Discipline of Business Analytics: Recent submissions
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Forecast combination for U.S. recessions with real-time data
Published 2013-03-01This paper proposes the use of forecast combination to improve predictive accuracy in forecasting the U.S. business cycle index, as published by the Business Cycle Dating Committee of the NBER. It focuses on one-step ahead ...Open AccessWorking Paper -
Forecast combination for U.S. recessions with real-time data
Published 2013-01-01This paper proposes the use of forecast combination to improve predictive accuracy in forecasting the U.S. business cycle index as published by the Business Cycle Dating Committee of the NBER. It focuses on one-step ahead ...Open AccessWorking Paper -
Practical considerations for optimal weights in density forecast combination
Published 2013-01-01The problem of finding appropriate weights to combine several density forecasts is an important issue currently debated in the forecast combination literature. Recently, a paper by Hall and Mitchell (IJF, 2007) proposes ...Open AccessWorking Paper -
Maximum likelihood estimation of time series models: the Kalman filter and beyond
Published 2012-05-01The purpose of this chapter is to provide a comprehensive treatment of likelihood inference for state space models. These are a class of time series models relating an observable time series to quantities called states, ...Open AccessWorking Paper -
Mixed strategies in discriminatory divisible-good auctions
Published 2009-11-01Using the concept of market-distribution functions, we derive general optimality conditions for discriminatory divisible-good auctions, which are also applicable to Bertrand games and non-linear pricing. We introduce the ...Open AccessWorking Paper