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 2 11 473
Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches 0 0 0 153 0 1 25 526
Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches 0 0 0 1 0 0 9 28
Does Index Arbitrage Distort the Market Reaction to Shocks? 0 0 2 44 0 4 26 110
Dynamic modeling under linear-exponential loss 0 0 0 1 0 3 16 35
Dynamic modeling under linear-exponential loss 0 0 0 106 0 4 9 566
Factor models with many assets: strong factors, weak factors, and the two-pass procedure 0 1 1 68 2 7 32 308
Feasible Optimal Instrumental Variables Estimation of Linear Models with Moving Average Disturbances 0 0 0 0 1 3 9 220
Feasible optimal instrumental variables estimation of linear models with moving average disturbances 0 0 0 54 0 0 7 390
Forecasting dynamic return distributions based on ordered binary choice 0 0 4 296 0 3 25 831
Foreign exchange predictability during the financial crisis: implications for carry trade profitability 0 0 0 162 0 1 9 396
Formation of Market Beliefs in the Oil Market 0 0 3 72 1 3 24 204
Inference about predictive ability when there are many predictors 0 0 0 63 0 1 13 231
Inference about predictive ability when there are many predictors 0 0 0 1 0 1 7 25
Inference in Regression Models with Many Regressors 0 0 0 1 0 5 13 41
Inference in Regression Models with Many Regressors 0 0 0 111 0 2 18 442
Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments 0 0 0 47 0 2 7 208
Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments 0 0 0 46 0 1 16 287
Instrumental variables estimation and inference in the presence of many exogenous regressors 0 0 0 4 0 4 14 45
Instrumental variables estimation and inference in the presence of many exogenous regressors 0 0 0 136 1 3 21 430
Instrumental variables estimation of heteroskedastic linear models using all lags of instruments 0 0 0 39 1 3 18 375
Limit Theorems for Factor Models 0 0 0 57 0 4 11 173
Modeling Financial Return Dynamics by Decomposition 0 1 1 6 0 2 9 72
Modeling Financial Return Dynamics by Decomposition 0 0 1 195 1 6 19 725
Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage 0 0 0 8 0 1 8 63
Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage 0 0 0 83 1 1 9 192
Multivariate return decomposition: theory and implications 0 0 0 44 0 3 12 150
Nonparametric retrospection and monitoring of predictability of financial returns 0 0 0 1 0 2 11 39
Nonparametric retrospection and monitoring of predictability of financial returns 0 0 0 102 0 3 13 361
Optimal Instruments in Time Series: A Survey 0 0 0 3 1 4 13 38
Optimal Instruments in Time Series: A Survey 0 1 1 210 1 5 16 640
Reconstructing high dimensional dynamic distributions from distributions of lower dimension 0 0 0 33 0 1 12 154
Reconstructing high dimensional dynamic distributions from distributions of lower dimension 0 0 0 3 0 2 22 42
Reconstructing high dimensional dynamic distributions from distributions of lower dimension 0 0 0 52 0 1 14 204
Sequential Testing with Uniformly Distributed Size 0 0 0 2 1 3 13 37
Sequential Testing with Uniformly Distributed Size 0 0 0 250 0 1 13 1,076
Shrinkage for Gaussian and t Copulas in Ultra-High Dimensions 1 1 2 36 3 8 27 105
Specification Testing in Models with Many Instruments 0 0 0 82 0 5 68 378
Specification Testing in Models with Many Instruments 0 0 0 2 0 3 25 48
Testing Many Restrictions Under Heteroskedasticity 0 0 1 60 1 3 17 190
Tests in contingency tables as regression tests 0 0 0 111 0 5 12 692
Tests in contingency tables as regression tests 0 0 0 2 0 1 16 37
Trade intensity in the Russian stock market:dynamics, distribution and determinants 0 0 1 2 0 4 10 49
Trade intensity in the Russian stock market:dynamics, distribution and determinants 0 0 0 190 0 10 20 760
Total Working Papers 1 4 17 3,103 15 131 719 12,396
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 0 70 1 5 8 424
02.6.2. Autoregression and Redundant Instruments—Solution 0 0 0 16 0 3 9 97
03.1.2. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression 0 0 0 10 0 3 8 68
A 10-year retrospective on the determinants of Russian stock returns 0 0 0 51 0 1 9 198
A Trading Approach to Testing for Predictability 1 2 42 345 5 18 118 763
AN ALTERNATIVE TO MAXIMUM LIKELIHOOD BASED ON SPACINGS 0 1 1 27 1 3 8 116
ANOTHER NUMERICAL METHOD OF FINDING CRITICAL VALUES FOR THE ANDREWS STABILITY TEST 0 0 0 17 0 4 8 118
ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS 0 0 0 21 0 1 12 63
Almost unbiased variance estimation in linear regressions with many covariates 0 0 0 5 0 7 14 44
An algorithm for constructing high dimensional distributions from distributions of lower dimension 0 0 0 7 0 3 17 77
Asymptotic variance under many instruments: Numerical computations 0 0 0 28 0 3 10 123
