Publications
by members of
Discipline of Business Analytics
Business School
University of Sydney
Sydney, Australia
These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. Find also a compilation of publications from alumni here.This page is updated in the first days of each month.
| Working papers | Journal articles | Books | Chapters |
Working papers
2023
- Masako Ikefuji & Jan Magnus & Andrey Vasnev, 2023. "The role of data and priors in estimating climate sensitivity," ISER Discussion Paper 1217, Institute of Social and Economic Research, Osaka University.
2022
- Ryan Thompson & Yilin Qian & Andrey L. Vasnev, 2022. "Flexible global forecast combinations," Papers 2207.07318, arXiv.org, revised Mar 2024.
- Qian, Yilin & Thompson, Ryan & Vasnev, Andrey L, 2022. "Global combinations of expert forecasts," Working Papers BAWP-2022-02, University of Sydney Business School, Discipline of Business Analytics.
2021
- Clements, Adam & Vasnev, Andrey, 2021. "Forecast combination puzzle in the HAR model," Working Papers BAWP-2021-01, University of Sydney Business School, Discipline of Business Analytics.
- Magnus, Jan & Vasnev, Andrey, 2021.
"On the uncertainty of a combined forecast: The critical role of correlation,"
Working Papers
BAWP-2022-01, University of Sydney Business School, Discipline of Business Analytics.
- Magnus, Jan R. & Vasnev, Andrey L., 2023. "On the uncertainty of a combined forecast: The critical role of correlation," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1895-1908.
2020
- Lore Dirick & Gerda Claeskens & Andrey Vasnev & Bart Baesens, 2020.
"A hierarchical mixture cure model with unobserved heterogeneity for credit risk,"
Working Papers of Department of Decision Sciences and Information Management, Leuven
665250, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
- Dirick, Lore & Claeskens, Gerda & Vasnev, Andrey & Baesens, Bart, 2022. "A hierarchical mixture cure model with unobserved heterogeneity for credit risk," Econometrics and Statistics, Elsevier, vol. 22(C), pages 39-55.
- Radchenko, Peter & Vasnev, Andrey & Wang, Wendun, 2020.
"Too similar to combine? On negative weights in forecast combination,"
Working Papers
BAWP-2020-02, University of Sydney Business School, Discipline of Business Analytics.
- Radchenko, Peter & Vasnev, Andrey L. & Wang, Wendun, 2023. "Too similar to combine? On negative weights in forecast combination," International Journal of Forecasting, Elsevier, vol. 39(1), pages 18-38.
- Hastings, Justin V. & Phillips, Sarah & Ubilava, David & Vasnev, Andrey, 2020.
"Price Transmission in Conflict-Affected States: Evidence from Cereal Markets of Somalia,"
Working Papers
2020-16, University of Sydney, School of Economics.
- Justin V Hastings & Sarah G Phillips & David Ubilava & Andrey Vasnev, 2022. "Price Transmission in Conflict-Affected States: Evidence from Cereal Markets of Somalia," Journal of African Economies, Centre for the Study of African Economies, vol. 31(3), pages 272-291.
2019
- Amsler, Christine & Prokhorov, Artem & Schmidt, Peter, 2019.
"A New Family of Copulas, with Application to Estimation of a Production Frontier System,"
Working Papers
BAWP-2019-04, University of Sydney Business School, Discipline of Business Analytics.
- Christine Amsler & Artem Prokhorov & Peter Schmidt, 2021. "A new family of copulas, with application to estimation of a production frontier system," Journal of Productivity Analysis, Springer, vol. 55(1), pages 1-14, February.
- Hao, Bowen & Prokhorov, Artem & Qian, Hailong, 2019.
"Moment Redundancy Test with Application to Efficiency-Improving Copulas,"
Working Papers
BAWP-2019-05, University of Sydney Business School, Discipline of Business Analytics.
- Hao, Bowen & Prokhorov, Artem & Qian, Hailong, 2018. "Moment redundancy test with application to efficiency-improving copulas," Economics Letters, Elsevier, vol. 171(C), pages 29-33.
- Pauwels, Laurent & Radchenko, Peter & Vasnev, Andrey, 2019.
"Higher Moment Constraints for Predictive Density Combinations,"
Working Papers
BAWP-2019-01, University of Sydney Business School, Discipline of Business Analytics.
- Pauwels, Laurent & Radchenko, Peter & Vasnev, Andrey, 2020. "Higher Moment Constraints for Predictive Density Combinations," Working Papers BAWP-2020-01, University of Sydney Business School, Discipline of Business Analytics.
2017
- Amsler, Christine & Prokhorov, Artem & Schmidt, Peter, 2017.
"Endogenous Environmental Variables In Stochastic Frontier Models,"
Working Papers
2017-02, University of Sydney Business School, Discipline of Business Analytics.
- Amsler, Christine & Prokhorov, Artem & Schmidt, Peter, 2017. "Endogenous environmental variables in stochastic frontier models," Journal of Econometrics, Elsevier, vol. 199(2), pages 131-140.
- Christopher G. Gibbs & Andrey L. Vasnev, 2017. "Conditionally Optimal Weights and Forward-Looking Approaches to Combining Forecasts," Discussion Papers 2017-10, School of Economics, The University of New South Wales.
2016
- Yeap, Claudia & Kwok, Simon S. & Choy, S. T. Boris, 2016.
"A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases,"
Working Papers
2016-14, University of Sydney, School of Economics.
- Claudia Yeap & Simon S Kwok & S T Boris Choy, 2018. "A Flexible Generalized Hyperbolic Option Pricing Model and Its Special Cases," Journal of Financial Econometrics, Oxford University Press, vol. 16(3), pages 425-460.
