Business Analytics Working Paper Series: Recent submissions
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Moment Redundancy Test with Application to Efficiency-Improving Copulas
Published 2019-03-25Moment redundancy as defined by Breusch et al. (1999) is a testable hypothesis. We propose a simple test of the hypothesis in the context of copula-based pseudo-maximum likelihood estimation considered by Prokhorov and ...Open AccessWorking Paper -
A New Family of Copulas, with Application to Estimation of a Production Frontier System
Published 2019-03-25In this paper we propose a new family of copulas for which the copula arguments are uncorrelated but dependent. Specifically, if w1 and w2 are the uniform random variables in the copula, they are uncorrelated, but w1 is ...Open AccessWorking Paper -
Equivalence of optimal forecast combinations under affine constraints
Published 2019-03-19Forecasts are usually produced from models and expert judgements. The reconciliation of different forecasts presents an interesting challenge for managerial decisions. Mean absolute deviations and mean squared errors scoring ...Open AccessWorking Paper -
Asymptotic Theory for Rotated Multivariate GARCH Models
Published 2019-03-20In 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 ...Open AccessWorking Paper -
Higher Moment Constraints for Predictive Density Combinations
Published 2019-03-19The majority of financial data exhibit asymmetry and heavy tails, which makes forecasting the entire density critically important. Recently, a forecast combina- tion methodology has been developed to combine predictive ...Open AccessWorking Paper