Andrey L. Vasnev
Names
| first: |
Andrey |
| middle: |
L. |
| last: |
Vasnev |
Identifer
Contact
Affiliations
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University of Sydney
/ Business School
/ Discipline of Business Analytics (weight: 50%)
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University of Sydney
/ Business School (weight: 50%)
Research profile
author of:
- Flexible global forecast combinations (RePEc:arx:papers:2207.07318)
by Ryan Thompson & Yilin Qian & Andrey L. Vasnev - Inference†in†residuals as an Estimation Method for Earnings Management (RePEc:bla:abacus:v:54:y:2018:i:2:p:154-180)
by Demetris Christodoulou & Le Ma & Andrey Vasnev - Using Macro Data To Obtain Better Micro Forecasts (RePEc:cup:etheor:v:24:y:2008:i:02:p:553-579_08)
by Magnus, Jan R. & Vasnev, Andrey L. - The role of data and priors in estimating climate sensitivity (RePEc:dpr:wpaper:1217)
by Masako Ikefuji & Jan Magnus & Andrey Vasnev - Markov chain approximation in bootstrapping autoregressions (RePEc:ebl:ecbull:eb-02c10004)
by Stanislav Anatolyev & Andrey Vasnev - Local sensitivity and diagnostic tests (RePEc:ect:emjrnl:v:10:y:2007:i:1:p:166-192)
by Jan R. Magnus & Andrey L. Vasnev - Forecast combination for U.S. recessions with real-time data (RePEc:eee:ecofin:v:28:y:2014:i:c:p:138-148)
by Pauwels, Laurent & Vasnev, Andrey - Mixed interval realized variance: A robust estimator of stock price volatility (RePEc:eee:ecosta:v:11:y:2019:i:c:p:43-62)
by Sutton, Maxwell & Vasnev, Andrey L. & Gerlach, Richard - A hierarchical mixture cure model with unobserved heterogeneity for credit risk (RePEc:eee:ecosta:v:22:y:2022:i:c:p:39-55)
by Dirick, Lore & Claeskens, Gerda & Vasnev, Andrey & Baesens, Bart - Interpretation and use of sensitivity in econometrics, illustrated with forecast combinations (RePEc:eee:intfor:v:31:y:2015:i:3:p:769-781)
by Magnus, Jan R. & Vasnev, Andrey L. - A note on the estimation of optimal weights for density forecast combinations (RePEc:eee:intfor:v:32:y:2016:i:2:p:391-397)
by Pauwels, Laurent L. & Vasnev, Andrey L. - The forecast combination puzzle: A simple theoretical explanation (RePEc:eee:intfor:v:32:y:2016:i:3:p:754-762)
by Claeskens, Gerda & Magnus, Jan R. & Vasnev, Andrey L. & Wang, Wendun - Too similar to combine? On negative weights in forecast combination (RePEc:eee:intfor:v:39:y:2023:i:1:p:18-38)
by Radchenko, Peter & Vasnev, Andrey L. & Wang, Wendun - On the uncertainty of a combined forecast: The critical role of correlation (RePEc:eee:intfor:v:39:y:2023:i:4:p:1895-1908)
by Magnus, Jan R. & Vasnev, Andrey L. - Conditionally optimal weights and forward-looking approaches to combining forecasts (RePEc:eee:intfor:v:40:y:2024:i:4:p:1734-1751)
by Gibbs, Christopher G. & Vasnev, Andrey L. - Sensitivity of GLS estimators in random effects models (RePEc:eee:jmvana:v:101:y:2010:i:5:p:1252-1262)
by Vasnev, Andrey L. - Flexible global forecast combinations (RePEc:eee:jomega:v:126:y:2024:i:c:s0305048324000409)
by Thompson, Ryan & Qian, Yilin & Vasnev, Andrey L. - Optimal selection of expert forecasts with integer programming (RePEc:eee:jomega:v:78:y:2018:i:c:p:165-175)
by Matsypura, Dmytro & Thompson, Ryan & Vasnev, Andrey L. - High Moment Constraints for Predictive Density Combination (RePEc:een:camaaa:2020-45)
by Laurent Pauwels & Peter Radchenko & Andrey L. Vasnev - The forecast combination puzzle: a simple theoretical explanation (RePEc:ete:kbiper:532152)
by Gerda Claeskens & Jan Magnus & Andrey Vasnev & Wendun Wang - A hierarchical mixture cure model with unobserved heterogeneity for credit risk (RePEc:ete:kbiper:665250)
by Lore Dirick & Gerda Claeskens & Andrey Vasnev & Bart Baesens - A Combination Method for Averaging OLS and GLS Estimators (RePEc:gam:jecnmx:v:7:y:2019:i:3:p:38-:d:265453)
by Qingfeng Liu & Andrey L. Vasnev - Price Transmission in Conflict-Affected States: Evidence from Cereal Markets of Somalia (RePEc:oup:jafrec:v:31:y:2022:i:3:p:272-291.)
