Working Papers - Business Analytics : [33] Collection home page

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Collection's Items (Sorted by Submit Date in Descending order): 1 to 20 of 33
PreviewIssue DateTitleAuthor(s)
7-Nov-2014Forecasting risk via realized GARCH, incorporating the realized rangeRichard, Gerlach; Chao, Wang; Discipline of Business Analytics
10-Oct-2014Bayesian Tail Risk Forecasting using Realised GARCHContino, Christian; Gerlach, Richard H.; Discipline of Business Analytics
10-Sep-2014Bayesian Assessment of Dynamic Quantile ForecastsGerlach, Richard; Chen, Cathy W.S.; Lin, Edward M.H.; Discipline of Business Analytics
5-Sep-2014Consistent Estimation of Linear Regression Models Using Matched DataProkhorov, Artem; Hirukawa, Masayuki; Discipline of Business Analytics
Apr-2014Semi-parametric Expected Shortfall ForecastingGerlach, Richard; Chen, Cathy W.S.; Discipline of Business Analytics
Jan-2014Confidence Levels for CVaR Risk Measures and Minimax Limits*Anderson, Edward; Xu, Huifu; Zhang, Dali; Discipline of Business Analytics
7-Aug-2013Two-Sample Nonparametric Estimation of Intergenerational Income MobilityMurtazashvili, Irina; Liu, Di; Prokhorov, Artem; Business Analytics
9-May-2013Competing for contracts with buyer uncertainty: Choosing price and quality variablesAnderson, Edward; Qian, Cheng; Business Analytics
Mar-2013Forecast combination for U.S. recessions with real-time dataVasnev, Andrey; Pauwels, Laurent; Business Analytics
Mar-2013Practical use of sensitivity in econometrics with an illustration to forecast combinationsVasnev, Andrey; Magnus, Jan R; Business Analytics
Dec-2012Multiple Event Incidence and Duration Analysis for Credit Data Incorporating Non-Stochastic Loan MaturityVasnev, Andrey; Gerlach, Richard; Watkins, John
Jan-2013Forecast combination for U.S. recessions with real-time dataVasnev, Andrey; Pauwels, Laurent; Business Analytics
Jan-2013Practical considerations for optimal weights in density forecast combinationVasnev, Andrey; Pauwels, Laurent; Business Analytics
May-2012Maximum likelihood estimation of time series models: the Kalman filter and beyondProietti, Tommaso; Luati, Alessandra; Business Analytics
Sep-2010Margining Option Portfolios by Network FlowsMatsypura, D.; Timkovsky, V.G.; Discipline of Business Analytics
Jul-2010Combinatorics of Option Spreads: The Margining AspectMatsypura, D.; Timkovsky, V.G.; Discipline of Business Analytics
Mar-2010Portfolio Margining: Strategy vs RiskCoffman, E.G. Jr; Matsypura, D.; Timkovsky, V.G.; Discipline of Business Analytics
Jan-2010Estimating Value At RiskLu, Zudi; Huang, Hai; Gerlach, Richard; Discipline of Business Analytics
Jan-2012Bayesian Semi-parametric Expected Shortfall Forecasting in Financial MarketsGerlach, Richard; Chen, Cathy W.S.; Lin, Liou-Yan; Discipline of Business Analytics
Oct-2011The Multistep Beveridge-Nelson DecompositionProietti, Tommaso; Discipline of Business Analytics
Collection's Items (Sorted by Submit Date in Descending order): 1 to 20 of 33