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

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.