Browsing Discipline of Business Analytics by subject "0104 Statistics"
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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 ...Working 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 ...Working Paper