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Publications

by members of

University of Sydney → Business School → Discipline of Business Analytics

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

2026

  1. Chu-An Liu & Andrey L. Vasnev, 2026, "Corrected Forecast Combinations," Papers, arXiv.org, number 2601.09999, Jan.

2025

  1. Christopher Parmeter & Artem Prokhorov & Valentin Zelenyuk, 2025, "The Post Double LASSO for Efficiency Analysis," Papers, arXiv.org, number 2505.14282, May.
  2. Jan Magnus & Andrey L. Vasnev, 2025, "More information, less precision: meta-analysis through random effects," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-048/III, Aug.

2024

  1. Ivan Medovikov & Valentyn Panchenko & Artem Prokhorov, 2024, "Efficient estimation of parameters in marginals in semiparametric multivariate models," Papers, arXiv.org, number 2401.17334, Jan.
  2. Zhaolin Li & Artem Prokhorov, 2024, "Improved Semi-Parametric Bounds for Tail Probability and Expected Loss: Theory and Applications," Papers, arXiv.org, number 2404.02400, Apr, revised May 2025.
  3. Artem Kraevskiy & Artem Prokhorov & Evgeniy Sokolovskiy, 2024, "An early warning system for emerging markets," Papers, arXiv.org, number 2404.03319, Apr, revised Aug 2026.
  4. Artem Prokhorov & Peter Radchenko & Alexander Semenov & Anton Skrobotov, 2024, "Change-Point Detection in Time Series Using Mixed Integer Programming," Papers, arXiv.org, number 2408.05665, Aug, revised May 2025.
  5. Mikhail Mamonov & Christopher Parmeter & Artem Prokhorov, 2024, "Bank Cost Efficiency and Credit Market Structure Under a Volatile Exchange Rate," Papers, arXiv.org, number 2408.05688, Aug.

2023

  1. Masako Ikefuji & Jan Magnus & Andrey Vasnev, 2023, "The role of data and priors in estimating climate sensitivity," ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka, number 1217, Nov.
  2. Clements, Adam & Vasnev, Andrey L., 2023, "Combining simple multivariate HAR-like models for portfolio construction," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number BAWP-2023-03, Nov.

2022

  1. Ryan Thompson & Yilin Qian & Andrey L. Vasnev, 2022, "Flexible global forecast combinations," Papers, arXiv.org, number 2207.07318, Jul, revised Mar 2024.
  2. Qian, Yilin & Thompson, Ryan & Vasnev, Andrey L, 2022, "Global combinations of expert forecasts," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number BAWP-2022-02, Jul.

2021

  1. Clements, Adam & Vasnev, Andrey, 2021, "Forecast combination puzzle in the HAR model," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number BAWP-2021-01, Feb.
  2. Magnus, Jan & Vasnev, Andrey, 2021, "On the uncertainty of a combined forecast: The critical role of correlation," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number BAWP-2022-01, Dec.

2020

  1. Laurent Pauwels & Peter Radchenko & Andrey L. Vasnev, 2020, "High Moment Constraints for Predictive Density Combination," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2020-45, May, revised Jun 2023.
  2. 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, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven, number 665250, Dec.
  3. Radchenko, Peter & Vasnev, Andrey & Wang, Wendun, 2020, "Too similar to combine? On negative weights in forecast combination," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number BAWP-2020-02, Jul.
  4. Hastings, Justin V. & Phillips, Sarah & Ubilava, David & Vasnev, Andrey, 2020, "Price Transmission in Conflict-Affected States: Evidence from Cereal Markets of Somalia," Working Papers, University of Sydney, School of Economics, number 2020-16, Dec.

2019

  1. Amsler, Christine & Prokhorov, Artem & Schmidt, Peter, 2019, "A New Family of Copulas, with Application to Estimation of a Production Frontier System," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number BAWP-2019-04, Mar.
  2. Hao, Bowen & Prokhorov, Artem & Qian, Hailong, 2019, "Moment Redundancy Test with Application to Efficiency-Improving Copulas," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number BAWP-2019-05, Mar.
  3. Pauwels, Laurent & Radchenko, Peter & Vasnev, Andrey, 2019, "Higher Moment Constraints for Predictive Density Combinations," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number BAWP-2019-01, Mar.

