limited amount of teaching is also a supplementary activity to strengthen the candidate's academic profile and to enhance the dissemination of knowledge in financial econometrics.This proposal of postdoctoral fellowship aims to generate both academic and economic impacts. The research findings in this fellowship provide better understanding in some economic phenomena which are not fully documented in the existing literature. Aiming to enhance the implementation of the proposed techniques for other academic and professional researchers, computer programming code will be documented as a user guide along with the core research output. Current academic research in cross subjects such as political studies and climatology demonstrated that the state of art techniques studied in this project can be extended and utilised for the time series analysis in those disciplines. The econometric methodologies and research findings are transferrable and implementable in benefit of real-world economic activities, including the improvement of investment decisions by the various type of investors and the accuracy of macroeconomic modelling by macroeconomists and regulators.