Change Detection in Causal Relationships and Measurement of Systemic Risk. Empirical measures of interconnectedness between financial institutions based on tests of Granger causality are currently used in detecting systemic risk. However, researchers need to define periods of calm and stress exogenously in order to implement these tests appropriately. This project aims to develop a new procedure to identify changes in causal relationships and the timing of these changes. The new approach has the ....Change Detection in Causal Relationships and Measurement of Systemic Risk. Empirical measures of interconnectedness between financial institutions based on tests of Granger causality are currently used in detecting systemic risk. However, researchers need to define periods of calm and stress exogenously in order to implement these tests appropriately. This project aims to develop a new procedure to identify changes in causal relationships and the timing of these changes. The new approach has the potential to be a significant improvement in the real-time identification of emerging turmoil in financial markets and provide an improved method for the detection of systemic risk. The new test procedure will be implemented using data for financial and non-financial institutions across Europe, the US and Australia.Read moreRead less
Trending time series models with non- and semi-parametric methods. The outcomes of this project will not only complement but also enhance the existing strengths and reputation of Australian researchers in the field of econometrics. The outcomes are also expected to help improve model building and forecasting from better models in climatology, economics, environmetrics and financial econometrics.
Measuring uncertainty in global housing markets and its risk to Australia. This project aims to develop and construct a measure of systemic risk for the national real-estate markets in Australia, and its main trading partners, namely China, Japan, New Zealand, United Kingdom and United States of America. Recently developed methodology will be used to investigate how real estate risks migrate across these countries over time, and during periods of financial turbulence. This methodology is intende ....Measuring uncertainty in global housing markets and its risk to Australia. This project aims to develop and construct a measure of systemic risk for the national real-estate markets in Australia, and its main trading partners, namely China, Japan, New Zealand, United Kingdom and United States of America. Recently developed methodology will be used to investigate how real estate risks migrate across these countries over time, and during periods of financial turbulence. This methodology is intended to be employed as part of a market stability surveillance program and for assessing the impact of real-estate risk on the overall economy. Early detection of the onset of future housing bubble collapses would be of significant benefit to policy makers, Australia’s trading partners, the real estate industry and ultimately home buyers.Read moreRead less
A New Approach to Information-Based Securities Trading. This project develops and tests a new approach to information-based securities trading, which can effectively describe trading dynamics and accurately measure the effects of information impounded in price and trading activities. It aims to provide a novel and practical framework for studying information asymmetry, belief heterogeneity and asset pricing, and apply the new approach to address a series of financial issues. The project will mak ....A New Approach to Information-Based Securities Trading. This project develops and tests a new approach to information-based securities trading, which can effectively describe trading dynamics and accurately measure the effects of information impounded in price and trading activities. It aims to provide a novel and practical framework for studying information asymmetry, belief heterogeneity and asset pricing, and apply the new approach to address a series of financial issues. The project will make significant contributions to finance research by shedding new insights on market dynamics and creating a new stream of models and modelling techniques. Academics, practitioners and regulators can use the new approach to better analyse the Australian financial market and improve its efficiency.Read moreRead less
Asset Market Interconnectedness and Exotic Options: The Mean Impact Surface. The project intends to develop models to price financial risk more accurately during periods of financial stress and increasing global interconnectedness. Specifically, it plans to develop a new class of latent factor models with time-varying loadings to model the interconnectedness of global financial markets during periods of financial stress. A key feature of the proposed model is the role of second-order conditional ....Asset Market Interconnectedness and Exotic Options: The Mean Impact Surface. The project intends to develop models to price financial risk more accurately during periods of financial stress and increasing global interconnectedness. Specifically, it plans to develop a new class of latent factor models with time-varying loadings to model the interconnectedness of global financial markets during periods of financial stress. A key feature of the proposed model is the role of second-order conditional moments of the underlying innovation processes in modelling asset return dynamics. The proposed model is characterised by higher order nonlinear structures which are captured graphically by the mean impact surface. The project also plans to develop a new class of tests to detect higher order dependencies among asset returns in the presence of time-varying volatility, and to investigate the implications for constructing portfolios with exotic options to hedge risk during financial crises.Read moreRead less
