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 1 2 162 2 3 12 449
Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches 0 0 1 1 0 0 2 19
Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches 0 0 1 149 0 0 4 491
Does Index Arbitrage Distort the Market Reaction to Shocks? 0 0 0 37 0 2 6 68
Dynamic modeling under linear-exponential loss 0 0 0 1 0 0 0 17
Dynamic modeling under linear-exponential loss 0 0 0 106 0 0 0 554
Factor models with many assets: strong factors, weak factors, and the two-pass procedure 0 0 2 65 1 4 11 264
Feasible Optimal Instrumental Variables Estimation of Linear Models with Moving Average Disturbances 0 0 0 0 1 1 1 208
Feasible optimal instrumental variables estimation of linear models with moving average disturbances 0 0 0 52 0 0 0 379
Forecasting dynamic return distributions based on ordered binary choice 1 2 16 277 3 9 47 756
Foreign exchange predictability during the financial crisis: implications for carry trade profitability 0 0 0 162 0 0 1 386
Formation of Market Beliefs in the Oil Market 0 0 2 64 0 1 8 165
Inference about predictive ability when there are many predictors 0 0 0 1 0 0 0 15
Inference about predictive ability when there are many predictors 0 0 0 63 0 0 0 216
Inference in Regression Models with Many Regressors 0 0 0 1 0 0 3 24
Inference in Regression Models with Many Regressors 0 0 0 110 0 0 0 421
Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments 0 0 1 47 0 1 2 200
Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments 0 0 0 46 0 0 1 265
Instrumental variables estimation and inference in the presence of many exogenous regressors 0 0 1 136 0 0 3 407
Instrumental variables estimation and inference in the presence of many exogenous regressors 0 0 0 4 0 0 1 26
Instrumental variables estimation of heteroskedastic linear models using all lags of instruments 0 0 0 39 1 1 2 354
Limit Theorems for Factor Models 0 0 2 57 0 2 5 160
Modeling Financial Return Dynamics by Decomposition 0 0 0 1 1 3 13 46
Modeling Financial Return Dynamics by Decomposition 0 0 0 193 5 6 13 685
Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage 0 0 2 3 1 3 11 41
Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage 0 0 4 81 0 3 11 177
Multivariate return decomposition: theory and implications 0 0 0 44 0 0 0 133
Nonparametric retrospection and monitoring of predictability of financial returns 0 0 0 102 0 0 1 345
Nonparametric retrospection and monitoring of predictability of financial returns 0 0 0 0 0 0 1 24
Optimal Instruments in Time Series: A Survey 0 0 0 209 0 1 5 622
Optimal Instruments in Time Series: A Survey 0 0 0 1 0 0 1 22
Reconstructing high dimensional dynamic distributions from distributions of lower dimension 0 0 1 52 0 0 1 187
Reconstructing high dimensional dynamic distributions from distributions of lower dimension 0 0 0 3 0 0 0 13
Reconstructing high dimensional dynamic distributions from distributions of lower dimension 0 0 0 33 0 0 1 136
Sequential Testing with Uniformly Distributed Size 0 0 2 249 0 0 3 1,060
Sequential Testing with Uniformly Distributed Size 0 0 0 2 0 0 0 22
Shrinkage for Gaussian and t Copulas in Ultra-High Dimensions 0 1 9 27 2 6 29 47
Specification Testing in Models with Many Instruments 0 0 0 82 1 1 1 309
Specification Testing in Models with Many Instruments 0 0 0 0 0 0 0 19
Testing Many Restrictions Under Heteroskedasticity 3 4 8 44 8 11 39 143
Tests in contingency tables as regression tests 0 0 0 110 0 0 1 675
Tests in contingency tables as regression tests 0 0 1 1 0 0 1 17
Trade intensity in the Russian stock market:dynamics, distribution and determinants 0 0 0 189 0 0 0 730
Trade intensity in the Russian stock market:dynamics, distribution and determinants 0 1 1 1 0 2 4 30
Total Working Papers 4 9 56 3,007 26 60 245 11,327

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 66 0 2 8 388
02.6.2. Autoregression and Redundant Instruments—Solution 0 0 0 16 0 0 0 85
03.1.2. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression 0 0 1 10 0 0 2 60
