Business Analytics Working Paper Series: Recent submissions
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Block-Wise Pseudo-Marginal Metropolis-Hastings
Published 2016-03-30The 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 ...Open AccessWorking Paper -
A New Measure of Vector Dependence, with an Application to Financial Contagion
Published 2016-03-11We propose a new nonparametric measure of association between an arbitrary number of random vectors. The measure is based on the empirical copula process for the multivariate marginals, corresponding to the vectors, and ...Open AccessWorking Paper -
Exact ABC using Importance Sampling
Published 2015-09-23Approximate Bayesian Computation (ABC) is a powerful method for carrying out Bayesian inference when the likelihood is computationally intractable. However, a draw- back of ABC is that it is an approximate method that ...Open AccessWorking Paper -
Generalized Information Matrix Tests for Copulas
Published 2015-09-11We propose a family of goodness-of-fit tests for copulas. The tests use generalizations of the information matrix (IM) equality of White (1982) and so relate to the copula test proposed by Huang and Prokhorov (2014). The ...Open AccessWorking Paper -
Fat tails and copulas: limits of diversification revisited
Published 2015-09-11We consider the problem of portfolio risk diversification in a Value-at-Risk framework with heavy-tailed risks and arbitrary dependence captured by a copula function. We use the power law for modelling the tails and ...Open AccessWorking Paper