PhD Thesis Reports

  • Kylie-Anne Richards: Modelling the Dynamics of the Limit Order Book in Financial Markets (pdf)

  • Kevin Hongxuan Yan: Generalised linear Gegenbauer long memory models for time series of counts
    with financial and insurance applications (pdf)

  • Antonio Dalessandro: Tensor Approximation of Generalized Correlated Diffusions and Applications (pdf)

  • Dorota Toczydlowska:  Machine Learning Developments in Dependency Modelling and Feature Extraction. (pdf)

  • Jing Yang Koh: Security and Privacy in Wireless Networking and Mobile Crowd Sensing  (pdf)

  • Rodrigo Targino: Statistical Methods in Financial Risk Management (pdf)

  • Matthew Ames: Innovations in Dependence Modelling for Financial Applications (pdf)

  • Wilson Chen: Quantile Dynamics (pdf

  • Efstathios Panayi: Modelling Empirical Features and Liquidity Resilience in the Limit Order Book (pdf)

  • Alice Xiaodan Dong: Actuarial Claims Reserving Statistical Models (pdf)

MSc Thesis Reports

  • Tran Huy: Latent Factor Commodity Models: Filtering and Estimation. (pdf)

  • Shamin Kinathil: Nonlinear Filtering for Non-Stationary Multivariate Cointegration Models. (pdf)

  • Paul Veerhuis: Arbitrage Free Nelson Siegel Yield Curve Modelling: An Application to Assess Unconventional Monetary Policy. (pdf)

  • Blaise Standish: Modelling Execution Strategies for Algorithmic Trading via MDP's (pdf)

  • Aaron Byrnes: Estimation and Modelling in Heavy-Tailed Operational Risk Exposures with Insurance Mitigation (pdf)

  • Chen Yang: On Exploring Dependence Structures for Operational Risk Models (pdf)

  • Matthew Ames: Investigating Multivariate Tail Dependence in Currency Carry Trade Portfolios via Copula Models. (pdf

  • Jonathan Cox: Methodology for Joint Estimation in Bayesian CVAR Models. (pdf

  • Vivien Ziting Zhou: Yield Curve Modelling and Dynamics. (pdf

  • Maciek Markowka: Cointegrated Vector Autoregression models with Nonlinear
    Dynamic Dependence Structure. (pdf)

QRSLab since 2009

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