University of Sydney Business School: Recent submissions
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Exact ABC using Importance Sampling
Published 2015-09-23Approximate Bayesian Computation (ABC) is a powerful method for carrying out Bayesian inference when the likelihood is computationally intractable. However, a draw- back of ABC is that it is an approximate method that ...Open AccessWorking Paper -
Generalized Information Matrix Tests for Copulas
Published 2015-09-11We propose a family of goodness-of-fit tests for copulas. The tests use generalizations of the information matrix (IM) equality of White (1982) and so relate to the copula test proposed by Huang and Prokhorov (2014). The ...Open AccessWorking Paper -
GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference
Published 2015-09-11We construct a Generalized Empirical Likelihood estimator for a GARCH(1,1) model with a possibly heavy tailed error. The estimator imbeds tail-trimmed estimating equations allowing for over-identifying conditions, asymptotic ...Open AccessWorking Paper -
Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Range and Realized Measures
Published 2015-09-11A new framework named Realized Conditional Autoregressive Expectile (Realized- CARE) is proposed, through incorporating a measurement equation into the conventional CARE model, in a framework analogous to Realized-GARCH. ...Open AccessWorking Paper -
Fat tails and copulas: limits of diversification revisited
Published 2015-09-11We consider the problem of portfolio risk diversification in a Value-at-Risk framework with heavy-tailed risks and arbitrary dependence captured by a copula function. We use the power law for modelling the tails and ...Open AccessWorking Paper