2017

  1. Amsler, Christine & Prokhorov, Artem & Schmidt, Peter, 2017, "Endogenous Environmental Variables In Stochastic Frontier Models," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2017-02, Apr.
  2. Christopher G. Gibbs & Andrey L. Vasnev, 2017, "Conditionally Optimal Weights and Forward-Looking Approaches to Combining Forecasts," Discussion Papers, School of Economics, The University of New South Wales, number 2017-10, Feb.

2016

  1. Yeap, Claudia & Kwok, Simon S. & Choy, S. T. Boris, 2016, "A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases," Working Papers, University of Sydney, School of Economics, number 2016-14, Aug.
  2. Medovikov, Ivan & Prokhorov, Artem, 2016, "A New Measure of Vector Dependence, with an Application to Financial C ontagion," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2016-01, Mar.
  3. Matsypura, Dmytro & Neo, Emily & Prokhorov, Artem, 2016, "Estimation of Hierarchical Archimedean Copulas as a Shortest Path Prob lem," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2123/14745, Apr.
  4. 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, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven, number 532152, Feb.

2015

  1. Amsler, Christine & Artem, Prokhorov & Peter, Schmidt, 2015, "Endogeneity in Stochastic Frontier Models," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2015-01, Feb.
  2. Hill, Jonathan B. & Prokhorov, Artem, 2015, "GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2015-03, Sep.
  3. Hill, Jonathan B. & Prokhorov, Artem, 2015, "Supplemental Material for GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2015-04, Sep.
  4. Prokhorov, Artem & Schepsmeier, Ulf & Zhu, Yajing, 2015, "Generalized Information Matrix Tests for Copulas," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2015-05, Sep.
  5. Ibragimov, Rustam & Mo, Jingyuan & Prokhorov, Artem, 2015, "Fat tails and copulas: limits of diversification revisited," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2015-06, Sep.
  6. Gerlach, R & Sutton, M & Vasnev, A, 2015, "Generalized Variance: A Robust Estimator of Stock Price Volatility," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2015-02, Apr.

2014

  1. Hirukawa, Masayuki & Prokhorov, Artem, 2014, "Consistent Estimation of Linear Regression Models Using Matched Data," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2014-03, Sep.
  2. David E. Allen & Michael McAleer & Marcel Scharth, 2014, "Asymmetric Realized Volatility Risk," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2014-16, Jun.

2013

  1. Stanislav Anatolyev & Renat Khabibullin & Artem Prokhorov, 2013, "Reconstructing high dimensional dynamic distributions from distributions of lower dimension," Working Papers, New Economic School (NES), number w0167, Aug.
  2. Liu, Di & Murtazashvili, Irina & Prokhorov, Artem, 2013, "Two-Sample Nonparametric Estimation of Intergenerational Income Mobili ty," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 07_2013, Aug.
  3. Pauwels, Laurent & Vasnev, Andrey, 2013, "Practical considerations for optimal weights in density forecast combi nation," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 01/2013, Jan.
  4. Pauwels, Laurent & Vasnev, Andrey, 2013, "Forecast combination for U.S. recessions with real-time data," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 02/2013, Jan.
  5. Magnus, Jan R & Vasnev, Andrey, 2013, "Practical use of sensitivity in econometrics with an illustration to forecast combinations," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 2013-04, Mar.

2012

  1. Martin Burda & Artem Prokhorov, 2012, "Copula Based Factorization in Bayesian Multivariate Infinite Mixture Models," Working Papers, Concordia University, Department of Economics, number 12012, Dec.
  2. Gerlach, Richard & Vasnev, Andrey & Watkins, John, 2012, "Multiple Event Incidence and Duration Analysis for Credit Data Incorporating Non-Stochastic Loan Maturity," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 03/2013, Dec.

2011

  1. Christine Amsler & Artem Prokhorov & Peter Schmidt, 2011, "Using Copulas to Model Time Dependence in Stochastic Frontier Models," Working Papers, Concordia University, Department of Economics, number 11002, Aug.
  2. Pauwels, Laurent & Vasnev, Andrey, 2011, "Forecast combination for discrete choice models: predicting FOMC monetary policy decisions," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 11/2011, Jun.

