Business Analytics Working Paper Series: Recent submissions
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Supplemental Material for GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference
Published 2015-09-11The following supplemental material contains an omitted simulation experiment, and omitted proofs of theorems and preliminary lemmata. Section S contains simulation results, and Section A contains an appendix with omitted proofs.Open AccessWorking Paper -
GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference
Published 2015-09-11We construct a Generalized Empirical Likelihood estimator for a GARCH(1,1) model with a possibly heavy tailed error. The estimator imbeds tail-trimmed estimating equations allowing for over-identifying conditions, asymptotic ...Open AccessWorking Paper -
Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Range and Realized Measures
Published 2015-09-11A 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. ...Open AccessWorking Paper -
Generalized Variance: A Robust Estimator of Stock Price Volatility
Published 2015-04-30This paper proposes an ex-post volatility estimator, called generalized variance, that uses high frequency data to provide measurements robust to the idiosyncratic noise of stock markets caused by market microstructures. ...Open AccessWorking Paper -
Endogeneity in Stochastic Frontier Models
Published 2015-02-17Stochastic 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 ...Open AccessWorking Paper