University of Sydney Business School: Recent submissions
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The Multistep Beveridge-Nelson Decomposition
Published 2011-10-01The Beveridge-Nelson decomposition defines the trend component in terms of the eventual forecast function, as the value the series would take if it were on its long-run path. The paper introduces the multistep Beveridge-Nelson ...Open AccessWorking Paper -
Margining Option Portfolios by Network Flows
Published 2010-09-01As shown in [Rudd and Schroeder, 1982], the problem of margining option portfolios where option spreads with two legs are used for offsetting can be solved in polynomial time by network flow algorithms. However, spreads ...Open AccessWorking Paper -
Bayesian Semi-parametric Expected Shortfall Forecasting in Financial Markets
Published 2012-01-01Bayesian semi-parametric estimation has proven effective for quantile estimation in general and specifically in financial Value at Risk forecasting. Expected short-fall is a competing tail risk measure, involving a conditional ...Open AccessWorking Paper -
Oh, SNEP! The Dynamics of Social Network Emergence - the case of Capgemini Yammer
Published 2012-01-23With more and more organisations accepting social media into the workplace as an integral part of professional practice and group communication, understanding what exactly happens when enterprise social networks suddenly ...Open AccessWorking Paper -
Is it Bad to Make Use of Unverified Information?
Published 2011-07-06Agent-based models are often used to study problems of group decision making and group movement from the animal kingdom. Some of the most thoroughly studied processes that have been modelled using agent-based models are ...Open AccessPresentation