Modelling multivariate financial time series using copulas. What are the chances that the losses in the market value of investments exceed the anticipated levels? Given that one country's financial market collapsed, what are the chances that it would lead to financial crises in other countries? These questions often arise in risk management and international finance. This project takes a significant step forward from the existing literature to develop new flexible and innovative methods to an ....Modelling multivariate financial time series using copulas. What are the chances that the losses in the market value of investments exceed the anticipated levels? Given that one country's financial market collapsed, what are the chances that it would lead to financial crises in other countries? These questions often arise in risk management and international finance. This project takes a significant step forward from the existing literature to develop new flexible and innovative methods to answer the foregoing type of questions. Further, this project proposes new measures of market risks that are suitable for communicating to the broader public as well as the experts.Read moreRead less
Forecasting with single source of randomness state space models. The framework developed in this project, for identifying and
extrapolating trends, seasonal patterns and economic cycles in time
series, has a large and diverse range of useful applications in
Australia. Some examples include its potential use in the
development of appropriate monetary policy, its use to better inform
finance markets of risk levels associated with shares, its use to
forecast demand in supply chains to provide ....Forecasting with single source of randomness state space models. The framework developed in this project, for identifying and
extrapolating trends, seasonal patterns and economic cycles in time
series, has a large and diverse range of useful applications in
Australia. Some examples include its potential use in the
development of appropriate monetary policy, its use to better inform
finance markets of risk levels associated with shares, its use to
forecast demand in supply chains to provide a better service to
customers, and its use in call centres to better tailor staff
schedules to meet customer calls.Read moreRead less
A new class of statistical methods for analysing long memory time series models with heteroskedasticity. This project will result in a class of statistical methods that will aid policy makers and financial analysts when examining and predicting key international and Australian macroeconomic and financial variables that exhibit long memory. Leading applications of long memory modelling in the literature include GDP, CPI, asset pricing models, stock returns, exchange rates and interest rates. It w ....A new class of statistical methods for analysing long memory time series models with heteroskedasticity. This project will result in a class of statistical methods that will aid policy makers and financial analysts when examining and predicting key international and Australian macroeconomic and financial variables that exhibit long memory. Leading applications of long memory modelling in the literature include GDP, CPI, asset pricing models, stock returns, exchange rates and interest rates. It will be possible to robustly and efficiently analyse such series in the presence of changes in variability, such as the overall reduction in variability that has occurred since the 1970's, called the "Great Moderation". The utility of the new methods will be demonstrated by a robust and efficient analysis of the Purchasing Power Parity hypothesis.Read moreRead less
Estimating and Testing Heterogeneous Structural Changes. This project aims to develop new methods of extracting non-central, irregular patterns from data, and to detect such patterns in climate data and city-level racial composition data. The project expects to have methodological and empirical contributions, propose innovative data-driven approaches, and extract important features of climate and racial-composition data. The anticipated outcomes of this project are new methods of measuring the r ....Estimating and Testing Heterogeneous Structural Changes. This project aims to develop new methods of extracting non-central, irregular patterns from data, and to detect such patterns in climate data and city-level racial composition data. The project expects to have methodological and empirical contributions, propose innovative data-driven approaches, and extract important features of climate and racial-composition data. The anticipated outcomes of this project are new methods of measuring the relationship between human activities and extreme weather, and for quantifying dynamic racial composition. These empirical results should demonstrate the substantial benefits of the new methods by presenting important empirical evidence for designing policies against extreme weather and racial segregation.Read moreRead less
New Approaches to the Analysis of Count Time Series. The focus of this proposal is on the analysis of data that enumerate events over time. Occurrences of such count data abound in economics and business, examples being observations on insurance claims, loan defaults and individual product demand. This project develops a suite of innovative methods for modelling and predicting event counts. The methods explicitly accommodate both the discreteness of the data and possible complexities in its evo ....New Approaches to the Analysis of Count Time Series. The focus of this proposal is on the analysis of data that enumerate events over time. Occurrences of such count data abound in economics and business, examples being observations on insurance claims, loan defaults and individual product demand. This project develops a suite of innovative methods for modelling and predicting event counts. The methods explicitly accommodate both the discreteness of the data and possible complexities in its evolution over time. In so doing, they enable both accurate inferences regarding the dynamic structure of the data to be drawn and accurate forecasts of future event counts to be produced.Read moreRead less