Asymptotics of near unit roots (in Russian) 0 0 0 21 0 2 19 77
Basics of quasi- and pseudo-likelihood theories (in Russian) 0 0 0 8 0 2 10 49
Copula shrinkage and portfolio allocation in ultra-high dimensions 0 0 2 7 0 5 15 28
Directional news impact curve 0 0 1 7 0 4 17 47
Do spatial structures yield better volatility forecasts? (in Russian) 0 0 1 8 0 1 11 48
Dynamic modeling under linear-exponential loss 0 0 0 29 0 7 12 192
Electoral behavior of US counties: a panel data approach 0 0 0 8 0 6 10 49
Factor models with many assets: Strong factors, weak factors, and the two-pass procedure 0 0 1 13 0 4 20 75
Forecasting dynamic return distributions based on ordered binary choice 0 0 1 18 0 2 17 84
Foreign exchange predictability and the carry trade: A decomposition approach 0 0 0 24 3 6 16 159
GMM, GEL, Serial Correlation, and Asymptotic Bias 0 0 1 248 0 2 16 982
How does the financial market update beliefs about the real economy? Evidence from the oil market 0 0 0 6 0 1 9 34
Inference in regression models with many regressors 0 0 0 21 0 0 10 136
Inference when a nuisance parameter is weakly identified under the null hypothesis 0 0 0 27 0 4 12 150
Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments 0 0 0 39 0 2 15 280
Instrumental variables estimation and inference in the presence of many exogenous regressors 0 0 0 0 1 5 12 95
Kernel estimation under linear-exponential loss 0 0 0 17 0 3 5 130
LIMIT THEOREMS FOR FACTOR MODELS 0 0 0 5 0 0 17 30
MANY INSTRUMENTS AND/OR REGRESSORS: A FRIENDLY GUIDE 0 0 0 19 0 1 6 70
Making econometric reports (in Russian) 0 0 0 30 0 2 8 125
Mallows criterion for heteroskedastic linear regressions with many regressors 0 0 0 4 0 1 10 24
Many covariate and cluster robust estimation and inference 0 1 1 1 0 2 2 2
Many instruments: Implementation in Stata 0 0 1 61 1 3 10 176
Markov chain approximation in bootstrapping autoregressions 0 0 0 15 0 7 26 98
Method-of-moments estimation and choice of instruments: Numerical computations 0 0 0 15 1 5 10 118
Missing mean does no harm to volatility! 0 1 2 27 0 4 10 113
Modeling Financial Return Dynamics via Decomposition 1 2 3 103 2 5 22 307
Modeling and forecasting realized covariance matrices with accounting for leverage 1 1 2 18 1 1 15 95
Multi-Market Direction-of-Change Modeling Using Dependence Ratios 0 0 2 69 0 2 12 252
Multivariate Return Decomposition: Theory and Implications 0 0 0 1 0 1 11 39
Nonparametric Retrospection and Monitoring of Predictability of Financial Returns 0 0 1 46 0 1 21 202
Nonparametric estimation of nonlinear rational expectation models 0 0 1 40 0 1 7 149
Nonparametric regression (in Russian) 0 0 0 19 1 3 9 84
OPTIMAL INSTRUMENTS IN TIME SERIES: A SURVEY 0 0 1 87 1 4 12 283
Objects of nonstructural time series modeling (in Russian) 0 0 1 10 1 4 11 77
Off-diagonal elements of projection matrices and dimension asymptotics 0 1 2 6 1 7 21 37
Optimal instruments (in Russian) 0 0 0 12 1 1 13 164
REDUNDANCY OF LAGGED REGRESSORS REVISITED 0 0 0 11 1 2 5 122
Review of English textbooks in econometrics (in Russian) 0 0 0 34 0 0 7 281
Review of English textbooks in time series analysis (in Russian) 0 0 0 34 0 2 7 207
Ridging out many covariates 0 0 1 1 1 4 11 11
Right on Target, or Is it? The Role of Distributional Shape in Variance Targeting 0 0 0 24 0 3 10 103
SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS 1 1 2 44 6 8 48 197
Sequential Testing with Uniformly Distributed Size 0 0 0 5 0 0 10 22
THE FORM OF THE OPTIMAL NONLINEAR INSTRUMENT FOR MULTIPERIOD CONDITIONAL MOMENT RESTRICTIONS 0 0 0 9 0 2 5 101
Testing for a Functional Form of Mean Regression in a Fully Parametric Environment 0 0 0 7 0 0 4 37
Testing for predictability (in Russian) 0 0 0 13 0 3 10 102
Testing many restrictions under heteroskedasticity 0 0 3 4 1 133 148 152
Tests in contingency tables as regression tests 0 0 0 24 0 0 7 137
The basics of bootstrapping (in Russian) 1 1 2 28 1 5 16 152
The term structure of Russian interest rates 0 0 0 99 0 2 14 876
Trade intensity in the Russian stock market: dynamics, distribution and determinants 0 0 0 75 1 5 16 380
Uncovering the Skewness News Impact Curve 0 0 0 19 0 4 10 81
Unrestricted, restricted, and regularized models for forecasting multivariate volatility 0 0 0 2 1 3 8 15
Using All Observations when Forecasting under Structural Breaks 0 0 0 31 1 4 19 176
Volatility filtering in estimation of kurtosis (and variance) 1 1 1 14 1 6 14 60
Where to find data on the Web? (in Russian) 0 0 0 27 0 0 3 106
Total Journal Articles 6 12 76 2,191 35 348 1,072 10,469

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 1 1 4 26 1 1 11 105
Total Software Items 1 1 4 26 1 1 11 105

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