Sub-collections in this collection

Recent Submissions

  • Too similar to combine? On negative weights in forecast combination 

    Radchenko, Peter; Vasnev, Andrey; Wang, Wendun
    Published 2020-01-01
    This paper provides the first thorough investigation of the negative weights that can emerge when combining forecasts. The usual practice in the literature is to ignore or trim negative weights, i.e., set them to zero. ...
    Open Access
    Working Paper
  • Higher Moment Constraints for Predictive Density Combinations 

    Pauwels, Laurent; Radchenko, Peter; Vasnev, Andrey
    Published 2020-05-01
    The majority of financial data exhibit asymmetry and heavy tails, which makes forecasting the entire density critically important. Recently, a forecast combination methodology has been developed to combine predictive ...
    Open Access
    Article
  • Python Language Companion to Introduction to Applied Linear Algebra: Vectors, Matrices, and Least Squares 

    Leung, Jessica; Matsypura, Dmytro
    Published 2019-11-13
    This Python Language Companion is drafted as a supplement to the book Introduction to Applied Linear Algebra: Vectors, Matrices, and Least Squares written by Stephen Boyd and Lieven Vandenberghe (referred to here as VMLS). ...
    Open Access
    Book
  • Predicting China’s Monetary Policy with Forecast Combinations 

    Pauwels, Laurent
    Published 2019-05-14
    China’s monetary policy is unconventional and constantly evolving as a result of its rapid economic development. This paper proposes to use forecast combinations to predict the People’s Bank of China’s monetary policy ...
    Open Access
    Working Paper
  • Fundamental Moments 

    Imbs, Jean; Pauwels, Laurent
    Published 2019-05-08
    Global trade can give rise to global hubs, centers of activity whose influence on the global economy is large enough that local disturbances have consequences in the aggregate. This paper investigates the nature, existence, ...
    Open Access
    Working Paper

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