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 0 6 10 471
Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches 0 0 0 1 0 4 8 27
Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches 0 0 0 153 1 18 24 524
Does Index Arbitrage Distort the Market Reaction to Shocks? 1 1 2 44 3 11 19 103
Dynamic modeling under linear-exponential loss 0 0 0 1 2 12 13 32
Dynamic modeling under linear-exponential loss 0 0 0 106 0 1 4 561
Factor models with many assets: strong factors, weak factors, and the two-pass procedure 0 0 0 67 3 14 22 298
Feasible Optimal Instrumental Variables Estimation of Linear Models with Moving Average Disturbances 0 0 0 0 0 3 4 215
Feasible optimal instrumental variables estimation of linear models with moving average disturbances 0 0 0 54 0 4 6 389
Forecasting dynamic return distributions based on ordered binary choice 0 1 5 296 2 13 21 825
Foreign exchange predictability during the financial crisis: implications for carry trade profitability 0 0 0 162 2 4 8 395
Formation of Market Beliefs in the Oil Market 0 0 2 71 6 12 20 199
Inference about predictive ability when there are many predictors 0 0 0 1 0 5 7 24
Inference about predictive ability when there are many predictors 0 0 0 63 0 5 11 229
Inference in Regression Models with Many Regressors 0 0 0 1 0 5 8 36
Inference in Regression Models with Many Regressors 0 0 0 111 6 15 16 440
Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments 0 0 0 46 0 11 16 286
Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments 0 0 0 47 1 5 5 206
Instrumental variables estimation and inference in the presence of many exogenous regressors 0 0 0 136 4 11 16 425
Instrumental variables estimation and inference in the presence of many exogenous regressors 0 0 0 4 1 3 8 39
Instrumental variables estimation of heteroskedastic linear models using all lags of instruments 0 0 0 39 4 9 14 371
Limit Theorems for Factor Models 0 0 0 57 0 5 7 169
Modeling Financial Return Dynamics by Decomposition 0 0 1 195 1 8 14 719
Modeling Financial Return Dynamics by Decomposition 0 0 2 5 2 5 9 70
Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage 0 0 0 83 0 6 8 191
Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage 0 0 0 8 0 4 8 62
Multivariate return decomposition: theory and implications 0 0 0 44 0 8 9 147
Nonparametric retrospection and monitoring of predictability of financial returns 0 0 0 1 0 4 9 37
Nonparametric retrospection and monitoring of predictability of financial returns 0 0 0 102 0 5 8 356
Optimal Instruments in Time Series: A Survey 0 0 0 209 0 4 12 635
Optimal Instruments in Time Series: A Survey 0 0 0 3 0 6 9 34
Reconstructing high dimensional dynamic distributions from distributions of lower dimension 0 0 0 33 1 9 10 152
Reconstructing high dimensional dynamic distributions from distributions of lower dimension 0 0 0 3 3 13 20 40
Reconstructing high dimensional dynamic distributions from distributions of lower dimension 0 0 0 52 3 8 12 202
Sequential Testing with Uniformly Distributed Size 0 0 0 250 1 7 12 1,075
Sequential Testing with Uniformly Distributed Size 0 0 0 2 2 5 8 32
Shrinkage for Gaussian and t Copulas in Ultra-High Dimensions 0 1 1 35 0 8 17 94
Specification Testing in Models with Many Instruments 0 0 0 82 17 46 55 365
Specification Testing in Models with Many Instruments 0 0 2 2 5 16 25 45
Testing Many Restrictions Under Heteroskedasticity 1 1 1 60 1 7 13 186
Tests in contingency tables as regression tests 0 0 0 111 2 5 7 687
Tests in contingency tables as regression tests 0 0 0 2 2 12 15 36
Trade intensity in the Russian stock market:dynamics, distribution and determinants 0 0 1 2 0 3 8 45
Trade intensity in the Russian stock market:dynamics, distribution and determinants 0 0 0 190 1 8 12 750
Total Working Papers 2 4 17 3,098 76 373 567 12,224
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 0 2 12 418
02.6.2. Autoregression and Redundant Instruments—Solution 0 0 0 16 0 5 7 94
03.1.2. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression 0 0 0 10 0 2 4 64
A 10-year retrospective on the determinants of Russian stock returns 0 0 0 51 0 5 8 197
A Trading Approach to Testing for Predictability 0 7 58 343 6 29 140 744
AN ALTERNATIVE TO MAXIMUM LIKELIHOOD BASED ON SPACINGS 0 0 0 26 0 3 5 112
ANOTHER NUMERICAL METHOD OF FINDING CRITICAL VALUES FOR THE ANDREWS STABILITY TEST 0 0 0 17 0 3 4 114
ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS 0 0 0 21 1 5 10 61
Almost unbiased variance estimation in linear regressions with many covariates 0 0 0 5 1 5 7 37
An algorithm for constructing high dimensional distributions from distributions of lower dimension 0 0 0 7 0 7 14 74
