Details about Andrey L. Vasnev

Access statistics for papers by Andrey L. Vasnev.

Last updated 2023-11-12. Update your information in the RePEc Author Service.

Short-id: pva556

Working Papers

2024

1. Flexible global forecast combinations
   Papers, arXiv.org
   See also Journal Article Flexible global forecast combinations, Omega, Elsevier (2024) (2024)

2023

2. Combining simple multivariate HAR-like models for portfolio construction
   Working Papers, University of Sydney Business School, Discipline of Business Analytics
3. High Moment Constraints for Predictive Density Combination
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (5)
4. The role of data and priors in estimating climate sensitivity
   ISER Discussion Paper, Institute of Social and Economic Research, Osaka University
   Also in Working Papers, University of Sydney Business School, Discipline of Business Analytics (2023)

2022

5. Global combinations of expert forecasts
   Working Papers, University of Sydney Business School, Discipline of Business Analytics

2021

6. Forecast combination puzzle in the HAR model
   Working Papers, University of Sydney Business School, Discipline of Business Analytics View citations (1)
7. On the uncertainty of a combined forecast: The critical role of correlation
   Working Papers, University of Sydney Business School, Discipline of Business Analytics
   See also Journal Article On the uncertainty of a combined forecast: The critical role of correlation, International Journal of Forecasting, Elsevier (2023) View citations (4) (2023)

2020

8. A hierarchical mixture cure model with unobserved heterogeneity for credit risk
   Working Papers of Department of Decision Sciences and Information Management, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven
   See also Journal Article A hierarchical mixture cure model with unobserved heterogeneity for credit risk, Econometrics and Statistics, Elsevier (2022) View citations (2) (2022)
9. Higher Moment Constraints for Predictive Density Combinations
   Working Papers, University of Sydney Business School, Discipline of Business Analytics View citations (6)
   Also in Working Papers, University of Sydney Business School, Discipline of Business Analytics (2019)
10. Price Transmission in Conflict-Affected States: Evidence from Cereal Markets of Somalia
    Working Papers, University of Sydney, School of Economics View citations (1)
    See also Journal Article Price Transmission in Conflict-Affected States: Evidence from Cereal Markets of Somalia, Journal of African Economies, Centre for the Study of African Economies (2022) View citations (5) (2022)
11. Too similar to combine? On negative weights in forecast combination
    Working Papers, University of Sydney Business School, Discipline of Business Analytics View citations (1)
    See also Journal Article Too similar to combine? On negative weights in forecast combination, International Journal of Forecasting, Elsevier (2023) View citations (4) (2023)

2017

12. Conditionally Optimal Weights and Forward-Looking Approaches to Combining Forecasts
    Discussion Papers, School of Economics, The University of New South Wales View citations (6)
    See also Journal Article Conditionally optimal weights and forward-looking approaches to combining forecasts, International Journal of Forecasting, Elsevier (2024) (2024)

2016

13. The forecast combination puzzle: a simple theoretical explanation
    Working Papers of Department of Decision Sciences and Information Management, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) View citations (5)
    See also Journal Article The forecast combination puzzle: A simple theoretical explanation, International Journal of Forecasting, Elsevier (2016) View citations (117) (2016)

2015

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

2013

15. Forecast combination for U.S. recessions with real-time data
    Working Papers, University of Sydney Business School, Discipline of Business Analytics View citations (1)
    Also in Working Papers, University of Sydney Business School, Discipline of Business Analytics (2013) View citations (1)
    See also Journal Article Forecast combination for U.S. recessions with real-time data, The North American Journal of Economics and Finance, Elsevier (2014) View citations (3) (2014)
16. Practical considerations for optimal weights in density forecast combi nation
    Working Papers, University of Sydney Business School, Discipline of Business Analytics View citations (1)
17. Practical use of sensitivity in econometrics with an illustration to forecast combinations
    Working Papers, University of Sydney Business School, Discipline of Business Analytics

2012

18. 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
    See also Journal Article MULTIPLE EVENT INCIDENCE AND DURATION ANALYSIS FOR CREDIT DATA INCORPORATING NON‐STOCHASTIC LOAN MATURITY, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2014) View citations (7) (2014)

2011

19. Forecast combination for discrete choice models: predicting FOMC monetary policy decisions
    Working Papers, University of Sydney Business School, Discipline of Business Analytics View citations (3)
    See also Journal Article Forecast combination for discrete choice models: predicting FOMC monetary policy decisions, Empirical Economics, Springer (2017) View citations (5) (2017)

2009

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

2006

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

2004

22. Local Sensitivity and Diagnostic Tests
    Other publications TiSEM, Tilburg University, School of Economics and Management
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2004)
    See also Journal Article Local sensitivity and diagnostic tests, Econometrics Journal, Royal Economic Society (2007) View citations (14) (2007)

