RSS 1.0
Discipline of Business Analytics
Browse by
Recent Submissions
-
Forecast combination puzzle in the HAR model
Published 2021The Heterogeneous Autoregressive (HAR) model of Corsi (2009) has become the benchmark model for predicting realized volatility given its simplicity and consistent empirical performance. Many modifications and extensions ...Open AccessWorking Paper -
Two-Stage Stochastic and Robust Optimization for Non-Adaptive Group Testing
Published 2020-10-28We consider the problem of detecting defective items amongst a large collection, by conducting tests of individual or groups of items. Group testing offers improvements over the naive individual testing scheme by potentially ...Open AccessWorking Paper -
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