Discipline of Business Analytics: Recent submissions
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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 -
Higher Moment Constraints for Predictive Density Combinations
Published 2019-03-19The majority of financial data exhibit asymmetry and heavy tails, which makes forecasting the entire density critically important. Recently, a forecast combina- tion methodology has been developed to combine predictive ...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 -
Random Effects Models with Deep Neural Network Basis Functions: Methodology and Computation
Published 2017-01-01Deep neural networks (DNNs) are a powerful tool for functional approximation. We describe flexible versions of generalized linear and generalized linear mixed models incorporating basis functions formed by a deep neural ...Open AccessArticle -
Endogenous Environmental Variables In Stochastic Frontier Models
Published 2017-04-09This paper considers a stochastic frontier model that contains environmental variables that affect the level of inefficiency but not the frontier. The model contains statistical noise, potentially endogenous regressors, ...Open AccessArticle