Now showing items 1-6 of 6

    • Asymptotic Theory for Rotated Multivariate GARCH Models 

      Asai, Manabu; Chang, Chia-Lin; McAleer, Michael; Pauwels, Laurent (Business Analytics., 2019-03-20)
      In this paper, we derive the statistical properties of a two step approach to estimating multivariate GARCH rotated BEKK (RBEKK) models. By the definition of rotated BEKK, we estimate the unconditional covariance matrix ...
    • Equivalence of optimal forecast combinations under affine constraints 

      Chan, Felix; Pauwels, Laurent (Business Analytics., 2019-03-19)
      Forecasts are usually produced from models and expert judgements. The reconciliation of different forecasts presents an interesting challenge for managerial decisions. Mean absolute deviations and mean squared errors scoring ...
    • Fundamental Moments 

      Imbs, Jean; Pauwels, Laurent (Business Analytics., 2019-05-08)
      Global trade can give rise to global hubs, centers of activity whose influence on the global economy is large enough that local disturbances have consequences in the aggregate. This paper investigates the nature, existence, ...
    • Moment Redundancy Test with Application to Efficiency-Improving Copulas 

      Hao, Bowen; Prokhorov, Artem; Qian, Hailong (Business Analytics., 2019-03-25)
      Moment redundancy as defined by Breusch et al. (1999) is a testable hypothesis. We propose a simple test of the hypothesis in the context of copula-based pseudo-maximum likelihood estimation considered by Prokhorov and ...
    • A New Family of Copulas, with Application to Estimation of a Production Frontier System 

      Amsler, Christine; Prokhorov, Artem; Schmidt, Peter (Business Analytics., 2019-03-25)
      In this paper we propose a new family of copulas for which the copula arguments are uncorrelated but dependent. Specifically, if w1 and w2 are the uniform random variables in the copula, they are uncorrelated, but w1 is ...
    • Predicting China’s Monetary Policy with Forecast Combinations 

      Pauwels, Laurent (Business Analytics., 2019-05-14)
      China’s monetary policy is unconventional and constantly evolving as a result of its rapid economic development. This paper proposes to use forecast combinations to predict the People’s Bank of China’s monetary policy ...