A 10-year retrospective on the determinants of Russian stock returns 0 0 1 48 0 0 4 182
A Trading Approach to Testing for Predictability 1 14 21 243 4 29 45 540
AN ALTERNATIVE TO MAXIMUM LIKELIHOOD BASED ON SPACINGS 0 1 2 25 0 1 2 102
ANOTHER NUMERICAL METHOD OF FINDING CRITICAL VALUES FOR THE ANDREWS STABILITY TEST 0 0 0 17 0 0 1 109
ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS 2 3 5 16 2 3 5 44
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 1 1 1 56
Asymptotic variance under many instruments: Numerical computations 1 1 2 23 1 1 5 101
Asymptotics of near unit roots (in Russian) 0 0 0 19 0 0 0 54
Basics of quasi- and pseudo-likelihood theories (in Russian) 0 1 1 6 0 1 2 29
Copula shrinkage and portfolio allocation in ultra-high dimensions 0 3 3 3 0 3 4 4
Directional news impact curve 1 1 2 4 2 2 6 21
Do spatial structures yield better volatility forecasts? (in Russian) 0 1 1 6 0 1 4 34
Dynamic modeling under linear-exponential loss 0 0 0 28 0 0 5 172
Electoral behavior of US counties: a panel data approach 0 0 0 8 0 0 1 38
Factor models with many assets: Strong factors, weak factors, and the two-pass procedure 2 3 4 4 2 6 13 13
Forecasting dynamic return distributions based on ordered binary choice 0 0 1 16 0 0 2 59
Foreign exchange predictability and the carry trade: A decomposition approach 0 0 0 20 1 1 2 122
GMM, GEL, Serial Correlation, and Asymptotic Bias 1 1 2 246 1 3 6 960
How does the financial market update beliefs about the real economy? Evidence from the oil market 0 1 2 3 0 2 9 15
Inference in regression models with many regressors 0 0 1 18 0 0 1 118
Inference when a nuisance parameter is weakly identified under the null hypothesis 0 0 0 27 0 0 1 132
Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments 0 0 3 38 0 0 3 260
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 0 0 0 3 0 1 1 9
MANY INSTRUMENTS AND/OR REGRESSORS: A FRIENDLY GUIDE 0 0 0 16 0 0 1 55
Making econometric reports (in Russian) 0 0 0 30 0 0 0 116
Mallows criterion for heteroskedastic linear regressions with many regressors 0 1 2 4 0 1 5 11
Many instruments: Implementation in Stata 0 2 7 55 1 5 21 148
Markov chain approximation in bootstrapping autoregressions 0 0 1 12 0 0 3 62
Method-of-moments estimation and choice of instruments: Numerical computations 0 0 0 14 0 0 0 104
Missing mean does no harm to volatility! 0 0 1 24 1 3 10 97
Modeling Financial Return Dynamics via Decomposition 0 0 1 95 0 0 3 270
Modeling and forecasting realized covariance matrices with accounting for leverage 0 0 1 11 0 0 10 60
Multi-Market Direction-of-Change Modeling Using Dependence Ratios 0 0 1 67 0 3 7 220
Multivariate Return Decomposition: Theory and Implications 0 0 0 1 1 1 1 24
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 3 39 0 0 4 140
Nonparametric regression (in Russian) 0 0 1 18 0 0 1 71
OPTIMAL INSTRUMENTS IN TIME SERIES: A SURVEY 0 0 3 85 0 0 3 267
Objects of nonstructural time series modeling (in Russian) 0 0 0 9 0 0 1 61
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 1 34 1 1 3 267
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 1 1 1 86
SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS 0 0 0 39 0 0 0 145
Sequential Testing with Uniformly Distributed Size 0 0 2 3 0 0 3 8
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 1 7 0 0 1 31
Testing for predictability (in Russian) 0 0 0 13 0 0 0 92
Tests in contingency tables as regression tests 0 0 1 24 0 0 1 127
The basics of bootstrapping (in Russian) 0 0 1 23 1 1 3 122
The term structure of Russian interest rates 0 0 0 98 0 0 2 859
Trade intensity in the Russian stock market: dynamics, distribution and determinants 0 0 0 75 0 0 0 363
Uncovering the Skewness News Impact Curve 0 0 3 17 0 2 5 66
Using All Observations when Forecasting under Structural Breaks 0 0 0 29 0 0 1 151
Volatility filtering in estimation of kurtosis (and variance) 0 0 0 12 0 0 5 35
Where to find data on the Web? (in Russian) 0 0 0 26 0 0 0 101
Total Journal Articles 8 33 84 1,955 20 75 228 8,834

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Statistics updated 2023-03-10