2010

  1. Artem Prokhorov, 2010, "Second Order Bias of Quasi-MLE for Covariance Structure Models," Working Papers, Concordia University, Department of Economics, number 10001, Jan.
  2. Wanling Huang & Artem Prokhorov, 2010, "A Goodness-of-fit Test for Copulas," Working Papers, Concordia University, Department of Economics, number 10002, Apr, revised Apr 2010.
  3. Wanling Huang & Artem Prokhorov, 2010, "Bartlett-type Correction of Distance Metric Test," Working Papers, Concordia University, Department of Economics, number 10003, Jun.

2009

  1. Artem Prokhorov & Peter Schmidt, 2009, "Likelihood Based Estimation in a Panel Setting: Robustness, Redundancy and Validity of Copulas," Working Papers, Concordia University, Department of Economics, number 09002, Jan.
  2. David E. Allen & Michael McAleer & Marcel Scharth, 2009, "Realized Volatility Risk," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-693, Dec.
  3. Gerlach, Richard & Vasnev, Andrey & Watkins, John, 2009, "Survival Analysis for Credit Scoring: Incidence and Latency," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 03/2009, Nov.

2008

  1. Artem Prokhorov & Peter Schmidt, 2008, "GMM Redundancy Results for General Missing Data Problems," Working Papers, Concordia University, Department of Economics, number 08003, Jun.
  2. Artem Prokhorov, 2008, "On relative efficiency of Quasi-MLE and GMM estimators of covariance structure models," Working Papers, Concordia University, Department of Economics, number 08004, May.

2007

  1. Jennifer Chan & Boris Choy & Udi Makov, 2007, "Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 196, May.
  2. Marcelo Fernandes & Marcelo Cunha Medeiros & MArcelo Scharth, 2007, "Modeling and predicting the CBOE market volatility index," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 548, Aug.

2006

  1. Marcel Scharth & Marcelo Cunha Medeiros, 2006, "Asymmetric effects and long memory in the volatility of Dow Jones stocks," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 532, Nov.
  2. Vasnev, A.L., 2006, "Local sensitivity in econometrics," Other publications TiSEM, Tilburg University, School of Economics and Management, number 789cc7a5-57da-4c5c-b5af-2.

2004

  1. Magnus, J.R. & Vasnev, A.L., 2004, "Local Sensitivity and Diagnostic Tests," Discussion Paper, Tilburg University, Center for Economic Research, number 2004-105.

Journal articles

2026

  1. Zheng Wei & Huiyan Sang & Artem Prokhorov & Yu Ma, 2026, "Shape-aware deep learning for models of production," Journal of Productivity Analysis, Springer, volume 65, issue 2, pages 1-16, June, DOI: 10.1007/s11123-026-00797-3.

2025

  1. Giuseppe De Luca & Jan R. Magnus & Andrey L. Vasnev, 2025, "Maximum likelihood estimation of the linear model with equicorrelated errors," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, volume 54, issue 19, pages 6295-6302, October, DOI: 10.1080/03610926.2025.2455939.

2024

  1. Don U. A. Galagedera & Jessica Leung & Farshid Vahid, 2024, "Assessing Degree of Overall Prospect for Merger and Acquisition of Managed Funds: A Relative Performance Perspective," SAGE Open, , volume 14, issue 2, pages 21582440241, June, DOI: 10.1177/21582440241256953.
  2. Ilker Cingillioglu & Uri Gal & Artem Prokhorov, 2024, "Social media marketing for student recruitment: an algorithmically sequenced literature review," Journal of Marketing for Higher Education, Taylor & Francis Journals, volume 34, issue 2, pages 1101-1123, July, DOI: 10.1080/08841241.2023.2177789.
  3. Gibbs, Christopher G. & Vasnev, Andrey L., 2024, "Conditionally optimal weights and forward-looking approaches to combining forecasts," International Journal of Forecasting, Elsevier, volume 40, issue 4, pages 1734-1751, DOI: 10.1016/j.ijforecast.2024.03.002.
  4. Thompson, Ryan & Qian, Yilin & Vasnev, Andrey L., 2024, "Flexible global forecast combinations," Omega, Elsevier, volume 126, issue C, DOI: 10.1016/j.omega.2024.103073.

