Now showing items 1-20 of 59

    • Asymptotic Theory for Rotated Multivariate GARCH Models 

      Asai, Manabu; Chang, Chia-Lin; McAleer, Michael; Pauwels, Laurent (Business Analytics., 2019-03-20)
      In 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 ...
    • Australian Residential Housing Market & Hedonic Construction of House Price Indices for Metropolitan 

      Knight, Eva; Cottet, Remy (Business Analytics., 2011-02)
      A 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 ...
    • Bayesian Assessment of Dynamic Quantile Forecasts 

      Gerlach, Richard; Chen, Cathy W.S.; Lin, Edward M.H. (Business Analytics, 2014-09-10)
      Methods 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 ...
    • Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis 

      Gerlach, Richard; Chen, Cathy W.S.; Lin, Edward M.H.; Lee, Wcw (Business Analytics., 2011-03)
      Value-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 ...
    • Bayesian Semi-parametric Expected Shortfall Forecasting in Financial Markets 

      Gerlach, Richard; Chen, Cathy W.S.; Lin, Liou-Yan (Business Analytics., 2012-01)
      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 ...
    • Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Range and Realized Measures 

      Gerlach, Richard; Wang, Chao (Business Analytics., 2015-09-11)
      A new framework named Realized Conditional Autoregressive Expectile (Realized- CARE) is proposed, through incorporating a measurement equation into the conventional CARE model, in a framework analogous to Realized-GARCH. ...
    • Bayesian Tail Risk Forecasting using Realised GARCH 

      Contino, Christian; Gerlach, Richard (Business Analytics., 2014-10-10)
      A 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 ...
    • Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets 

      Gerlach, Richard; Chen, Cathy W.S.; Chan, Nancy Y. C. (Business Analytics., 2009-08)
      Recently, 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 ...
    • Block-Wise Pseudo-Marginal Metropolis-Hastings 

      Tran, M.-N.; Kohn, R.; Quiroz, M.; Villani, M. (2016-03-30)
      The pseudo-marginal Metropolis-Hastings approach is increasingly used for Bayesian inference in statistical models where the likelihood is analytically intractable but can be estimated unbiasedly, such as random effects ...
    • Combinatorics of Option Spreads: The Margining Aspect 

      Matsypura, D.; Timkovsky, V.G. (Business Analytics., 2010-07)
      In 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 ...
    • Competing for contracts with buyer uncertainty: Choosing price and quality variables 

      Anderson, Edward; Qian, Cheng (Business Analytics., 2013-05-09)
      We model a situation in which a single firm evaluates competing suppliers and selects just one. Suppliers submit bids involving both price and quality variables. The buyer makes a choice which from the supplier's perspective ...
    • Confidence Levels for CVaR Risk Measures and Minimax Limits* 

      Anderson, Edward; Xu, Huifu; Zhang, Dali (Business Analytics., 2014-01)
      Conditional 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 ...
    • Consistent Estimation of Linear Regression Models Using Matched Data 

      Hirukawa, Masayuki; Prokhorov, Artem (2017-03-16)
      Economists 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 ...
    • Consistent Estimation of Linear Regression Models Using Matched Data 

      Prokhorov, Artem; Hirukawa, Masayuki (Business Analytics., 2014-09-05)
      Economists 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 ...
    • Convergent learning algorithms for potential games with unknown noisy rewards 

      Chapman, Archie C.; Leslie, David S.; Rogers, Alex; Jennings, Nicholas R. (Business Analytics., 2011-08)
      In 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 ...
    • Do External Political Pressures Affect the Renminbi Exchange Rate? 

      Pauwels, Laurent; Liu, Li-Gang (Business Analytics., 2011-09)
      This 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 ...
    • Does the Box-Cox transformation help in forecasting macroeconomic time series? 

      Proietti, Tommaso; Lütkepohl, Helmut (Business Analytics., 2011-10)
      The 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 ...
    • Efficient estimation of parameters in marginal in semiparametric multivariate models 

      Panchenko, Valentyn; Prokhorov, Artem (Business Analytics., 2016-03)
      We 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, ...
    • Endogeneity in Stochastic Frontier Models 

      Amsler, Christine; Artem, Prokhorov; Peter, Schmidt (Business Analytics., 2015-02-17)
      Stochastic frontier models are typically estimated by maximum likelihood (MLE) orcorrected ordinary least squares. The consistency of either estimator depends on exogeneity of the explanatory variables (inputs, in the ...
    • Endogenous Environmental Variables In Stochastic Frontier Models 

      Amsler, Christine; Prokhorov, Artem; Schmidt, Peter (Business Analytics., 2017-04-09)
      This 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, ...