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 1 1 1 165 2 2 13 475
Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches 0 0 0 1 0 1 9 29
Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches 0 0 0 153 0 0 22 526
Does Index Arbitrage Distort the Market Reaction to Shocks? 0 0 1 44 1 1 23 111
Dynamic modeling under linear-exponential loss 0 0 0 1 0 0 16 35
Dynamic modeling under linear-exponential loss 0 0 0 106 1 1 10 567
Factor models with many assets: strong factors, weak factors, and the two-pass procedure 0 0 1 68 0 2 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 0 1 8 391
Forecasting dynamic return distributions based on ordered binary choice 0 1 4 297 4 5 29 836
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 0 2 24 205
Inference about predictive ability when there are many predictors 0 0 0 63 1 1 13 232
Inference about predictive ability when there are many predictors 0 0 0 1 0 0 6 25
Inference in Regression Models with Many Regressors 0 0 0 111 1 1 19 443
Inference in Regression Models with Many Regressors 0 0 0 1 1 1 13 42
Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments 0 0 0 47 1 2 9 210
Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments 0 0 0 46 0 1 17 288
Instrumental variables estimation and inference in the presence of many exogenous regressors 0 0 0 136 0 2 22 431
Instrumental variables estimation and inference in the presence of many exogenous regressors 0 0 0 4 1 2 15 47
Instrumental variables estimation of heteroskedastic linear models using all lags of instruments 1 1 1 40 1 2 17 376
Limit Theorems for Factor Models 0 0 0 57 2 2 12 175
Modeling Financial Return Dynamics by Decomposition 0 0 1 6 1 1 9 73
Modeling Financial Return Dynamics by Decomposition 0 0 0 195 2 3 20 727
Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage 0 0 0 83 1 2 8 193
Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage 0 0 0 8 2 2 10 65
Multivariate return decomposition: theory and implications 0 0 0 44 1 2 13 152
Nonparametric retrospection and monitoring of predictability of financial returns 0 0 0 1 0 0 9 39
Nonparametric retrospection and monitoring of predictability of financial returns 0 0 0 102 3 3 15 364
Optimal Instruments in Time Series: A Survey 0 0 0 3 1 3 14 40
Optimal Instruments in Time Series: A Survey 0 0 1 210 1 2 16 641
Reconstructing high dimensional dynamic distributions from distributions of lower dimension 0 0 0 52 0 0 14 204
Reconstructing high dimensional dynamic distributions from distributions of lower dimension 1 1 1 4 1 2 22 44
Reconstructing high dimensional dynamic distributions from distributions of lower dimension 0 0 0 33 0 0 11 154
Sequential Testing with Uniformly Distributed Size 0 0 0 2 0 1 12 37
Sequential Testing with Uniformly Distributed Size 0 0 0 250 3 3 15 1,079
Shrinkage for Gaussian and t Copulas in Ultra-High Dimensions 0 1 2 36 3 6 29 108
Specification Testing in Models with Many Instruments 0 0 0 2 1 1 26 49
Specification Testing in Models with Many Instruments 0 0 0 82 0 0 68 378
Testing Many Restrictions Under Heteroskedasticity 0 0 1 60 2 4 19 193
Tests in contingency tables as regression tests 0 0 0 2 1 1 16 38
Tests in contingency tables as regression tests 0 0 0 111 1 1 13 693
Trade intensity in the Russian stock market:dynamics, distribution and determinants 0 0 0 2 2 2 11 51
Trade intensity in the Russian stock market:dynamics, distribution and determinants 0 0 0 190 0 0 19 760
Total Working Papers 3 5 17 3,107 42 69 736 12,450
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 2 9 425
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 0 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 2 3 19 347 4 10 67 768
AIC for many-regressor heteroskedastic regressions 0 1 1 1 1 4 4 4
AN ALTERNATIVE TO MAXIMUM LIKELIHOOD BASED ON SPACINGS 0 1 2 28 0 2 9 117
ANOTHER NUMERICAL METHOD OF FINDING CRITICAL VALUES FOR THE ANDREWS STABILITY TEST 0 0 0 17 0 0 8 118
ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS 1 1 1 22 1 2 14 65
