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 0 11 473
Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches 0 0 0 1 1 1 10 29
Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches 0 0 0 153 0 0 23 526
Does Index Arbitrage Distort the Market Reaction to Shocks? 0 0 1 44 0 1 24 110
Dynamic modeling under linear-exponential loss 0 0 0 1 0 0 16 35
Dynamic modeling under linear-exponential loss 0 0 0 106 0 0 9 566
Factor models with many assets: strong factors, weak factors, and the two-pass procedure 0 0 1 68 0 4 32 308
Feasible Optimal Instrumental Variables Estimation of Linear Models with Moving Average Disturbances 0 0 0 0 0 1 9 220
Feasible optimal instrumental variables estimation of linear models with moving average disturbances 0 0 0 54 1 1 8 391
Forecasting dynamic return distributions based on ordered binary choice 1 1 5 297 1 2 26 832
Foreign exchange predictability during the financial crisis: implications for carry trade profitability 0 0 0 162 0 0 9 396
Formation of Market Beliefs in the Oil Market 0 0 3 72 1 2 24 205
Inference about predictive ability when there are many predictors 0 0 0 1 0 0 6 25
Inference about predictive ability when there are many predictors 0 0 0 63 0 0 13 231
Inference in Regression Models with Many Regressors 0 0 0 111 0 0 18 442
Inference in Regression Models with Many Regressors 0 0 0 1 0 1 13 41
Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments 0 0 0 47 1 1 8 209
Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments 0 0 0 46 1 1 17 288
Instrumental variables estimation and inference in the presence of many exogenous regressors 0 0 0 136 1 2 22 431
Instrumental variables estimation and inference in the presence of many exogenous regressors 0 0 0 4 1 2 15 46
Instrumental variables estimation of heteroskedastic linear models using all lags of instruments 0 0 0 39 0 2 18 375
Limit Theorems for Factor Models 0 0 0 57 0 0 10 173
Modeling Financial Return Dynamics by Decomposition 0 0 1 6 0 0 8 72
Modeling Financial Return Dynamics by Decomposition 0 0 0 195 0 1 18 725
Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage 0 0 0 8 0 0 8 63
Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage 0 0 0 83 0 1 8 192
Multivariate return decomposition: theory and implications 0 0 0 44 1 1 13 151
Nonparametric retrospection and monitoring of predictability of financial returns 0 0 0 1 0 0 11 39
Nonparametric retrospection and monitoring of predictability of financial returns 0 0 0 102 0 1 13 361
Optimal Instruments in Time Series: A Survey 0 0 0 3 1 2 14 39
Optimal Instruments in Time Series: A Survey 0 0 1 210 0 1 16 640
Reconstructing high dimensional dynamic distributions from distributions of lower dimension 0 0 0 33 0 0 11 154
Reconstructing high dimensional dynamic distributions from distributions of lower dimension 0 0 0 3 1 1 23 43
Reconstructing high dimensional dynamic distributions from distributions of lower dimension 0 0 0 52 0 0 14 204
Sequential Testing with Uniformly Distributed Size 0 0 0 250 0 0 12 1,076
Sequential Testing with Uniformly Distributed Size 0 0 0 2 0 1 13 37
Shrinkage for Gaussian and t Copulas in Ultra-High Dimensions 0 1 2 36 0 3 26 105
Specification Testing in Models with Many Instruments 0 0 0 82 0 2 68 378
Specification Testing in Models with Many Instruments 0 0 0 2 0 1 25 48
Testing Many Restrictions Under Heteroskedasticity 0 0 1 60 1 2 17 191
Tests in contingency tables as regression tests 0 0 0 111 0 0 12 692
Tests in contingency tables as regression tests 0 0 0 2 0 0 16 37
Trade intensity in the Russian stock market:dynamics, distribution and determinants 0 0 0 190 0 1 20 760
Trade intensity in the Russian stock market:dynamics, distribution and determinants 0 0 0 2 0 0 9 49
Total Working Papers 1 2 15 3,104 12 39 716 12,408
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 0 3 8 424
02.6.2. Autoregression and Redundant Instruments—Solution 0 0 0 16 0 0 9 97
03.1.2. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression 0 0 0 10 1 1 9 69
A 10-year retrospective on the determinants of Russian stock returns 0 0 0 51 0 0 9 198
A Trading Approach to Testing for Predictability 0 1 21 345 1 11 79 764
AIC for many-regressor heteroskedastic regressions 1 1 1 1 3 3 3 3
AN ALTERNATIVE TO MAXIMUM LIKELIHOOD BASED ON SPACINGS 1 1 2 28 1 2 9 117
ANOTHER NUMERICAL METHOD OF FINDING CRITICAL VALUES FOR THE ANDREWS STABILITY TEST 0 0 0 17 0 1 8 118
ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS 0 0 0 21 1 2 13 64
Almost unbiased variance estimation in linear regressions with many covariates 0 0 0 5 0 0 13 44
