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Impact of COVID 19 pandemic on cryptocurrency market using time series models with variance gamma distribution

This project will investigate properties of high frequency cryptocurrency returns data which often display high kurtosis. Popular heavy tail distributions like Student t and exponen more...

Supervisor(s): Chan, Jennifer (Associate Professor)

Towards a social networks model for understanding factors for variances in cost and schedule in project implementation and project completion times

According to several theorists, effective communication is one of the key factors in determining the success of failure of a project. However, communication is a complex and challen more...

Supervisor(s): Chung, Kenneth (Dr)

Multivariate volatility models for high frequency data

Volatility forecast is important in risk management. However since volatility is unobserved, most volatility models like the GARCH models are based on daily return and model volatil more...

Supervisor(s): Chan, Jennifer (Associate Professor)