Practical considerations for optimal weights in density forecast combination
Practical considerations for optimal weights in density forecast combination Vasnev, Andrey; Pauwels, Laurent The problem of finding appropriate weights to combine several density forecasts is an...
View ArticleMultiple Event Incidence and Duration Analysis for Credit Data Incorporating...
Multiple Event Incidence and Duration Analysis for Credit Data Incorporating Non-Stochastic Loan Maturity Vasnev, Andrey; Gerlach, Richard; Watkins, John Applications of duration analysis in Economics...
View ArticlePractical use of sensitivity in econometrics with an illustration to forecast...
Practical use of sensitivity in econometrics with an illustration to forecast combinations Vasnev, Andrey; Magnus, Jan R Sensitivity analysis is important for its own sake and also in combination with...
View ArticleForecast combination for U.S. recessions with real-time data
Forecast combination for U.S. recessions with real-time data Vasnev, Andrey; Pauwels, Laurent This paper proposes the use of forecast combination to improve predictive accuracy in forecasting the U.S....
View ArticleCompeting for contracts with buyer uncertainty: Choosing price and quality...
Competing for contracts with buyer uncertainty: Choosing price and quality variables Anderson, Edward; Qian, Cheng We model a situation in which a single firm evaluates competing suppliers and selects...
View ArticleTwo-Sample Nonparametric Estimation of Intergenerational Income Mobility
Two-Sample Nonparametric Estimation of Intergenerational Income Mobility Murtazashvili, Irina; Liu, Di; Prokhorov, Artem We estimate intergenerational income mobility in the USA and Sweden. To measure...
View ArticleConfidence Levels for CVaR Risk Measures and Minimax Limits*
Confidence Levels for CVaR Risk Measures and Minimax Limits* Anderson, Edward; Xu, Huifu; Zhang, Dali Conditional value at risk (CVaR) has been widely used as a risk measure in finance. When the...
View ArticleSemi-parametric Expected Shortfall Forecasting
Semi-parametric Expected Shortfall Forecasting Gerlach, Richard; Chen, Cathy W.S. Intra-day sources of data have proven effective for dynamic volatility and tail risk estimation. Expected shortfall is...
View ArticleConsistent Estimation of Linear Regression Models Using Matched Data
Consistent Estimation of Linear Regression Models Using Matched Data Prokhorov, Artem; Hirukawa, Masayuki Economists often use matched samples, especially when dealing with earnings data where a number...
View ArticleBayesian Assessment of Dynamic Quantile Forecasts
Bayesian Assessment of Dynamic Quantile Forecasts Gerlach, Richard; Chen, Cathy W.S.; Lin, Edward M.H. Methods for Bayesian testing and assessment of dynamic quantile forecasts are proposed....
View ArticleBayesian Tail Risk Forecasting using Realised GARCH
Bayesian Tail Risk Forecasting using Realised GARCH Contino, Christian; Gerlach, Richard A Realised Volatility GARCH model is developed within a Bayesian framework for the purpose of forecasting Value...
View ArticleForecasting risk via realized GARCH, incorporating the realized range
Forecasting risk via realized GARCH, incorporating the realized range Richard, Gerlach; Chao, Wang The realized GARCH framework is extended to incorporate the realized range, and the intra-day range,...
View ArticleEndogeneity in Stochastic Frontier Models
Endogeneity in Stochastic Frontier Models Amsler, Christine; Artem, Prokhorov; Peter, Schmidt Stochastic frontier models are typically estimated by maximum likelihood (MLE) orcorrected ordinary least...
View ArticleGeneralized Variance: A Robust Estimator of Stock Price Volatility
Generalized Variance: A Robust Estimator of Stock Price Volatility Sutton, M; Vasnev, A; Gerlach, R This paper proposes an ex-post volatility estimator, called generalized variance, that uses high...
View ArticleGEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood...
GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference Hill, Jonathan B.; Prokhorov, Artem We construct a Generalized Empirical Likelihood estimator for a GARCH(1,1)...
View ArticleSupplemental Material for GEL Estimation for Heavy-Tailed GARCH Models with...
Supplemental Material for GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference Hill, Jonathan B.; Prokhorov, Artem The following supplemental material contains an...
View ArticleGeneralized Information Matrix Tests for Copulas
Generalized Information Matrix Tests for Copulas Prokhorov, Artem; Schepsmeier, Ulf; Zhu, Yajing We propose a family of goodness-of-fit tests for copulas. The tests use generalizations of the...
