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

      Pauwels, Laurent; Vasnev, Andrey
      Published 2011-06-01
      This paper provides a methodology for combining forecasts based on several discrete choice models. This is achieved primarily by combining one-step-ahead probability forecast associated with each model. The paper applies ...
      Open Access
      Working Paper
    • Forecast combination for U.S. recessions with real-time data 

      Vasnev, Andrey; Pauwels, Laurent
      Published 2013-01-01
      This paper proposes the use of forecast combination to improve predictive accuracy in forecasting the U.S. business cycle index as published by the Business Cycle Dating Committee of the NBER. It focuses on one-step ahead ...
      Open Access
      Working Paper
    • Forecast combination for U.S. recessions with real-time data 

      Vasnev, Andrey; Pauwels, Laurent
      Published 2013-03-01
      This paper proposes the use of forecast combination to improve predictive accuracy in forecasting the U.S. business cycle index, as published by the Business Cycle Dating Committee of the NBER. It focuses on one-step ahead ...
      Open Access
      Working Paper
    • Higher Moment Constraints for Predictive Density Combinations 

      Pauwels, Laurent; Radchenko, Peter; Vasnev, Andrey
      Published 2019-03-19
      The majority of financial data exhibit asymmetry and heavy tails, which makes forecasting the entire density critically important. Recently, a forecast combina- tion methodology has been developed to combine predictive ...
      Open Access
      Working Paper
    • Higher Moment Constraints for Predictive Density Combinations 

      Pauwels, Laurent; Radchenko, Peter; Vasnev, Andrey
      Published 2020-05-01
      The majority of financial data exhibit asymmetry and heavy tails, which makes forecasting the entire density critically important. Recently, a forecast combination methodology has been developed to combine predictive ...
      Open Access
      Article
    • Multiple Event Incidence and Duration Analysis for Credit Data Incorporating Non-Stochastic Loan Maturity 

      Vasnev, Andrey; Gerlach, Richard; Watkins, John
      Published 2012-12-01
      Applications of duration analysis in Economics and Finance exclusively employ methods for events of stochastic duration. In application to credit data, previous research incorrectly treats the time to pre-determined maturity ...
      Open Access
      Working Paper
    • Practical considerations for optimal weights in density forecast combination 

      Vasnev, Andrey; Pauwels, Laurent
      Published 2013-01-01
      The problem of finding appropriate weights to combine several density forecasts is an important issue currently debated in the forecast combination literature. Recently, a paper by Hall and Mitchell (IJF, 2007) proposes ...
      Open Access
      Working Paper
    • Practical use of sensitivity in econometrics with an illustration to forecast combinations 

      Vasnev, Andrey; Magnus, Jan R
      Published 2013-03-01
      Sensitivity analysis is important for its own sake and also in combination with diagnostic testing. We consider the question how to use sensitivity statistics in practice, in particular how to judge whether sensitivity is ...
      Open Access
      Working Paper
    • Survival Analysis for Credit Scoring: Incidence and Latency 

      Watkins, John; Vasnev, Andrey; Gerlach, Richard
      Published 2009-11-01
      Duration analysis is an analytical tool for time-to-event data that has been borrowed from medicine and engineering to be applied by econometricians to investigate typical economic and finance problems. In applications to ...
      Open Access
      Working Paper
    • Too similar to combine? On negative weights in forecast combination 

      Radchenko, Peter; Vasnev, Andrey; Wang, Wendun
      Published 2020-01-01
      This paper provides the first thorough investigation of the negative weights that can emerge when combining forecasts. The usual practice in the literature is to ignore or trim negative weights, i.e., set them to zero. ...
      Open Access
      Working Paper