Discipline of Business Analytics: Recent submissions
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The Two-sided Weibull Distribution and Forecasting Financial Tail Risk
Published 2011-01-01A two-sided Weibull is developed to model the conditional financial return distribution, for the purpose of forecasting Value at Risk (VaR) and conditional VaR. A range of conditional return distributions are combined with ...Open AccessWorking Paper -
Portfolio Margining: Strategy vs Risk
Published 2010-03-01This paper presents the results of a novel mathematical and experimental analysis of two approaches to margining customer accounts, strategy-based and risk-based. Building combinatorial models of hedging mechanisms of these ...Open AccessWorking 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 -
Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search
Published 2011-09-01An important issue in modelling economic time series is whether key unobserved components representing trends, seasonality and calendar components, are deterministic or evolutive. We address it by applying a recently ...Open AccessWorking Paper -
Does the Box-Cox transformation help in forecasting macroeconomic time series?
Published 2011-10-01The paper investigates whether transforming a time series leads to an improvement in forecasting accuracy. The class of transformations that is considered is the Box-Cox power transformation, which applies to series measured ...Open AccessWorking Paper