Recent Submissions

  • Global combinations of expert forecasts 

    Qian, Yilin; Thompson, Ryan; Vasnev, Andrey L
    Published 2022
    Expert forecast combination—the aggregation of individual forecasts from multiple subjectmatter experts— is a proven approach to economic forecasting. To date, research in this area has exclusively concentrated on local ...
    Open Access
    Working Paper
  • A New Method to Solve Zero-Sum Games under Moment Conditions 

    Li, Zhaolin; Qi, Fu
    Published 2022-07-27
    When only the moments (mean, variance or t-th moment) of the underline distribution are known, numerous max-min optimization models can be interpreted as a zero-sum game, in which the decision maker (DM) chooses actions ...
    Open Access
    Article
  • On the uncertainty of a combined forecast: The critical role of correlation 

    Magnus, Jan; Vasnev, Andrey
    Published 2021
    The purpose of this paper is to show that the effect of the zero-correlation assumption in combining forecasts can be huge, and that ignoring (positive) correlation can lead to confidence bands around the forecast combination ...
    Open Access
    Working Paper
  • Forecast combination puzzle in the HAR model 

    Clements, Adam; Vasnev, Andrey
    Published 2021
    The 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 Access
    Working Paper
  • Two-Stage Stochastic and Robust Optimization for Non-Adaptive Group Testing 

    Ho-Nguyen, Nam
    Published 2020-10-28
    We 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 Access
    Working Paper

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