| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| 02.5.2. Durbin–Watson Statistic and Random Individual Effects |
1 |
1 |
1 |
67 |
2 |
2 |
11 |
397 |
| 02.6.2. Autoregression and Redundant Instruments—Solution |
0 |
0 |
0 |
16 |
0 |
0 |
1 |
86 |
| 03.1.2. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression |
0 |
0 |
0 |
10 |
0 |
0 |
0 |
60 |
| A 10-year retrospective on the determinants of Russian stock returns |
0 |
0 |
0 |
48 |
0 |
0 |
0 |
182 |
| A Trading Approach to Testing for Predictability |
0 |
7 |
36 |
265 |
0 |
13 |
64 |
575 |
| AN ALTERNATIVE TO MAXIMUM LIKELIHOOD BASED ON SPACINGS |
0 |
0 |
2 |
26 |
0 |
0 |
3 |
104 |
| ANOTHER NUMERICAL METHOD OF FINDING CRITICAL VALUES FOR THE ANDREWS STABILITY TEST |
0 |
0 |
0 |
17 |
0 |
0 |
1 |
110 |
| ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS |
1 |
1 |
5 |
18 |
1 |
1 |
6 |
47 |
| Almost unbiased variance estimation in linear regressions with many covariates |
0 |
0 |
0 |
5 |
0 |
0 |
0 |
30 |
| An algorithm for constructing high dimensional distributions from distributions of lower dimension |
0 |
0 |
0 |
7 |
0 |
0 |
3 |
58 |
| Asymptotic variance under many instruments: Numerical computations |
0 |
1 |
2 |
24 |
0 |
2 |
5 |
105 |
| Asymptotics of near unit roots (in Russian) |
0 |
1 |
1 |
20 |
0 |
1 |
1 |
55 |
| Basics of quasi- and pseudo-likelihood theories (in Russian) |
0 |
0 |
2 |
7 |
0 |
1 |
6 |
34 |
| Copula shrinkage and portfolio allocation in ultra-high dimensions |
0 |
1 |
5 |
5 |
0 |
1 |
10 |
11 |
| Directional news impact curve |
0 |
0 |
1 |
4 |
0 |
1 |
5 |
24 |
| Do spatial structures yield better volatility forecasts? (in Russian) |
0 |
1 |
2 |
7 |
0 |
1 |
3 |
36 |
| Dynamic modeling under linear-exponential loss |
0 |
0 |
1 |
29 |
0 |
1 |
2 |
174 |
| Electoral behavior of US counties: a panel data approach |
0 |
0 |
0 |
8 |
0 |
0 |
0 |
38 |
| Factor models with many assets: Strong factors, weak factors, and the two-pass procedure |
0 |
3 |
9 |
10 |
0 |
5 |
21 |
28 |
| Forecasting dynamic return distributions based on ordered binary choice |
0 |
0 |
1 |
17 |
0 |
0 |
2 |
61 |
| Foreign exchange predictability and the carry trade: A decomposition approach |
0 |
0 |
1 |
21 |
0 |
2 |
9 |
130 |
| GMM, GEL, Serial Correlation, and Asymptotic Bias |
0 |
0 |
1 |
246 |
0 |
0 |
3 |
960 |
| How does the financial market update beliefs about the real economy? Evidence from the oil market |
1 |
1 |
2 |
4 |
1 |
1 |
3 |
16 |
| Inference in regression models with many regressors |
0 |
1 |
1 |
19 |
0 |
2 |
2 |
120 |
| Inference when a nuisance parameter is weakly identified under the null hypothesis |
0 |
0 |
0 |
27 |
0 |
0 |
4 |
136 |
| Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments |
0 |
0 |
0 |
38 |
0 |
0 |
1 |
261 |
| Instrumental variables estimation and inference in the presence of many exogenous regressors |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
78 |
| Kernel estimation under linear-exponential loss |
0 |
0 |
0 |
17 |
0 |
0 |
0 |
124 |
| LIMIT THEOREMS FOR FACTOR MODELS |
1 |
1 |
1 |
4 |
1 |
1 |
3 |
11 |
| MANY INSTRUMENTS AND/OR REGRESSORS: A FRIENDLY GUIDE |
0 |
0 |
2 |
18 |
1 |
1 |
4 |
59 |
| Making econometric reports (in Russian) |
0 |
0 |
0 |
30 |
0 |
0 |
0 |
116 |
| Mallows criterion for heteroskedastic linear regressions with many regressors |
