• 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