- Medovikov, Ivan & Prokhorov, Artem, 2016. "A New Measure of Vector Dependence, with an Application to Financial C ontagion," Working Papers 2016-01, University of Sydney Business School, Discipline of Business Analytics.
- Matsypura, Dmytro & Neo, Emily & Prokhorov, Artem, 2016.
"Estimation of Hierarchical Archimedean Copulas as a Shortest Path Prob lem,"
Working Papers
2123/14745, University of Sydney Business School, Discipline of Business Analytics.
- Matsypura, Dmytro & Neo, Emily & Prokhorov, Artem, 2016. "Estimation of Hierarchical Archimedean Copulas as a Shortest Path Problem," Economics Letters, Elsevier, vol. 149(C), pages 131-134.
- Gerda Claeskens & Jan Magnus & Andrey Vasnev & Wendun Wang, 2016.
"The forecast combination puzzle: a simple theoretical explanation,"
Working Papers of Department of Decision Sciences and Information Management, Leuven
532152, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
- Claeskens, Gerda & Magnus, Jan R. & Vasnev, Andrey L. & Wang, Wendun, 2016. "The forecast combination puzzle: A simple theoretical explanation," International Journal of Forecasting, Elsevier, vol. 32(3), pages 754-762.
- Gerda Claeskens & Jan Magnus & Andrey Vasnev & Wendun Wang, 2014. "The Forecast Combination Puzzle: A Simple Theoretical Explanation," Tinbergen Institute Discussion Papers 14-127/III, Tinbergen Institute.
2015
- Amsler, Christine & Artem, Prokhorov & Peter, Schmidt, 2015.
"Endogeneity in Stochastic Frontier Models,"
Working Papers
2015-01, University of Sydney Business School, Discipline of Business Analytics.
- Amsler, Christine & Prokhorov, Artem & Schmidt, Peter, 2016. "Endogeneity in stochastic frontier models," Journal of Econometrics, Elsevier, vol. 190(2), pages 280-288.
- Hill, Jonathan B. & Prokhorov, Artem, 2015.
"GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference,"
Working Papers
2015-03, University of Sydney Business School, Discipline of Business Analytics.
- Hill, Jonathan B. & Prokhorov, Artem, 2016. "GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference," Journal of Econometrics, Elsevier, vol. 190(1), pages 18-45.
- Hill, Jonathan B. & Prokhorov, Artem, 2015. "Supplemental Material for GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference," Working Papers 2015-04, University of Sydney Business School, Discipline of Business Analytics.
- Prokhorov, Artem & Schepsmeier, Ulf & Zhu, Yajing, 2015.
"Generalized Information Matrix Tests for Copulas,"
Working Papers
2015-05, University of Sydney Business School, Discipline of Business Analytics.
- Artem Prokhorov & Ulf Schepsmeier & Yajing Zhu, 2019. "Generalized information matrix tests for copulas," Econometric Reviews, Taylor & Francis Journals, vol. 38(9), pages 1024-1054, October.
- Ibragimov, Rustam & Mo, Jingyuan & Prokhorov, Artem, 2015. "Fat tails and copulas: limits of diversification revisited," Working Papers 2015-06, University of Sydney Business School, Discipline of Business Analytics.
- Gerlach, R & Sutton, M & Vasnev, A, 2015. "Generalized Variance: A Robust Estimator of Stock Price Volatility," Working Papers 2015-02, University of Sydney Business School, Discipline of Business Analytics.
2014
- Hirukawa, Masayuki & Prokhorov, Artem, 2014.
"Consistent Estimation of Linear Regression Models Using Matched Data,"
Working Papers
2014-03, University of Sydney Business School, Discipline of Business Analytics.
- Hirukawa, Masayuki & Prokhorov, Artem, 2018. "Consistent estimation of linear regression models using matched data," Journal of Econometrics, Elsevier, vol. 203(2), pages 344-358.
- Hirukawa, Masayuki & Prokhorov, Artem, 2017. "Consistent Estimation of Linear Regression Models Using Matched Data," Working Papers 2123/18063, University of Sydney Business School, Discipline of Business Analytics.
- David E. Allen & Michael McAleer & Marcel Scharth, 2014.
"Asymmetric Realized Volatility Risk,"
Documentos de Trabajo del ICAE
2014-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," JRFM, MDPI, vol. 7(2), pages 1-30, June.
- David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Working Papers in Economics 14/20, University of Canterbury, Department of Economics and Finance.
- David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Tinbergen Institute Discussion Papers 14-075/III, Tinbergen Institute.
2013
- Stanislav Anatolyev & Renat Khabibullin & Artem Prokhorov, 2013.
"Reconstructing high dimensional dynamic distributions from distributions of lower dimension,"
Working Papers
w0167, New Economic School (NES).
- Stanislav Anatolyev & Renat Khabibullin & Artem Prokhorov, 2013. "Reconstructing high dimensional dynamic distributions from distributions of lower dimension," Working Papers w0167, Center for Economic and Financial Research (CEFIR).
- Stanislav Anatolyev & Renat Khabibullin & Artem Prokhorov, 2012. "Reconstructing high dimensional dynamic distributions from distributions of lower dimension," Working Papers 12003, Concordia University, Department of Economics.
- Liu, Di & Murtazashvili, Irina & Prokhorov, Artem, 2013. "Two-Sample Nonparametric Estimation of Intergenerational Income Mobili ty," Working Papers 07_2013, University of Sydney Business School, Discipline of Business Analytics.
- Pauwels, Laurent & Vasnev, Andrey, 2013. "Practical considerations for optimal weights in density forecast combi nation," Working Papers 01/2013, University of Sydney Business School, Discipline of Business Analytics.