0 |
0 |
1 |
4 |
0 |
0 |
1 |
11 |
| Many instruments: Implementation in Stata |
1 |
3 |
6 |
59 |
1 |
4 |
13 |
156 |
| Markov chain approximation in bootstrapping autoregressions |
0 |
1 |
1 |
13 |
0 |
1 |
1 |
63 |
| Method-of-moments estimation and choice of instruments: Numerical computations |
0 |
0 |
0 |
14 |
1 |
1 |
1 |
105 |
| Missing mean does no harm to volatility! |
0 |
1 |
1 |
25 |
0 |
1 |
4 |
98 |
| Modeling Financial Return Dynamics via Decomposition |
0 |
0 |
2 |
97 |
0 |
0 |
2 |
272 |
| Modeling and forecasting realized covariance matrices with accounting for leverage |
0 |
0 |
1 |
12 |
0 |
1 |
5 |
65 |
| Multi-Market Direction-of-Change Modeling Using Dependence Ratios |
0 |
0 |
0 |
67 |
0 |
1 |
17 |
234 |
| Multivariate Return Decomposition: Theory and Implications |
0 |
0 |
0 |
1 |
1 |
2 |
4 |
27 |
| Nonparametric Retrospection and Monitoring of Predictability of Financial Returns |
0 |
0 |
0 |
44 |
0 |
0 |
0 |
179 |
| Nonparametric estimation of nonlinear rational expectation models |
0 |
0 |
0 |
39 |
0 |
0 |
0 |
140 |
| Nonparametric regression (in Russian) |
0 |
0 |
0 |
18 |
0 |
0 |
1 |
72 |
| OPTIMAL INSTRUMENTS IN TIME SERIES: A SURVEY |
0 |
0 |
0 |
85 |
0 |
1 |
2 |
269 |
| Objects of nonstructural time series modeling (in Russian) |
0 |
0 |
0 |
9 |
0 |
2 |
2 |
63 |
| Optimal instruments (in Russian) |
0 |
0 |
0 |
12 |
0 |
0 |
0 |
148 |
| REDUNDANCY OF LAGGED REGRESSORS REVISITED |
0 |
0 |
0 |
11 |
0 |
0 |
0 |
115 |
| Review of English textbooks in econometrics (in Russian) |
0 |
0 |
0 |
34 |
0 |
0 |
3 |
269 |
| Review of English textbooks in time series analysis (in Russian) |
0 |
0 |
0 |
34 |
0 |
0 |
0 |
199 |
| Right on Target, or Is it? The Role of Distributional Shape in Variance Targeting |
0 |
0 |
0 |
23 |
0 |
0 |
2 |
87 |
| SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS |
0 |
0 |
0 |
39 |
0 |
0 |
0 |
145 |
| Sequential Testing with Uniformly Distributed Size |
0 |
0 |
1 |
4 |
0 |
0 |
2 |
10 |
| THE FORM OF THE OPTIMAL NONLINEAR INSTRUMENT FOR MULTIPERIOD CONDITIONAL MOMENT RESTRICTIONS |
0 |
0 |
0 |
9 |
0 |
0 |
0 |
95 |
| Testing for a Functional Form of Mean Regression in a Fully Parametric Environment |
0 |
0 |
0 |
7 |
0 |
1 |
1 |
32 |
| Testing for predictability (in Russian) |
0 |
0 |
0 |
13 |
0 |
0 |
0 |
92 |
| Testing many restrictions under heteroskedasticity |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| Tests in contingency tables as regression tests |
0 |
0 |
0 |
24 |
0 |
0 |
0 |
127 |
| The basics of bootstrapping (in Russian) |
0 |
0 |
0 |
23 |
0 |
0 |
3 |
124 |
| The term structure of Russian interest rates |
0 |
0 |
0 |
98 |
0 |
0 |
1 |
860 |
| Uncovering the Skewness News Impact Curve |
0 |
0 |
1 |
18 |
0 |
1 |
4 |
68 |
| Unrestricted, restricted, and regularized models for forecasting multivariate volatility |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
| Using All Observations when Forecasting under Structural Breaks |
0 |
0 |
1 |
30 |
0 |
1 |
3 |
154 |
| Volatility filtering in estimation of kurtosis (and variance) |
0 |
0 |
0 |
12 |
1 |
3 |
4 |
39 |
| Where to find data on the Web? (in Russian) |
0 |
1 |
1 |
27 |
0 |
1 |
1 |
102 |
| Total Journal Articles |
5 |
25 |
92 |
1,939 |
10 |
58 |
251 |
8,647 |
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