Andrey L. Vasnev : Citation Profile


Are you Andrey L. Vasnev?

University of Sydney (50% share)
University of Sydney (50% share)

4

H index

2

i10 index

61

Citations

RESEARCH PRODUCTION:

13

Articles

13

Papers

RESEARCH ACTIVITY:

   16 years (2002 - 2018). See details.
   Cites by year: 3
   Journals where Andrey L. Vasnev has often published
   Relations with other researchers
   Recent citing documents: 26.    Total self citations: 8 (11.59 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva556
   Updated: 2019-08-17    RAS profile: 2019-08-11    
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Relations with other researchers


Works with:

Pauwels, Laurent (6)

Authors registered in RePEc who have co-authored more than one work in the last five years with Andrey L. Vasnev.

Is cited by:

Mandel, Antoine (5)

Pauwels, Laurent (5)

Cerqueti, Roy (5)

De Luca, Giuseppe (3)

Peracchi, Franco (3)

Wan, Alan (2)

Ganics, Gergely (2)

Zou, Guohua (2)

Pettenuzzo, Davide (2)

Yin, Libo (1)

Sekhposyan, Tatevik (1)

Cites to:

Mitchell, James (12)

Wallis, Kenneth (12)

McAleer, Michael (10)

Pauwels, Laurent (10)

Watson, Mark (8)

Clements, Michael (7)

Stock, James (7)

Vahey, Shaun (7)

Smith, Jeremy (7)

Timmermann, Allan (6)

Diebold, Francis (6)

Main data


Where Andrey L. Vasnev has published?


Journals with more than one article published# docs
International Journal of Forecasting3

Working Papers Series with more than one paper published# docs
Working Papers / University of Sydney Business School, Discipline of Business Analytics9

Recent works citing Andrey L. Vasnev (2019 and 2018)


YearTitle of citing document
2017Optimal density forecast combinations. (2017). Ganics, Gergely. In: Working Papers. RePEc:bde:wpaper:1751.

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2018Research Design Issues in Studies Using Discretionary Accruals. (2018). McNichols, Maureen F ; Stubben, Stephen R. In: Abacus. RePEc:bla:abacus:v:54:y:2018:i:2:p:227-246.

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2018BALANCED VARIABLE ADDITION IN LINEAR MODELS. (2018). Peracchi, Franco ; De Luca, Giuseppe ; Magnus, Jan R. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:4:p:1183-1200.

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2018Predicting relative forecasting performance : An empirical investigation. (2018). Sekhposyan, Tatevik ; Granziera, Eleonora. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_023.

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2017Forecasting Stock Returns: A Predictor-Constrained Approach. (2017). Pettenuzzo, Davide. In: Working Papers. RePEc:brd:wpaper:116.

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2018Forecasting Stock Returns: A Predictor-Constrained Approach. (2018). Pettenuzzo, Davide ; Wang, Yudong ; Pan, Zhiyuan. In: Working Papers. RePEc:brd:wpaper:116r.

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2017Application of wavelet decomposition in time-series forecasting. (2017). Yazgan, Ege ; Genay, Ramazan ; Zhang, Keyi . In: Economics Letters. RePEc:eee:ecolet:v:158:y:2017:i:c:p:41-46.

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2017Relevant states and memory in Markov chain bootstrapping and simulation. (2017). Cerqueti, Roy ; Falbo, Paolo ; Pelizzari, Cristian . In: European Journal of Operational Research. RePEc:eee:ejores:v:256:y:2017:i:1:p:163-177.

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2019News-based forecasts of macroeconomic indicators: A semantic path model for interpretable predictions. (2019). Feuerriegel, Stefan ; Gordon, Julius. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:1:p:162-175.

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2017Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model. (2017). Yin, Libo ; Wu, Chongfeng ; Wang, Yudong ; Pan, Zhiyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:130-142.

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2018Momentum of return predictability. (2018). Wang, Yudong ; Diao, Xundi ; Ma, Feng ; Liu, LI. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:141-156.

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2017Forecasting the real prices of crude oil using forecast combinations over time-varying parameter models. (2017). Wang, Yudong ; Wu, Chongfeng ; Liu, LI. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:337-348.

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2018Forecasting the prices of crude oil: An iterated combination approach. (2018). Zhang, Yaojie ; Huang, Dengshi ; Shi, Benshan ; Ma, Feng. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:472-483.

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2018Predictability of crude oil prices: An investor perspective. (2018). Liu, LI ; Yang, LI ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:193-205.

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2019Forecasting volatility and correlation between oil and gold prices using a novel multivariate GAS model. (2019). Xu, Jianjun ; Chen, Rongda. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:379-391.

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2018Analysis and forecasting of the oil consumption in China based on combination models optimized by artificial intelligence algorithms. (2018). Li, Jingrui ; Wang, Jianzhou. In: Energy. RePEc:eee:energy:v:144:y:2018:i:c:p:243-264.