- Pauwels, Laurent & Vasnev, Andrey, 2013.
"Forecast combination for U.S. recessions with real-time data,"
Working Papers
02/2013, University of Sydney Business School, Discipline of Business Analytics.
- Pauwels, Laurent & Vasnev, Andrey, 2014. "Forecast combination for U.S. recessions with real-time data," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 138-148.
- Pauwels, Laurent & Vasnev, Andrey, 2013. "Forecast combination for U.S. recessions with real-time data," Working Papers 2013-05, University of Sydney Business School, Discipline of Business Analytics.
- Magnus, Jan R & Vasnev, Andrey, 2013. "Practical use of sensitivity in econometrics with an illustration to forecast combinations," Working Papers 2013-04, University of Sydney Business School, Discipline of Business Analytics.
2012
- Martin Burda & Artem Prokhorov, 2012.
"Copula Based Factorization in Bayesian Multivariate Infinite Mixture Models,"
Working Papers
12012, Concordia University, Department of Economics.
- Burda, Martin & Prokhorov, Artem, 2014. "Copula based factorization in Bayesian multivariate infinite mixture models," Journal of Multivariate Analysis, Elsevier, vol. 127(C), pages 200-213.
- Martin Burda & Artem Prokhorov, 2013. "Copula Based Factorization in Bayesian Multivariate Infinite Mixture Models," Working Papers tecipa-473, University of Toronto, Department of Economics.
- Gerlach, Richard & Vasnev, Andrey & Watkins, John, 2012.
"Multiple Event Incidence and Duration Analysis for Credit Data Incorporating Non-Stochastic Loan Maturity,"
Working Papers
03/2013, University of Sydney Business School, Discipline of Business Analytics.
- John G. T. Watkins & Andrey L. Vasnev & Richard Gerlach, 2014. "Multiple Event Incidence And Duration Analysis For Credit Data Incorporating Non‐Stochastic Loan Maturity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(4), pages 627-648, June.
2011
- Valentyn Panchenko & Artem Prokhorov, 2011.
"Efficient estimation of parameters in marginals in semiparametric multivariate models,"
Working Papers
11001, Concordia University, Department of Economics.
- Panchenko, Valentyn & Prokhorov, Artem, 2016. "Efficient estimation of parameters in marginal in semiparametric multivariate models," Working Papers 2016-04, University of Sydney Business School, Discipline of Business Analytics.
- Christine Amsler & Artem Prokhorov & Peter Schmidt, 2011.
"Using Copulas to Model Time Dependence in Stochastic Frontier Models,"
Working Papers
11002, Concordia University, Department of Economics.
- Christine Amsler & Artem Prokhorov & Peter Schmidt, 2014. "Using Copulas to Model Time Dependence in Stochastic Frontier Models," Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 497-522, August.
- Pauwels, Laurent & Vasnev, Andrey, 2011.
"Forecast combination for discrete choice models: predicting FOMC monetary policy decisions,"
Working Papers
11/2011, University of Sydney Business School, Discipline of Business Analytics.
- Laurent L. Pauwels & Andrey L. Vasnev, 2017. "Forecast combination for discrete choice models: predicting FOMC monetary policy decisions," Empirical Economics, Springer, vol. 52(1), pages 229-254, February.
2010
- Artem Prokhorov, 2010.
"Second Order Bias of Quasi-MLE for Covariance Structure Models,"
Working Papers
10001, Concordia University, Department of Economics.
- Prokhorov, Artem, 2012. "Second order bias of quasi-MLE for covariance structure models," Economics Letters, Elsevier, vol. 114(2), pages 195-197.
- Wanling Huang & Artem Prokhorov, 2010.
"A Goodness-of-fit Test for Copulas,"
Working Papers
10002, Concordia University, Department of Economics, revised Apr 2010.
- Wanling Huang & Artem Prokhorov, 2014. "A Goodness-of-fit Test for Copulas," Econometric Reviews, Taylor & Francis Journals, vol. 33(7), pages 751-771, October.
- Prokhorov, Artem, 2008. "A goodness-of-fit test for copulas," MPRA Paper 9998, University Library of Munich, Germany.
- Wanling Huang & Artem Prokhorov, 2010. "Bartlett-type Correction of Distance Metric Test," Working Papers 10003, Concordia University, Department of Economics.
2009
- Artem Prokhorov & Peter Schmidt, 2009.
"Likelihood Based Estimation in a Panel Setting: Robustness, Redundancy and Validity of Copulas,"
Working Papers
09002, Concordia University, Department of Economics.
- Prokhorov, Artem & Schmidt, Peter, 2009. "Likelihood-based estimation in a panel setting: Robustness, redundancy and validity of copulas," Journal of Econometrics, Elsevier, vol. 153(1), pages 93-104, November.
- David E. Allen & Michael McAleer & Marcel Scharth, 2009.
"Realized Volatility Risk,"
CIRJE F-Series
CIRJE-F-693, CIRJE, Faculty of Economics, University of Tokyo.
- David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," Working Papers in Economics 10/26, University of Canterbury, Department of Economics and Finance.
- David E. Allen & Michael McAleer & Marcel Scharth, 2013. "Realized volatility risk," Documentos de Trabajo del ICAE 2013-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- David E. Allen & Michael McAleer & Marcel Scharth, 2009. "Realized Volatility Risk," CARF F-Series CARF-F-197, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jan 2010.
- David E. Allen & Michael McAleer & Marcel Scharth, 2013. "Realized Volatility Risk," Tinbergen Institute Discussion Papers 13-092/III, Tinbergen Institute.
- David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," KIER Working Papers 753, Kyoto University, Institute of Economic Research.
