University of Sydney Business School: Recent submissions
-
Semi-parametric Expected Shortfall Forecasting
Published 2014-04-01Intra-day sources of data have proven effective for dynamic volatility and tail risk estimation. Expected shortfall is a tail risk measure, that is now recommended by the Basel Committee, involving a conditional expectation ...Open AccessWorking Paper -
Confidence Levels for CVaR Risk Measures and Minimax Limits*
Published 2014-01-01Conditional value at risk (CVaR) has been widely used as a risk measure in finance. When the confidence level of CVaR is set close to 1, the CVaR risk measure approximates the extreme (worst scenario) risk measure. In this ...Open AccessWorking Paper -
Australian Digital Commerce: A commentary on the retail sector
Published 2013-11-19In this market study we analysed the digital presences of 89 Australian retailers using a catalogue of 63 single items. We find that while Australian retailers have achieved reasonable levels of maturity in the informational ...Open AccessReport, Technical -
Two-Sample Nonparametric Estimation of Intergenerational Income Mobility
Published 2013-08-07We estimate intergenerational income mobility in the USA and Sweden. To measure the degree to which income status is transmitted from one generation to another we propose a nonparametric estimator, which is particularly ...Open AccessWorking Paper -
The role of groups as local context in large Enterprise Social Networks: A Case Study of Yammer at Deloitte Australia
Published 2013-07-27Enterprise Social Networking, the application of popular social networking techniques to the workplaces of organisations, is an increasingly common phenomenon. But its nature, benefits and proliferation are not yet fully ...Open AccessWorking Paper