Business Analytics Working Paper Series: Recent submissions
-
Multiple Event Incidence and Duration Analysis for Credit Data Incorporating Non-Stochastic Loan Maturity
Published 2012-12-01Applications of duration analysis in Economics and Finance exclusively employ methods for events of stochastic duration. In application to credit data, previous research incorrectly treats the time to pre-determined maturity ...Open AccessWorking Paper -
Practical considerations for optimal weights in density forecast combination
Published 2013-01-01The problem of finding appropriate weights to combine several density forecasts is an important issue currently debated in the forecast combination literature. Recently, a paper by Hall and Mitchell (IJF, 2007) proposes ...Open AccessWorking Paper -
Forecast combination for U.S. recessions with real-time data
Published 2013-01-01This 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 -
Maximum likelihood estimation of time series models: the Kalman filter and beyond
Published 2012-05-01The purpose of this chapter is to provide a comprehensive treatment of likelihood inference for state space models. These are a class of time series models relating an observable time series to quantities called states, ...Open AccessWorking Paper -
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis
Published 2011-03-01Value-at-Risk (VaR) forecasting via a computational Bayesian framework is considered. A range of parametric models are compared, including standard, threshold nonlinear and Markov switching GARCH specifications, plus ...Open AccessWorking Paper