Nonparametric and Semiparametric Approaches in Nonlinear Time Series Econometrics and Financial Econometrics

非线性时间序列计量经济学和金融计量经济学中的非参数和半参数方法

• 批准号: ARC : DP0209623
• 负责人: Dr Jiti Gao
• 金额: $ 9.9万
• 依托单位: The University of Western Australia
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2002
• 资助国家: 澳大利亚
• 起止时间: 2002-01-01 至 2005-12-31
• 项目状态: 已结题
• 来源: https://researchdata.edu.au/nonparametric-semiparametric-approaches-financial-econometrics/63670
• 关键词: Nonparametric; Semiparametric; Approaches; Nonlinear; Time

Nonparametric and Semiparametric Approaches in Nonlinear Time Series Econometrics and Financial Econometrics. This research proposal involves new theoretical investigations using nonparametric and semiparametric approaches in high dimensional nonlinear economic and financial dynamical systems. \r\n\r\nThe main aims of this proposal are \r\n\r\n(i) to make new theoretical investigations of high dimensional nonlinear economic and financial dynamical models which incorporate to varying degrees, nonlinearity, and additivity; \r\n\r\n(ii) to develop novel computational procedures and programmes for the necessary statistical inference associated with new high dimensional nonlinear dynamical models; and \r\n\r\n(iii) to apply the techniques and programmes to improve economic and financial model building and forecasts from better models. \r\n

非线性时间序列计量经济学和金融计量经济学中的非参数和半参数方法。这一研究方案涉及高维非线性经济金融动力系统中使用非参数和半参数方法的新的理论研究。这项建议的主要目的是(I)对不同程度地包含非线性和可加性的高维非线性经济和金融动力学模型进行新的理论研究；(Ii)为与新的高维非线性动力学模型相关的必要的统计推断开发新的计算程序和程序；以及(Iii)应用技术和程序来改进经济和金融模型的建立和从更好的模型进行预测。\r\n