Andrey Vasnev

Photo of Andrey Vasnev

MA NES Moscow, PhD Tilburg
Associate Professor

Rm 4160
H70 - Abercrombie Building
The University of Sydney
NSW 2006 Australia

Telephone +61 2 9036 9435
Fax +61 2 9351 6409
andrey.vasnev@sydney.edu.au

Bio

Andrey Vasnev (Perm, 1976) graduated in Applied Mathematics from Moscow State University in 1998. In 2001 he completed his Master's degree in Economics in the New Economic School, Moscow. In 2006 he received Ph.D. degree in Economics from the Department of Econometrics and Operations Research at Tilburg University under the supervision of Jan R. Magnus. He worked as a credit risk analyst in ABN AMRO bank before joining the University of Sydney.

Research Interests

The main research area is forecast combination in business, finance and economic applications. Forecast combination is a well-developed area with many applied papers appearing every year. This area has practical significance as in real life situations there are often more than one forecast available and they have to be consolidated. A simple example is inflation prediction. Some experts or models predict that it will go up, others predict that it will go down. One way to consolidate different points of view is to take a weighted average of inflation forecasts. Often the aggregated forecast has better properties than individual forecasts. Andrey Vasnev’s specific interests in this area are in the methodology of combining the information from different levels (for example monthly and quarterly information) and the choice of the weights when combining different forecasts.

Selected publications

2019

Journal Article

Sutton M, Vasnev A, and Gerlach R (2019) Mixed Interval Realized Variance: A Robust Estimator of Stock Price Volatility Econometrics and Statistics, 11, 43-62. [More Information]

2018

Journal Articles

Christodoulou D, Ma L, and Vasnev A (2018) Inference-in-residuals as an Estimation Method for Earnings Management Abacus, 54 (2), 154-180. [More Information]

Matsypura D, Thomspon R, and Vasnev A (2018) Optimal Selection of Expert Forecasts with Integer Programming OMEGA International Journal of Management Science, 78, 165-175. [More Information]

2017

Journal Article

Pauwels L, and Vasnev A (2017) Forecast combination for discrete choice models: predicting FOMC monetary policy decisions Empirical Economics, 52 (1), 229-254. [More Information]

2016

Journal Articles

Claeskens G, Magnus J, Vasnev A, and Wang W (2016) The forecast combination puzzle: A simple theoretical explanation International Journal of Forecasting, 32 (3), 754-762. [More Information]

Pauwels L, and Vasnev A (2016) A note on the estimation of optimal weights for density forecast combinations International Journal of Forecasting, 32 (2), 391-397. [More Information]

2015

Journal Article

Magnus J, and Vasnev A (2015) Interpretation and use of sensitivity in econometrics, illustrated with forecast combinations International Journal of Forecasting, 31 (3), 769-781. [More Information]

2014

Journal Articles

Pauwels L, and Vasnev A (2014) Forecast combination for U.S. recessions with real-time data North American Journal of Economics and Finance, 28, 138-148. [More Information]

Watkins J, Vasnev A, and Gerlach R (2014) Multiple Event Incidence and Duration Analysis for Credit Data Incorporating Non-Stochastic Loan Maturity Journal of Applied Econometrics, 29 (4), 627-648. [More Information]

2013

Journal Article

Vasnev A, Skirtun M, and Pauwels L (2013) Forecasting Monetary Policy Decisions in Australia: A Forecast Combinations Approach Journal of Forecasting, 32 (2), 151-166. [More Information]

Working Papers

Magnus J, and Vasnev A (2013) Practical Use of Sensitivity in Econometrics with an Illustration for Forecast Combinations.

Vasnev A (2013) A Simple Theoretical Explanation of the Forecast Combination Puzzle.

2012

Working Papers

Pauwels L, and Vasnev A (2012) Forecasting the U.S. Business Cycle A Discrete Choice Approach with Real-Time Data and Forecast Combination.

Vasnev A (2012) Sensitivity for quantile regression.

Vasnev A, and Pauwels L (2012) Practical Use of the Optimal Weights in Density Forecast Combinations.

2011

Conference Proceeding

Pauwels L, and Vasnev A (2011) Forecast combination for discrete choice models: predicting FOMC monetary policy decisions 19th International Congress on Modelling and Simulation (MODSIM 2011); Modelling and Simulation Society of Australia and New Zealand Inc (MSSANZ), Perth.

Working Paper

Pauwels L, and Vasnev A (2011) Forecast combination for discrete choice models: predicting FOMC monetary policy decisions.

2010

Journal Articles

Vasnev A (2010) Sensitivity of GLS Estimators in Random Effects Models Journal of Multivariate Analysis, 101 (5), 1252-1262. [More Information]

Vasnev A (2010) Sensitivity analysis for quantile regression Procedia: Social and Behavioral Sciences, 2 (6), 7759-7760. [More Information]

Working Paper

Watkins J, Vasnev A, and Gerlach R (2010) Survival Analysis for Credit Scoring: Incidence and Latency.

2008

Journal Article

Magnus J, and Vasnev A (2008) Using macro data to obtain better micro forecasts Econometric Theory, 24 (2), 553-579. [More Information]

2007

Journal Article

Magnus J, and Vasnev A (2007) Local sensitivity and diagnostic tests Econometrics Journal, 10 (1), 166-192. [More Information]

2006

Book

Vasnev A (2006) Local Sensitivity in Econometrics; CentER, Center for Economic Research, Netherlands.

Selected grants

2017-2018

Recent Units Taught

  • BUSS4302 Business Analytics Honours A

  • BUSS4303 Business Analytics Honours B

  • BUSS7902 Quantitative Research Methods

  • QBUS5001 Quantitative Methods for Business

  • QBUS6830 Financial Time Series and Forecasting