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Andrey L. Vasnev

Personal Details

First Name:Andrey
Middle Name:L.
Last Name:Vasnev
Suffix:
RePEc Short-ID:pva556
[This author has chosen not to make the email address public]
https://www.sydney.edu.au/business/about/our-people/academic-staff/andrey-vasnev.html

Affiliation

(50%) Discipline of Business Analytics
Business School
University of Sydney

Sydney, Australia
http://sydney.edu.au/business/business_analytics
RePEc:edi:dxusyau (more details at EDIRC)

(50%) Business School
University of Sydney

Sydney, Australia
http://sydney.edu.au/business/
RePEc:edi:sbsydau (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Masako Ikefuji & Jan Magnus & Andrey Vasnev, 2023. "The role of data and priors in estimating climate sensitivity," ISER Discussion Paper 1217, Institute of Social and Economic Research, Osaka University.
  2. Clements, Adam & Vasnev, Andrey L., 2023. "Combining simple multivariate HAR-like models for portfolio construction," Working Papers BAWP-2023-03, University of Sydney Business School, Discipline of Business Analytics.
  3. Ikefuji, Masako & Magnus, Jan R. & Vasnev, Andrey L., 2023. "The role of data and priors in estimating climate sensitivity," Working Papers BAWP-2023-02, University of Sydney Business School, Discipline of Business Analytics.
  4. Ryan Thompson & Yilin Qian & Andrey L. Vasnev, 2022. "Flexible global forecast combinations," Papers 2207.07318, arXiv.org, revised Mar 2024.
  5. Qian, Yilin & Thompson, Ryan & Vasnev, Andrey L, 2022. "Global combinations of expert forecasts," Working Papers BAWP-2022-02, University of Sydney Business School, Discipline of Business Analytics.
  6. Magnus, Jan & Vasnev, Andrey, 2021. "On the uncertainty of a combined forecast: The critical role of correlation," Working Papers BAWP-2022-01, University of Sydney Business School, Discipline of Business Analytics.
  7. Clements, Adam & Vasnev, Andrey, 2021. "Forecast combination puzzle in the HAR model," Working Papers BAWP-2021-01, University of Sydney Business School, Discipline of Business Analytics.
  8. Laurent Pauwels & Peter Radchenko & Andrey L. Vasnev, 2020. "High Moment Constraints for Predictive Density Combination," CAMA Working Papers 2020-45, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, revised Jun 2023.
  9. Lore Dirick & Gerda Claeskens & Andrey Vasnev & Bart Baesens, 2020. "A hierarchical mixture cure model with unobserved heterogeneity for credit risk," Working Papers of Department of Decision Sciences and Information Management, Leuven 665250, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
  10. Radchenko, Peter & Vasnev, Andrey & Wang, Wendun, 2020. "Too similar to combine? On negative weights in forecast combination," Working Papers BAWP-2020-02, University of Sydney Business School, Discipline of Business Analytics.
  11. Hastings, Justin V. & Phillips, Sarah & Ubilava, David & Vasnev, Andrey, 2020. "Price Transmission in Conflict-Affected States: Evidence from Cereal Markets of Somalia," Working Papers 2020-16, University of Sydney, School of Economics.
  12. Pauwels, Laurent & Radchenko, Peter & Vasnev, Andrey, 2019. "Higher Moment Constraints for Predictive Density Combinations," Working Papers BAWP-2019-01, University of Sydney Business School, Discipline of Business Analytics.
  13. Christopher G. Gibbs & Andrey L. Vasnev, 2017. "Conditionally Optimal Weights and Forward-Looking Approaches to Combining Forecasts," Discussion Papers 2017-10, School of Economics, The University of New South Wales.
  14. Gerda Claeskens & Jan Magnus & Andrey Vasnev & Wendun Wang, 2016. "The forecast combination puzzle: a simple theoretical explanation," Working Papers of Department of Decision Sciences and Information Management, Leuven 532152, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
  15. Gerlach, R & Sutton, M & Vasnev, A, 2015. "Generalized Variance: A Robust Estimator of Stock Price Volatility," Working Papers 2015-02, University of Sydney Business School, Discipline of Business Analytics.
  16. Pauwels, Laurent & Vasnev, Andrey, 2013. "Forecast combination for U.S. recessions with real-time data," Working Papers 02/2013, University of Sydney Business School, Discipline of Business Analytics.
  17. Magnus, Jan R & Vasnev, Andrey, 2013. "Practical use of sensitivity in econometrics with an illustration to forecast combinations," Working Papers 2013-04, University of Sydney Business School, Discipline of Business Analytics.
  18. Pauwels, Laurent & Vasnev, Andrey, 2013. "Practical considerations for optimal weights in density forecast combi nation," Working Papers 01/2013, University of Sydney Business School, Discipline of Business Analytics.
  19. Gerlach, Richard & Vasnev, Andrey & Watkins, John, 2012. "Multiple Event Incidence and Duration Analysis for Credit Data Incorporating Non-Stochastic Loan Maturity," Working Papers 03/2013, University of Sydney Business School, Discipline of Business Analytics.
  20. Pauwels, Laurent & Vasnev, Andrey, 2011. "Forecast combination for discrete choice models: predicting FOMC monetary policy decisions," Working Papers 11/2011, University of Sydney Business School, Discipline of Business Analytics.
  21. Gerlach, Richard & Vasnev, Andrey & Watkins, John, 2009. "Survival Analysis for Credit Scoring: Incidence and Latency," Working Papers 03/2009, University of Sydney Business School, Discipline of Business Analytics.
  22. Vasnev, A.L., 2006. "Local sensitivity in econometrics," Other publications TiSEM 789cc7a5-57da-4c5c-b5af-2, Tilburg University, School of Economics and Management.
  23. Magnus, J.R. & Vasnev, A.L., 2004. "Local Sensitivity and Diagnostic Tests," Discussion Paper 2004-105, Tilburg University, Center for Economic Research.

