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 |