Discovery Early Career Researcher Award - Grant ID: DE150101889
Funder
Australian Research Council
Funding Amount
$350,000.00
Summary
Insider trading in financial markets. Insider trading destroys confidence in financial markets and undermines their fairness and efficiency. Substantial amounts of taxpayer money are spent each year in combatting insider trading, and yet cases of insider trading remain abundant. This project aims to advance our understanding of insider trading, its prevalence, social costs, characteristics and determinants, and how it responds to different penalties. This project aims to allow for more efficient ....Insider trading in financial markets. Insider trading destroys confidence in financial markets and undermines their fairness and efficiency. Substantial amounts of taxpayer money are spent each year in combatting insider trading, and yet cases of insider trading remain abundant. This project aims to advance our understanding of insider trading, its prevalence, social costs, characteristics and determinants, and how it responds to different penalties. This project aims to allow for more efficient use of regulatory resources through better rules, more accurate detection methods, and increased deterrence. It aims to benefit society through fairer and more efficient markets.Read moreRead less
Household mortgage choice: theoretical and empirical evidence. A house is often the largest component of household assets, and financing its purchase involves choosing a mortgage product from many alternatives. Inefficiencies and incompleteness in mortgage markets have important consequences. This project uncovers theoretical and empirical evidence on why Australians choose particular mortgage products.
Discovery Early Career Researcher Award - Grant ID: DE150100708
Funder
Australian Research Council
Funding Amount
$352,000.00
Summary
Understanding the Linkage of Public and Private Risk in the Global Economy. This project aims to develop a richly detailed model of the global financial system including both public and private institutions. By treating the system as a network of interconnected entities, this project aims to introduce new techniques to map and to trace the evolution of risk in the financial system, to forecast the spillover of risk between entities in the system, and to conduct counterfactual analysis of potenti ....Understanding the Linkage of Public and Private Risk in the Global Economy. This project aims to develop a richly detailed model of the global financial system including both public and private institutions. By treating the system as a network of interconnected entities, this project aims to introduce new techniques to map and to trace the evolution of risk in the financial system, to forecast the spillover of risk between entities in the system, and to conduct counterfactual analysis of potential policy measures. This project will investigate the link between spillover intensity and the existing research on extreme events in financial data. By studying how the recent crisis spread through the global financial system, this project aims to enhance our ability to foresee future crises and to mitigate their impact and costs.Read moreRead less
Price Discovery in Equity and Volatility Futures for Trading and Hedging. This project aims to develop a multivariate asynchronous technique to analyse the price discovery of movements in equity stock indices, volatility index futures and exchange traded products. This project expects to generate new knowledge in the area of financial econometrics using an innovative mixed frequency sampling approach to establish robust causal inferences. Expected outcomes of the project include enhanced econome ....Price Discovery in Equity and Volatility Futures for Trading and Hedging. This project aims to develop a multivariate asynchronous technique to analyse the price discovery of movements in equity stock indices, volatility index futures and exchange traded products. This project expects to generate new knowledge in the area of financial econometrics using an innovative mixed frequency sampling approach to establish robust causal inferences. Expected outcomes of the project include enhanced econometric theory and its implementation in applied finance. This should provide significant benefits in the price discovery of the equity index in Australia, including insights that will help Australian funds in hedging and trading volatility.Read moreRead less
Systemic risk, hedge funds and modelling asymmetric dependence using a Copula approach. This project will assess whether hedge funds pose a significant systemic risk for Australia and the impact of asymmetric dependence on portfolio choice involving hedge funds. The project is timely and important as it is aimed at protecting Australia's financial system.