by Justin V Hastings & Sarah G Phillips & David Ubilava & Andrey Vasnev - Forecast combination for discrete choice models: predicting FOMC monetary policy decisions (RePEc:spr:empeco:v:52:y:2017:i:1:d:10.1007_s00181-016-1080-x)
by Laurent L. Pauwels & Andrey L. Vasnev - Conditionally Optimal Weights and Forward-Looking Approaches to Combining Forecasts (RePEc:swe:wpaper:2017-10)
by Christopher G. Gibbs & Andrey L. Vasnev - Generalized Variance: A Robust Estimator of Stock Price Volatility (RePEc:syb:wpbsba:2123/13263)
by Gerlach, R & Sutton, M & Vasnev, A - Higher Moment Constraints for Predictive Density Combinations (RePEc:syb:wpbsba:2123/20175)
by Pauwels, Laurent & Radchenko, Peter & Vasnev, Andrey - Higher Moment Constraints for Predictive Density Combinations (RePEc:syb:wpbsba:2123/22140)
by Pauwels, Laurent & Radchenko, Peter & Vasnev, Andrey - Too similar to combine? On negative weights in forecast combination (RePEc:syb:wpbsba:2123/22956)
by Radchenko, Peter & Vasnev, Andrey & Wang, Wendun - Forecast combination puzzle in the HAR model (RePEc:syb:wpbsba:2123/25045)
by Clements, Adam & Vasnev, Andrey - On the uncertainty of a combined forecast: The critical role of correlation (RePEc:syb:wpbsba:2123/27307)
by Magnus, Jan & Vasnev, Andrey - Global combinations of expert forecasts (RePEc:syb:wpbsba:2123/29354)
by Qian, Yilin & Thompson, Ryan & Vasnev, Andrey L - The role of data and priors in estimating climate sensitivity (RePEc:syb:wpbsba:2123/31835)
by Ikefuji, Masako & Magnus, Jan R. & Vasnev, Andrey L. - Combining simple multivariate HAR-like models for portfolio construction (RePEc:syb:wpbsba:2123/31836)
by Clements, Adam & Vasnev, Andrey L. - Forecast combination for discrete choice models: predicting FOMC monetary policy decisions (RePEc:syb:wpbsba:2123/8158)
by Pauwels, Laurent & Vasnev, Andrey - Survival Analysis for Credit Scoring: Incidence and Latency (RePEc:syb:wpbsba:2123/8161)
by Gerlach, Richard & Vasnev, Andrey & Watkins, John - Practical considerations for optimal weights in density forecast combi nation (RePEc:syb:wpbsba:2123/8932)
by Pauwels, Laurent & Vasnev, Andrey - Forecast combination for U.S. recessions with real-time data (RePEc:syb:wpbsba:2123/8933)
by Pauwels, Laurent & Vasnev, Andrey - Multiple Event Incidence and Duration Analysis for Credit Data Incorporating Non-Stochastic Loan Maturity (RePEc:syb:wpbsba:2123/8963)
by Gerlach, Richard & Vasnev, Andrey & Watkins, John - Practical use of sensitivity in econometrics with an illustration to forecast combinations (RePEc:syb:wpbsba:2123/8964)
by Magnus, Jan R & Vasnev, Andrey - Forecast combination for U.S. recessions with real-time data (RePEc:syb:wpbsba:2123/8965)
by Pauwels, Laurent & Vasnev, Andrey - Price Transmission in Conflict-Affected States: Evidence from Cereal Markets of Somalia (RePEc:syd:wpaper:2020-16)
by Hastings, Justin V. & Phillips, Sarah & Ubilava, David & Vasnev, Andrey - The Forecast Combination Puzzle: A Simple Theoretical Explanation (RePEc:tin:wpaper:20140127)
by Gerda Claeskens & Jan Magnus & Andrey Vasnev & Wendun Wang - Local Sensitivity and Diagnostic Tests (RePEc:tiu:tiucen:10722abe-f848-4bfa-a82d-626380fcb5f2)
by Magnus, J.R. & Vasnev, A.L. - Local Sensitivity and Diagnostic Tests (RePEc:tiu:tiutis:10722abe-f848-4bfa-a82d-626380fcb5f2)
by Magnus, J.R. & Vasnev, A.L. - Local sensitivity in econometrics (RePEc:tiu:tiutis:789cc7a5-57da-4c5c-b5af-2535c1d47658)
by Vasnev, A.L. - Multiple Event Incidence And Duration Analysis For Credit Data Incorporating Non‐Stochastic Loan Maturity (RePEc:wly:japmet:v:29:y:2014:i:4:p:627-648)
by John G. T. Watkins & Andrey L. Vasnev & Richard Gerlach - Forecasting Monetary Policy Decisions in Australia: A Forecast Combinations Approach (RePEc:wly:jforec:v:32:y:2013:i:2:p:151-166)
by Andrey Vasnev & Margaret Skirtun & Laurent Pauwels - Editorial Statement In Honor Of Professor Michael Mcaleer (RePEc:wsi:afexxx:v:16:y:2021:i:03:n:s2010495221010028)
by Moawia Alghalith & Norman Swanson & Andrey Vasnev & Wing-Keung Wong