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Long memory and nonlinearity in macroeconomic and financial time series

宏观经济和金融时间序列中的长记忆和非线性

基本信息

批准号：
ES/S010831/1
负责人：
Chi Wan Cheang
金额：
$ 8.92万
依托单位：
University of Southampton
依托单位国家：
英国
项目类别：
Fellowship
财政年份：
2018
资助国家：
英国
起止时间：
2018 至无数据
项目状态：
已结题

来源：
https://gtr.ukri.org/projects?ref=ES%2FS010831%2F1
关键词：
Long memory nonlinearity macroeconomic financial

项目摘要

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.

本研究计划的主题是“宏观经济和金融时间序列中的分数协整和非线性”，展示了为期12个月的ESRC博士后研究计划。这项研究奖学金计划在南海岸ESRC DTP内的南安普顿大学经济系进行，Jean-Yves Pitarakis教授担任导师。由于导师和候选人在金融计量经济学方面有着共同的研究兴趣，相信候选人在奖学金期间可以得到有效的反馈和支持，以重塑和扩展现有的研究工作。本研究主题融合了金融经济学的理论和应用。它旨在通过本研究中提出的改进的计量经济学技术来识别和解决经济上有趣的现象，从而为公众提供基于证据的经济影响。首先，在奖学金的早期阶段，候选人需要巩固她的博士论文的研究成果，并提交给国际期刊发表。这对她现有研究成果的传播以及她未来学术生涯的研究议程的发展都很重要。第二，候选人与她的导师合作，进行允许的进一步研究（25%）。在奖学金期间，有一个明确的计划，在金融计量经济学的理论和应用方面进行进一步的研究。第三，候选人将积极参加会议和研讨会，以获得对研究工作的反馈，并建立合作和影响机会的网络。参与有限的教学也是一种补充活动，以加强候选人的学术形象，并加强金融计量经济学知识的传播。博士后奖学金的建议旨在产生学术和经济影响。该奖学金的研究成果使人们更好地理解一些在现有文献中没有充分记载的经济现象。为了加强其他学术和专业研究人员对拟议技术的实施，计算机编程代码将作为用户指南沿着核心研究成果一起记录。目前在政治学和气候学等交叉学科的学术研究表明，该项目中研究的最先进技术可以扩展并用于这些学科的时间序列分析。计量经济学的方法和研究结果是可转移和可实施的，有利于现实世界的经济活动，包括改善投资决策的各种类型的投资者和宏观经济学家和监管机构的宏观经济建模的准确性。