Andrey L. Vasnev

University of Sydney

Lecturer

Sydney, NSW 2006

Australia

http://www.econ.usyd.edu.au/staff/andreyv

SCHOLARLY PAPERS

12

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12

CROSSREF CITATIONS

17

Scholarly Papers (12)

Conditionally Optimal Weights and Forward-Looking Approaches to Combining Forecasts

Number of pages: 62 Posted: 21 Feb 2017 Last Revised: 10 Jan 2019
Christopher Gibbs and Andrey L. Vasnev
The University of Sydney - School of Economics and University of Sydney
Downloads 97 (274,555)

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Forecast combination, conditionally optimal weights, forecast combination puzzle, inflation, Phillips curve

Conditionally Optimal Weights and Forward-Looking Approaches to Combining Forecasts

UNSW Business School Research Paper No. 2017-10
Number of pages: 50 Posted: 07 Apr 2017
Christopher Gibbs and Andrey L. Vasnev
The University of Sydney - School of Economics and University of Sydney
Downloads 60 (364,663)
Citation 1

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Forecast Combination, Conditionally Optimal Weights, Forecast Combination Puzzle, Inflation, Phillips Curve

2.

Optimal Selection of Expert Forecasts with Integer Programming

Number of pages: 19 Posted: 06 Jan 2017
Dmytro Matsypura, Ryan Thompson and Andrey L. Vasnev
University of Sydney, The University of Sydney and University of Sydney
Downloads 140 (208,430)

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Forecast Combination, Forecast Combination Puzzle, Macroeconomic Forecasting, Integer Programming, European Central Bank, Survey of Professional Forecasters

The Forecast Combination Puzzle: A Simple Theoretical Explanation

Number of pages: 18 Posted: 23 Oct 2013 Last Revised: 01 Sep 2014
Gerda Claeskens, J.R. Magnus, Andrey L. Vasnev and Wendun Wang
KU Leuven - Department of Economics, Vrije Universiteit Amsterdam, School of Business and Economics, University of Sydney and Erasmus University Rotterdam (EUR)
Downloads 70 (335,867)
Citation 1

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forecast combination, optimal weights, model selection

The Forecast Combination Puzzle: A Simple Theoretical Explanation

Tinbergen Institute Discussion Paper 14-127/III
Number of pages: 20 Posted: 20 Sep 2014
Gerda Claeskens, J.R. Magnus, Andrey L. Vasnev and Wendun Wang
KU Leuven - Department of Economics, Vrije Universiteit Amsterdam, School of Business and Economics, University of Sydney and Erasmus University Rotterdam (EUR)
Downloads 38 (445,749)
Citation 1

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forecast combination, optimal weights, model selection

The Forecast Combination Puzzle: A Simple Theoretical Explanation

Number of pages: 22 Posted: 05 Mar 2016
Gerda Claeskens, J.R. Magnus, Andrey L. Vasnev and Wendun Wang
KU Leuven - Department of Economics, Vrije Universiteit Amsterdam, School of Business and Economics, University of Sydney and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 16 (570,714)
Citation 4

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forecast combination, optimal weights

4.

Mixed Interval Realized Variance: A Robust Estimator of Stock Price Volatility

Number of pages: 72 Posted: 18 Apr 2015 Last Revised: 05 Jan 2017
Max Sutton, Andrey L. Vasnev and Richard H. Gerlach
The University of Sydney, University of Sydney and University of Sydney
Downloads 99 (269,033)

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volatility, robust estimator

5.

Forecast Combination for U.S. Recessions with Real-Time Data

Number of pages: 15 Posted: 19 Jan 2013 Last Revised: 06 Dec 2013
Laurent L. Pauwels and Andrey L. Vasnev
The University of Sydney and University of Sydney
Downloads 73 (324,432)

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U.S. business cycle, forecast combination, density forecast, probit models, yield curve, coincident indicators

6.

Sensitivity of GLS Estimators in Random Effects Models

Number of pages: 20 Posted: 16 Jan 2007
Andrey L. Vasnev
University of Sydney
Downloads 73 (324,432)

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Panel data, sensitivity analysis, random effects model

7.
Downloads 72 (326,876)
Citation 5

Local Sensitivity and Diagnostic Tests

CentER Discussion Paper No. 2004-105
Number of pages: 29 Posted: 07 Dec 2004
J.R. Magnus and Andrey L. Vasnev
Vrije Universiteit Amsterdam, School of Business and Economics and University of Sydney
Downloads 45 (416,724)

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Maximum likelihood, sensitivity, diagnostic test, regression

Local Sensitivity and Diagnostic Tests

Econometrics Journal, Vol. 10, No. 1, pp. 166-192, March 2007
Number of pages: 27 Posted: 08 Mar 2007
J.R. Magnus and Andrey L. Vasnev
Vrije Universiteit Amsterdam, School of Business and Economics and University of Sydney
Downloads 27 (500,463)
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8.

Forecast Combination for Discrete Choice Models: Predicting FOMC Monetary Policy Decisions

Number of pages: 30 Posted: 19 Jan 2013
Laurent L. Pauwels and Andrey L. Vasnev
The University of Sydney and University of Sydney
Downloads 49 (395,038)
Citation 4

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forecast combination, probability forecast, discrete choice models, monetary policy decisions

9.

A Note on Estimation of Optimal Weights for Density Forecast Combinations

Number of pages: 15 Posted: 02 Feb 2013 Last Revised: 02 Sep 2015
Laurent L. Pauwels and Andrey L. Vasnev
The University of Sydney and University of Sydney
Downloads 44 (412,637)
Citation 1

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Forecast combination, Density forecast, Optimization, Optimal weight, Discrete choice models

10.

Efficient Analyst Forecasts Combinations for the US Macro Forecasts

Number of pages: 15 Posted: 07 Mar 2013 Last Revised: 01 Mar 2016
Andrey L. Vasnev
University of Sydney
Downloads 41 (423,901)

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Forecast combination, Analyst forecast, Macroeconomic forecast

11.

Practical Use of Sensitivity in Econometrics with an Illustration to Forecast Combinations

Number of pages: 22 Posted: 07 Mar 2013
J.R. Magnus and Andrey L. Vasnev
Vrije Universiteit Amsterdam, School of Business and Economics and University of Sydney
Downloads 30 (471,170)

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Sensitivity analysis, Forecast combination, Yield curve prediction

12.

Higher Moment Constraints for Predictive Density Combinations

Number of pages: 30 Posted: 16 Jan 2019
Laurent L. Pauwels, Peter Radchenko and Andrey L. Vasnev
The University of Sydney, University of Sydney and University of Sydney
Downloads 8 (600,196)

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Forecast Combination, Predictive Densities, Optimal Weights, Skewness, Kurtosis