Details about Stanislav Anatolyev

Access statistics for papers by Stanislav Anatolyev.

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Short-id: pan48

Working Papers

2023

1. Testing Many Restrictions Under Heteroskedasticity
   Papers, arXiv.org View citations (5)
   See also Journal Article Testing many restrictions under heteroskedasticity, Journal of Econometrics, Elsevier (2023) View citations (4) (2023)

2021

2. Shrinkage for Gaussian and t Copulas in Ultra-High Dimensions
   CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague

2020

3. Limit Theorems for Factor Models
   Papers, arXiv.org View citations (1)
   See also Journal Article LIMIT THEOREMS FOR FACTOR MODELS, Econometric Theory, Cambridge University Press (2021) View citations (3) (2021)

2019

4. Does Index Arbitrage Distort the Market Reaction to Shocks?
   CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague
5. Factor models with many assets: strong factors, weak factors, and the two-pass procedure
   Papers, arXiv.org View citations (4)
   See also Journal Article Factor models with many assets: Strong factors, weak factors, and the two-pass procedure, Journal of Econometrics, Elsevier (2022) View citations (9) (2022)
6. Forecasting dynamic return distributions based on ordered binary choice
   Papers, arXiv.org View citations (6)
   See also Journal Article Forecasting dynamic return distributions based on ordered binary choice, International Journal of Forecasting, Elsevier (2019) View citations (4) (2019)

2018

7. Formation of Market Beliefs in the Oil Market
   CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague View citations (1)

2015

8. Foreign exchange predictability during the financial crisis: implications for carry trade profitability
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta
9. Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage
   Working Papers, Center for Economic and Financial Research (CEFIR)
   Also in Working Papers, New Economic School (NES) (2015)
   See also Journal Article Modeling and forecasting realized covariance matrices with accounting for leverage, Econometric Reviews, Taylor & Francis Journals (2018) View citations (10) (2018)
10. Multivariate return decomposition: theory and implications
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (2)
    See also Journal Article Multivariate Return Decomposition: Theory and Implications, Econometric Reviews, Taylor & Francis Journals (2019) View citations (1) (2019)

2013

11. Reconstructing high dimensional dynamic distributions from distributions of lower dimension
    Working Papers, New Economic School (NES)
    Also in Working Papers, Center for Economic and Financial Research (CEFIR) (2013)
    Working Papers, Concordia University, Department of Economics (2012)

2012

12. Instrumental variables estimation and inference in the presence of many exogenous regressors
    Working Papers, New Economic School (NES)
    Also in Working Papers, Center for Economic and Financial Research (CEFIR) (2012) View citations (1)
    See also Journal Article Instrumental variables estimation and inference in the presence of many exogenous regressors, Econometrics Journal, Royal Economic Society (2013) View citations (18) (2013)

2011

13. Sequential Testing with Uniformly Distributed Size
    Working Papers, Center for Economic and Financial Research (CEFIR)
    Also in Working Papers, New Economic School (NES) (2011)
    See also Journal Article Sequential Testing with Uniformly Distributed Size, Journal of Time Series Econometrics, De Gruyter (2018) View citations (3) (2018)

2009

14. Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches
    Working Papers, New Economic School (NES) View citations (1)
    Also in Working Papers, Center for Economic and Financial Research (CEFIR) (2009) View citations (1)
15. Inference in Regression Models with Many Regressors
    Working Papers, Center for Economic and Financial Research (CEFIR) View citations (2)
    Also in Working Papers, New Economic School (NES) (2009) View citations (3)
    See also Journal Article Inference in regression models with many regressors, Journal of Econometrics, Elsevier (2012) View citations (29) (2012)

2008

16. Specification Testing in Models with Many Instruments
    Working Papers, New Economic School (NES)
    Also in Working Papers, Center for Economic and Financial Research (CEFIR) (2008) View citations (6)
    See also Journal Article SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS, Econometric Theory, Cambridge University Press (2011) View citations (33) (2011)

2007

17. Inference about predictive ability when there are many predictors
    Working Papers, Center for Economic and Financial Research (CEFIR) View citations (7)
    Also in Working Papers, New Economic School (NES) (2007) View citations (7)
18. Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (6)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007)
    Working papers, Wisconsin Madison - Social Systems (2001) View citations (2)
    See also Journal Article Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments, Econometric Reviews, Taylor & Francis Journals (2009) View citations (11) (2009)
19. Modeling Financial Return Dynamics by Decomposition
    Working Papers, Center for Economic and Financial Research (CEFIR) View citations (3)
    Also in Working Papers, New Economic School (NES) (2007) View citations (1)

