A Bayesian State Space Methodology for Forecasting Stock Market Volatility and Associated Time-varying Risk Premia. Accurate prediction of stock market volatility is critical for effective financial risk management. Along with information on volatility embedded in historical stock market returns, the prices of options written on the underlying stocks also reflect the option market's assessment of future volatility. This project will exploit this dual data source in a completely new way, using it ....A Bayesian State Space Methodology for Forecasting Stock Market Volatility and Associated Time-varying Risk Premia. Accurate prediction of stock market volatility is critical for effective financial risk management. Along with information on volatility embedded in historical stock market returns, the prices of options written on the underlying stocks also reflect the option market's assessment of future volatility. This project will exploit this dual data source in a completely new way, using it to produce forecasts of both volatility itself and the premia factored into asset prices as a result of traders' perceptions of volatility risk. State-of-the-art statistical methods will be used to produce up-dates of the probability of extreme volatility and/or extreme risk aversion, as new market data becomes available each trading day.Read moreRead less
Methods for establishing cumulative CO2 emission budgets for Australia. Limiting global warming requires curbing cumulative carbon emissions. However, we do not know how the quasi-linear relationship between cumulative carbon dioxide emissions and maximal warming is modulated by other climate-relevant gases (for example, sulphur oxide or Methane) nor have we quantified the relationship in sufficient detail for aligning national and international policy strategies. This project will develop new m ....Methods for establishing cumulative CO2 emission budgets for Australia. Limiting global warming requires curbing cumulative carbon emissions. However, we do not know how the quasi-linear relationship between cumulative carbon dioxide emissions and maximal warming is modulated by other climate-relevant gases (for example, sulphur oxide or Methane) nor have we quantified the relationship in sufficient detail for aligning national and international policy strategies. This project will develop new methods to establish global emission budgets for various climate targets and likelihoods. Options for Australia’s share will be quantified on the basis of effort-sharing proposals. This research is vital for Australian policy makers, the energy sector, and the public in order to plan for coming decades.Read moreRead less
Spanning ten billion scales from millimetre turbulence to global circulation. This project aims to explain the role of convection in the ocean. Convection is a key climate process yet it remains one of the most poorly understood mechanisms in the ocean and is crudely represented in climate models, leading to uncertainties in predictions of heat transport, climate change, polar ice loss and sea level rise. Using a unique turbulence-resolving approach and high-performance computing, the project wi ....Spanning ten billion scales from millimetre turbulence to global circulation. This project aims to explain the role of convection in the ocean. Convection is a key climate process yet it remains one of the most poorly understood mechanisms in the ocean and is crudely represented in climate models, leading to uncertainties in predictions of heat transport, climate change, polar ice loss and sea level rise. Using a unique turbulence-resolving approach and high-performance computing, the project will determine both the global role of buoyancy-driven convection in the broad ocean circulation and the local turbulence controls on melting rates of Antarctic ice-shelves. This will contribute to the formulation of better climate models and keep Australia at the forefront of oceanography and environmental fluid dynamics.Read moreRead less