Journal Articles

2024

1. Conditionally optimal weights and forward-looking approaches to combining forecasts
   International Journal of Forecasting, 2024, 40, (4), 1734-1751
   See also Working Paper Conditionally Optimal Weights and Forward-Looking Approaches to Combining Forecasts, Discussion Papers (2017) View citations (6) (2017)
2. Flexible global forecast combinations
   Omega, 2024, 126, (C)
   See also Working Paper Flexible global forecast combinations, Papers (2024) (2024)

2023

3. On the uncertainty of a combined forecast: The critical role of correlation
   International Journal of Forecasting, 2023, 39, (4), 1895-1908 View citations (4)
   See also Working Paper On the uncertainty of a combined forecast: The critical role of correlation, Working Papers (2021) (2021)
4. Too similar to combine? On negative weights in forecast combination
   International Journal of Forecasting, 2023, 39, (1), 18-38 View citations (4)
   See also Working Paper Too similar to combine? On negative weights in forecast combination, Working Papers (2020) View citations (1) (2020)

2022

5. A hierarchical mixture cure model with unobserved heterogeneity for credit risk
   Econometrics and Statistics, 2022, 22, (C), 39-55 View citations (2)
   See also Working Paper A hierarchical mixture cure model with unobserved heterogeneity for credit risk, Working Papers of Department of Decision Sciences and Information Management, Leuven (2020) (2020)
6. Price Transmission in Conflict-Affected States: Evidence from Cereal Markets of Somalia
   Journal of African Economies, 2022, 31, (3), 272-291 View citations (5)
   See also Working Paper Price Transmission in Conflict-Affected States: Evidence from Cereal Markets of Somalia, Working Papers (2020) View citations (1) (2020)

2021

7. EDITORIAL STATEMENT IN HONOR OF PROFESSOR MICHAEL MCALEER
   Annals of Financial Economics (AFE), 2021, 16, (03), 1-21 View citations (3)

2019

8. A Combination Method for Averaging OLS and GLS Estimators
   Econometrics, 2019, 7, (3), 1-12
9. Mixed interval realized variance: A robust estimator of stock price volatility
   Econometrics and Statistics, 2019, 11, (C), 43-62

2018

10. Inference‐in‐residuals as an Estimation Method for Earnings Management
    Abacus, 2018, 54, (2), 154-180 View citations (15)
11. Optimal selection of expert forecasts with integer programming
    Omega, 2018, 78, (C), 165-175 View citations (13)

2017

12. Forecast combination for discrete choice models: predicting FOMC monetary policy decisions
    Empirical Economics, 2017, 52, (1), 229-254 View citations (5)
    See also Working Paper Forecast combination for discrete choice models: predicting FOMC monetary policy decisions, Working Papers (2011) View citations (3) (2011)

2016

13. A note on the estimation of optimal weights for density forecast combinations
    International Journal of Forecasting, 2016, 32, (2), 391-397 View citations (14)
14. The forecast combination puzzle: A simple theoretical explanation
    International Journal of Forecasting, 2016, 32, (3), 754-762 View citations (117)
    See also Working Paper The forecast combination puzzle: a simple theoretical explanation, Working Papers of Department of Decision Sciences and Information Management, Leuven (2016) (2016)

2015

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

2014

16. Forecast combination for U.S. recessions with real-time data
    The North American Journal of Economics and Finance, 2014, 28, (C), 138-148 View citations (3)
    See also Working Paper Forecast combination for U.S. recessions with real-time data, Working Papers (2013) View citations (1) (2013)
17. MULTIPLE EVENT INCIDENCE AND DURATION ANALYSIS FOR CREDIT DATA INCORPORATING NON‐STOCHASTIC LOAN MATURITY
    Journal of Applied Econometrics, 2014, 29, (4), 627-648 View citations (7)
    See also Working Paper Multiple Event Incidence and Duration Analysis for Credit Data Incorporating Non-Stochastic Loan Maturity, Working Papers (2012) (2012)

2013

18. Forecasting Monetary Policy Decisions in Australia: A Forecast Combinations Approach
    Journal of Forecasting, 2013, 32, (2), 151-166 View citations (5)

2010

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

2008

20. USING MACRO DATA TO OBTAIN BETTER MICRO FORECASTS
    Econometric Theory, 2008, 24, (2), 553-579 View citations (3)

2007

21. Local sensitivity and diagnostic tests
    Econometrics Journal, 2007, 10, (1), 166-192 View citations (14)
    See also Working Paper Local Sensitivity and Diagnostic Tests, Other publications TiSEM (2004) (2004)

2002

22. Markov chain approximation in bootstrapping autoregressions
    Economics Bulletin, 2002, 3, (19), 1-8 View citations (5)