2023

  1. 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, volume 71, issue C, pages 29-50, DOI: 10.1016/j.jempfin.2023.01.002.
  2. James, Robert & Leung, Henry & Prokhorov, Artem, 2023, "A machine learning attack on illegal trading," Journal of Banking & Finance, Elsevier, volume 148, issue C, DOI: 10.1016/j.jbankfin.2022.106735.
  3. Masayuki Hirukawa & Di Liu & Irina Murtazashvili & Artem Prokhorov, 2023, "DS-HECK: double-lasso estimation of Heckman selection model," Empirical Economics, Springer, volume 64, issue 6, pages 3167-3195, June, DOI: 10.1007/s00181-023-02406-w.
  4. Masayuki Hirukawa & Irina Murtazashvili & Artem Prokhorov, 2023, "Yet another look at the omitted variable bias," Econometric Reviews, Taylor & Francis Journals, volume 42, issue 1, pages 1-27, January, DOI: 10.1080/07474938.2022.2157965.
  5. Radchenko, Peter & Vasnev, Andrey L. & Wang, Wendun, 2023, "Too similar to combine? On negative weights in forecast combination," International Journal of Forecasting, Elsevier, volume 39, issue 1, pages 18-38, DOI: 10.1016/j.ijforecast.2021.08.002.
  6. Magnus, Jan R. & Vasnev, Andrey L., 2023, "On the uncertainty of a combined forecast: The critical role of correlation," International Journal of Forecasting, Elsevier, volume 39, issue 4, pages 1895-1908, DOI: 10.1016/j.ijforecast.2022.10.002.

2022

  1. Emi Tanaka & Jessica Wai Yin Leung & Dianne Cook, 2022, "Commentary on “Visualization in Operations Management Research”: Incorporating Statistical Thinking into Visualization Practices for Decision Making in Operational Management," INFORMS Joural on Data Science, INFORMS, volume 1, issue 2, pages 188-191, October, DOI: 10.1287/ijds.2021.0008.
  2. 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, volume 49, issue 3, pages 1353-1382, September, DOI: 10.1111/sjos.12573.
  3. Pertaia, Giorgi & Prokhorov, Artem & Uryasev, Stan, 2022, "A new approach to credit ratings," Journal of Banking & Finance, Elsevier, volume 140, issue C, DOI: 10.1016/j.jbankfin.2021.106097.
  4. Zhai Jian & James Robert & Prokhorov Artem, 2022, "Technical and allocative inefficiency in production systems: a vine copula approach," Dependence Modeling, De Gruyter, volume 10, issue 1, pages 145-158, January, DOI: 10.1515/demo-2022-0108.
  5. Dirick, Lore & Claeskens, Gerda & Vasnev, Andrey & Baesens, Bart, 2022, "A hierarchical mixture cure model with unobserved heterogeneity for credit risk," Econometrics and Statistics, Elsevier, volume 22, issue C, pages 39-55, DOI: 10.1016/j.ecosta.2020.12.002.
  6. 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, volume 31, issue 3, pages 272-291.

2021

  1. 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, volume 55, issue 1, pages 1-14, February, DOI: 10.1007/s11123-020-00590-w.
  2. Artem Prokhorov & Kien C. Tran & Mike G. Tsionas, 2021, "Estimation of semi- and nonparametric stochastic frontier models with endogenous regressors," Empirical Economics, Springer, volume 60, issue 6, pages 3043-3068, June, DOI: 10.1007/s00181-020-01941-0.
  3. Masayuki Hirukawa & Di Lu & Artem Prokhorov, 2021, "msreg: A command for consistent estimation of linear regression models using matched data," Stata Journal, StataCorp LLC, volume 21, issue 1, pages 123-140, March, DOI: 10.1177/1536867X211000008.
  4. 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., volume 16, issue 03, pages 1-21, September, DOI: 10.1142/S2010495221010028.

2020

  1. 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, volume 82, issue 6, pages 1375-1412, December, DOI: 10.1111/obes.12371.

