|Present||Professor of Management (Econometrics), Melbourne Business School|
- Data and Decisions (MBA)
- Data and Decisions (EMBA)
- Quantiative Financial Modelling (MBA Elective)
200 Leceister Street
Forthcoming and Working Papers (5)
Econometric Modeling of Regional Electricity Spot Prices in the Australian ...
Melbourne Business School Working Paper (2018)
Wholesale electricity markets are increasingly integrated via high voltage interconnectors, and inter-regionaltrade in electricity is growing. To model this, we consider a ...
Variational Bayes Estimation of Discrete-Margined Copula Models with Application to ...
Melbourne Business School Working Paper (2017)
We propose a new variational Bayes estimator for high-dimensional copulas with discrete, or a combination of discrete and continuous, margins. ...
Gaussian variational approximation with a factor covariance structure
Forthcoming in Journal of Computational and Graphical Statistics (2017)
Variational approximations have the potential to scale Bayesian computations to large datasets and highly parameterized models. Gaussian approximations are popular, ...
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 ...