Working Papers

From University of Sydney Business School, Discipline of Business Analytics
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2123/31836: Combining simple multivariate HAR-like models for portfolio construction

Adam Clements and Andrey Vasnev

2123/31835: The role of data and priors in estimating climate sensitivity

Masako Ikefuji, Jan R. Magnus and Andrey Vasnev

2123/30211: Base-Stock Policies with Constant Lead Time: Closed-Form Solutions and Applications

Li, Zhaolin (Erick), Guitian Liang, Fu, Qi (Grace) and Chung-Piaw Teo

2123/29354: Global combinations of expert forecasts

Yilin Qian, Ryan Thompson and Andrey Vasnev

2123/27307: On the uncertainty of a combined forecast: The critical role of correlation

Jan Magnus and Andrey Vasnev

2123/25045: Forecast combination puzzle in the HAR model

Adam Clements and Andrey Vasnev

2123/23695: Two-Stage Stochastic and Robust Optimization for Non-Adaptive Group Testing

Nam Ho-Nguyen

2123/23549: Robust Moral Hazard with Distributional Ambiguity

Zhaolin Li

2123/22956: Too similar to combine? On negative weights in forecast combination

Peter Radchenko, Andrey Vasnev and Wendun Wang

2123/22140: Higher Moment Constraints for Predictive Density Combinations

Laurent Pauwels, Peter Radchenko and Andrey Vasnev

2123/20406: Predicting China’s Monetary Policy with Forecast Combinations

Laurent Pauwels

2123/20386: Fundamental Moments

Jean Imbs and Laurent Pauwels

2123/20204: Moment Redundancy Test with Application to Efficiency-Improving Copulas

Bowen Hao, Artem Prokhorov and Hailong Qian

2123/20203: A New Family of Copulas, with Application to Estimation of a Production Frontier System

Christine Amsler, Artem Prokhorov and Peter Schmidt

2123/20178: Asymptotic Theory for Rotated Multivariate GARCH Models

Manabu Asai, Chia-Lin Chang, Michael McAleer and Laurent Pauwels

2123/20176: Equivalence of optimal forecast combinations under affine constraints

Felix Chan and Laurent Pauwels

2123/20175: Higher Moment Constraints for Predictive Density Combinations

Laurent Pauwels, Peter Radchenko and Andrey Vasnev

2123/18063: Consistent Estimation of Linear Regression Models Using Matched Data

Masayuki Hirukawa and Artem Prokhorov

2123/17877: Random Effects Models with Deep Neural Network Basis Functions: Methodology and Computation

Robert Kohn, Nghia Nguyen, David Nott and Minh-Ngoc Tran

2123/16763: Endogenous Environmental Variables In Stochastic Frontier Models

Christine Amsler, Artem Prokhorov and Peter Schmidt

2123/16205: Speeding up MCMC by Efficient Data Subsampling

Robert Kohn, Matias Quiroz, Minh-Ngoc Tran and Mattias Villani

2123/15839: Matrix Neural Networks

Junbin Gao, Yi Guo and Zhiyong Wang

2123/14745: Estimation of Hierarchical Archimedean Copulas as a Shortest Path Prob lem

Dmytro Matsypura, Emily Neo and Artem Prokhorov

2123/14641: Efficient estimation of parameters in marginal in semiparametric multivariate models

Valentyn Panchenko and Artem Prokhorov

2123/14595: Block-Wise Pseudo-Marginal Metropolis-Hastings

Robert Kohn, M. Quiroz, M.-N. Tran and Mattias Villani

2123/14594: Fast Inference for Intractable Likelihood Problems using Variational B ayes

David Gunawan, Robert Kohn and Minh-Ngoc Tran

2123/14490: A New Measure of Vector Dependence, with an Application to Financial C ontagion

Ivan Medovikov and Artem Prokhorov

2123/13839: Exact ABC using Importance Sampling

Robert Kohn and Minh-Ngoc Tran

2123/13800: Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Range and Realized Measures

Richard Gerlach and Chao Wang

2123/13799: Fat tails and copulas: limits of diversification revisited

Rustam Ibragimov, Jingyuan Mo and Artem Prokhorov

2123/13798: Generalized Information Matrix Tests for Copulas

Artem Prokhorov, Ulf Schepsmeier and Yajing Zhu

2123/13797: Supplemental Material for GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference

