This paper proposes a unified framework to analyse the theoretical properties of forecast combination. The proposed framework not only is useful for deriving all existing results with ease but also provides important insights into two unresolved puzzles of forecast combination. Specifically,...

This paper presents a general optimization framework to forecast put and call option prices by exploiting the volatility of the options prices. The approach is flexible in that different objective functions for predicting the underlying volatility can be modified and adapted in the proposed...

The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As...

This paper proposes a new test for structural stability in panels by extending the testing procedure proposed in the seminal work of Andrews (2003) originally developed for time series. The test is robust to non-normal, heteroskedastic and serially correlated errors, and, importantly, allows for...

A product is valuable only when it can be delivered to the user/customer at the right time, to the right place, and with the right quality. This is particularly essential in today's e-commerce environment, which demands quick response, and short product life cycle.Previously published in:...

This chapter summarises the recent approaches to optimal forecast combination from a frequentist perspective. The availability of big data leads to the development of many different models of the same macroeconomic variables. The challenge is to seek the best way to combine all relevant...

Time series analysis in frequency domain has always been an active area of research. Theorists often employ techniques in frequency domain to advance current understanding on complex time series properties and develop useful toolboxes for practical time series analysis. This chapter reviews...