Working Papers - Business Analytics : [47] Collection home page

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Collection's Items (Sorted by Submit Date in Descending order): 1 to 20 of 47
PreviewIssue DateTitleAuthor(s)
2-Nov-2016Matrix Neural NetworksGao, Junbin; Guo, Yi; Wang, Zhiyong; Discipline of Business Analytics
16-Apr-2016Estimation of Hierarchical Archimedean Copulas as a Shortest Path ProblemMatsypura, Dmytro; Neo, Emily; Prokhorov, Artem
Mar-2016Efficient estimation of parameters in marginal in semiparametric multivariate modelsPanchenko, Valentyn; Prokhorov, Artem; Discipline of Business Analytics
30-Mar-2016Block-Wise Pseudo-Marginal Metropolis-HastingsTran, M.-N.; Kohn, R.; Quiroz, M.; Villani, M.; Discipline of Business Analytics, University of Sydney
30-Mar-2016Fast Inference for Intractable Likelihood Problems using Variational BayesGunawan, David; Tran, Minh-Ngoc; Kohn, Robert; Discipline of Business Analytics, University of Sydney
11-Mar-2016A New Measure of Vector Dependence, with an Application to Financial ContagionMedovikov, Ivan; Prokhorov, Artem; Discipline of Business Analytics, University of Sydney
23-Sep-2015Exact ABC using Importance SamplingTran, Minh-Ngoc; Kohn, Robert; Discipline of Business Analytics, University of Sydney
11-Sep-2015Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Range and Realized MeasuresGerlach, Richard; Wang, Chao; Discipline of Business Analytics, University of Sydney
11-Sep-2015Fat tails and copulas: limits of diversification revisitedIbragimov, Rustam; Prokhorov, Artem; Mo, Jingyuan; Discipline of Business Analytics, University of Sydney
11-Sep-2015Generalized Information Matrix Tests for CopulasProkhorov, Artem; Schepsmeier, Ulf; Zhu, Yajing; Discipline of Business Analytics, University of Sydney
11-Sep-2015Supplemental Material for GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood InferenceHill, Jonathan B.; Prokhorov, Artem; Discipline of Business Analytics, University of Sydney
11-Sep-2015GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood InferenceHill, Jonathan B.; Prokhorov, Artem; Discipline of Business Analytics, University of Sydney
30-Apr-2015Generalized Variance: A Robust Estimator of Stock Price VolatilitySutton, M; Vasnev, A; Gerlach, R; Discipline of Business Analytics, University of Sydney
17-Feb-2015Endogeneity in Stochastic Frontier ModelsAmsler, Christine; Artem, Prokhorov; Peter, Schmidt; BUSINESS ANALYTICS
7-Nov-2014Forecasting risk via realized GARCH, incorporating the realized rangeRichard, Gerlach; Chao, Wang; Discipline of Business Analytics
10-Oct-2014Bayesian Tail Risk Forecasting using Realised GARCHContino, Christian; Gerlach, Richard; Discipline of Business Analytics
10-Sep-2014Bayesian Assessment of Dynamic Quantile ForecastsGerlach, Richard; Chen, Cathy W.S.; Lin, Edward M.H.; Discipline of Business Analytics
5-Sep-2014Consistent Estimation of Linear Regression Models Using Matched DataProkhorov, Artem; Hirukawa, Masayuki; Discipline of Business Analytics
Apr-2014Semi-parametric Expected Shortfall ForecastingGerlach, Richard; Chen, Cathy W.S.; Discipline of Business Analytics
Jan-2014Confidence Levels for CVaR Risk Measures and Minimax Limits*Anderson, Edward; Xu, Huifu; Zhang, Dali; Discipline of Business Analytics
Collection's Items (Sorted by Submit Date in Descending order): 1 to 20 of 47