- Gerlach, Richard & Vasnev, Andrey & Watkins, John, 2009. "Survival Analysis for Credit Scoring: Incidence and Latency," Working Papers 03/2009, University of Sydney Business School, Discipline of Business Analytics.
2008
- Artem Prokhorov & Peter Schmidt, 2008.
"GMM Redundancy Results for General Missing Data Problems,"
Working Papers
08003, Concordia University, Department of Economics.
- Prokhorov, Artem & Schmidt, Peter, 2009. "GMM redundancy results for general missing data problems," Journal of Econometrics, Elsevier, vol. 151(1), pages 47-55, July.
- Artem Prokhorov, 2008.
"On relative efficiency of Quasi-MLE and GMM estimators of covariance structure models,"
Working Papers
08004, Concordia University, Department of Economics.
- Prokhorov, Artem, 2009. "On relative efficiency of quasi-MLE and GMM estimators of covariance structure models," Economics Letters, Elsevier, vol. 102(1), pages 4-6, January.
2007
- Jennifer Chan & Boris Choy & Udi Makov, 2007.
"Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution,"
Research Paper Series
196, Quantitative Finance Research Centre, University of Technology, Sydney.
- Chan, Jennifer S.K. & Boris Choy, S.T. & Makov, Udi E., 2008. "Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution," ASTIN Bulletin, Cambridge University Press, vol. 38(1), pages 207-230, May.
- Marcelo Fernandes & Marcelo Cunha Medeiros & MArcelo Scharth, 2007.
"Modeling and predicting the CBOE market volatility index,"
Textos para discussão
548, Department of Economics PUC-Rio (Brazil).
- Fernandes, Marcelo & Medeiros, Marcelo C. & Scharth, Marcel, 2014. "Modeling and predicting the CBOE market volatility index," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 1-10.
- Fernandes, Marcelo & Medeiros, Marcelo C. & Scharth, Marcel, 2013. "Modeling and predicting the CBOE market volatility index," Textos para discussão 342, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
2006
- Marcel Scharth & Marcelo Cunha Medeiros, 2006.
"Asymmetric effects and long memory in the volatility of Dow Jones stocks,"
Textos para discussão
532, Department of Economics PUC-Rio (Brazil).
- Scharth, Marcel & Medeiros, Marcelo C., 2009. "Asymmetric effects and long memory in the volatility of Dow Jones stocks," International Journal of Forecasting, Elsevier, vol. 25(2), pages 304-327.
- Vasnev, A.L., 2006. "Local sensitivity in econometrics," Other publications TiSEM 789cc7a5-57da-4c5c-b5af-2, Tilburg University, School of Economics and Management.
2004
- Magnus, J.R. & Vasnev, A.L., 2004.
"Local Sensitivity and Diagnostic Tests,"
Discussion Paper
2004-105, Tilburg University, Center for Economic Research.
- Jan R. Magnus & Andrey L. Vasnev, 2007. "Local sensitivity and diagnostic tests," Econometrics Journal, Royal Economic Society, vol. 10(1), pages 166-192, March.
- Magnus, J.R. & Vasnev, A.L., 2004. "Local Sensitivity and Diagnostic Tests," Other publications TiSEM 10722abe-f848-4bfa-a82d-6, Tilburg University, School of Economics and Management.
Journal articles
2023
- James, Robert & Leung, Henry & Leung, Jessica Wai Yin & Prokhorov, Artem, 2023. "Forecasting tail risk measures for financial time series: An extreme value approach with covariates," Journal of Empirical Finance, Elsevier, vol. 71(C), pages 29-50.
- James, Robert & Leung, Henry & Prokhorov, Artem, 2023. "A machine learning attack on illegal trading," Journal of Banking & Finance, Elsevier, vol. 148(C).
- Masayuki Hirukawa & Di Liu & Irina Murtazashvili & Artem Prokhorov, 2023. "DS-HECK: double-lasso estimation of Heckman selection model," Empirical Economics, Springer, vol. 64(6), pages 3167-3195, June.
- Masayuki Hirukawa & Irina Murtazashvili & Artem Prokhorov, 2023. "Yet another look at the omitted variable bias," Econometric Reviews, Taylor & Francis Journals, vol. 42(1), pages 1-27, January.
- Radchenko, Peter & Vasnev, Andrey L. & Wang, Wendun, 2023.
"Too similar to combine? On negative weights in forecast combination,"
International Journal of Forecasting, Elsevier, vol. 39(1), pages 18-38.
- Radchenko, Peter & Vasnev, Andrey & Wang, Wendun, 2020. "Too similar to combine? On negative weights in forecast combination," Working Papers BAWP-2020-02, University of Sydney Business School, Discipline of Business Analytics.
- Magnus, Jan R. & Vasnev, Andrey L., 2023.
"On the uncertainty of a combined forecast: The critical role of correlation,"
International Journal of Forecasting, Elsevier, vol. 39(4), pages 1895-1908.
- Magnus, Jan & Vasnev, Andrey, 2021. "On the uncertainty of a combined forecast: The critical role of correlation," Working Papers BAWP-2022-01, University of Sydney Business School, Discipline of Business Analytics.
2022
- Masayuki Hirukawa & Irina Murtazashvili & Artem Prokhorov, 2022. "Uniform convergence rates for nonparametric estimators smoothed by the beta kernel," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(3), pages 1353-1382, September.
- Pertaia, Giorgi & Prokhorov, Artem & Uryasev, Stan, 2022. "A new approach to credit ratings," Journal of Banking & Finance, Elsevier, vol. 140(C).
