Business Analytics Working Paper Series: Recent submissions
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Does the Box-Cox transformation help in forecasting macroeconomic time series?
Published 2011-10-01The paper investigates whether transforming a time series leads to an improvement in forecasting accuracy. The class of transformations that is considered is the Box-Cox power transformation, which applies to series measured ...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 -
The Two-sided Weibull Distribution and Forecasting Financial Tail Risk
Published 2011-01-01A two-sided Weibull is developed to model the conditional financial return distribution, for the purpose of forecasting Value at Risk (VaR) and conditional VaR. A range of conditional return distributions are combined with ...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 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