Articles

  1. Gibbs, Christopher G. & Vasnev, Andrey L., 2024. "Conditionally optimal weights and forward-looking approaches to combining forecasts," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1734-1751.
  2. Thompson, Ryan & Qian, Yilin & Vasnev, Andrey L., 2024. "Flexible global forecast combinations," Omega, Elsevier, vol. 126(C).
  3. Radchenko, Peter & Vasnev, Andrey L. & Wang, Wendun, 2023. "Too similar to combine? On negative weights in forecast combination," International Journal of Forecasting, Elsevier, vol. 39(1), pages 18-38.
  4. Magnus, Jan R. & Vasnev, Andrey L., 2023. "On the uncertainty of a combined forecast: The critical role of correlation," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1895-1908.
  5. Justin V Hastings & Sarah G Phillips & David Ubilava & Andrey Vasnev, 2022. "Price Transmission in Conflict-Affected States: Evidence from Cereal Markets of Somalia," Journal of African Economies, Centre for the Study of African Economies, vol. 31(3), pages 272-291.
  6. Dirick, Lore & Claeskens, Gerda & Vasnev, Andrey & Baesens, Bart, 2022. "A hierarchical mixture cure model with unobserved heterogeneity for credit risk," Econometrics and Statistics, Elsevier, vol. 22(C), pages 39-55.
  7. Moawia Alghalith & Norman Swanson & Andrey Vasnev & Wing-Keung Wong, 2021. "Editorial Statement In Honor Of Professor Michael Mcaleer," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 16(03), pages 1-21, September.
  8. Qingfeng Liu & Andrey L. Vasnev, 2019. "A Combination Method for Averaging OLS and GLS Estimators," Econometrics, MDPI, vol. 7(3), pages 1-12, September.
  9. Sutton, Maxwell & Vasnev, Andrey L. & Gerlach, Richard, 2019. "Mixed interval realized variance: A robust estimator of stock price volatility," Econometrics and Statistics, Elsevier, vol. 11(C), pages 43-62.
  10. Matsypura, Dmytro & Thompson, Ryan & Vasnev, Andrey L., 2018. "Optimal selection of expert forecasts with integer programming," Omega, Elsevier, vol. 78(C), pages 165-175.
  11. Demetris Christodoulou & Le Ma & Andrey Vasnev, 2018. "Inference†in†residuals as an Estimation Method for Earnings Management," Abacus, Accounting Foundation, University of Sydney, vol. 54(2), pages 154-180, June.
  12. Laurent L. Pauwels & Andrey L. Vasnev, 2017. "Forecast combination for discrete choice models: predicting FOMC monetary policy decisions," Empirical Economics, Springer, vol. 52(1), pages 229-254, February.
  13. Claeskens, Gerda & Magnus, Jan R. & Vasnev, Andrey L. & Wang, Wendun, 2016. "The forecast combination puzzle: A simple theoretical explanation," International Journal of Forecasting, Elsevier, vol. 32(3), pages 754-762.
  14. Pauwels, Laurent L. & Vasnev, Andrey L., 2016. "A note on the estimation of optimal weights for density forecast combinations," International Journal of Forecasting, Elsevier, vol. 32(2), pages 391-397.
