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Andrey Vasnev

Andrey Vasnev

MA NES Moscow, PhD Tilburg
Senior Lecturer

Rm 480
H04 - Merewether 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.

Publications

2014

4
Journal Article/s

Magnus JR and Vasnev A 2014 Forthcoming 'Interpretation and use of sensitivity in econometrics with an illustration to forecast combinations', International Journal of Forecasting

Watkins JGT, Vasnev A and Gerlach R 2014 'Multiple Event Incidence and Duration Analysis for Credit Data Incorporating Non-Stochastic Loan Maturity', Journal of Applied Econometrics, vol.29:4, pp. 627-48 Link

Pauwels L and Vasnev A 2014 'Forecast combination for U.S. recessions with real-time data', North American Journal of Economics and Finance, vol.28, pp. 138-48 Link

5
Conference Paper/s

Vasnev A, Claeskens G, Wang W and Magnus JR 2014 'A simple Theoretical Explanation of the Forecast Combination Puzzle and Other Issues', 34th International Symposium on Forecasting ISF 2014, Rotterdam, Netherlands, 2nd July 2014

2013

4
Journal Article/s

Vasnev A, Skirtun M and Pauwels L 2013 'Forecasting Monetary Policy Decisions in Australia: A Forecast Combination Approach', Journal of Forecasting, vol.32:2, pp. 151-66 Link

5
Conference Paper/s

Vasnev A and Pauwels L 2013 'Practical considerations for optimal weights in density forecast combination', Econometric Society Australasian Meeting ESAM2013, University of Sydney, Australia, 12th July 2013

Vasnev A and Pauwels L 2013 'Forecast combination for discrete choice models: predicting FOMC monetary policy decisions', International Choice Modelling Conference ICMC2013, Sydney, Australia, 5th July 2013

Vasnev A 2013 'Efficient Analyst Forecasts Combinations', International Symposium on Forecasting ISF 2013, Seoul, Korea, (South) Republic of, 26th June 2013

Pauwels L and Vasnev A 2013 'Practical considerations for optimal weights in density forecast combination', North American Econometric Society Summer Meeting, University of Southern California, Los Angeles, United States, 16th June 2013

Vasnev A 2013 'Efficient analyst forecasts combinations', 6th Meeting on Methodological and Empirical Advances in Financial Analysis, University of Sydney, Australia, 1st February 2013

9
Internal Working Paper/s

Vasnev A 2013 'A Simple Theoretical Explanation of the Forecast Combination Puzzle' Link

2012

5
Conference Paper/s

Vasnev A and Magnus J 2012 'Practical Use of Sensitivity in Econometrics with an Illustration for Forecast Combinations', European Economic Association and the Econometric Society European meeting EEA-ESEM (66th European Meeting of the Econometric Society), Malaga, Spain, 31st August 2012

Vasnev A and Magnus J 2012 'Practical Use of Sensitivity in Econometrics with an Illustration for Forecast Combinations', 32nd Annual International Symposium on Forecasting, Boston, United States, 27th June 2012

9
Internal Working Paper/s

Vasnev A and Pauwels L 2012 'Practical Use of the Optimal Weights in Density Forecast Combinations', work in progress

Magnus JR and Vasnev A 2012 'Practical Use of Sensitivity in Econometrics with an Illustration for Forecast Combinations', work in progress

Vasnev A 2012 'Sensitivity for quantile regression', work in progress

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

2011

6
Conference Proceeding/s

Pauwels L and Vasnev A 2011 'Forecast combination for discrete choice models: predicting FOMC monetary policy decisions', Proceedings of the 19th International Congress on Modelling and Simulation: Modelling and Simulation Society of Australia and New Zealand MODSIM2011 (Eds: F. Chan, D. Marinova and R.S. Anderssen), Perth, Australia, 16th December 2011 Link

9
Internal Working Paper/s

Pauwels L and Vasnev A 2011 'Forecast combination for discrete choice models: predicting FOMC monetary policy decisions', University of Sydney

2010

4
Journal Article/s

Vasnev A 2010 'Sensitivity of GLS Estimators in Random Effects Models', Journal of Multivariate Analysis, vol.101:5, pp. 1252-62

Vasnev A 2010 'Sensitivity analysis for quantile regression', Procedia - Social and Behavioral Sciences (Sixth International Conference on Sensitivity Analysis of Model Output), vol.2:6, pp. 7759-60 Link

9
Internal Working Paper/s

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

2009

5
Conference Paper/s

Vasnev A 2009 'Sensitivity of GLS Estimators in Random Effects Models', The Far East and South Asia Meeting of the Econometric Society FESAMES 2009, Tokyo, Japan, 5th August 2009

Vasnev A 2009 'Sensitivity of GLS Estimators in Random Effects Models', Econometric Society Australasian Meeting 2009 ESAM09, Canberra, Australia, 10th July 2009

2008

4
Journal Article/s

Magnus JR and Vasnev A 2008 'Using macro data to obtain better micro forecasts', Econometric Theory, vol.24:2, pp. 553-579

2007

4
Journal Article/s

Magnus JR and Vasnev A 2007 'Local sensitivity and diagnostic tests', Econometrics Journal, vol.10, pp. 166-92

2006

7
Thesis

Vasnev A 2006 'Local Sensitivity in Econometrics', , CentER Dissertation Series, Tilburg, Netherlands

2002

4
Journal Article/s

Anatolyev S and Vasnev A 2002 'Markov chain approximation in bootstrapping autoregressions', Economics Bulletin, vol.3:19, pp. 1-8

2001

11
Seminar Paper/s

Silaev D, Vasnev A and Loran G 2001 'Numerical solutions for the neoclassical spherical border flow problem, Thesis of VII international seminar-Discrete Mathematics and Applications, Moscow State University, Russia (Russian Federation), 02 February 2001

Research Expertise

  • Forecast Combination
  • Sensitivity Analysis

Recent Units Taught