- Zhai Jian & James Robert & Prokhorov Artem, 2022. "Technical and allocative inefficiency in production systems: a vine copula approach," Dependence Modeling, De Gruyter, vol. 10(1), pages 145-158, January.
- Dirick, Lore & Claeskens, Gerda & Vasnev, Andrey & Baesens, Bart, 2022.
"A hierarchical mixture cure model with unobserved heterogeneity for credit risk,"
Econometrics and Statistics, Elsevier, vol. 22(C), pages 39-55.
- Lore Dirick & Gerda Claeskens & Andrey Vasnev & Bart Baesens, 2020. "A hierarchical mixture cure model with unobserved heterogeneity for credit risk," Working Papers of Department of Decision Sciences and Information Management, Leuven 665250, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
- Justin V Hastings & Sarah G Phillips & David Ubilava & Andrey Vasnev, 2022.
"Price Transmission in Conflict-Affected States: Evidence from Cereal Markets of Somalia,"
Journal of African Economies, Centre for the Study of African Economies, vol. 31(3), pages 272-291.
- Hastings, Justin V. & Phillips, Sarah & Ubilava, David & Vasnev, Andrey, 2020. "Price Transmission in Conflict-Affected States: Evidence from Cereal Markets of Somalia," Working Papers 2020-16, University of Sydney, School of Economics.
2021
- Christine Amsler & Artem Prokhorov & Peter Schmidt, 2021.
"A new family of copulas, with application to estimation of a production frontier system,"
Journal of Productivity Analysis, Springer, vol. 55(1), pages 1-14, February.
- Amsler, Christine & Prokhorov, Artem & Schmidt, Peter, 2019. "A New Family of Copulas, with Application to Estimation of a Production Frontier System," Working Papers BAWP-2019-04, University of Sydney Business School, Discipline of Business Analytics.
- Artem Prokhorov & Kien C. Tran & Mike G. Tsionas, 2021. "Estimation of semi- and nonparametric stochastic frontier models with endogenous regressors," Empirical Economics, Springer, vol. 60(6), pages 3043-3068, June.
- Masayuki Hirukawa & Di Lu & Artem Prokhorov, 2021. "msreg: A command for consistent estimation of linear regression models using matched data," Stata Journal, StataCorp LP, vol. 21(1), pages 123-140, March.
- Moawia Alghalith & Norman Swanson & Andrey Vasnev & Wing-Keung Wong, 2021. "Editorial Statement In Honor Of Professor Michael Mcaleer," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 16(03), pages 1-21, September.
2020
- Eddie Anderson & Artem Prokhorov & Yajing Zhu, 2020. "A Simple Estimator of Two‐Dimensional Copulas, with Applications," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(6), pages 1375-1412, December.
2019
- Nuttanan Wichitaksorn & Richard Gerlach & S.T. Boris Choy, 2019. "Efficient MCMC estimation of some elliptical copula regression models through scale mixtures of normals," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 35(3), pages 808-822, May.
- Artem Prokhorov & Ulf Schepsmeier & Yajing Zhu, 2019.
"Generalized information matrix tests for copulas,"
Econometric Reviews, Taylor & Francis Journals, vol. 38(9), pages 1024-1054, October.
- Prokhorov, Artem & Schepsmeier, Ulf & Zhu, Yajing, 2015. "Generalized Information Matrix Tests for Copulas," Working Papers 2015-05, University of Sydney Business School, Discipline of Business Analytics.
- Sutton, Maxwell & Vasnev, Andrey L. & Gerlach, Richard, 2019. "Mixed interval realized variance: A robust estimator of stock price volatility," Econometrics and Statistics, Elsevier, vol. 11(C), pages 43-62.
- Qingfeng Liu & Andrey L. Vasnev, 2019. "A Combination Method for Averaging OLS and GLS Estimators," Econometrics, MDPI, vol. 7(3), pages 1-12, September.
2018
- Claudia Yeap & Simon S Kwok & S T Boris Choy, 2018.
"A Flexible Generalized Hyperbolic Option Pricing Model and Its Special Cases,"
Journal of Financial Econometrics, Oxford University Press, vol. 16(3), pages 425-460.
- Yeap, Claudia & Kwok, Simon S. & Choy, S. T. Boris, 2016. "A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases," Working Papers 2016-14, University of Sydney, School of Economics.
- Hao, Bowen & Prokhorov, Artem & Qian, Hailong, 2018.
"Moment redundancy test with application to efficiency-improving copulas,"
Economics Letters, Elsevier, vol. 171(C), pages 29-33.
- Hao, Bowen & Prokhorov, Artem & Qian, Hailong, 2019. "Moment Redundancy Test with Application to Efficiency-Improving Copulas," Working Papers BAWP-2019-05, University of Sydney Business School, Discipline of Business Analytics.
- Hirukawa, Masayuki & Prokhorov, Artem, 2018.
"Consistent estimation of linear regression models using matched data,"
Journal of Econometrics, Elsevier, vol. 203(2), pages 344-358.
- Hirukawa, Masayuki & Prokhorov, Artem, 2017. "Consistent Estimation of Linear Regression Models Using Matched Data," Working Papers 2123/18063, University of Sydney Business School, Discipline of Business Analytics.
- Hirukawa, Masayuki & Prokhorov, Artem, 2014. "Consistent Estimation of Linear Regression Models Using Matched Data," Working Papers 2014-03, University of Sydney Business School, Discipline of Business Analytics.
- Demetris Christodoulou & Le Ma & Andrey Vasnev, 2018. "Inference†in†residuals as an Estimation Method for Earnings Management," Abacus, Accounting Foundation, University of Sydney, vol. 54(2), pages 154-180, June.