Asymptotic variance under many instruments: Numerical computations 0 0 1 28 0 3 9 120
Asymptotics of near unit roots (in Russian) 0 0 1 21 4 14 17 74
Basics of quasi- and pseudo-likelihood theories (in Russian) 0 0 0 8 0 5 7 45
Copula shrinkage and portfolio allocation in ultra-high dimensions 0 0 1 6 2 2 8 20
Directional news impact curve 0 0 1 7 0 6 14 43
Do spatial structures yield better volatility forecasts? (in Russian) 0 1 1 8 1 9 10 47
Dynamic modeling under linear-exponential loss 0 0 0 29 1 2 5 184
Electoral behavior of US counties: a panel data approach 0 0 0 8 2 4 4 43
Factor models with many assets: Strong factors, weak factors, and the two-pass procedure 0 1 1 13 6 14 16 71
Forecasting dynamic return distributions based on ordered binary choice 0 1 1 18 3 12 16 82
Foreign exchange predictability and the carry trade: A decomposition approach 0 0 0 24 4 4 9 150
GMM, GEL, Serial Correlation, and Asymptotic Bias 0 0 1 248 2 7 14 979
How does the financial market update beliefs about the real economy? Evidence from the oil market 0 0 0 6 1 4 7 31
Inference in regression models with many regressors 0 0 0 21 1 6 11 136
Inference when a nuisance parameter is weakly identified under the null hypothesis 0 0 0 27 0 6 8 146
Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments 0 0 0 39 2 8 12 277
Instrumental variables estimation and inference in the presence of many exogenous regressors 0 0 0 0 0 4 7 90
Kernel estimation under linear-exponential loss 0 0 0 17 0 1 2 127
LIMIT THEOREMS FOR FACTOR MODELS 0 0 0 5 3 14 17 29
MANY INSTRUMENTS AND/OR REGRESSORS: A FRIENDLY GUIDE 0 0 0 19 0 4 5 69
Making econometric reports (in Russian) 0 0 0 30 1 5 6 123
Mallows criterion for heteroskedastic linear regressions with many regressors 0 0 0 4 2 6 10 23
Many instruments: Implementation in Stata 1 1 1 61 1 4 7 172
Markov chain approximation in bootstrapping autoregressions 0 0 0 15 3 16 19 90
Method-of-moments estimation and choice of instruments: Numerical computations 0 0 0 15 0 4 5 113
Missing mean does no harm to volatility! 0 1 1 26 0 2 6 109
Modeling Financial Return Dynamics via Decomposition 0 0 1 101 1 10 15 300
Modeling and forecasting realized covariance matrices with accounting for leverage 0 0 2 17 1 6 15 93
Multi-Market Direction-of-Change Modeling Using Dependence Ratios 0 1 1 68 1 6 9 249
Multivariate Return Decomposition: Theory and Implications 0 0 0 1 1 5 10 38
Nonparametric Retrospection and Monitoring of Predictability of Financial Returns 0 0 0 45 3 9 16 197
Nonparametric estimation of nonlinear rational expectation models 0 0 1 40 0 1 6 147
Nonparametric regression (in Russian) 0 0 1 19 2 6 7 81
OPTIMAL INSTRUMENTS IN TIME SERIES: A SURVEY 0 0 1 87 0 1 7 277
Objects of nonstructural time series modeling (in Russian) 0 0 1 10 1 4 6 72
Off-diagonal elements of projection matrices and dimension asymptotics 0 0 1 5 0 7 15 30
Optimal instruments (in Russian) 0 0 0 12 0 7 13 163
REDUNDANCY OF LAGGED REGRESSORS REVISITED 0 0 0 11 0 1 3 119
Review of English textbooks in econometrics (in Russian) 0 0 0 34 2 7 9 281
Review of English textbooks in time series analysis (in Russian) 0 0 0 34 0 3 4 204
Ridging out many covariates 0 1 1 1 2 7 7 7
Right on Target, or Is it? The Role of Distributional Shape in Variance Targeting 0 0 0 24 1 4 8 100
SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS 0 0 3 43 12 30 40 186
Sequential Testing with Uniformly Distributed Size 0 0 0 5 0 8 11 22
THE FORM OF THE OPTIMAL NONLINEAR INSTRUMENT FOR MULTIPERIOD CONDITIONAL MOMENT RESTRICTIONS 0 0 0 9 0 1 3 99
Testing for a Functional Form of Mean Regression in a Fully Parametric Environment 0 0 0 7 0 3 4 37
Testing for predictability (in Russian) 0 0 0 13 0 7 7 99
Testing many restrictions under heteroskedasticity 1 1 3 4 2 7 14 17
Tests in contingency tables as regression tests 0 0 0 24 0 4 7 137
The basics of bootstrapping (in Russian) 0 0 2 27 1 8 11 145
The term structure of Russian interest rates 0 0 1 99 0 3 11 872
Trade intensity in the Russian stock market: dynamics, distribution and determinants 0 0 0 75 1 3 11 374
Uncovering the Skewness News Impact Curve 0 0 0 19 1 5 5 76
Unrestricted, restricted, and regularized models for forecasting multivariate volatility 0 0 0 2 1 2 4 10
Using All Observations when Forecasting under Structural Breaks 0 0 0 31 4 14 17 172
Volatility filtering in estimation of kurtosis (and variance) 0 0 0 13 0 7 9 54
Where to find data on the Web? (in Russian) 0 0 0 27 0 3 3 106
Total Journal Articles 2 15 89 2,176 84 421 769 10,072

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 0 4 25 2 4 15 102
Total Software Items 0 0 4 25 2 4 15 102

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