The US Interest Rate Conundrum and its Implications for Australia. The project generalises existing factor models of interest rates. The project will result in several benefits nationally as well as internationally. As U.S. interest rates and U.S. monetary policy in general are important determinants of interest rates in Australia, the project will lead to an improved understanding of the international mechanism linking interest rates. This will also provide a better framework in which to unders ....The US Interest Rate Conundrum and its Implications for Australia. The project generalises existing factor models of interest rates. The project will result in several benefits nationally as well as internationally. As U.S. interest rates and U.S. monetary policy in general are important determinants of interest rates in Australia, the project will lead to an improved understanding of the international mechanism linking interest rates. This will also provide a better framework in which to understand and monitor monetary policy in Australia. An important aspect of the project is the development of new testing procedures that improve upon existing nonparametric methods.Read moreRead less
A new paradigm for catchment management: detection, forecasting and management of water catchments with multiple steady states. Understanding the response and recovery of Australia's water catchments to climatic change and variability is become increasingly urgent. Our catchments are vulnerable because there is a fundamental gap in our understanding of how they recover from high or low rainfall periods. This project will: a) advance water management concepts; b) build tools to understand how and ....A new paradigm for catchment management: detection, forecasting and management of water catchments with multiple steady states. Understanding the response and recovery of Australia's water catchments to climatic change and variability is become increasingly urgent. Our catchments are vulnerable because there is a fundamental gap in our understanding of how they recover from high or low rainfall periods. This project will: a) advance water management concepts; b) build tools to understand how and when catchments might switch to new states when hit by a disturbance; and c) identify how best to build the buffering capacity to reduce the chance of a switch occurring. The project will make Australia's groundwater and streamflow resources more secure and make Australian researchers and water resource managers world leaders in the emerging science of catchment resilience.Read moreRead less
Understanding the sources of secular stagnation. This project aims to examine why long-run projections of output, inflation, and interest rates have become lower for many economies in recent years resulting in a phenomenon often referred to as secular stagnation. The project intends to develop new econometric tools to account for sources of structural breaks and stochastic trends in order to quantify the roles of productivity growth, financial shocks, demographics, and inflation expectations in ....Understanding the sources of secular stagnation. This project aims to examine why long-run projections of output, inflation, and interest rates have become lower for many economies in recent years resulting in a phenomenon often referred to as secular stagnation. The project intends to develop new econometric tools to account for sources of structural breaks and stochastic trends in order to quantify the roles of productivity growth, financial shocks, demographics, and inflation expectations in driving secular stagnation. Expected outcomes include findings that will help guide macroeconomic policy responses to stagnation and new econometric tools that will support future applied research on changes in the behaviour of macroeconomic variables.Read moreRead less
New methods for modelling complex trends in climate and energy time series. The project aims to contribute to Australian and international efforts on emission control by advancing the methods for quantifying the relationships between energy production, emission and climate, and assessing the real and financial risks associated with changing the ways in which economies produce and use energy. The project is interdisciplinary and expects to develop new knowledge in the areas of energy and climate ....New methods for modelling complex trends in climate and energy time series. The project aims to contribute to Australian and international efforts on emission control by advancing the methods for quantifying the relationships between energy production, emission and climate, and assessing the real and financial risks associated with changing the ways in which economies produce and use energy. The project is interdisciplinary and expects to develop new knowledge in the areas of energy and climate econometrics. The anticipated outcomes of this project are new methods for modelling variables with complex trends, and an innovative data-driven approach for learning from policy experiences of other countries. This should provide significant benefits by enabling evidence-based policy making in the era of climate change. Read moreRead less
Non- and Semi-Parametric Panel Data Econometrics: Theory and Applications. This project proposes to tackle several very important and difficult issues in modelling general climatological, economic and financial panel data that involve possible trending components. This project seeks to establish some general asymptotic theory for model estimation and specification technologies that are suited to such general nonlinear panel data that may be stochastically non-stationary and endogenous. The resea ....Non- and Semi-Parametric Panel Data Econometrics: Theory and Applications. This project proposes to tackle several very important and difficult issues in modelling general climatological, economic and financial panel data that involve possible trending components. This project seeks to establish some general asymptotic theory for model estimation and specification technologies that are suited to such general nonlinear panel data that may be stochastically non-stationary and endogenous. The research outcomes of this project are expected to be applicable in evaluating and improving empirical model building and forecasting from better models in climatology, economics and finance with possible endogeneity and nonlinearity and non-stationarity.Read moreRead less