Asset Prices
This broad research project deals with modelling asset prices and financial prices more generally.It includes analysis of interest rate yield curves. Also there are examination of burgeoning issues in exchange rate modelling and asset returns more generally.
Research Questions
- How should we model yield curves?
- Do yield curves comove?
- Can risk factors be used to model carry returns in the FX market?
- What drives stock returns?
Methods
- Time Series Forecasting
- Cross Sectional Regressions
- Bayesian Econometrics
Project Participants
- Dr Boulis Ibrahim
- John Byrne
- Xiaoyu Zong
- Dr Ryuta Sakemoto - Okayama University, Japan, and Keio University, Japan
- Shuo Cao - Research Institute, Shenzen Stock Exchange, China