Business Analytics Working Paper Series

From the Business Analytics Working Papers Collection in the Sydney eScholarship Repository.

PreviewIssue DateTitleAuthor(s)
30-Apr-2015Generalized Variance: A Robust Estimator of Stock Price VolatilitySutton, M; Vasnev, A; Gerlach, R; Discipline of Business Analytics, University of Sydney
17-Feb-2015Endogeneity in Stochastic Frontier ModelsAmsler, Christine; Artem, Prokhorov; Peter, Schmidt; BUSINESS ANALYTICS
7-Nov-2014Forecasting risk via realized GARCH, incorporating the realized rangeRichard, Gerlach; Chao, Wang; Discipline of Business Analytics
10-Oct-2014Bayesian Tail Risk Forecasting using Realised GARCHContino, Christian; Gerlach, Richard; Discipline of Business Analytics
10-Sep-2014Bayesian Assessment of Dynamic Quantile ForecastsGerlach, Richard; Chen, Cathy W.S.; Lin, Edward M.H.; Discipline of Business Analytics
5-Sep-2014Consistent Estimation of Linear Regression Models Using Matched DataProkhorov, Artem; Hirukawa, Masayuki; Discipline of Business Analytics
Apr-2014Semi-parametric Expected Shortfall ForecastingGerlach, Richard; Chen, Cathy W.S.; Discipline of Business Analytics
Jan-2014Confidence Levels for CVaR Risk Measures and Minimax Limits*Anderson, Edward; Xu, Huifu; Zhang, Dali; Discipline of Business Analytics
7-Aug-2013Two-Sample Nonparametric Estimation of Intergenerational Income MobilityMurtazashvili, Irina; Liu, Di; Prokhorov, Artem; Business Analytics
9-May-2013Competing for contracts with buyer uncertainty: Choosing price and quality variablesAnderson, Edward; Qian, Cheng; Business Analytics
Mar-2013Practical use of sensitivity in econometrics with an illustration to forecast combinationsVasnev, Andrey; Magnus, Jan R; Business Analytics
Mar-2013Forecast combination for U.S. recessions with real-time dataVasnev, Andrey; Pauwels, Laurent; Business Analytics
Jan-2013Practical considerations for optimal weights in density forecast combinationVasnev, Andrey; Pauwels, Laurent; Business Analytics
Jan-2013Forecast combination for U.S. recessions with real-time dataVasnev, Andrey; Pauwels, Laurent; Business Analytics
Dec-2012Multiple Event Incidence and Duration Analysis for Credit Data Incorporating Non-Stochastic Loan MaturityVasnev, Andrey; Gerlach, Richard; Watkins, John
May-2012Maximum likelihood estimation of time series models: the Kalman filter and beyondProietti, Tommaso; Luati, Alessandra; Business Analytics
Jan-2012Bayesian Semi-parametric Expected Shortfall Forecasting in Financial MarketsGerlach, Richard; Chen, Cathy W.S.; Lin, Liou-Yan; Discipline of Business Analytics
Oct-2011Does the Box-Cox transformation help in forecasting macroeconomic time series?Proietti, Tommaso; L├╝tkepohl, Helmut; Discipline of Business Analytics
Oct-2011The Multistep Beveridge-Nelson DecompositionProietti, Tommaso; Discipline of Business Analytics
Sep-2011Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification searchProietti, Tommaso; Grassi, Stefano; Discipline of Business Analytics
Sep-2011Do External Political Pressures Affect the Renminbi Exchange Rate?Pauwels, Laurent; Liu, Li-Gang; Discipline of Business Analytics
Aug-2011Convergent learning algorithms for potential games with unknown noisy rewardsChapman, Archie C.; Leslie, David S.; Rogers, Alex; Jennings, Nicholas R.; Discipline of Business Analytics
Aug-2011Ranking games and gambling: When to quit when you're aheadAnderson, E.J.; Discipline of Business Analytics
Jun-2011Forecast combination for discrete choice models: predicting FOMC monetary policy decisionsPauwels, Laurent; Vasnev, Andrey; Discipline of Business Analytics
Apr-2011Supply Function Equilibria Always ExistAnderson, Edward; Discipline of Business Analytics
Mar-2011Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial CrisisGerlach, Richard; Chen, Cathy W.S.; Lin, Edward M.H.; Lee, Wcw; Discipline of Business Analytics
Feb-2011Australian Residential Housing Market & Hedonic Construction of House Price Indices for MetropolitanKnight, Eva; Cottet, Remy; Discipline of Business Analytics
Jan-2011The Two-sided Weibull Distribution and Forecasting Financial Tail RiskGerlach, Richard; Chen, Qian; Discipline of Business Analytics
Sep-2010Margining Option Portfolios by Network FlowsMatsypura, D.; Timkovsky, V.G.; Discipline of Business Analytics
Jul-2010Combinatorics of Option Spreads: The Margining AspectMatsypura, D.; Timkovsky, V.G.; Discipline of Business Analytics
Mar-2010Portfolio Margining: Strategy vs RiskCoffman, E.G. Jr; Matsypura, D.; Timkovsky, V.G.; Discipline of Business Analytics
Jan-2010Estimating Value At RiskLu, Zudi; Huang, Hai; Gerlach, Richard; Discipline of Business Analytics
Nov-2009Mixed strategies in discriminatory divisible-good auctionsAnderson, E.J.; Holmberg, P.; Philpott, A.B.; Discipline of Business Analytics
Nov-2009Survival Analysis for Credit Scoring: Incidence and LatencyWatkins, John; Vasnev, Andrey; Gerlach, Richard; Discipline of Business Analytics
Aug-2009Bayesian time-varying quantile forecasting for Value-at-Risk in financial marketsGerlach, Richard; Chen, Cathy W.S.; Chan, Nancy Y. C.; Discipline of Business Analytics