View ArticleFat tails and copulas: limits of diversification revisited
Fat tails and copulas: limits of diversification revisited Ibragimov, Rustam; Prokhorov, Artem; Mo, Jingyuan We consider the problem of portfolio risk diversification in a Value-at-Risk framework with...
View ArticleBayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting...
Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Range and Realized Measures Gerlach, Richard; Wang, Chao A new framework named Realized Conditional Autoregressive...
View ArticleExact ABC using Importance Sampling
Exact ABC using Importance Sampling Tran, Minh-Ngoc; Kohn, Robert Approximate Bayesian Computation (ABC) is a powerful method for carrying out Bayesian inference when the likelihood is computationally...
View ArticleA New Measure of Vector Dependence, with an Application to Financial Contagion
A New Measure of Vector Dependence, with an Application to Financial Contagion Medovikov, Ivan; Prokhorov, Artem We propose a new nonparametric measure of association between an arbitrary number of...
View ArticleFast Inference for Intractable Likelihood Problems using Variational Bayes
Fast Inference for Intractable Likelihood Problems using Variational Bayes Gunawan, David; Tran, Minh-Ngoc; Kohn, Robert Variational Bayes (VB) is a popular statistical method for Bayesian inference....
View ArticleBlock-Wise Pseudo-Marginal Metropolis-Hastings
Block-Wise Pseudo-Marginal Metropolis-Hastings Tran, M.-N.; Kohn, R.; Quiroz, M.; Villani, M. The pseudo-marginal Metropolis-Hastings approach is increasingly used for Bayesian inference in statistical...
View ArticleEfficient estimation of parameters in marginal in semiparametric multivariate...
Efficient estimation of parameters in marginal in semiparametric multivariate models Panchenko, Valentyn; Prokhorov, Artem We consider a general multivariate model where univariate marginal...
View ArticleEstimation of Hierarchical Archimedean Copulas as a Shortest Path Problem
Estimation of Hierarchical Archimedean Copulas as a Shortest Path Problem Matsypura, Dmytro; Neo, Emily; Prokhorov, Artem We formulate the problem of finding and estimating the optimal hierarchical...
View ArticleMatrix Neural Networks
Matrix Neural Networks Gao, Junbin; Guo, Yi; Wang, Zhiyong Traditional neural networks assume vectorial inputs as the network is arranged as layers of single line of computing units called neurons....
View ArticleSpeeding up MCMC by Efficient Data Subsampling
Speeding up MCMC by Efficient Data Subsampling Quiroz, Matias; Villani, Mattias; Kohn, Robert; Tran, Minh-Ngoc We propose Subsampling MCMC, a Markov Chain Monte Carlo (MCMC) framework where the...
View ArticleEndogenous Environmental Variables In Stochastic Frontier Models
Endogenous Environmental Variables In Stochastic Frontier Models Amsler, Christine; Prokhorov, Artem; Schmidt, Peter This paper considers a stochastic frontier model that contains environmental...
View ArticleRandom Effects Models with Deep Neural Network Basis Functions: Methodology...
Random Effects Models with Deep Neural Network Basis Functions: Methodology and Computation Tran, Minh-Ngoc; Nguyen, Nghia; Nott, David; Kohn, Robert Deep neural networks (DNNs) are a powerful tool for...
View ArticleConsistent Estimation of Linear Regression Models Using Matched Data
Consistent Estimation of Linear Regression Models Using Matched Data Hirukawa, Masayuki; Prokhorov, Artem Economists often use matched samples, especially when dealing with earnings data where a number...
View ArticleHigher Moment Constraints for Predictive Density Combinations
Higher Moment Constraints for Predictive Density Combinations Pauwels, Laurent; Radchenko, Peter; Vasnev, Andrey The majority of financial data exhibit asymmetry and heavy tails, which makes...
View ArticleEquivalence of optimal forecast combinations under affine constraints
Equivalence of optimal forecast combinations under affine constraints Chan, Felix; Pauwels, Laurent Forecasts are usually produced from models and expert judgements. The reconciliation of different...
View ArticleAsymptotic Theory for Rotated Multivariate GARCH Models
Asymptotic Theory for Rotated Multivariate GARCH Models Asai, Manabu; Chang, Chia-Lin; McAleer, Michael; Pauwels, Laurent In this paper, we derive the statistical properties of a two step approach to...
View ArticleA New Family of Copulas, with Application to Estimation of a Production...
