Discipline of Business Analytics: Recent submissions
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Corrected Forecast Combinations
Published 2026This paper proposes corrected forecast combinations when the original combined forecast errors are serially dependent. Motivated by the classic Bates and Granger (1969) example, we show that combined forecast errors can ...Open AccessWorking Paper -
The Online Shortest Path Problem: Learning Travel Times Using a Multiarmed Bandit Framework
Published 2024In the age of e-commerce, logistics companies often operate within extensive road networks without accurate knowledge of travel times for their specific fleet of vehicles. Moreover, millions of dollars are spent on routing ...Article -
Combining simple multivariate HAR-like models for portfolio construction
Published 2023Forecasts of the covariance matrix of returns is a crucial input into portfolio construction. In recent years multivariate version of the Heterogenous AutoRegressive (HAR) models have been designed to utilise realised ...Open AccessWorking Paper -
The role of data and priors in estimating climate sensitivity
Published 2023In Bayesian theory, the data together with the prior produce a posterior. We show that it is also possible to follow the opposite route, that is, to use data and posterior information (both of which are observable) ...Open AccessWorking Paper -
Closed-Form Solutions for Distributionally Robust Inventory Management: A Controlled Relaxation Method
Published 2023When only the moments (mean, variance or t-th moment) of the underline distribution are known, a variety of many max-min optimization models choose actions to maximize the firm’s expected profit against the most unfavorable ...Working Paper