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Content
2023
2022
2021
2020
2019
- BAWP-2019-07 Predicting China’s Monetary Policy with Forecast Combinations
by Pauwels, Laurent
- BAWP-2019-06 Fundamental Moments
by Imbs, Jean & Pauwels, Laurent
- BAWP-2019-05 Moment Redundancy Test with Application to Efficiency-Improving Copulas
by Hao, Bowen & Prokhorov, Artem & Qian, Hailong
- BAWP-2019-04 A New Family of Copulas, with Application to Estimation of a Production Frontier System
by Amsler, Christine & Prokhorov, Artem & Schmidt, Peter
- BAWP-2019-03 Asymptotic Theory for Rotated Multivariate GARCH Models
by Asai, Manabu & Chang, Chia-Lin & McAleer, Michael & Pauwels, Laurent
- BAWP-2019-02 Equivalence of optimal forecast combinations under affine constraints
by Chan, Felix & Pauwels, Laurent
- BAWP-2019-01 Higher Moment Constraints for Predictive Density Combinations
by Pauwels, Laurent & Radchenko, Peter & Vasnev, Andrey
2017
2016
- 2016-06 Matrix Neural Networks
by Gao, Junbin & Guo, Yi & Wang, Zhiyong
- 2016-04 Efficient estimation of parameters in marginal in semiparametric multivariate models
by Panchenko, Valentyn & Prokhorov, Artem
- 2016-03 Block-Wise Pseudo-Marginal Metropolis-Hastings
by Kohn, R. & Quiroz, M. & Tran, M.-N. & Villani, M.
- 2016-02 Fast Inference for Intractable Likelihood Problems using Variational B ayes
by Gunawan, David & Kohn, Robert & Tran, Minh-Ngoc
- 2016-01 A New Measure of Vector Dependence, with an Application to Financial C ontagion
by Medovikov, Ivan & Prokhorov, Artem
- 2123/16205 Speeding up MCMC by Efficient Data Subsampling
by Kohn, Robert & Quiroz, Matias & Tran, Minh-Ngoc & Villani, Mattias
- 2123/14745 Estimation of Hierarchical Archimedean Copulas as a Shortest Path Prob lem
by Matsypura, Dmytro & Neo, Emily & Prokhorov, Artem
2015
- 2015-08 Exact ABC using Importance Sampling
by Kohn, Robert & Tran, Minh-Ngoc
- 2015-07 Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Range and Realized Measures
by Gerlach, Richard & Wang, Chao
- 2015-06 Fat tails and copulas: limits of diversification revisited
by Ibragimov, Rustam & Mo, Jingyuan & Prokhorov, Artem
- 2015-05 Generalized Information Matrix Tests for Copulas
by Prokhorov, Artem & Schepsmeier, Ulf & Zhu, Yajing
- 2015-04 Supplemental Material for GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference
by Hill, Jonathan B. & Prokhorov, Artem
- 2015-03 GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference
by Hill, Jonathan B. & Prokhorov, Artem
- 2015-02 Generalized Variance: A Robust Estimator of Stock Price Volatility
by Gerlach, R & Sutton, M & Vasnev, A
- 2015-01 Endogeneity in Stochastic Frontier Models
by Amsler, Christine & Artem, Prokhorov & Peter, Schmidt
2014
- 2014-06 Forecasting risk via realized GARCH, incorporating the realized range
by Chao, Wang & Richard, Gerlach
- 2014-05 Bayesian Tail Risk Forecasting using Realised GARCH
by Contino, Christian & Gerlach, Richard
- 2014-04 Bayesian Assessment of Dynamic Quantile Forecasts
by Chen, Cathy W.S. & Gerlach, Richard & Lin, Edward M.H.
- 2014-03 Consistent Estimation of Linear Regression Models Using Matched Data
by Hirukawa, Masayuki & Prokhorov, Artem
- 2014_02 Semi-parametric Expected Shortfall Forecasting
by Chen, Cathy W.S. & Gerlach, Richard
- 2014_01 Confidence Levels for CVaR Risk Measures and Minimax Limits
by Anderson, Edward & Xu, Huifu & Zhang, Dali
2013
- 2013-06 Competing for contracts with buyer uncertainty: Choosing price and quality variables
by Anderson, Edward & Qian, Cheng
- 2013-05 Forecast combination for U.S. recessions with real-time data
by Pauwels, Laurent & Vasnev, Andrey
- 2013-04 Practical use of sensitivity in econometrics with an illustration to forecast combinations
by Magnus, Jan R & Vasnev, Andrey
- 07_2013 Two-Sample Nonparametric Estimation of Intergenerational Income Mobili ty
by Liu, Di & Murtazashvili, Irina & Prokhorov, Artem
- 02/2013 Forecast combination for U.S. recessions with real-time data
by Pauwels, Laurent & Vasnev, Andrey
- 01/2013 Practical considerations for optimal weights in density forecast combi nation
by Pauwels, Laurent & Vasnev, Andrey
2012
2011
- 11/2011 Forecast combination for discrete choice models: predicting FOMC monetary policy decisions
by Pauwels, Laurent & Vasnev, Andrey
- 10/2011 Do External Political Pressures Affect the Renminbi Exchange Rate?
by Liu, Li-Gang & Pauwels, Laurent
- 09/2011 The Multistep Beveridge-Nelson Decomposition
by Proietti, Tommaso
- 08/2011 Does the Box-Cox transformation help in forecasting macroeconomic time series?
by Lütkepohl, Helmut & Proietti, Tommaso
- 07/2011 Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search
by Grassi, Stefano & Proietti, Tommaso
- 06/2011 Ranking games and gambling: When to quit when you're ahead
by Anderson, E.J.
- 05/2011 Convergent learning algorithms for potential games with unknown noisy rewards
by Chapman, Archie C. & Jennings, Nicholas R. & Leslie, David S. & Rogers, Alex
- 04/2011 Supply Function Equilibria Always Exist
by Anderson, Edward
- 03/2011 Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis
by Chen, Cathy W.S. & Gerlach, Richard & Lee, Wcw & Lin, Edward M.H.
- 02/2011 Australian Residential Housing Market & Hedonic Construction of House Price Indices for Metropolitan
by Cottet, Remy & Knight, Eva
- 01/2011 The Two-sided Weibull Distribution and Forecasting Financial Tail Risk
by Chen, Qian & Gerlach, Richard
2010
- 05/2010 Margining Option Portfolios by Network Flows
by Matsypura, D. & Timkovsky, V.G.
- 04/2010 Combinatorics of Option Spreads: The Margining Aspect
by Matsypura, D. & Timkovsky, V.G.
- 03/2010 Portfolio Margining: Strategy vs Risk
by Coffman, E.G. Jr & Matsypura, D. & Timkovsky, V.G.
- 01/2010 Estimating Value At Risk
by Gerlach, Richard & Huang, Hai & Lu, Zudi
2009
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