Business Analytics Working Paper Series: 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 -
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 -
Base-Stock Policies with Constant Lead Time: Closed-Form Solutions and Applications
Published 2023-03-15We 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 ...Working Paper -
Global combinations of expert forecasts
Published 2022Expert 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 AccessWorking Paper