University of Sydney Business School, Discipline of Business Analytics
Working Papers
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2012
- 01/2012 Bayesian Semi-parametric Expected Shortfall Forecasting in Financial Markets
by Richard H. Gerlach & Cathy W.S. Chen & Liou-Yan Lin
2011
- 11/2011 Forecast combination for discrete choice models: predicting FOMC monetary policy decisions
by Laurent Pauwels & Andrey Vasnev - 10/2011 Do External Political Pressures Affect the Renminbi Exchange Rate?
by Laurent Pauwels & Li-Gang Liu - 09/2011 The Multistep Beveridge-Nelson Decomposition
by Tommaso Proietti - 08/2011 Does the Box-Cox transformation help in forecasting macroeconomic time series?
by Tommaso Proietti & Helmut L�tkepohl - 07/2011 Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search
by Tommaso Proietti & Stefano Grassi - 06/2011 Ranking games and gambling: When to quit when you're ahead
by E.J. Anderson - 05/2011 Convergent learning algorithms for potential games with unknown noisy rewards
by Archie C. Chapman & David S. Leslie & Alex Rogers & Nicholas R. Jennings - 04/2011 Supply Function Equilibria Always Exist
by Edward Anderson - 02/2011 Australian Residential Housing Market & Hedonic Construction of House Price Indices for Metropolitan
by Eva Knight & Remy Cottet - 01/2011 The Two-sided Weibull Distribution and Forecasting Financial Tail Risk
by Richard Gerlach & Qian Chen
2010
- 05/2010 Margining Option Portfolios by Network Flows
by D. Matsypura & V.G. Timkovsky - 04/2010 Combinatorics of Option Spreads: The Margining Aspect
by D. Matsypura & V.G. Timkovsky - 03/2010 Portfolio Margining: Strategy vs Risk
by E.G. Coffman, JR & D. Matsypura & V.G. Timkovsky - 01/2010 Estimating Value At Risk
by Zudi Lu & Hai Huang & Richard Gerlach
2009
- 03/2009 Survival Analysis for Credit Scoring: Incidence and Latency
by John Watkins & Andrey Vasnev & Richard Gerlach - 02/2009 Mixed strategies in discriminatory divisible-good auctions (UPDATED)
by E.J. Anderson & P.Holmberg & A.B. Philpott - 01/2009 Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets
by Richard Gerlach; & Cathy W.S. Chen; & Nancy Y. C. Chan