Andrey L. Vasnev

University of Sydney

Associate Professor and Head of Discipline

Sydney, NSW 2006

Australia

http://www.sydney.edu.au/business/about/our-people/academic-staff/andrey-vasnev.html

  • University of Sydney

SCHOLARLY PAPERS

17

DOWNLOADS

1,440

SSRN CITATIONS
Rank 16,662

SSRN RANKINGS

Top 16,662

in Total Papers Citations

55

CROSSREF CITATIONS

12

Scholarly Papers (17)

Actions:
Email selected abstracts
1.

Conditionally Optimal Weights and Forward-Looking Approaches to Combining Forecasts

Downloads 224 (210,534)
Citation 3

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 146 (306,633)

Abstract:

Loading...

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 78 (475,406)
Citation 3

Abstract:

Loading...

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

2.

The Forecast Combination Puzzle: A Simple Theoretical Explanation

Downloads 185 (250,559)
Citation 15

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 93 (426,611)
Citation 1

Abstract:

Loading...

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 50 (598,208)
Citation 2

Abstract:

Loading...

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 42 (643,842)
Citation 8

Abstract:

Loading...

forecast combination, optimal weights

3.

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 181 (255,489)
Citation 1

Abstract:

Loading...

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

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 128 (338,819)

Abstract:

Loading...

volatility, robust estimator

5.

Sensitivity of GLS Estimators in Random Effects Models

Number of pages: 20 Posted: 16 Jan 2007
Andrey L. Vasnev
University of Sydney
Downloads 95 (417,283)

Abstract:

Loading...

Panel data, sensitivity analysis, random effects model

6.

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 82 (456,765)

Abstract:

Loading...

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

7.

Too Similar to Combine? On Negative Weights in Forecast Combination

Number of pages: 36 Posted: 06 Aug 2020
Peter Radchenko, Andrey L. Vasnev and Wendun Wang
The University of Sydney, University of Sydney and Erasmus University Rotterdam (EUR)
Downloads 81 (460,117)

Abstract:

Loading...

forecast combination, optimal weights, negative weight, trimming, shrinkage

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 70 (499,353)
Citation 7

Abstract:

Loading...

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

9.

Forecast combination puzzle in the HAR model

Number of pages: 18 Posted: 08 Jul 2021
Adam Clements and Andrey L. Vasnev
Queensland University of Technology - School of Economics and Finance and University of Sydney
Downloads 68 (507,090)

Abstract:

Loading...

Realized volatility, forecast combination, HAR model

10.

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 61 (535,791)

Abstract:

Loading...

Maximum likelihood, sensitivity, diagnostic test, regression

11.

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 55 (562,669)

Abstract:

Loading...

Forecast combination, Analyst forecast, Macroeconomic forecast

12.

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 55 (562,669)
Citation 3

Abstract:

Loading...

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

13.

On the Uncertainty of a Combined Forecast: The Critical Role of Correlation

Number of pages: 33 Posted: 07 Feb 2022 Last Revised: 01 Jun 2022
J.R. Magnus and Andrey L. Vasnev
Vrije Universiteit Amsterdam, School of Business and Economics and University of Sydney
Downloads 46 (607,395)

Abstract:

Loading...

Combining information, Correlation, Growth forecasting, Inflation forecasting, Central Banks.

14.

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 40 (640,715)

Abstract:

Loading...

Sensitivity analysis, Forecast combination, Yield curve prediction

15.

Higher Moment Constraints for Predictive Density Combination

CAMA Working Paper No. 45/2020
Number of pages: 30 Posted: 05 May 2020
Laurent L. Pauwels, Peter Radchenko and Andrey L. Vasnev
The University of Sydney, The University of Sydney and University of Sydney
Downloads 39 (646,542)

Abstract:

Loading...

Forecast combinations, Predictive densities, Moment constraints, Financial data

16.

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, The University of Sydney and University of Sydney
Downloads 23 (755,290)
Citation 2

Abstract:

Loading...

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

17.

Global Combinations of Expert Forecasts

Number of pages: 20 Posted: 05 Aug 2022
Yilin Qian, Ryan Thomson and Andrey L. Vasnev
The University of Sydney, Monash University and University of Sydney
Downloads 7 (894,548)

Abstract:

Loading...

Forecast combination, local forecasting, global forecasting, multi-task learning, European Central Bank, Survey of Professional Forecasters