Browsing Discipline of Business Analytics by title
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Asymptotic Theory for Rotated Multivariate GARCH Models
Published 2019-03-20In 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 ...Open AccessWorking Paper -
Australian Residential Housing Market & Hedonic Construction of House Price Indices for Metropolitan
Published 2011-02-01A Semiparametric spatial model is used as it allows nonlinear estimation of both mean and variance. A Bayesian approach is used for inference via a Markov Chain Monte Carlo sampling scheme. A distinct advantage of using ...Open AccessWorking Paper -
Base-Stock Policies with Constant Lead Time: Closed-Form Solutions and Applications
Published 2023-03-15We study stationary base-stock policies for multiperiod dynamic inventory systems with a constant lead time and independently and identically distributed (iid) demands. When ambiguities in the underlying demand distribution ...Working 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 -
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis
Published 2011-03-01Value-at-Risk (VaR) forecasting via a computational Bayesian framework is considered. A range of parametric models are compared, including standard, threshold nonlinear and Markov switching GARCH specifications, plus ...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 -
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 -
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 time-varying quantile forecasting for Value-at-Risk in financial markets
Published 2009-08-01Recently, Bayesian solutions to the quantile regression problem, via the likelihood of a Skewed-Laplace distribution, have been proposed. These approaches are extended and applied to a family of dynamic conditional ...Open AccessWorking Paper -
Block-Wise Pseudo-Marginal Metropolis-Hastings
Published 2016-03-30The pseudo-marginal Metropolis-Hastings approach is increasingly used for Bayesian inference in statistical models where the likelihood is analytically intractable but can be estimated unbiasedly, such as random effects ...Open AccessWorking Paper -
Closed-Form Solutions for Distributionally Robust Inventory Management: Extended Reformulation using Zero-Sum Game
Published 2022-07-27When only the moments (mean, variance or t-th moment) of the underline distribution are known, numerous max-min optimization models can be interpreted as a zero-sum game, in which the decision maker (DM) chooses actions ...Open AccessArticle -
Closed-Form Solutions for Distributionally Robust Inventory Management: A Controlled Relaxation Method
Published 2023When only the moments (mean, variance or t-th moment) of the underline distribution are known, a variety of many max-min optimization models choose actions to maximize the firm’s expected profit against the most unfavorable ...Working Paper -
Combinatorics of Option Spreads: The Margining Aspect
Published 2010-07-01In December 2005, the U.S. Securities and Exchange Commission approved margin rules for complex option spreads with 5, 6, 7, 8, 9, 10 and 12 legs. Only option spreads with 2, 3 or 4 legs were recognized before. Taking ...Open AccessWorking Paper -
Combining simple multivariate HAR-like models for portfolio construction
Published 2023Forecasts of the covariance matrix of returns is a crucial input into portfolio construction. In recent years multivariate version of the Heterogenous AutoRegressive (HAR) models have been designed to utilise realised ...Open AccessWorking Paper -
Competing for contracts with buyer uncertainty: Choosing price and quality variables
Published 2013-05-09We model a situation in which a single firm evaluates competing suppliers and selects just one. Suppliers submit bids involving both price and quality variables. The buyer makes a choice which from the supplier's perspective ...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 -
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 -
Consistent Estimation of Linear Regression Models Using Matched Data
Published 2017-03-16Economists 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 AccessArticle -
Convergent learning algorithms for potential games with unknown noisy rewards
Published 2011-08-01In this paper, we address the problem of convergence to Nash equilibria in games with rewards that are initially unknown and which must be estimated over time from noisy observations. These games arise in many real-world ...Open AccessWorking Paper -
Do External Political Pressures Affect the Renminbi Exchange Rate?
Published 2011-09-01This paper investigates whether external political pressure for faster renminbi (RMB) appreciation affect both the daily returns and the conditional volatility of the RMB central parity rate. We construct several political ...Open AccessWorking Paper