Business Analytics Working Paper Series

 

Located in the University of Sydney Business School, The Discipline of Business Analytics engages in all aspects of data analysis, making forecasts and building models to enable better management decisions – vital assets to every business area.

Business analytics research requires a rigorous approach to model formulation and estimation as well as the skills to analyse the outputs of these models.

The Business Analytics Working paper series covers our research from 1975 onwards. For more information, please visit www.sydney.edu.au/business/our-research/research-areas/business-analytics

Recent Submissions

  • The role of data and priors in estimating climate sensitivity 

    Ikefuji, Masako; Magnus, Jan R.; Vasnev, Andrey L.
    Published 2023
    In 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 Access
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  • Combining simple multivariate HAR-like models for portfolio construction 

    Clements, Adam; Vasnev, Andrey L.
    Published 2023
    Forecasts 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 Access
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  • Base-Stock Policies with Constant Lead Time: Closed-Form Solutions and Applications 

    LI, ZHAOLIN (ERICK); LIANG, GUITIAN; FU, QI (GRACE); TEO, CHUNG-PIAW
    Published 2023-03-15
    We study stationary base-stock policies for multiperiod dynamic inventory systems with a constant lead time and independently and identically distributed (iid) demands. When ambiguities in the underlying demand distribution ...
    Open Access
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  • 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
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  • 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
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