Business Analytics Working Paper Series: Recent submissions
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Convergent learning algorithms for potential games with unknown noisy rewards
Published 2011-08-01In this paper, we address the problem of convergence to Nash equilibria in games with rewards that are initially unknown and which must be estimated over time from noisy observations. These games arise in many real-world ...Open AccessWorking Paper -
Australian Residential Housing Market & Hedonic Construction of House Price Indices for Metropolitan
Published 2011-02-01A Semiparametric spatial model is used as it allows nonlinear estimation of both mean and variance. A Bayesian approach is used for inference via a Markov Chain Monte Carlo sampling scheme. A distinct advantage of using ...Open AccessWorking Paper -
Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets
Published 2009-08-01Recently, Bayesian solutions to the quantile regression problem, via the likelihood of a Skewed-Laplace distribution, have been proposed. These approaches are extended and applied to a family of dynamic conditional ...Open AccessWorking Paper -
Survival Analysis for Credit Scoring: Incidence and Latency
Published 2009-11-01Duration analysis is an analytical tool for time-to-event data that has been borrowed from medicine and engineering to be applied by econometricians to investigate typical economic and finance problems. In applications to ...Open AccessWorking Paper -
Mixed strategies in discriminatory divisible-good auctions
Published 2009-11-01Using the concept of market-distribution functions, we derive general optimality conditions for discriminatory divisible-good auctions, which are also applicable to Bertrand games and non-linear pricing. We introduce the ...Open AccessWorking Paper