• The Multistep Beveridge-Nelson Decomposition 

      Proietti, Tommaso
      Published 2011-10-01
      The 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 Access
      Working Paper
    • Margining Option Portfolios by Network Flows 

      Matsypura, D.; Timkovsky, V.G.
      Published 2010-09-01
      As 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 Access
      Working Paper
    • Bayesian Semi-parametric Expected Shortfall Forecasting in Financial Markets 

      Gerlach, Richard; Chen, Cathy W.S.; Lin, Liou-Yan
      Published 2012-01-01
      Bayesian 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 Access
      Working Paper