An algorithm for constructing high dimensional distributions from distributions of lower dimension 0 0 0 7 0 0 15 77
Asymptotic variance under many instruments: Numerical computations 0 0 0 28 1 1 10 124
Asymptotics of near unit roots (in Russian) 0 0 0 21 0 0 18 77
Basics of quasi- and pseudo-likelihood theories (in Russian) 0 0 0 8 0 0 10 49
Copula shrinkage and portfolio allocation in ultra-high dimensions 0 0 2 7 1 3 15 29
Directional news impact curve 0 0 1 7 0 0 17 47
Do spatial structures yield better volatility forecasts? (in Russian) 0 0 1 8 1 1 11 49
Dynamic modeling under linear-exponential loss 0 0 0 29 0 2 10 192
Electoral behavior of US counties: a panel data approach 0 0 0 8 0 3 10 49
Factor models with many assets: Strong factors, weak factors, and the two-pass procedure 0 0 1 13 2 3 22 77
Forecasting dynamic return distributions based on ordered binary choice 0 0 1 18 1 2 18 85
Foreign exchange predictability and the carry trade: A decomposition approach 0 0 0 24 0 4 16 159
GMM, GEL, Serial Correlation, and Asymptotic Bias 0 0 0 248 1 1 16 983
How does the financial market update beliefs about the real economy? Evidence from the oil market 0 0 0 6 1 1 10 35
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 0 11 150
Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments 0 0 0 39 0 0 13 280
Instrumental variables estimation and inference in the presence of many exogenous regressors 0 0 0 0 1 4 13 96
Kernel estimation under linear-exponential loss 0 0 0 17 2 2 6 132
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 0 6 70
Making econometric reports (in Russian) 0 0 0 30 2 2 10 127
Mallows criterion for heteroskedastic linear regressions with many regressors 0 0 0 4 2 2 11 26
Many covariate and cluster robust estimation and inference 0 0 1 1 1 2 3 3
Many instruments: Implementation in Stata 0 0 1 61 1 3 11 177
Markov chain approximation in bootstrapping autoregressions 0 0 0 15 1 3 27 99
Method-of-moments estimation and choice of instruments: Numerical computations 0 0 0 15 0 2 10 118
Missing mean does no harm to volatility! 0 0 2 27 0 1 10 113
Modeling Financial Return Dynamics via Decomposition 0 1 3 103 1 3 22 308
Modeling and forecasting realized covariance matrices with accounting for leverage 0 1 2 18 2 3 15 97
Multi-Market Direction-of-Change Modeling Using Dependence Ratios 0 0 2 69 1 1 12 253
Multivariate Return Decomposition: Theory and Implications 0 0 0 1 0 0 11 39
Nonparametric Retrospection and Monitoring of Predictability of Financial Returns 0 0 1 46 0 0 19 202
Nonparametric estimation of nonlinear rational expectation models 0 0 1 40 0 0 5 149
Nonparametric regression (in Russian) 0 0 0 19 1 2 10 85
OPTIMAL INSTRUMENTS IN TIME SERIES: A SURVEY 0 0 1 87 0 1 11 283
Objects of nonstructural time series modeling (in Russian) 0 0 0 10 0 1 10 77
Off-diagonal elements of projection matrices and dimension asymptotics 0 1 2 6 0 3 20 37
Optimal instruments (in Russian) 0 0 0 12 0 1 13 164
REDUNDANCY OF LAGGED REGRESSORS REVISITED 0 0 0 11 1 2 6 123
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 0 7 207
Ridging out many covariates 0 0 1 1 1 3 12 12
Right on Target, or Is it? The Role of Distributional Shape in Variance Targeting 0 0 0 24 0 2 10 103
SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS 1 2 3 45 15 21 63 212
Sequential Testing with Uniformly Distributed Size 0 0 0 5 1 1 10 23
THE FORM OF THE OPTIMAL NONLINEAR INSTRUMENT FOR MULTIPERIOD CONDITIONAL MOMENT RESTRICTIONS 0 0 0 9 0 1 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 0 10 102
Testing many restrictions under heteroskedasticity 0 0 2 4 0 128 147 152
Tests in contingency tables as regression tests 0 0 0 24 0 0 5 137
The basics of bootstrapping (in Russian) 0 1 2 28 0 2 16 152
The term structure of Russian interest rates 0 0 0 99 0 2 13 876
Trade intensity in the Russian stock market: dynamics, distribution and determinants 0 0 0 75 0 1 15 380
Uncovering the Skewness News Impact Curve 0 0 0 19 0 1 10 81
Unrestricted, restricted, and regularized models for forecasting multivariate volatility 0 0 0 2 0 1 8 15
Using All Observations when Forecasting under Structural Breaks 0 0 0 31 0 1 19 176
Volatility filtering in estimation of kurtosis (and variance) 0 1 1 14 0 2 14 60
Where to find data on the Web? (in Russian) 0 0 0 27 0 0 3 106
Total Journal Articles 3 10 55 2,194 48 248 1,048 10,517

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 4 26 1 2 12 106
Total Software Items 0 1 4 26 1 2 12 106

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