| EPSRC Reference: |
GR/R97436/01 |
| Title: |
Statistical inference for volatility of time series |
| Principal Investigator: |
Yao, Professor Q |
| Other Investigators: |
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| Researcher Co-Investigators: |
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| Project Partners: |
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| Department: |
Statistics |
| Organisation: |
London School of Economics & Pol Sci |
| Scheme: |
Standard Research (Pre-FEC) |
| Starts: |
28 June 2003 |
Ends: |
27 September 2006 |
Value (£): |
154,142
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| EPSRC Research Topic Classifications: |
| Statistics & Appl. Probability |
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| EPSRC Industrial Sector Classifications: |
| No relevance to Underpinning Sectors |
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| Related Grants: |
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| Panel History: |
| Panel Date | Panel Name | Outcome |
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30 May 2002
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Mathematics Prioritisation Panel May 02
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Deferred
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Summary on Grant Application Form |
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In contrast to conventional time series analysis which focuses on modelling conditional first moment properties, the proposed project devotes attention to statistical inference for conditional second moments. The direct motivation lies in the increasing need to model and explain risk and uncertainty. A key application is the analysis of financial time series, although the potential uses are much wider. We will develop new statistical methodologies, techniques and theory for modelling volatility functions, which will be genuinely applicable to analysing financial time series, in particular for calculating the Value-at-Risk (VaR). The statistical techniques involved include bootstrap, back-fitting algorithm, data tilting, empirical likelihood, exponential smoothing, local linear fitting, and robust estimation. Most of our approaches are data-analytic in nature, making full use of modern computing power and accommodating large scale data analysis. Adaptive semi-parametric methods will be employed to explore local low-dimensional structure in multivariate models. We will develop and disseminate freely available software to allow our methods to be applied by others in both research and applications.
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Key Findings |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Potential use in non-academic contexts |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Impacts |
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| Description |
This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk |
| Summary |
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| Date Materialised |
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Sectors submitted by the Researcher |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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| Project URL: |
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| Further Information: |
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| Organisation Website: |
http://www.lse.ac.uk |