- Data and Decisions (MBA)
- Data and Decisions (EMBA)
- Quantiative Financial Modelling (MBA Elective)
200 Leceister Street
Forthcoming and Working Papers (4)
Real-Time Macroeconomic Forecasting with a Heteroskedastic Inversion Copula
Melbourne Business School Working Paper (2017)
We contend that allowing for asymmetries in the forecast densities of macroeconomic variables canimprove their accuracy. In multivariate time series, ...
Public Datasets & Software (2)
Asymmetric Forecast Densities for U.S. Macroeconomic Variables from a ...
Journal of Business and Economic Statistics (2016)
Most existing reduced-form macroeconomic multivariate time series models employ elliptical disturbances, so that the forecast densities produced are symmetric. In ...
Bayesian Density Forecasting of Intraday Electricity Prices using Multivariate Skew ...
International Journal of Forecasting (2008)
Electricity spot prices exhibit strong time series properties, including substantial periodicity, both inter-day and intraday serial correlation, heavy tails and ...