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Details about Andrey L. Vasnev

Homepage:http://sydney.edu.au/business/staff/andreyv
Workplace:Business School, University of Sydney, (more information at EDIRC)
Discipline of Business Analytics, Business School, University of Sydney, (more information at EDIRC)

Access statistics for papers by Andrey L. Vasnev.

Last updated 2016-07-16. Update your information in the RePEc Author Service.

Short-id: pva556


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Working Papers

2016

  1. The forecast combination puzzle: a simple theoretical explanation
    Working Papers Department of Decision Sciences and Information Management, KU Leuven, Faculty of Economics and Business, Department of Decision Sciences and Information Management Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads View citations (3)

    See also Journal Article in International Journal of Forecasting (2016)

2015

  1. Generalized Variance: A Robust Estimator of Stock Price Volatility
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads

2013

  1. Forecast combination for U.S. recessions with real-time data
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads
    Also in Working Papers, University of Sydney Business School, Discipline of Business Analytics (2013) Downloads

    See also Journal Article in The North American Journal of Economics and Finance (2014)
  2. Practical considerations for optimal weights in density forecast combi nation
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads View citations (1)
  3. Practical use of sensitivity in econometrics with an illustration to forecast combinations
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads

2012

  1. Multiple Event Incidence and Duration Analysis for Credit Data Incorporating Non-Stochastic Loan Maturity
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads
    See also Journal Article in Journal of Applied Econometrics (2014)

2011

  1. Forecast combination for discrete choice models: predicting FOMC monetary policy decisions
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads

2009

  1. Survival Analysis for Credit Scoring: Incidence and Latency
    Working Papers, University of Sydney Business School, Discipline of Business Analytics Downloads

2006

  1. Local sensitivity in econometrics
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (3)

2004

  1. Local Sensitivity and Diagnostic Tests
    Discussion Paper, Tilburg University, Center for Economic Research Downloads
    See also Journal Article in Econometrics Journal (2007)

Journal Articles

2016

  1. A note on the estimation of optimal weights for density forecast combinations
    International Journal of Forecasting, 2016, 32, (2), 391-397 Downloads View citations (2)
  2. The forecast combination puzzle: A simple theoretical explanation
    International Journal of Forecasting, 2016, 32, (3), 754-762 Downloads
    See also Working Paper (2016)

2015

  1. Interpretation and use of sensitivity in econometrics, illustrated with forecast combinations
    International Journal of Forecasting, 2015, 31, (3), 769-781 Downloads

2014

  1. Forecast combination for U.S. recessions with real-time data
    The North American Journal of Economics and Finance, 2014, 28, (C), 138-148 Downloads View citations (1)
    See also Working Paper (2013)
  2. MULTIPLE EVENT INCIDENCE AND DURATION ANALYSIS FOR CREDIT DATA INCORPORATING NON‐STOCHASTIC LOAN MATURITY
    Journal of Applied Econometrics, 2014, 29, (4), 627-648 Downloads View citations (3)
    See also Working Paper (2012)

2013

  1. Forecasting Monetary Policy Decisions in Australia: A Forecast Combinations Approach
    Journal of Forecasting, 2013, 32, (2), 151-166 View citations (2)

2010

  1. Sensitivity of GLS estimators in random effects models
    Journal of Multivariate Analysis, 2010, 101, (5), 1252-1262 Downloads View citations (1)

2008

  1. USING MACRO DATA TO OBTAIN BETTER MICRO FORECASTS
    Econometric Theory, 2008, 24, (02), 553-579 Downloads View citations (1)

2007

  1. Local sensitivity and diagnostic tests
    Econometrics Journal, 2007, 10, (1), 166-192 Downloads View citations (11)
    See also Working Paper (2004)

2002

  1. Markov chain approximation in bootstrapping autoregressions
    Economics Bulletin, 2002, 3, (19), 1-8 Downloads View citations (3)
 
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