2019

  1. 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, volume 35, issue 3, pages 808-822, May, DOI: 10.1002/asmb.2410.
  2. Artem Prokhorov & Ulf Schepsmeier & Yajing Zhu, 2019, "Generalized information matrix tests for copulas," Econometric Reviews, Taylor & Francis Journals, volume 38, issue 9, pages 1024-1054, October, DOI: 10.1080/07474938.2018.1514023.
  3. Sutton, Maxwell & Vasnev, Andrey L. & Gerlach, Richard, 2019, "Mixed interval realized variance: A robust estimator of stock price volatility," Econometrics and Statistics, Elsevier, volume 11, issue C, pages 43-62, DOI: 10.1016/j.ecosta.2018.06.001.
  4. Qingfeng Liu & Andrey L. Vasnev, 2019, "A Combination Method for Averaging OLS and GLS Estimators," Econometrics, MDPI, volume 7, issue 3, pages 1-12, September.

2018

  1. 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, volume 16, issue 3, pages 425-460.
  2. Hao, Bowen & Prokhorov, Artem & Qian, Hailong, 2018, "Moment redundancy test with application to efficiency-improving copulas," Economics Letters, Elsevier, volume 171, issue C, pages 29-33, DOI: 10.1016/j.econlet.2018.07.009.
  3. Hirukawa, Masayuki & Prokhorov, Artem, 2018, "Consistent estimation of linear regression models using matched data," Journal of Econometrics, Elsevier, volume 203, issue 2, pages 344-358, DOI: 10.1016/j.jeconom.2017.07.006.
  4. Demetris Christodoulou & Le Ma & Andrey Vasnev, 2018, "Inference‐in‐residuals as an Estimation Method for Earnings Management," Abacus, Accounting Foundation, University of Sydney, volume 54, issue 2, pages 154-180, June, DOI: 10.1111/abac.12121.
  5. Matsypura, Dmytro & Thompson, Ryan & Vasnev, Andrey L., 2018, "Optimal selection of expert forecasts with integer programming," Omega, Elsevier, volume 78, issue C, pages 165-175, DOI: 10.1016/j.omega.2017.06.010.

2017

  1. Amsler, Christine & Prokhorov, Artem & Schmidt, Peter, 2017, "Endogenous environmental variables in stochastic frontier models," Journal of Econometrics, Elsevier, volume 199, issue 2, pages 131-140, DOI: 10.1016/j.jeconom.2017.05.005.
  2. 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, volume 15, issue 3, pages 474-503.
  3. Laurent L. Pauwels & Andrey L. Vasnev, 2017, "Forecast combination for discrete choice models: predicting FOMC monetary policy decisions," Empirical Economics, Springer, volume 52, issue 1, pages 229-254, February, DOI: 10.1007/s00181-016-1080-x.

2016

  1. 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, volume 43, issue 3, pages 396-411, March, DOI: 10.1080/02664763.2015.1063115.
  2. Ibragimov, Rustam & Prokhorov, Artem, 2016, "Heavy tails and copulas: Limits of diversification revisited," Economics Letters, Elsevier, volume 149, issue C, pages 102-107, DOI: 10.1016/j.econlet.2016.10.024.
  3. Matsypura, Dmytro & Neo, Emily & Prokhorov, Artem, 2016, "Estimation of Hierarchical Archimedean Copulas as a Shortest Path Problem," Economics Letters, Elsevier, volume 149, issue C, pages 131-134, DOI: 10.1016/j.econlet.2016.10.034.
  4. Hill, Jonathan B. & Prokhorov, Artem, 2016, "GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference," Journal of Econometrics, Elsevier, volume 190, issue 1, pages 18-45, DOI: 10.1016/j.jeconom.2015.09.001.
  5. Amsler, Christine & Prokhorov, Artem & Schmidt, Peter, 2016, "Endogeneity in stochastic frontier models," Journal of Econometrics, Elsevier, volume 190, issue 2, pages 280-288, DOI: 10.1016/j.jeconom.2015.06.013.
  6. Pauwels, Laurent L. & Vasnev, Andrey L., 2016, "A note on the estimation of optimal weights for density forecast combinations," International Journal of Forecasting, Elsevier, volume 32, issue 2, pages 391-397, DOI: 10.1016/j.ijforecast.2015.09.002.
  7. Claeskens, Gerda & Magnus, Jan R. & Vasnev, Andrey L. & Wang, Wendun, 2016, "The forecast combination puzzle: A simple theoretical explanation," International Journal of Forecasting, Elsevier, volume 32, issue 3, pages 754-762, DOI: 10.1016/j.ijforecast.2015.12.005.

