| No. |
Author(s) |
Title
(click for Abstract) |
No. of pages |
View paper |
| 1/03 |
Lydia
Shenstone and Rob
J. Hyndman |
Stochastic models underlying
Croston's method for intermittent demand forecasting |
16 |
wp1-03.pdf |
| 2/03 |
Md
B. Billah,
Rob J. Hyndman and
A. B. Koehler |
Empirical Information
Criteria for Time Series Forecasting Model Selection |
19 |
wp2-03.pdf |
| 3/03 |
Rob
J. Hyndman, Muhammad
Akram and Blyth Archibald |
Invertibility Conditions for Exponential
Smoothing Models |
19 |
wp3-03.pdf |
| 4/03 |
Elizabeth
A. Majaraj |
Using Evolutionary Spectra
to Forecast Time Series |
13 |
wp4-03.pdf |
| 5/03 |
Gael
M. Martin, Catherine
S.Forbes and Vance L.Martin |
Implicit Bayesian Inference
Using Option Prices |
36 |
wp5-03.pdf |
| 6/03 |
David Flynn,
Simone Grose,
Gael M. Martin and Vance L. Martin |
Pricing Australian S&P200
Options: A Bayesian Approach Based on Generalized Distributional Forms
|
31 |
wp6-03.pdf |
| 7/03 |
Y.K. Tse and Xibin
Zhang |
A Monte Carlo Investigation of Some
Tests for Stochastic Dominance |
29 |
wp7-03.pdf |
| 8/03 |
B. P. M. McCabe and G.
M. Martin |
Coherent Predictions of Low Count Time
Series |
28 |
wp8-03.pdf |
| 9/03 |
George Woodward and Heather Anderson |
Does Beta React to Market Conditions?
Estimates of Bull and Bear Betas using a Nonlinear Market Model with an
Endogenous Threshold Parameter |
29 |
wp9-03.pdf |
| 10/03 |
Xibin Zhang
and Maxwell L. King |
Estimation of Asymmetric Box-Cox Stochastic
Volatility Models Using MCMC Simulation |
29 |
wp10-03.pdf |
| 11/03 |
Sarah Brown,
Lisa Farrell and
Mark N. Harris |
Who are the Self-employed? A New Approach
|
38 |
wp11-03.pdf |
| 12/03 |
Peter G Hall,
Rob
J. Hyndman and Yanan Fan |
Nonparametric Confidence Intervals for
Receiver Operating Characteristic Curves |
19 |
wp12-03.pdf |
| 13/03 |
Roger Gay |
General Insurance Premiums When Tail
Fatness Is Unknown: A Fat Premium Representation Theorem |
15 |
wp13-03.pdf |
| 14/03 |
Chris M.
Strickland, Catherine
S.Forbes and Gael
M. Martin |
Bayesian Analysis of the Stochastic
Conditional Duration Model |
28 |
wp14-03.pdf |
| 15/03 |
Andrew D. Sanford and Gael
M. Martin |
Simulation-Based Bayesian Estimation
of Affine Term Structure Models |
41 |
wp15-03.pdf |
| 16/03 |
B .P. M. McCabe ,
G.
M. Martin and
A. R. Tremayne |
Persistence and Nonstationary Models |
25 |
wp16-03.pdf |
| 17/03 |
Catherine
S. Forbes, Gael M.
Martin and
Jill
Wright |
Bayesian Estimation of a Stochastic
Volatility Model Using Option and Spot Prices: Application of a Bivariate
Kalman Filter |
48 |
wp17-03.pdf |
| 18/03 |
Rachel Campbell, Catherine
S. Forbes, Kees Koedijk and
Paul Kofman |
Diversification Meltdown or the Impact
of Fat tails on Conditional Correlation? |
33 |
wp18-03.pdf |
| 19/03 |
Heather M. Anderson and Farshid Vahid |
Nonlinear Correlograms and Partial Autocorrelograms |
29 |
wp19-03.pdf |
| 20/03 |
Don U.A. Galagedera
and Roland Shami |
Association between Markov regime-switching
market volatility and beta risk: Evidence from Dow Jones industrial securities |
27 |
wp20-03.pdf |
| 21/03 |
Heather Anderson and Farshid Vahid |
The Decline in Income Growth Volatility
in the United States: Evidence from Regional Data |
20 |
wp21-03.pdf |
| 22/03 |
Duangkamon
Chotikapanich and William E. Griffiths |
Averaging Lorenz Curves |
22 |
wp22-03.pdf |