A New Family of Copulas, with Application to Estimation of a Production Frontier System Amsler, Christine; Prokhorov, Artem; Schmidt, Peter In this paper we propose a new family of copulas for which...
View ArticleMoment Redundancy Test with Application to Efficiency-Improving Copulas
Moment Redundancy Test with Application to Efficiency-Improving Copulas Hao, Bowen; Prokhorov, Artem; Qian, Hailong Moment redundancy as defined by Breusch et al. (1999) is a testable hypothesis. We...
View ArticleFundamental Moments
Fundamental Moments Imbs, Jean; Pauwels, Laurent Global trade can give rise to global hubs, centers of activity whose influence on the global economy is large enough that local disturbances have...
View ArticlePredicting China’s Monetary Policy with Forecast Combinations
Predicting China’s Monetary Policy with Forecast Combinations Pauwels, Laurent China’s monetary policy is unconventional and constantly evolving as a result of its rapid economic development. This...
View ArticlePython Language Companion to Introduction to Applied Linear Algebra: Vectors,...
Python Language Companion to Introduction to Applied Linear Algebra: Vectors, Matrices, and Least Squares Leung, Jessica; Matsypura, Dmytro This Python Language Companion is drafted as a supplement to...
View ArticleHigher Moment Constraints for Predictive Density Combinations
Higher Moment Constraints for Predictive Density Combinations Pauwels, Laurent; Radchenko, Peter; Vasnev, Andrey The majority of financial data exhibit asymmetry and heavy tails, which makes...
View ArticleToo similar to combine? On negative weights in forecast combination
Too similar to combine? On negative weights in forecast combination Radchenko, Peter; Vasnev, Andrey; Wang, Wendun This paper provides the first thorough investigation of the negative weights that can...
View ArticleTwo-Stage Stochastic and Robust Optimization for Non-Adaptive Group Testing
Two-Stage Stochastic and Robust Optimization for Non-Adaptive Group Testing Ho-Nguyen, Nam We consider the problem of detecting defective items amongst a large collection, by conducting tests of...
View ArticleForecast combination puzzle in the HAR model
Forecast combination puzzle in the HAR model Clements, Adam; Vasnev, Andrey The Heterogeneous Autoregressive (HAR) model of Corsi (2009) has become the benchmark model for predicting realized...
View ArticleOn the uncertainty of a combined forecast: The critical role of correlation
On the uncertainty of a combined forecast: The critical role of correlation Magnus, Jan; Vasnev, Andrey The purpose of this paper is to show that the effect of the zero-correlation assumption in...
View ArticleGlobal combinations of expert forecasts
Global combinations of expert forecasts Qian, Yilin; Thompson, Ryan; Vasnev, Andrey L Expert forecast combination—the aggregation of individual forecasts from multiple subjectmatter experts— is a...
View ArticleManaging Inventory and Financing Decisions Under Ambiguity
Managing Inventory and Financing Decisions Under Ambiguity Li, Zhaolin; Qian, Cheng Micro, small and medium-sized enterprises (MSMEs) face persistent challenges in raising capitals, and one of the...
View ArticleClosed-Form Solutions for Distributionally Robust Inventory Management:...
Closed-Form Solutions for Distributionally Robust Inventory Management: Extended Reformulation using Zero-Sum Game Li, Zhaolin; Qi, Fu; Chung-Piaw, Teo When only the moments (mean, variance or t-th...
View ArticleBase-Stock Policies with Constant Lead Time: Closed-Form Solutions and...
Base-Stock Policies with Constant Lead Time: Closed-Form Solutions and Applications LI, ZHAOLIN (ERICK); LIANG, GUITIAN; FU, QI (GRACE); TEO, CHUNG-PIAW We study stationary base-stock policies for...
View ArticleClosed-Form Solutions for Distributionally Robust Inventory Management: A...
Closed-Form Solutions for Distributionally Robust Inventory Management: A Controlled Relaxation Method Li, Zhaolin; Qi (Grace), Fu; Chung-Piaw, Teo When only the moments (mean, variance or t-th moment)...
View ArticleThe role of data and priors in estimating climate sensitivity
The role of data and priors in estimating climate sensitivity Ikefuji, Masako; Magnus, Jan R.; Vasnev, Andrey L. In Bayesian theory, the data together with the prior produce a posterior. We show that...
View ArticleCombining simple multivariate HAR-like models for portfolio construction
Combining simple multivariate HAR-like models for portfolio construction Clements, Adam; Vasnev, Andrey L. Forecasts of the covariance matrix of returns is a crucial input into portfolio construction....
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