Business Analytics Working Paper Series: Recent submissions
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Forecasting risk via realized GARCH, incorporating the realized range
Published 2014-11-07The realized GARCH framework is extended to incorporate the realized range, and the intra-day range, as potentially more efficient series of information than re- alized variance or daily returns, for the purpose of volatility ...Open AccessWorking Paper -
Bayesian Tail Risk Forecasting using Realised GARCH
Published 2014-10-10A 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 ...Open AccessWorking Paper -
Bayesian Assessment of Dynamic Quantile Forecasts
Published 2014-09-10Methods 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 a ...Open AccessWorking Paper -
Consistent Estimation of Linear Regression Models Using Matched Data
Published 2014-09-05Economists 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 ...Open AccessWorking Paper -
Semi-parametric Expected Shortfall Forecasting
Published 2014-04-01Intra-day sources of data have proven effective for dynamic volatility and tail risk estimation. Expected shortfall is a tail risk measure, that is now recommended by the Basel Committee, involving a conditional expectation ...Open AccessWorking Paper