- Matsypura, Dmytro & Thompson, Ryan & Vasnev, Andrey L., 2018. "Optimal selection of expert forecasts with integer programming," Omega, Elsevier, vol. 78(C), pages 165-175.
2017
- Amsler, Christine & Prokhorov, Artem & Schmidt, Peter, 2017.
"Endogenous environmental variables in stochastic frontier models,"
Journal of Econometrics, Elsevier, vol. 199(2), pages 131-140.
- Amsler, Christine & Prokhorov, Artem & Schmidt, Peter, 2017. "Endogenous Environmental Variables In Stochastic Frontier Models," Working Papers 2017-02, University of Sydney Business School, Discipline of Business Analytics.
- Ivan Medovikov & Artem Prokhorov, 2017. "A New Measure of Vector Dependence, with Applications to Financial Risk and Contagion," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 474-503.
- Laurent L. Pauwels & Andrey L. Vasnev, 2017.
"Forecast combination for discrete choice models: predicting FOMC monetary policy decisions,"
Empirical Economics, Springer, vol. 52(1), pages 229-254, February.
- Pauwels, Laurent & Vasnev, Andrey, 2011. "Forecast combination for discrete choice models: predicting FOMC monetary policy decisions," Working Papers 11/2011, University of Sydney Business School, Discipline of Business Analytics.
2016
- S.T. Boris Choy & Jennifer S.K. Chan & Udi E. Makov, 2016. "Robust Bayesian analysis of loss reserving data using scale mixtures distributions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(3), pages 396-411, March.
- Ibragimov, Rustam & Prokhorov, Artem, 2016. "Heavy tails and copulas: Limits of diversification revisited," Economics Letters, Elsevier, vol. 149(C), pages 102-107.
- Matsypura, Dmytro & Neo, Emily & Prokhorov, Artem, 2016.
"Estimation of Hierarchical Archimedean Copulas as a Shortest Path Problem,"
Economics Letters, Elsevier, vol. 149(C), pages 131-134.
- Matsypura, Dmytro & Neo, Emily & Prokhorov, Artem, 2016. "Estimation of Hierarchical Archimedean Copulas as a Shortest Path Prob lem," Working Papers 2123/14745, University of Sydney Business School, Discipline of Business Analytics.
- Hill, Jonathan B. & Prokhorov, Artem, 2016.
"GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference,"
Journal of Econometrics, Elsevier, vol. 190(1), pages 18-45.
- Hill, Jonathan B. & Prokhorov, Artem, 2015. "GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference," Working Papers 2015-03, University of Sydney Business School, Discipline of Business Analytics.
- Amsler, Christine & Prokhorov, Artem & Schmidt, Peter, 2016.
"Endogeneity in stochastic frontier models,"
Journal of Econometrics, Elsevier, vol. 190(2), pages 280-288.
- Amsler, Christine & Artem, Prokhorov & Peter, Schmidt, 2015. "Endogeneity in Stochastic Frontier Models," Working Papers 2015-01, University of Sydney Business School, Discipline of Business Analytics.
- Pauwels, Laurent L. & Vasnev, Andrey L., 2016. "A note on the estimation of optimal weights for density forecast combinations," International Journal of Forecasting, Elsevier, vol. 32(2), pages 391-397.
- Claeskens, Gerda & Magnus, Jan R. & Vasnev, Andrey L. & Wang, Wendun, 2016.
"The forecast combination puzzle: A simple theoretical explanation,"
International Journal of Forecasting, Elsevier, vol. 32(3), pages 754-762.
- Gerda Claeskens & Jan Magnus & Andrey Vasnev & Wendun Wang, 2014. "The Forecast Combination Puzzle: A Simple Theoretical Explanation," Tinbergen Institute Discussion Papers 14-127/III, Tinbergen Institute.
- Gerda Claeskens & Jan Magnus & Andrey Vasnev & Wendun Wang, 2016. "The forecast combination puzzle: a simple theoretical explanation," Working Papers of Department of Decision Sciences and Information Management, Leuven 532152, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
2015
- Nuttanan Wichitaksorn & Joanna J. J. Wang & S. T. Boris Choy & Richard Gerlach, 2015. "Analyzing return asymmetry and quantiles through stochastic volatility models using asymmetric Laplace error via uniform scale mixtures," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 31(5), pages 584-608, September.
- Irina Murtazashvili & Di Liu & Artem Prokhorov, 2015.
"Two-sample nonparametric estimation of intergenerational income mobility in the United States and Sweden,"
Canadian Journal of Economics, Canadian Economics Association, vol. 48(5), pages 1733-1761, December.
- Irina Murtazashvili & Di Liu & Artem Prokhorov, 2015. "Two‐sample nonparametric estimation of intergenerational income mobility in the United States and Sweden," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 48(5), pages 1733-1761, December.
- Magnus, Jan R. & Vasnev, Andrey L., 2015. "Interpretation and use of sensitivity in econometrics, illustrated with forecast combinations," International Journal of Forecasting, Elsevier, vol. 31(3), pages 769-781.
2014
- S.T. Boris Choy & Cathy W.S. Chen & Edward M.H. Lin, 2014. "Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations," Quantitative Finance, Taylor & Francis Journals, vol. 14(7), pages 1297-1313, July.
- Anatolyev, Stanislav & Khabibullin, Renat & Prokhorov, Artem, 2014. "An algorithm for constructing high dimensional distributions from distributions of lower dimension," Economics Letters, Elsevier, vol. 123(3), pages 257-261.
- Burda, Martin & Prokhorov, Artem, 2014.
"Copula based factorization in Bayesian multivariate infinite mixture models,"
Journal of Multivariate Analysis, Elsevier, vol. 127(C), pages 200-213.
