Business Analytics Working Paper Series: Recent submissions
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Forecast combination puzzle in the HAR model
Published 2021The 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 AccessWorking Paper -
Two-Stage Stochastic and Robust Optimization for Non-Adaptive Group Testing
Published 2020-10-28We 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 AccessWorking Paper -
Too similar to combine? On negative weights in forecast combination
Published 2020-01-01This paper provides the first thorough investigation of the negative weights that can emerge when combining forecasts. The usual practice in the literature is to ignore or trim negative weights, i.e., set them to zero. ...Open AccessWorking Paper -
Predicting China’s Monetary Policy with Forecast Combinations
Published 2019-05-14China’s monetary policy is unconventional and constantly evolving as a result of its rapid economic development. This paper proposes to use forecast combinations to predict the People’s Bank of China’s monetary policy ...Open AccessWorking Paper -
Fundamental Moments
Published 2019-05-08Global trade can give rise to global hubs, centers of activity whose influence on the global economy is large enough that local disturbances have consequences in the aggregate. This paper investigates the nature, existence, ...Open AccessWorking Paper