Browsing Business Analytics Working Paper Series by author "Discipline of Business Analytics"
Sort by:
Title A-Z
-
Australian Residential Housing Market & Hedonic Construction of House Price Indices for Metropolitan
Knight, Eva; Cottet, RemyPublished 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 -
Bayesian Assessment of Dynamic Quantile Forecasts
Gerlach, Richard; Chen, Cathy W.S.; Lin, Edward M.H.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
Gerlach, Richard; Chen, Cathy W.S.; Lin, Edward M.H.; Lee, WcwPublished 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
Gerlach, Richard; Chen, Cathy W.S.; Lin, Liou-YanPublished 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 Tail Risk Forecasting using Realised GARCH
Contino, Christian; Gerlach, RichardPublished 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
Gerlach, Richard; Chen, Cathy W.S.; Chan, Nancy Y. C.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 -
Combinatorics of Option Spreads: The Margining Aspect
Matsypura, D.; Timkovsky, V.G.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 -
Confidence Levels for CVaR Risk Measures and Minimax Limits*
Anderson, Edward; Xu, Huifu; Zhang, DaliPublished 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
Prokhorov, Artem; Hirukawa, MasayukiPublished 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 -
Convergent learning algorithms for potential games with unknown noisy rewards
Chapman, Archie C.; Leslie, David S.; Rogers, Alex; Jennings, Nicholas R.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?
Pauwels, Laurent; Liu, Li-GangPublished 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 -
Does the Box-Cox transformation help in forecasting macroeconomic time series?
Proietti, Tommaso; Lütkepohl, HelmutPublished 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 -
Efficient estimation of parameters in marginal in semiparametric multivariate models
Panchenko, Valentyn; Prokhorov, ArtemPublished 2016-03-01We consider a general multivariate model where univariate marginal distributions are known up to a common parameter vector and we are interested in estimating that vector without assuming anything about the joint distribution, ...Open AccessWorking Paper -
Estimating Value At Risk
Lu, Zudi; Huang, Hai; Gerlach, RichardPublished 2010-01-01Significantly driven by JP Morgan's RiskMetrics system with EWMA (exponentially weighted moving average) forecasting technique, value-at-risk (VaR) has turned to be a popular measure of the degree of various risks in ...Open AccessWorking Paper -
Forecast combination for discrete choice models: predicting FOMC monetary policy decisions
Pauwels, Laurent; Vasnev, AndreyPublished 2011-06-01This paper provides a methodology for combining forecasts based on several discrete choice models. This is achieved primarily by combining one-step-ahead probability forecast associated with each model. The paper applies ...Open AccessWorking Paper -
Forecasting risk via realized GARCH, incorporating the realized range
Richard, Gerlach; Chao, WangPublished 2014-11-07The realized GARCH framework is extended to incorporate the realized range, and the intra-day range, as potentially more efficient series of information than re- alized variance or daily returns, for the purpose of volatility ...Open AccessWorking Paper -
Margining Option Portfolios by Network Flows
Matsypura, D.; Timkovsky, V.G.Published 2010-09-01As 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 AccessWorking Paper -
Matrix Neural Networks
Gao, Junbin; Guo, Yi; Wang, ZhiyongPublished 2016-11-02Traditional neural networks assume vectorial inputs as the network is arranged as layers of single line of computing units called neurons. This special structure requires the non-vectorial inputs such as matrices to be ...Open AccessWorking Paper -
Mixed strategies in discriminatory divisible-good auctions
Anderson, E.J.; Holmberg, P.; Philpott, A.B.Published 2009-11-01Using the concept of market-distribution functions, we derive general optimality conditions for discriminatory divisible-good auctions, which are also applicable to Bertrand games and non-linear pricing. We introduce the ...Open AccessWorking Paper -
The Multistep Beveridge-Nelson Decomposition
Proietti, TommasoPublished 2011-10-01The 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 AccessWorking Paper
Sort by:
Title A-Z