Access Statistics for Stanislav Anatolyev

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Ten-year retrospection of the behavior of Russian stock returns 0 0 0 164 6 6 11 471
Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches 0 0 1 153 4 19 24 523
Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches 0 0 0 1 3 6 8 27
Does Index Arbitrage Distort the Market Reaction to Shocks? 0 0 1 43 8 11 17 100
Dynamic modeling under linear-exponential loss 0 0 0 1 6 11 11 30
Dynamic modeling under linear-exponential loss 0 0 0 106 1 1 4 561
Factor models with many assets: strong factors, weak factors, and the two-pass procedure 0 0 0 67 9 15 22 295
Feasible Optimal Instrumental Variables Estimation of Linear Models with Moving Average Disturbances 0 0 0 0 3 3 4 215
Feasible optimal instrumental variables estimation of linear models with moving average disturbances 0 0 0 54 3 5 6 389
Forecasting dynamic return distributions based on ordered binary choice 1 2 6 296 8 15 20 823
Foreign exchange predictability during the financial crisis: implications for carry trade profitability 0 0 0 162 1 4 6 393
Formation of Market Beliefs in the Oil Market 0 0 2 71 4 9 14 193
Inference about predictive ability when there are many predictors 0 0 0 63 4 8 11 229
Inference about predictive ability when there are many predictors 0 0 0 1 3 5 7 24
Inference in Regression Models with Many Regressors 0 0 0 111 5 10 11 434
Inference in Regression Models with Many Regressors 0 0 0 1 3 7 9 36
Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments 0 0 0 46 7 14 17 286
Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments 0 0 0 47 3 4 4 205
Instrumental variables estimation and inference in the presence of many exogenous regressors 0 0 0 4 2 4 7 38
Instrumental variables estimation and inference in the presence of many exogenous regressors 0 0 0 136 5 12 12 421
Instrumental variables estimation of heteroskedastic linear models using all lags of instruments 0 0 0 39 4 7 10 367
Limit Theorems for Factor Models 0 0 0 57 4 5 7 169
Modeling Financial Return Dynamics by Decomposition 0 0 2 5 1 4 7 68
Modeling Financial Return Dynamics by Decomposition 0 0 1 195 6 11 14 718
Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage 0 0 1 8 2 6 9 62
Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage 0 0 0 83 3 6 8 191
Multivariate return decomposition: theory and implications 0 0 0 44 5 8 9 147
Nonparametric retrospection and monitoring of predictability of financial returns 0 0 0 102 3 6 8 356
Nonparametric retrospection and monitoring of predictability of financial returns 0 0 0 1 3 5 9 37
Optimal Instruments in Time Series: A Survey 0 0 0 3 3 8 9 34
Optimal Instruments in Time Series: A Survey 0 0 0 209 4 4 12 635
Reconstructing high dimensional dynamic distributions from distributions of lower dimension 0 0 0 52 3 7 9 199
Reconstructing high dimensional dynamic distributions from distributions of lower dimension 0 0 0 33 4 8 9 151
Reconstructing high dimensional dynamic distributions from distributions of lower dimension 0 0 0 3 6 12 17 37
Sequential Testing with Uniformly Distributed Size 0 0 0 2 0 4 6 30
Sequential Testing with Uniformly Distributed Size 0 0 0 250 4 8 11 1,074
Shrinkage for Gaussian and t Copulas in Ultra-High Dimensions 0 1 2 35 6 9 19 94
Specification Testing in Models with Many Instruments 0 0 0 82 16 37 38 348
Specification Testing in Models with Many Instruments 0 0 2 2 11 13 20 40
Testing Many Restrictions Under Heteroskedasticity 0 0 1 59 4 7 13 185
Tests in contingency tables as regression tests 0 0 0 2 4 11 14 34
Tests in contingency tables as regression tests 0 0 0 111 3 4 5 685
Trade intensity in the Russian stock market:dynamics, distribution and determinants 0 0 0 190 3 8 11 749
Trade intensity in the Russian stock market:dynamics, distribution and determinants 0 0 1 2 3 5 8 45
Total Working Papers 1 3 20 3,096 193 372 507 12,148
1 registered items for which data could not be found