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2019Oil price increases and the predictability of equity premium. (2019). Wu, Chongfeng ; Liu, LI ; Pan, Zhiyuan ; Wang, Yudong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:102:y:2019:i:c:p:43-58.

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2019Another look at forecast selection and combination: Evidence from forecast pooling. (2019). Petropoulos, Fotios ; Barrow, Devon ; Kourentzes, Nikolaos. In: International Journal of Production Economics. RePEc:eee:proeco:v:209:y:2019:i:c:p:226-235.

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2017A Machine Learning Approach to the Forecast Combination Puzzle. (2017). Mandel, Antoine ; Sani, Amir. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01317974.

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2018Model Averaging and its Use in Economics. (2018). Steel, Mark. In: MPRA Paper. RePEc:pra:mprapa:90110.

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2017Testing for State-Dependent Predictive Ability. (2017). Fossati, Sebastian. In: Working Papers. RePEc:ris:albaec:2017_009.

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2019Применение метода попарных сравнений при объединении экономических прогнозов // Application of the Method of Pairwise Comparisons W. (2019). А. Сурков А., ; Surkov, A. In: Учет. Анализ. Аудит // Accounting. Analysis. Auditing. RePEc:scn:accntn:y:2019:i:3:p:32-42.

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2017A mixed integer linear program to compress transition probability matrices in Markov chain bootstrapping. (2017). Cerqueti, Roy ; Scozzari, Andrea ; Ricca, Federica ; Pelizzari, Cristian ; Falbo, Paolo. In: Annals of Operations Research. RePEc:spr:annopr:v:248:y:2017:i:1:d:10.1007_s10479-016-2181-9.

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2019Equivalence of optimal forecast combinations under affine constraints. (2019). Pauwels, Laurent ; Chan, Felix. In: Working Papers. RePEc:syb:wpbsba:2123/20176.

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2019Predicting China’s Monetary Policy with Forecast Combinations. (2019). Pauwels, Laurent. In: Working Papers. RePEc:syb:wpbsba:2123/20406.

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2018The Evolution of Forecast Density Combinations in Economics. (2018). Mitchell, James ; van Dijk, Herman ; Ravazzolo, Francesco ; Aastveit, Knut Are. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180069.

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Works by Andrey L. Vasnev:


YearTitleTypeCited
2018Inference†in†residuals as an Estimation Method for Earnings Management In: Abacus.
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article1
2008USING MACRO DATA TO OBTAIN BETTER MICRO FORECASTS In: Econometric Theory.
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article0
2002Markov chain approximation in bootstrapping autoregressions In: Economics Bulletin.
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article6
2007Local sensitivity and diagnostic tests In: Econometrics Journal.
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article11
2004Local Sensitivity and Diagnostic Tests.(2004) In: Discussion Paper.
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This paper has another version. Agregated cites: 11
paper
2014Forecast combination for U.S. recessions with real-time data In: The North American Journal of Economics and Finance.
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article2
2013Forecast combination for U.S. recessions with real-time data.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 2
paper
2013Forecast combination for U.S. recessions with real-time data.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 2
paper
2015Interpretation and use of sensitivity in econometrics, illustrated with forecast combinations In: International Journal of Forecasting.
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article0
2016A note on the estimation of optimal weights for density forecast combinations In: International Journal of Forecasting.
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article6
2016The forecast combination puzzle: A simple theoretical explanation In: International Journal of Forecasting.
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article19
2014The Forecast Combination Puzzle: A Simple Theoretical Explanation.(2014) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 19
paper
2010Sensitivity of GLS estimators in random effects models In: Journal of Multivariate Analysis.
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article0
2018Optimal selection of expert forecasts with integer programming In: Omega.
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article3
2017Forecast combination for discrete choice models: predicting FOMC monetary policy decisions In: Empirical Economics.
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article1
2011Forecast combination for discrete choice models: predicting FOMC monetary policy decisions.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 1
paper
2017Conditionally Optimal Weights and Forward-Looking Approaches to Combining Forecasts In: Discussion Papers.
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paper2
2015Generalized Variance: A Robust Estimator of Stock Price Volatility In: Working Papers.
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paper0
2019Higher Moment Constraints for Predictive Density Combinations In: Working Papers.
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2009Survival Analysis for Credit Scoring: Incidence and Latency In: Working Papers.
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2013Practical considerations for optimal weights in density forecast combi nation In: Working Papers.
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2012Multiple Event Incidence and Duration Analysis for Credit Data Incorporating Non-Stochastic Loan Maturity In: Working Papers.
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paper4
2014MULTIPLE EVENT INCIDENCE AND DURATION ANALYSIS FOR CREDIT DATA INCORPORATING NON‐STOCHASTIC LOAN MATURITY.(2014) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 4
article
2013Practical use of sensitivity in econometrics with an illustration to forecast combinations In: Working Papers.
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2006Local sensitivity in econometrics In: Other publications TiSEM.
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paper3
2013Forecasting Monetary Policy Decisions in Australia: A Forecast Combinations Approach In: Journal of Forecasting.
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article3

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