  15. Magnus, Jan R. & Vasnev, Andrey L., 2015. "Interpretation and use of sensitivity in econometrics, illustrated with forecast combinations," International Journal of Forecasting, Elsevier, vol. 31(3), pages 769-781.
  16. Pauwels, Laurent & Vasnev, Andrey, 2014. "Forecast combination for U.S. recessions with real-time data," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 138-148.
  17. John G. T. Watkins & Andrey L. Vasnev & Richard Gerlach, 2014. "Multiple Event Incidence And Duration Analysis For Credit Data Incorporating Non‐Stochastic Loan Maturity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(4), pages 627-648, June.
  18. Andrey Vasnev & Margaret Skirtun & Laurent Pauwels, 2013. "Forecasting Monetary Policy Decisions in Australia: A Forecast Combinations Approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(2), pages 151-166, March.
  19. Vasnev, Andrey L., 2010. "Sensitivity of GLS estimators in random effects models," Journal of Multivariate Analysis, Elsevier, vol. 101(5), pages 1252-1262, May.
  20. Magnus, Jan R. & Vasnev, Andrey L., 2008. "Using Macro Data To Obtain Better Micro Forecasts," Econometric Theory, Cambridge University Press, vol. 24(2), pages 553-579, April.
  21. Jan R. Magnus & Andrey L. Vasnev, 2007. "Local sensitivity and diagnostic tests," Econometrics Journal, Royal Economic Society, vol. 10(1), pages 166-192, March.
  22. Stanislav Anatolyev & Andrey Vasnev, 2002. "Markov chain approximation in bootstrapping autoregressions," Economics Bulletin, AccessEcon, vol. 3(19), pages 1-8.

More information

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Statistics

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Co-authorship network on CollEc

Featured entries

This author is featured on the following reading lists, publication compilations, Wikipedia, or ReplicationWiki entries:
  1. New Economic School Alumni

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 16 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FOR: Forecasting (14) 2013-10-25 2013-10-25 2013-10-25 2014-11-12 2015-04-25 2017-04-16 2019-04-08 2020-06-15 2020-08-17 2020-08-17 2022-08-29 2022-08-29 2022-08-29 2022-09-05. Author is listed
  2. NEP-ECM: Econometrics (9) 2013-10-25 2013-10-25 2014-11-12 2015-04-25 2015-11-21 2017-04-16 2019-04-08 2020-06-15 2020-08-17. Author is listed
  3. NEP-ETS: Econometric Time Series (5) 2013-10-25 2015-04-25 2015-11-21 2017-04-16 2022-08-29. Author is listed
  4. NEP-EEC: European Economics (2) 2022-08-29 2022-09-05
  5. NEP-ORE: Operations Research (2) 2020-06-15 2020-08-17
  6. NEP-RMG: Risk Management (2) 2015-11-21 2022-08-29
  7. NEP-AGR: Agricultural Economics (1) 2021-02-01
  8. NEP-BAN: Banking (1) 2022-08-29
  9. NEP-BIG: Big Data (1) 2022-08-29
  10. NEP-DEV: Development (1) 2021-02-01
  11. NEP-ENV: Environmental Economics (1) 2023-12-04
  12. NEP-MAC: Macroeconomics (1) 2013-10-25

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