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 0 0 2 70 2 2 12 418
02.6.2. Autoregression and Redundant Instruments—Solution 0 0 0 16 3 5 7 94
03.1.2. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression 0 0 0 10 2 2 4 64
A 10-year retrospective on the determinants of Russian stock returns 0 0 0 51 3 8 8 197
A Trading Approach to Testing for Predictability 1 9 61 343 8 26 138 738
AN ALTERNATIVE TO MAXIMUM LIKELIHOOD BASED ON SPACINGS 0 0 0 26 2 3 6 112
ANOTHER NUMERICAL METHOD OF FINDING CRITICAL VALUES FOR THE ANDREWS STABILITY TEST 0 0 0 17 2 3 4 114
ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS 0 0 1 21 2 8 11 60
Almost unbiased variance estimation in linear regressions with many covariates 0 0 0 5 2 4 6 36
An algorithm for constructing high dimensional distributions from distributions of lower dimension 0 0 0 7 4 10 14 74
Asymptotic variance under many instruments: Numerical computations 0 0 1 28 3 3 9 120
Asymptotics of near unit roots (in Russian) 0 0 1 21 6 11 13 70
Basics of quasi- and pseudo-likelihood theories (in Russian) 0 0 0 8 3 6 7 45
Copula shrinkage and portfolio allocation in ultra-high dimensions 0 0 1 6 0 0 6 18
Directional news impact curve 0 0 1 7 3 8 14 43
Do spatial structures yield better volatility forecasts? (in Russian) 1 1 1 8 4 8 9 46
Dynamic modeling under linear-exponential loss 0 0 0 29 0 1 4 183
Electoral behavior of US counties: a panel data approach 0 0 0 8 1 2 2 41
Factor models with many assets: Strong factors, weak factors, and the two-pass procedure 0 1 1 13 4 9 12 65
Forecasting dynamic return distributions based on ordered binary choice 1 1 1 18 8 11 14 79
Foreign exchange predictability and the carry trade: A decomposition approach 0 0 0 24 0 1 5 146
GMM, GEL, Serial Correlation, and Asymptotic Bias 0 0 1 248 4 6 12 977
How does the financial market update beliefs about the real economy? Evidence from the oil market 0 0 0 6 2 3 6 30
Inference in regression models with many regressors 0 0 0 21 1 8 10 135
Inference when a nuisance parameter is weakly identified under the null hypothesis 0 0 0 27 4 7 8 146
Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments 0 0 0 39 5 6 11 275
Instrumental variables estimation and inference in the presence of many exogenous regressors 0 0 0 0 2 6 7 90
Kernel estimation under linear-exponential loss 0 0 0 17 1 1 2 127
LIMIT THEOREMS FOR FACTOR MODELS 0 0 0 5 6 13 14 26
MANY INSTRUMENTS AND/OR REGRESSORS: A FRIENDLY GUIDE 0 0 1 19 3 4 6 69
Making econometric reports (in Russian) 0 0 0 30 3 4 5 122
Mallows criterion for heteroskedastic linear regressions with many regressors 0 0 0 4 4 5 8 21
Many instruments: Implementation in Stata 0 0 0 60 2 3 7 171
Markov chain approximation in bootstrapping autoregressions 0 0 0 15 12 13 16 87
Method-of-moments estimation and choice of instruments: Numerical computations 0 0 0 15 1 4 6 113
Missing mean does no harm to volatility! 1 1 1 26 1 3 6 109
Modeling Financial Return Dynamics via Decomposition 0 0 1 101 5 10 14 299
Modeling and forecasting realized covariance matrices with accounting for leverage 0 0 2 17 3 7 14 92
Multi-Market Direction-of-Change Modeling Using Dependence Ratios 1 1 1 68 4 5 8 248
Multivariate Return Decomposition: Theory and Implications 0 0 0 1 3 6 10 37
Nonparametric Retrospection and Monitoring of Predictability of Financial Returns 0 0 0 45 5 8 13 194
Nonparametric estimation of nonlinear rational expectation models 0 1 1 40 1 2 6 147
Nonparametric regression (in Russian) 0 0 1 19 2 4 5 79
OPTIMAL INSTRUMENTS IN TIME SERIES: A SURVEY 0 1 1 87 0 2 7 277
Objects of nonstructural time series modeling (in Russian) 0 0 1 10 2 3 6 71
Off-diagonal elements of projection matrices and dimension asymptotics 0 0 1 5 2 11 21 30
Optimal instruments (in Russian) 0 0 0 12 7 9 13 163
REDUNDANCY OF LAGGED REGRESSORS REVISITED 0 0 0 11 0 2 3 119
Review of English textbooks in econometrics (in Russian) 0 0 0 34 3 5 7 279
Review of English textbooks in time series analysis (in Russian) 0 0 0 34 2 4 4 204
Ridging out many covariates 1 1 1 1 5 5 5 5
Right on Target, or Is it? The Role of Distributional Shape in Variance Targeting 0 0 0 24 2 5 8 99
SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS 0 0 3 43 13 21 28 174
Sequential Testing with Uniformly Distributed Size 0 0 0 5 7 8 11 22
THE FORM OF THE OPTIMAL NONLINEAR INSTRUMENT FOR MULTIPERIOD CONDITIONAL MOMENT RESTRICTIONS 0 0 0 9 0 1 4 99
Testing for a Functional Form of Mean Regression in a Fully Parametric Environment 0 0 0 7 3 4 5 37
Testing for predictability (in Russian) 0 0 0 13 6 7 7 99
Testing many restrictions under heteroskedasticity 0 0 2 3 2 6 12 15
Tests in contingency tables as regression tests 0 0 0 24 3 4 8 137
The basics of bootstrapping (in Russian) 0 1 2 27 2 8 12 144
The term structure of Russian interest rates 0 0 1 99 3 3 12 872
Trade intensity in the Russian stock market: dynamics, distribution and determinants 0 0 0 75 1 5 10 373
Uncovering the Skewness News Impact Curve 0 0 0 19 2 4 4 75
Unrestricted, restricted, and regularized models for forecasting multivariate volatility 0 0 0 2 1 2 4 9
Using All Observations when Forecasting under Structural Breaks 0 0 0 31 9 11 13 168
Volatility filtering in estimation of kurtosis (and variance) 0 0 0 13 5 7 9 54
Where to find data on the Web? (in Russian) 0 0 0 27 2 3 3 106
Total Journal Articles 6 18 92 2,174 218 399 715 9,988

Software Item File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
VCE_MCOV: Stata module to compute the Leave-Cluster-Out-Crossfit (LCOC) variance estimates for user-chosen coefficients in a linear regression model 0 1 6 25 2 3 21 100
Total Software Items 0 1 6 25 2 3 21 100

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