Business Analytics Working Paper Series: Recent submissions
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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 -
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 -
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 -
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 -
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