2015

  1. 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, volume 31, issue 5, pages 584-608, September, DOI: 10.1002/asmb.2062.
  2. 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, volume 48, issue 5, pages 1733-1761, December, DOI: 10.1111/caje.12178.
  3. Magnus, Jan R. & Vasnev, Andrey L., 2015, "Interpretation and use of sensitivity in econometrics, illustrated with forecast combinations," International Journal of Forecasting, Elsevier, volume 31, issue 3, pages 769-781, DOI: 10.1016/j.ijforecast.2013.08.001.

2014

  1. 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, volume 14, issue 7, pages 1297-1313, July, DOI: 10.1080/14697688.2012.683878.
  2. Anatolyev, Stanislav & Khabibullin, Renat & Prokhorov, Artem, 2014, "An algorithm for constructing high dimensional distributions from distributions of lower dimension," Economics Letters, Elsevier, volume 123, issue 3, pages 257-261, DOI: 10.1016/j.econlet.2014.02.022.
  3. Burda, Martin & Prokhorov, Artem, 2014, "Copula based factorization in Bayesian multivariate infinite mixture models," Journal of Multivariate Analysis, Elsevier, volume 127, issue C, pages 200-213, DOI: 10.1016/j.jmva.2014.02.011.
  4. Christine Amsler & Artem Prokhorov & Peter Schmidt, 2014, "Using Copulas to Model Time Dependence in Stochastic Frontier Models," Econometric Reviews, Taylor & Francis Journals, volume 33, issue 5-6, pages 497-522, August, DOI: 10.1080/07474938.2013.825126.
  5. Wanling Huang & Artem Prokhorov, 2014, "A Goodness-of-fit Test for Copulas," Econometric Reviews, Taylor & Francis Journals, volume 33, issue 7, pages 751-771, October, DOI: 10.1080/07474938.2012.690692.
  6. David E. Allen & Michael McAleer & Marcel Scharth, 2014, "Asymmetric Realized Volatility Risk," JRFM, MDPI, volume 7, issue 2, pages 1-30, June.
  7. Fernandes, Marcelo & Medeiros, Marcelo C. & Scharth, Marcel, 2014, "Modeling and predicting the CBOE market volatility index," Journal of Banking & Finance, Elsevier, volume 40, issue C, pages 1-10, DOI: 10.1016/j.jbankfin.2013.11.004.
  8. Pauwels, Laurent & Vasnev, Andrey, 2014, "Forecast combination for U.S. recessions with real-time data," The North American Journal of Economics and Finance, Elsevier, volume 28, issue C, pages 138-148, DOI: 10.1016/j.najef.2014.02.005.
  9. 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., volume 29, issue 4, pages 627-648, June.

2013

  1. Andrey Vasnev & Margaret Skirtun & Laurent Pauwels, 2013, "Forecasting Monetary Policy Decisions in Australia: A Forecast Combinations Approach," Journal of Forecasting, John Wiley & Sons, Ltd., volume 32, issue 2, pages 151-166, March.

2012

  1. Prokhorov, Artem, 2012, "Second order bias of quasi-MLE for covariance structure models," Economics Letters, Elsevier, volume 114, issue 2, pages 195-197, DOI: 10.1016/j.econlet.2011.10.009.
  2. 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, volume 11, issue 1, pages 76-115, December.

2011

  1. 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, volume 55, issue 1, pages 852-862, January.
  2. Allen, David E. & McAleer, Michael & Scharth, Marcel, 2011, "Monte Carlo option pricing with asymmetric realized volatility dynamics," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 81, issue 7, pages 1247-1256, DOI: 10.1016/j.matcom.2010.06.010.

2010

  1. Vasnev, Andrey L., 2010, "Sensitivity of GLS estimators in random effects models," Journal of Multivariate Analysis, Elsevier, volume 101, issue 5, pages 1252-1262, May.

