New Statistical Procedures for Analysing Dependence in Non-Gaussian Time Series Data

  • Martin, Gael (Primary Chief Investigator (PCI))
  • Harris, David (Chief Investigator (CI))

Project: Research

Project Details

Project Description

Numerous types of data arise in economic, finance and business environments that deviate from the continuous, symmetric features of Gaussian, or normal, data. Adopting a unified statistical framework, this project aims to develop a suite of new techniques for analyzing dynamic behaviour in such data, in particular higher-order dynamic behaviour. Whilst the scope of the project is broad, we give emphasis to high frequency non-Gaussian financial data, including trade durations, trade counts and financial returns. The statistical tools produced will serve as a significant new resource for both applied researchers within academia and practitioners in the finance industry.
StatusFinished
Effective start/end date3/01/0630/06/09

Funding

  • Australian Research Council (ARC): AUD220,000.00
  • University of Melbourne