| No |
Author(s) |
Title
(click for Abstract) |
No
of pages |
View
paper |
| 1/02 |
G. C. Lim, G.
M. Martin and V. L. Martin |
Parametric Pricing of Higher
Order Moments in S&P500 Options |
47 |
wp1-02.pdf |
| 2/02 |
Catherine
S. Forbes, Gael M.
Martin and Jill Wright |
Bayesian Estimation of a
Stochastic Volatility Model Using Option and Spot Prices |
40 |
wp2-02.pdf |
| 3/02 |
Ralph
D. Snyder, Anne B. Koehler, Rob
J. Hyndman and J. Keith Ord |
Exponential Smoothing for
Inventory Control: Means and Variances of Lead-Time Demand |
14 |
wp3-02.pdf |
| 4/02 |
G.C. Lim, G.M.
Martin and V.L. Martin |
Pricing Currency Options
in Tranquil Markets: Modelling Volatility Frowns |
37 |
wp4-02.pdf |
| 5/02 |
Roland
G. Shami and Catherine
S. Forbes |
Non-linear Modelling of
the Australian Business Cycle using a Leading Indicator |
24 |
wp5-02.pdf |
| 6/02 |
Gary K.K. Wong and Keith
R. McLaren |
Modelling Regular and Estimable
Inverse Demand Systems: A Distance Function Approach |
32 |
wp6-02.pdf |
| 7/02 |
Tim R.L. Fry and Mark
N. Harris |
The DOGEV Model |
35 |
wp7-02.pdf |
| 8/02 |
Brian Hanlon and Catherine
Forbes |
Model Selection Criteria
for Segmented Time Series from a Bayesian Approach to Information Compression
|
27 |
wp8-02.pdf |
| 9/02 |
George
Athanasopoulos and Farshid Vahid |
Statistical Inference on
Changes in Income Inequality in Australia |
23 |
wp9-02.pdf |
| 10/02 |
Rob
J Hyndman, Maxwell L
King, Ivet Pitrun and Baki Billah |
Local Linear Forecasts
Using Cubic Smoothing Splines |
19 |
wp10-02.pdf |
| 11/02 |
Peter G Hall and Rob
J Hyndman |
An Improved
Method for Bandwidth Selection when Estimating ROC Curves |
6 |
wp11-02.pdf |
| 12/02 |
Alan
A. Powell, Keith
R. McLaren, K.R. Pearson and Maureen T. Rimmer |
Cobb-Douglas Utility -
Eventually! |
23 |
wp12-02.pdf |
| 13/02 |
Robert E.J. Hibbard, Rob Brown, Keith
R. McLaren |
Nonsimultaneity and Futures
Option Pricing: Simulation and Empirical Evidence |
39 |
wp13-02.pdf |
| 14/02 |
Ralph
D. Snyder and Catherine
S. Forbes |
Reconstructing the Kalman
Filter for Stationary and Non Stationary Time Series |
31 |
wp14-02.pdf |
| 15/02 |
Xueyan
Zhao |
Who Bears the Burden and
Who Receives the Gain? - The Case of GWRDC R&D Investments in the Australian
Grape and Wine Industry |
16 |
wp15-02.pdf |
| 16/02 |
X.
Zhao, J.D. Mullen, G.R. Griffith, R.R. Piggott and W.E. Griffiths |
The Economic Incidence
of R&D and Promotion Investments in the Australian Beef Industry |
34 |
wp16-02.pdf |
| 17/02 |
Jun Yu, Zhenlin Yang and Xibin
Zhang |
A Class of Nonlinear Stochastic
Volatility Models and Its Implications on Pricing Currency Options |
40 |
wp17-02.pdf |
| 18/02 |
Y.K. Tse, Xibin
Zhang and Jun Yu |
Estimation of Hyperbolic
Diffusion Using MCMC Method |
19 |
wp18-02.pdf |
| 19/02 |
Xibin
Zhang and Maxwell L.
King |
Influence Diagnostics in
GARCH Processes |
26 |
wp19-02.pdf |
| 20/02 |
Heather M. Anderson, George
Athanasopoulos and Farshid Vahid |
Nonlinear Autoregressive
Leading Indicator Models of Output in G-7 Countries |
38 |
wp20-02.pdf |
| 21/02 |
Heather M. Anderson |
Choosing Lag Lengths in
Nonlinear Dynamic Models |
34 |
wp21-02.pdf |