- Martin Burda & Artem Prokhorov, 2013. "Copula Based Factorization in Bayesian Multivariate Infinite Mixture Models," Working Papers tecipa-473, University of Toronto, Department of Economics.
- Martin Burda & Artem Prokhorov, 2012. "Copula Based Factorization in Bayesian Multivariate Infinite Mixture Models," Working Papers 12012, Concordia University, Department of Economics.
- Christine Amsler & Artem Prokhorov & Peter Schmidt, 2014.
"Using Copulas to Model Time Dependence in Stochastic Frontier Models,"
Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 497-522, August.
- Christine Amsler & Artem Prokhorov & Peter Schmidt, 2011. "Using Copulas to Model Time Dependence in Stochastic Frontier Models," Working Papers 11002, Concordia University, Department of Economics.
- Wanling Huang & Artem Prokhorov, 2014.
"A Goodness-of-fit Test for Copulas,"
Econometric Reviews, Taylor & Francis Journals, vol. 33(7), pages 751-771, October.
- Wanling Huang & Artem Prokhorov, 2010. "A Goodness-of-fit Test for Copulas," Working Papers 10002, Concordia University, Department of Economics, revised Apr 2010.
- Prokhorov, Artem, 2008. "A goodness-of-fit test for copulas," MPRA Paper 9998, University Library of Munich, Germany.
- David E. Allen & Michael McAleer & Marcel Scharth, 2014.
"Asymmetric Realized Volatility Risk,"
JRFM, MDPI, vol. 7(2), pages 1-30, June.
- David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Working Papers in Economics 14/20, University of Canterbury, Department of Economics and Finance.
- David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Documentos de Trabajo del ICAE 2014-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Tinbergen Institute Discussion Papers 14-075/III, Tinbergen Institute.
- Fernandes, Marcelo & Medeiros, Marcelo C. & Scharth, Marcel, 2014.
"Modeling and predicting the CBOE market volatility index,"
Journal of Banking & Finance, Elsevier, vol. 40(C), pages 1-10.
- Fernandes, Marcelo & Medeiros, Marcelo C. & Scharth, Marcel, 2013. "Modeling and predicting the CBOE market volatility index," Textos para discussão 342, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Marcelo Fernandes & Marcelo Cunha Medeiros & MArcelo Scharth, 2007. "Modeling and predicting the CBOE market volatility index," Textos para discussão 548, Department of Economics PUC-Rio (Brazil).
- Pauwels, Laurent & Vasnev, Andrey, 2014.
"Forecast combination for U.S. recessions with real-time data,"
The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 138-148.
- Pauwels, Laurent & Vasnev, Andrey, 2013. "Forecast combination for U.S. recessions with real-time data," Working Papers 02/2013, University of Sydney Business School, Discipline of Business Analytics.
- Pauwels, Laurent & Vasnev, Andrey, 2013. "Forecast combination for U.S. recessions with real-time data," Working Papers 2013-05, University of Sydney Business School, Discipline of Business Analytics.
- John G. T. Watkins & Andrey L. Vasnev & Richard Gerlach, 2014.
"Multiple Event Incidence And Duration Analysis For Credit Data Incorporating Non‐Stochastic Loan Maturity,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(4), pages 627-648, June.
- Gerlach, Richard & Vasnev, Andrey & Watkins, John, 2012. "Multiple Event Incidence and Duration Analysis for Credit Data Incorporating Non-Stochastic Loan Maturity," Working Papers 03/2013, University of Sydney Business School, Discipline of Business Analytics.
2013
- Andrey Vasnev & Margaret Skirtun & Laurent Pauwels, 2013. "Forecasting Monetary Policy Decisions in Australia: A Forecast Combinations Approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(2), pages 151-166, March.
2012
- Prokhorov, Artem, 2012.
"Second order bias of quasi-MLE for covariance structure models,"
Economics Letters, Elsevier, vol. 114(2), pages 195-197.
- Artem Prokhorov, 2010. "Second Order Bias of Quasi-MLE for Covariance Structure Models," Working Papers 10001, Concordia University, Department of Economics.
- Siem Jan Koopman & Marcel Scharth, 2012.
"The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures,"
Journal of Financial Econometrics, Oxford University Press, vol. 11(1), pages 76-115, December.
- Siem Jan Koopman & Marcel Scharth, 2011. "The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures," Tinbergen Institute Discussion Papers 11-132/4, Tinbergen Institute.
2011
- Wang, Joanna J.J. & Chan, Jennifer S.K. & Choy, S.T. Boris, 2011. "Stochastic volatility models with leverage and heavy-tailed distributions: A Bayesian approach using scale mixtures," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 852-862, January.
- Allen, David E. & McAleer, Michael & Scharth, Marcel, 2011. "Monte Carlo option pricing with asymmetric realized volatility dynamics," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1247-1256.
2010
- Vasnev, Andrey L., 2010. "Sensitivity of GLS estimators in random effects models," Journal of Multivariate Analysis, Elsevier, vol. 101(5), pages 1252-1262, May.
2009
- Chan, Jennifer S.K. & Leung, Doris Y.P. & Boris Choy, S.T. & Wan, Wai Y., 2009. "Nonignorable dropout models for longitudinal binary data with random effects: An application of Monte Carlo approximation through the Gibbs output," Computational Statistics & Data Analysis, Elsevier, vol. 53(12), pages 4530-4545, October.
- Prokhorov, Artem, 2009.
"On relative efficiency of quasi-MLE and GMM estimators of covariance structure models,"
Economics Letters, Elsevier, vol. 102(1), pages 4-6, January.