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 0 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 1 1 11 50
Copula shrinkage and portfolio allocation in ultra-high dimensions 0 0 2 7 0 1 15 29
Directional news impact curve 0 0 0 7 1 1 17 48
Do spatial structures yield better volatility forecasts? (in Russian) 0 0 1 8 0 1 11 49
Dynamic modeling under linear-exponential loss 0 0 0 29 1 1 11 193
Electoral behavior of US counties: a panel data approach 0 0 0 8 0 0 10 49
Factor models with many assets: Strong factors, weak factors, and the two-pass procedure 1 1 2 14 1 3 22 78
Forecasting dynamic return distributions based on ordered binary choice 0 0 1 18 0 1 18 85
Foreign exchange predictability and the carry trade: A decomposition approach 0 0 0 24 0 3 16 159
GMM, GEL, Serial Correlation, and Asymptotic Bias 0 0 0 248 0 1 15 983
How does the financial market update beliefs about the real economy? Evidence from the oil market 0 0 0 6 1 2 11 36
Inference in regression models with many regressors 0 0 0 21 1 1 11 137
Inference when a nuisance parameter is weakly identified under the null hypothesis 0 0 0 27 1 1 12 151
Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments 0 0 0 39 1 1 13 281
Instrumental variables estimation and inference in the presence of many exogenous regressors 0 0 0 0 1 3 13 97
Kernel estimation under linear-exponential loss 0 0 0 17 0 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 0 2 10 127
Mallows criterion for heteroskedastic linear regressions with many regressors 0 0 0 4 0 2 11 26
Many covariate and cluster robust estimation and inference 0 0 1 1 1 2 4 4
Many instruments: Implementation in Stata 0 0 1 61 0 2 11 177
Markov chain approximation in bootstrapping autoregressions 0 0 0 15 0 1 27 99
Method-of-moments estimation and choice of instruments: Numerical computations 0 0 0 15 0 1 10 118
Missing mean does no harm to volatility! 0 0 2 27 1 1 10 114
Modeling Financial Return Dynamics via Decomposition 0 1 3 103 3 6 25 311
Modeling and forecasting realized covariance matrices with accounting for leverage 0 1 2 18 0 3 15 97
Multi-Market Direction-of-Change Modeling Using Dependence Ratios 0 0 2 69 0 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 1 1 19 203
Nonparametric estimation of nonlinear rational expectation models 0 0 1 40 1 1 6 150
Nonparametric regression (in Russian) 0 0 0 19 1 3 11 86
OPTIMAL INSTRUMENTS IN TIME SERIES: A SURVEY 0 0 1 87 1 2 11 284
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 0 2 6 2 3 22 39
Optimal instruments (in Russian) 0 0 0 12 0 1 13 164
REDUNDANCY OF LAGGED REGRESSORS REVISITED 0 0 0 11 0 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 2 2 9 209
Ridging out many covariates 0 0 1 1 0 2 12 12
Right on Target, or Is it? The Role of Distributional Shape in Variance Targeting 0 0 0 24 1 1 11 104
SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS 0 2 3 45 8 29 70 220
Sequential Testing with Uniformly Distributed Size 0 0 0 5 0 1 9 23
THE FORM OF THE OPTIMAL NONLINEAR INSTRUMENT FOR MULTIPERIOD CONDITIONAL MOMENT RESTRICTIONS 0 0 0 9 1 1 6 102
Testing for a Functional Form of Mean Regression in a Fully Parametric Environment 0 0 0 7 1 1 5 38
Testing for predictability (in Russian) 0 0 0 13 0 0 10 102
Testing many restrictions under heteroskedasticity 1 1 2 5 3 4 149 155
Tests in contingency tables as regression tests 0 0 0 24 0 0 4 137
The basics of bootstrapping (in Russian) 0 1 2 28 0 1 16 152
The term structure of Russian interest rates 0 0 0 99 1 1 14 877
Trade intensity in the Russian stock market: dynamics, distribution and determinants 0 0 0 75 1 2 15 381
Uncovering the Skewness News Impact Curve 0 0 0 19 0 0 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 1 14 60
Where to find data on the Web? (in Russian) 0 0 0 27 0 0 3 106
Total Journal Articles 5 14 54 2,199 45 128 1,064 10,562

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 3 26 0 2 11 106
Total Software Items 0 1 3 26 0 2 11 106

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