University of Sydney Business School: Recent submissions
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Introduction of Road Pricing- Possibilities and Difficulties
Published 1992-01-01Open AccessConference paper -
Bayesian Tail Risk Forecasting using Realised GARCH
Published 2014-10-10A Realised Volatility GARCH model is developed within a Bayesian framework for the purpose of forecasting Value at Risk and Conditional Value at Risk. Student-t and Skewed Student-t return distributions are combined with ...Open AccessWorking Paper -
Bayesian Assessment of Dynamic Quantile Forecasts
Published 2014-09-10Methods for Bayesian testing and assessment of dynamic quantile forecasts are proposed. Specifically, Bayes factor analogues of popular frequentist tests for independence of violations from, and for correct coverage of a ...Open AccessWorking Paper -
Consistent Estimation of Linear Regression Models Using Matched Data
Published 2014-09-05Economists often use matched samples, especially when dealing with earnings data where a number of missing observations need to be imputed. In this paper, we demonstrate that the ordinary least squares estimator of the ...Open AccessWorking Paper -
Australian Digital Commerce: Now is the Time for Australian Retailers to Address the Customer Engagement Gap
Published 2014-07-15This report analyses the state of digital commerce among Australian retailers, based on a study of 52 companies across 10 retail subsectors benchmarked against international market leaders. It conceptualises digital commerce ...Open AccessReport, Technical