Business Analytics Working Paper Series: Recent submissions
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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 -
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