Jonathan B. Hill and Artem Prokhorov

2123/13795: GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference

Jonathan B. Hill and Artem Prokhorov

2123/13263: Generalized Variance: A Robust Estimator of Stock Price Volatility

R Gerlach, Maxwell Sutton and Andrey Vasnev

2123/12755: Endogeneity in Stochastic Frontier Models

Christine Amsler, Artem Prokhorov and Schmidt Peter

2123/12235: Forecasting risk via realized GARCH, incorporating the realized range

Wang Chao and Gerlach Richard

2123/12060: Bayesian Tail Risk Forecasting using Realised GARCH

Christian Contino and Richard Gerlach

2123/11816: Bayesian Assessment of Dynamic Quantile Forecasts

Cathy W. S. Chen, Richard Gerlach and Edward Lin

2123/11773: Consistent Estimation of Linear Regression Models Using Matched Data

Masayuki Hirukawa and Artem Prokhorov

2123/10457: Semi-parametric Expected Shortfall Forecasting

Cathy W. S. Chen and Richard Gerlach

2123/9943: Confidence Levels for CVaR Risk Measures and Minimax Limits*

Edward Anderson, Huifu Xu and Dali Zhang

2123/9293: Two-Sample Nonparametric Estimation of Intergenerational Income Mobili ty

Di Liu, Irina Murtazashvili and Artem Prokhorov

2123/9071: Competing for contracts with buyer uncertainty: Choosing price and quality variables

Edward Anderson and Cheng Qian

2123/8965: Forecast combination for U.S. recessions with real-time data

Laurent Pauwels and Andrey Vasnev

2123/8964: Practical use of sensitivity in econometrics with an illustration to forecast combinations

Jan Magnus and Andrey Vasnev

2123/8963: Multiple Event Incidence and Duration Analysis for Credit Data Incorporating Non-Stochastic Loan Maturity

Richard Gerlach, Andrey Vasnev and John Watkins

2123/8933: Forecast combination for U.S. recessions with real-time data

Laurent Pauwels and Andrey Vasnev

2123/8932: Practical considerations for optimal weights in density forecast combi nation

Laurent Pauwels and Andrey Vasnev

2123/8337: Maximum likelihood estimation of time series models: the Kalman filter and beyond

Alessandra Luati and Tommaso Proietti

2123/8173: Margining Option Portfolios by Network Flows

D. Matsypura and V.G. Timkovsky

2123/8172: Combinatorics of Option Spreads: The Margining Aspect

D. Matsypura and V.G. Timkovsky

2123/8171: Portfolio Margining: Strategy vs Risk

E.G. Coffman, D. Matsypura and V.G. Timkovsky

2123/8170: Estimating Value At Risk

Richard Gerlach, Hai Huang and Zudi Lu

2123/8169: Bayesian Semi-parametric Expected Shortfall Forecasting in Financial M arkets

Cathy W. S. Chen, Richard Gerlach and Liou-Yan Lin

2123/8168: The Multistep Beveridge-Nelson Decomposition

Tommaso Proietti

2123/8167: Does the Box-Cox transformation help in forecasting macroeconomic time series?

Helmut Lütkepohl and Tommaso Proietti

2123/8166: Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search

Stefano Grassi and Tommaso Proietti

2123/8165: Do External Political Pressures Affect the Renminbi Exchange Rate?

Li-Gang Liu and Laurent Pauwels

2123/8164: Ranking games and gambling: When to quit when you're ahead

E.J. Anderson

2123/8163: The Two-sided Weibull Distribution and Forecasting Financial Tail Risk

Qian Chen and Richard Gerlach

2123/8162: Mixed strategies in discriminatory divisible-good auctions

E.J. Anderson, Pär Holmberg and A.B. Philpott

2123/8161: Survival Analysis for Credit Scoring: Incidence and Latency

Richard Gerlach, Andrey Vasnev and John Watkins

2123/8160: Convergent learning algorithms for potential games with unknown noisy rewards

Archie C. Chapman, Nicholas R. Jennings, David S. Leslie and Alex Rogers

2123/8159: Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets

Nancy Y. C. Chan, Cathy W. S. Chen and Richard Gerlach

2123/8158: Forecast combination for discrete choice models: predicting FOMC monetary policy decisions

Laurent Pauwels and Andrey Vasnev

2123/8157: Supply Function Equilibria Always Exist

Edward Anderson

2123/8156: Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis

Cathy W. S. Chen, Richard Gerlach, Wcw Lee and Edward Lin

2123/8155: Australian Residential Housing Market & Hedonic Construction of House Price Indices for Metropolitan

Remy Cottet and Eva Knight