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Discipline of Business Analytics
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Too similar to combine? On negative weights in forecast combination
Published 2020-01-01This 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 AccessWorking Paper -
Higher Moment Constraints for Predictive Density Combinations
Published 2020-05-01The 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 AccessArticle -
Python Language Companion to Introduction to Applied Linear Algebra: Vectors, Matrices, and Least Squares
Published 2019-11-13This 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 AccessBook -
Predicting China’s Monetary Policy with Forecast Combinations
Published 2019-05-14China’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 AccessWorking Paper -
Fundamental Moments
Published 2019-05-08Global 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 AccessWorking Paper