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The forecast combination puzzle: A simple theoretical explanation

International journal of forecasting, 2016-07, Vol.32 (3), p.754-762

2016

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Too similar to combine? On negative weights in forecast combination

International journal of forecasting, 2023-01, Vol.39 (1), p.18-38

2023

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A combination method for averaging OLS and GLS estimators

Econometrics, 2019-09, Vol.7 (3), p.1-12

2019

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Forecast combination puzzle in the HAR model

Journal of forecasting, 2024-01, Vol.43 (1), p.118-137

2024

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On the uncertainty of a combined forecast: The critical role of correlation

International journal of forecasting, 2023-10, Vol.39 (4), p.1895-1908

2023

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A note on the estimation of optimal weights for density forecast combinations

International journal of forecasting, 2016-04, Vol.32 (2), p.391-397

2016

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Interpretation and use of sensitivity in econometrics, illustrated with forecast combinations

International journal of forecasting, 2015-07, Vol.31 (3), p.769-781

2015

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Forecast combination for discrete choice models: predicting FOMC monetary policy decisions

Empirical economics, 2017-02, Vol.52 (1), p.229-254

2017

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Flexible global forecast combinations

Omega (Oxford), 2024-07, Vol.126, p.103073, Article 103073

2024

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MULTIPLE EVENT INCIDENCE AND DURATION ANALYSIS FOR CREDIT DATA INCORPORATING NON-STOCHASTIC LOAN MATURITY

Journal of applied econometrics (Chichester, England), 2014-06, Vol.29 (4), p.627-648

2014

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Conditionally optimal weights and forward-looking approaches to combining forecasts

International journal of forecasting, 2024-10, Vol.40 (4), p.1734-1751

2024

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Sensitivity of GLS estimators in random effects models

Journal of multivariate analysis, 2010-05, Vol.101 (5), p.1252-1262

Vasnev, Andrey L.

2010

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Optimal selection of expert forecasts with integer programming

Omega (Oxford), 2018-07, Vol.78, p.165-175

2018

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USING MACRO DATA TO OBTAIN BETTER MICRO FORECASTS

Econometric theory, 2008-04, Vol.24 (2), p.553-579

2008

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Local sensitivity and diagnostic tests

The econometrics journal, 2007-01, Vol.10 (1), p.166-192

2007

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Mixed interval realized variance: A robust estimator of stock price volatility

Econometrics and statistics, 2019-07, Vol.11, p.43-62

2019

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Efficient Analyst Forecasts Combinations for the US Macro Forecasts

SSRN Electronic Journal

Vasnev, Andrey L.

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Combining Simple Multivariate HAR-like Models for Portfolio Construction

SSRN Electronic Journal, 2023

2023

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Sensitivity analysis for quantile regression

Procedia, social and behavioral sciences, 2010, Vol.2 (6), p.7759-7760

Vasnev, Andrey L.

2010

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Global Combinations of Expert Forecasts

SSRN Electronic Journal

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Sensitivity of GLS Estimators in Random Effects Models

SSRN Electronic Journal

Vasnev, Andrey L. L.

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

SSRN Electronic Journal

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Too Similar to Combine? On Negative Weights in Forecast Combination

SSRN Electronic Journal

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Forecast combination puzzle in the HAR model

SSRN Electronic Journal

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Recent developments in model selection and related areas

Econometric theory, 2008-04, Vol.24 (2), p.319-586

2008

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The forecast combination puzzle: A simple theoretical explanation

Too similar to combine? On negative weights in forecast combination

A combination method for averaging OLS and GLS estimators

Forecast combination puzzle in the HAR model

On the uncertainty of a combined forecast: The critical role of correlation

A note on the estimation of optimal weights for density forecast combinations

Interpretation and use of sensitivity in econometrics, illustrated with forecast combinations

Forecast combination for discrete choice models: predicting FOMC monetary policy decisions

Flexible global forecast combinations

MULTIPLE EVENT INCIDENCE AND DURATION ANALYSIS FOR CREDIT DATA INCORPORATING NON-STOCHASTIC LOAN MATURITY

Conditionally optimal weights and forward-looking approaches to combining forecasts

Sensitivity of GLS estimators in random effects models

Optimal selection of expert forecasts with integer programming

USING MACRO DATA TO OBTAIN BETTER MICRO FORECASTS

Local sensitivity and diagnostic tests

Mixed interval realized variance: A robust estimator of stock price volatility

Efficient Analyst Forecasts Combinations for the US Macro Forecasts

Combining Simple Multivariate HAR-like Models for Portfolio Construction

Sensitivity analysis for quantile regression

Global Combinations of Expert Forecasts

Sensitivity of GLS Estimators in Random Effects Models

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

Too Similar to Combine? On Negative Weights in Forecast Combination

Forecast combination puzzle in the HAR model

Recent developments in model selection and related areas

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