Modelling multivariate financial time series using copulas

  • Silvapulle, Param (Primary Chief Investigator (PCI))
  • Silvapulle, Mervyn (Chief Investigator (CI))

Project: Research

Project Description

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.
StatusFinished
Effective start/end date1/01/0431/12/06

Funding

  • Australian Research Council (ARC): AUD90,000.00