New approaches for testing in nonlinear models

Project: Research

Project Description

This project develops a new econometric methodology for building and studying nonlinear models of economic phenomena. We study three practical applications based on (i) models of Australian and Asian stock market risks; (ii) a model of exchange rate pass through in Australia; and (iii) duration models for trade in Australian stocks to develop our methodology for three broad classes of models that have wide applicability in the economics and finance literatures. We then unify these methodological developments so that they can be applied to a wider range of models with considerable practical importance
StatusFinished
Effective start/end date1/08/0631/12/09

Funding

  • Australian Research Council (ARC): AUD172,000.00
  • Australian National University