2009

  1. 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, volume 53, issue 12, pages 4530-4545, October.
  2. Prokhorov, Artem, 2009, "On relative efficiency of quasi-MLE and GMM estimators of covariance structure models," Economics Letters, Elsevier, volume 102, issue 1, pages 4-6, January.
  3. Prokhorov, Artem & Schmidt, Peter, 2009, "GMM redundancy results for general missing data problems," Journal of Econometrics, Elsevier, volume 151, issue 1, pages 47-55, July.
  4. Prokhorov, Artem & Schmidt, Peter, 2009, "Likelihood-based estimation in a panel setting: Robustness, redundancy and validity of copulas," Journal of Econometrics, Elsevier, volume 153, issue 1, pages 93-104, November.
  5. Scharth, Marcel & Medeiros, Marcelo C., 2009, "Asymmetric effects and long memory in the volatility of Dow Jones stocks," International Journal of Forecasting, Elsevier, volume 25, issue 2, pages 304-327.

2008

  1. Artem Prokhorov, 2008, "Nonlinear dynamics and chaos theory in economics: a historical perspective (in Russian)," Quantile, Quantile, issue 4, pages 79-92, March.
  2. Magnus, Jan R. & Vasnev, Andrey L., 2008, "Using Macro Data To Obtain Better Micro Forecasts," Econometric Theory, Cambridge University Press, volume 24, issue 2, pages 553-579, April.

2007

  1. 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, volume 23, issue 1, pages 83-96, January, DOI: 10.1002/asmb.639.
  2. Jan R. Magnus & Andrey L. Vasnev, 2007, "Local sensitivity and diagnostic tests," Econometrics Journal, Royal Economic Society, volume 10, issue 1, pages 166-192, March.

2005

  1. 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, volume 71, issue 1, pages 231-258, March, DOI: 10.1007/s11205-004-8019-x.

2003

  1. Choy, S. T. Boris & Walker, Stephen G., 2003, "The extended exponential power distribution and Bayesian robustness," Statistics & Probability Letters, Elsevier, volume 65, issue 3, pages 227-232, November.
  2. Choy, S.T. Boris & Chan, C.M., 2003, "Scale Mixtures Distributions in Insurance Applications," ASTIN Bulletin, Cambridge University Press, volume 33, issue 1, pages 93-104, May.

2002

  1. Stanislav Anatolyev & Andrey Vasnev, 2002, "Markov chain approximation in bootstrapping autoregressions," Economics Bulletin, AccessEcon, volume 3, issue 19, pages 1-8.

1997

  1. 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, volume 6, issue 1, pages 205-221, June, DOI: 10.1007/BF02564434.
  2. 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, volume 59, issue 2, pages 463-474, DOI: 10.1111/1467-9868.00079.

Books

2017

  1. 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, ISBN: ARRAY(0x77b860b8).

Chapters

2024

  1. Christine Amsler & Robert James & Artem Prokhorov & Peter Schmidt, 2024, "Improving Predictions of Technical Inefficiency," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of Subal Kumbhakar", DOI: 10.1108/S0731-905320240000046011.
  2. Masayuki Hirukawa & Di Liu & Irina Murtazashvili & Artem Prokhorov, 2024, "DS-HECK: double-lasso estimation of Heckman selection model," Advanced Studies in Theoretical and Applied Econometrics, Springer, in: Subal C. Kumbhakar & Robin C. Sickles & Hung-Jen Wang, "Advances in Applied Econometrics", DOI: 10.1007/978-3-031-48385-1_25.

2017

  1. Rustam Ibragimov & Artem Prokhorov, 2017, "Introduction and Overview," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, "Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance".
  2. Rustam Ibragimov & Artem Prokhorov, 2017, "Portfolio Diversification under Independent Fat Tailed Risks," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, "Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance".
  3. Rustam Ibragimov & Artem Prokhorov, 2017, "From Independence to Dependence via Copulas and U-statistics," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, "Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance".
  4. Rustam Ibragimov & Artem Prokhorov, 2017, "Limits of Diversification under Fat Tails and Dependence," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, "Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance".
  5. Rustam Ibragimov & Artem Prokhorov, 2017, "Robustness of Econometric Methods to Copula Misspecification and Heavy Tails," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, "Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance".
  6. Rustam Ibragimov & Artem Prokhorov, 2017, "Copula Tests Using Information Matrix," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, "Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance".
  7. Rustam Ibragimov & Artem Prokhorov, 2017, "Summary and Conclusion," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, "Heavy Tails and Copulas Topics in Dependence Modelling in Economics and Finance".

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