Dynamical stochastic models for efficient spatial analysis of linkages in financial markets


Co-Investigators


Funding source

Swedish Research Council - Vetenskapsrådet (VR)


Project Details

Start date: 01/01/2014
End date: 31/12/2017
Funding: 4260000 SEK


Description

The project combines research expertise in stochastic dynamical modeling of spatial-temporal data on one side and spatial econometrics techniques on the other to obtain effective tools for analysis of financial market data with focus on exploring linkages and interactions between countries and markets. The goal is to build flexible models, efficient data fitting and accurate prediction methods that would advance understanding how financial risks transfer between different countries. The importance of this research is underlined by recent financial crises in which spillover effects and risk contagion were principal reasons of severe global impacts and stresses on all aspects of economic activities across geographic regions. The main focus is in a study of models that are pertinent to spatial econometrics modeling and effective in dynamical extensions. This would involve model fitting, statistical inference, prediction and reconstruction for the underlying stochastic models. These goals are summarized in the following two general research topics: - building dynamics into spatial econometrics models. This enables us to investigate the international financial market dependence under varying economic environments, such as, different volatility levels or macroeconomic conditions; -proposing and investigating non-Gaussian models for improvement of effectiveness of fitting spatial-temporal models for financial markets and improving accuracy of predictions from them.


External Partners


Last updated on 2017-31-07 at 11:38