New frontiers in applied quantitative management and finance: nonlinear econometric models, fractional cointegration and economic

Cofinanciado por:
Project title | New frontiers in applied quantitative management and finance: nonlinear econometric models, fractional cointegration and economic
Project Code | PTDC/GES/73418/2006
Main objective |

Region of intervention |

Beneficiary entity |
  • Instituto Superior de Ciências do Trabalho e da Empresa(líder)
  • Universidade de Évora(parceiro)

Approval date | 01-09-2007
Start date | 01-09-2007
Date of the conclusion | 28-02-2011

Total eligible cost |
European Union financial support |
National/regional public financial support |

Summary

This project addresses the study of financial markets (and other) using some relatively new tools based on nonlinear time series and econophysics. Nonlinear models used in econometrics are usually constructed in order to address some specific issues of the events observed in real markets. One such type of model is the threshold class, useful to study asymmetries in the data. Other forms of assumptions concerning distributional aspects of the error terms have been also analysed by econometricians. Conditional heteroskedasticity fractional volatility are amongst these lines of research. Much less attention, however, has been paid to the nonlinear character of integrated data, at least in what concerns stock market analyses. Another line of research on financial markets, originally used by physics lies on the concept of entropy used in the context of econophysics.


Objectives, activities and expected/achieved results

Objectives

The main goal of this project is to build some innovative empirical research work using modelling tools based on nonlinear time and information theory. Improving our knowledge of the nonlinear characteristics of stock market indicators is also an important goal of this project. We also plan to extend these approaches to other research fields, such as industrial economics and marketing.

Activities

Publications of books, papers and other scientific work;  communications in international meetings;  international conferences organized at ISCTE; seminars open to the scientific community held at ISCTE and other universities.