On the generalized conditional autoregressive Wishart process and its extensions


Grant Data
Project Title
On the generalized conditional autoregressive Wishart process and its extensions
Principal Investigator
Professor Li, Wai Keung   (Principal investigator)
Co-Investigator(s)
Dr Yu Philip Leung Ho   (Co-Investigator)
Duration
36
Start Date
2015-09-01
Completion Date
2018-08-31
Amount
631972
Conference Title
Presentation Title
Keywords
Wishart Autoregressive Model, generalized CAW model, stationarity condition, maximum likelihood estimation, realized covariance matrix
Discipline
Probability & Statistics
Panel
Physical Sciences (P)
Sponsor
RGC General Research Fund (GRF)
HKU Project Code
17303315
Grant Type
General Research Fund (GRF)
Funding Year
2015/2016
Status
On-going
Objectives
2 Nonlinear extensions of the GCAW family defined by introducing a threshold structure will be considered. This will help study the non-linear dynamics of the RCOV under different market conditions. Again, the probabilistic structure, estimation procedure, identification and model diagnostic methods as well as the effect of large dimension on statistical inferences of these models will be studied. 3 Applications to financial return data will be considered during the process of model development. Softwares that will be useful to researchers and practitioners will be developed. Possible future extensions of the GCAW models will be considered if time allows.