- Artem Prokhorov, 2008. "On relative efficiency of Quasi-MLE and GMM estimators of covariance structure models," Working Papers 08004, Concordia University, Department of Economics.
- Prokhorov, Artem & Schmidt, Peter, 2009.
"GMM redundancy results for general missing data problems,"
Journal of Econometrics, Elsevier, vol. 151(1), pages 47-55, July.
- Artem Prokhorov & Peter Schmidt, 2008. "GMM Redundancy Results for General Missing Data Problems," Working Papers 08003, Concordia University, Department of Economics.
- Prokhorov, Artem & Schmidt, Peter, 2009.
"Likelihood-based estimation in a panel setting: Robustness, redundancy and validity of copulas,"
Journal of Econometrics, Elsevier, vol. 153(1), pages 93-104, November.
- Artem Prokhorov & Peter Schmidt, 2009. "Likelihood Based Estimation in a Panel Setting: Robustness, Redundancy and Validity of Copulas," Working Papers 09002, Concordia University, Department of Economics.
- Scharth, Marcel & Medeiros, Marcelo C., 2009.
"Asymmetric effects and long memory in the volatility of Dow Jones stocks,"
International Journal of Forecasting, Elsevier, vol. 25(2), pages 304-327.
- Marcel Scharth & Marcelo Cunha Medeiros, 2006. "Asymmetric effects and long memory in the volatility of Dow Jones stocks," Textos para discussão 532, Department of Economics PUC-Rio (Brazil).
2008
- Artem Prokhorov, 2008. "Nonlinear dynamics and chaos theory in economics: a historical perspective (in Russian)," Quantile, Quantile, issue 4, pages 79-92, March.
- Magnus, Jan R. & Vasnev, Andrey L., 2008. "Using Macro Data To Obtain Better Micro Forecasts," Econometric Theory, Cambridge University Press, vol. 24(2), pages 553-579, April.
2007
- Jennifer S. K. Chan & S. T. Boris Choy & Anna B. W. Lee, 2007. "Bayesian analysis of constant elasticity of variance models," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 23(1), pages 83-96, January.
- Jan R. Magnus & Andrey L. Vasnev, 2007.
"Local sensitivity and diagnostic tests,"
Econometrics Journal, Royal Economic Society, vol. 10(1), pages 166-192, March.
- Magnus, J.R. & Vasnev, A.L., 2004. "Local Sensitivity and Diagnostic Tests," Discussion Paper 2004-105, Tilburg University, Center for Economic Research.
- Magnus, J.R. & Vasnev, A.L., 2004. "Local Sensitivity and Diagnostic Tests," Other publications TiSEM 10722abe-f848-4bfa-a82d-6, Tilburg University, School of Economics and Management.
2005
- Shir Shen & S. Choy, 2005. "The Pre- and Post-1997 Well-Being of Hong Kong Residents," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 71(1), pages 231-258, March.
2003
- Choy, S. T. Boris & Walker, Stephen G., 2003. "The extended exponential power distribution and Bayesian robustness," Statistics & Probability Letters, Elsevier, vol. 65(3), pages 227-232, November.
- Choy, S.T. Boris & Chan, C.M., 2003. "Scale Mixtures Distributions in Insurance Applications," ASTIN Bulletin, Cambridge University Press, vol. 33(1), pages 93-104, May.
2002
- Stanislav Anatolyev & Andrey Vasnev, 2002. "Markov chain approximation in bootstrapping autoregressions," Economics Bulletin, AccessEcon, vol. 3(19), pages 1-8.
1997
- S. Choy & A. Smith, 1997. "Hierarchical models with scale mixtures of normal distributions," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 6(1), pages 205-221, June.
- S. T. Boris Choy & Adrian F. M. Smith, 1997. "On Robust Analysis of a Normal Location Parameter," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 59(2), pages 463-474.
Books
2017
- Rustam Ibragimov & Artem Prokhorov, 2017. "Heavy Tails and Copulas:Topics in Dependence Modelling in Economics and Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9644, December.
Chapters
2017
- Rustam Ibragimov & Artem Prokhorov, 2017. "Introduction and Overview," World Scientific Book Chapters, in: Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance, chapter 1, pages 1-17, World Scientific Publishing Co. Pte. Ltd..
- Rustam Ibragimov & Artem Prokhorov, 2017. "Portfolio Diversification under Independent Fat Tailed Risks," World Scientific Book Chapters, in: Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance, chapter 2, pages 19-45, World Scientific Publishing Co. Pte. Ltd..
- Rustam Ibragimov & Artem Prokhorov, 2017. "From Independence to Dependence via Copulas and U-statistics," World Scientific Book Chapters, in: Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance, chapter 3, pages 47-111, World Scientific Publishing Co. Pte. Ltd..
- Rustam Ibragimov & Artem Prokhorov, 2017. "Limits of Diversification under Fat Tails and Dependence," World Scientific Book Chapters, in: Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance, chapter 4, pages 113-170, World Scientific Publishing Co. Pte. Ltd..
- Rustam Ibragimov & Artem Prokhorov, 2017. "Robustness of Econometric Methods to Copula Misspecification and Heavy Tails," World Scientific Book Chapters, in: Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance, chapter 5, pages 171-228, World Scientific Publishing Co. Pte. Ltd..
- Rustam Ibragimov & Artem Prokhorov, 2017. "Copula Tests Using Information Matrix," World Scientific Book Chapters, in: Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance, chapter 6, pages 229-255, World Scientific Publishing Co. Pte. Ltd..
- Rustam Ibragimov & Artem Prokhorov, 2017. "Summary and Conclusion," World Scientific Book Chapters, in: Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance, chapter 7, pages 257-260, World Scientific Publishing Co. Pte. Ltd..