Business Analytics Working Paper Series: Recent submissions
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Confidence Levels for CVaR Risk Measures and Minimax Limits*
Published 2014-01-01Conditional value at risk (CVaR) has been widely used as a risk measure in finance. When the confidence level of CVaR is set close to 1, the CVaR risk measure approximates the extreme (worst scenario) risk measure. In this ...Open AccessWorking Paper -
Two-Sample Nonparametric Estimation of Intergenerational Income Mobility
Published 2013-08-07We estimate intergenerational income mobility in the USA and Sweden. To measure the degree to which income status is transmitted from one generation to another we propose a nonparametric estimator, which is particularly ...Open AccessWorking Paper -
Competing for contracts with buyer uncertainty: Choosing price and quality variables
Published 2013-05-09We model a situation in which a single firm evaluates competing suppliers and selects just one. Suppliers submit bids involving both price and quality variables. The buyer makes a choice which from the supplier's perspective ...Open AccessWorking Paper -
Forecast combination for U.S. recessions with real-time data
Published 2013-03-01This paper proposes the use of forecast combination to improve predictive accuracy in forecasting the U.S. business cycle index, as published by the Business Cycle Dating Committee of the NBER. It focuses on one-step ahead ...Open AccessWorking Paper -
Practical use of sensitivity in econometrics with an illustration to forecast combinations
Published 2013-03-01Sensitivity analysis is important for its own sake and also in combination with diagnostic testing. We consider the question how to use sensitivity statistics in practice, in particular how to judge whether sensitivity is ...Open AccessWorking Paper