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Grant Award View - GA281782
Price Discovery in Equity and Volatility Futures for Trading and Hedging
GA ID:
GA281782
Agency:
Australian Research Council
Approval Date:
19-Jan-2023
Publish Date:
1-Feb-2023
Category:
Humanities, Arts and Social Sciences (HASS) Research
Grant Term:
19-Jan-2023 to 31-Dec-2025
Value (AUD):
$275,940.50
(GST inclusive where applicable)
One-off/Ad hoc:
No
Aggregate Grant Award:
No
PBS Program Name:
ARC 22/23 Discovery
Grant Program:
Discovery Projects
Grant Activity:
Price Discovery in Equity and Volatility Futures for Trading and Hedging
Purpose:
This project aims to develop a multivariate asynchronous technique to analyse the price discovery of movements in equity stock indices, volatility index futures and exchange traded products. This project expects to generate new knowledge in the area of financial econometrics using an innovative mixed frequency sampling approach to establish robust causal inferences. Expected outcomes of the project include enhanced econometric theory and its implementation in applied finance. This should provide significant benefits in the price discovery of the equity index in Australia, including insights that will help Australian funds in hedging and trading volatility.
GO ID:
GO Title:
Discovery Projects for funding commencing in 2023
Internal Reference ID:
DP23 Round 1
Selection Process:
Targeted or Restricted Competitive
Confidentiality - Contract:
No
Confidentiality - Outputs:
No
Grant Recipient Details
Recipient Name:
Bond University
Recipient ABN:
88 010 694 121
Grant Recipient Location
Suburb:
ROBINA
Town/City:
ROBINA
Postcode:
4226
State/Territory:
QLD
Country:
AUSTRALIA
Grant Delivery Location
State/Territory:
QLD
Postcode:
4226
Country:
AUSTRALIA