Novel Econometric Techniques for Dealing with Point Processes in High Frequency Financial Data with Applications to Financial Risk Management

Overview

Project status: In progress

The recent global financial crisis highlighted the inherent risk involved in investing in financial assets. This project aims to develop novel statistical methods for forecasting the onset of instability in asset prices. The outcomes of this research will lead to improvements in the management of financial risk.

Grantor

Australian Research Council (ARC)

Research team
QUT External collaborators
  • Prof David Hendry
  • Prof Ken Lindsay
  • Dr Ralf Becker
Organisational unit
Lead unit School of Economics and Finance Other units
Research area
Finance