2006

20. Dynamic modeling under linear-exponential loss
    Working Papers, New Economic School (NES)
    Also in Working Papers, Center for Economic and Financial Research (CEFIR) (2006) View citations (1)
    See also Journal Article Dynamic modeling under linear-exponential loss, Economic Modelling, Elsevier (2009) View citations (4) (2009)
21. Nonparametric retrospection and monitoring of predictability of financial returns
    Working Papers, New Economic School (NES) View citations (2)
    Also in Working Papers, Center for Economic and Financial Research (CEFIR) (2006) View citations (2)
    See also Journal Article Nonparametric Retrospection and Monitoring of Predictability of Financial Returns, Journal of Business & Economic Statistics, American Statistical Association (2009) View citations (3) (2009)
22. Tests in contingency tables as regression tests
    Working Papers, Center for Economic and Financial Research (CEFIR)
    Also in Working Papers, New Economic School (NES) (2006)
    See also Journal Article Tests in contingency tables as regression tests, Economics Letters, Elsevier (2009) View citations (1) (2009)
23. Trade intensity in the Russian stock market:dynamics, distribution and determinants
    Working Papers, New Economic School (NES) View citations (1)
    Also in Working Papers, Center for Economic and Financial Research (CEFIR) (2006) View citations (1)
    See also Journal Article Trade intensity in the Russian stock market: dynamics, distribution and determinants, Applied Financial Economics, Taylor & Francis Journals (2007) View citations (10) (2007)

2005

24. A Ten-year retrospection of the behavior of Russian stock returns
    BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT)
25. Optimal Instruments in Time Series: A Survey
    Working Papers, New Economic School (NES)
    Also in Working Papers, Center for Economic and Financial Research (CEFIR) (2005)
    See also Journal Article OPTIMAL INSTRUMENTS IN TIME SERIES: A SURVEY, Journal of Economic Surveys, Wiley Blackwell (2007) View citations (1) (2007)

1999

26. Feasible Optimal Instrumental Variables Estimation of Linear Models with Moving Average Disturbances
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
    Also in Working papers, Wisconsin Madison - Social Systems (1999) View citations (1)

Journal Articles

2024

1. Off-diagonal elements of projection matrices and dimension asymptotics
   Economics Letters, 2024, 239, (C)

2023

2. Testing many restrictions under heteroskedasticity
   Journal of Econometrics, 2023, 236, (1) View citations (4)
   See also Working Paper Testing Many Restrictions Under Heteroskedasticity, Papers (2023) View citations (5) (2023)
3. Unrestricted, restricted, and regularized models for forecasting multivariate volatility
   Studies in Nonlinear Dynamics & Econometrics, 2023, 27, (2), 199-218

2022

4. Copula shrinkage and portfolio allocation in ultra-high dimensions
   Journal of Economic Dynamics and Control, 2022, 143, (C) View citations (1)
5. Factor models with many assets: Strong factors, weak factors, and the two-pass procedure
   Journal of Econometrics, 2022, 229, (1), 103-126 View citations (9)
   See also Working Paper Factor models with many assets: strong factors, weak factors, and the two-pass procedure, Papers (2019) View citations (4) (2019)

2021

6. Directional news impact curve
   Journal of Forecasting, 2021, 40, (1), 94-107
7. How does the financial market update beliefs about the real economy? Evidence from the oil market
   Journal of Applied Econometrics, 2021, 36, (7), 938-961
8. LIMIT THEOREMS FOR FACTOR MODELS
   Econometric Theory, 2021, 37, (5), 1034-1074 View citations (3)
   See also Working Paper Limit Theorems for Factor Models, Papers (2020) View citations (1) (2020)
9. Mallows criterion for heteroskedastic linear regressions with many regressors
   Economics Letters, 2021, 203, (C)

2019

10. Basics of quasi- and pseudo-likelihood theories (in Russian)
    Quantile, 2019, (14), 45-52
11. Do spatial structures yield better volatility forecasts? (in Russian)
    Quantile, 2019, (14), 63-81
12. Forecasting dynamic return distributions based on ordered binary choice
    International Journal of Forecasting, 2019, 35, (3), 823-835 View citations (4)
    See also Working Paper Forecasting dynamic return distributions based on ordered binary choice, Papers (2019) View citations (6) (2019)
13. MANY INSTRUMENTS AND/OR REGRESSORS: A FRIENDLY GUIDE
    Journal of Economic Surveys, 2019, 33, (2), 689-726 View citations (14)
14. Many instruments: Implementation in Stata
    Stata Journal, 2019, 19, (4), 849-866 View citations (3)
15. Multivariate Return Decomposition: Theory and Implications
    Econometric Reviews, 2019, 38, (5), 487-508 View citations (1)
    See also Working Paper Multivariate return decomposition: theory and implications, FRB Atlanta Working Paper (2015) View citations (2) (2015)
16. Testing for a Functional Form of Mean Regression in a Fully Parametric Environment
    Journal of Econometric Methods, 2019, 8, (1), 20
17. Volatility filtering in estimation of kurtosis (and variance)
    Dependence Modeling, 2019, 7, (1), 1-23 View citations (3)

2018

18. Almost unbiased variance estimation in linear regressions with many covariates
    Economics Letters, 2018, 169, (C), 20-23 View citations (3)
19. Modeling and forecasting realized covariance matrices with accounting for leverage
    Econometric Reviews, 2018, 37, (2), 114-139 View citations (10)
    See also Working Paper Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage, Working Papers (2015) (2015)
20. Sequential Testing with Uniformly Distributed Size
    Journal of Time Series Econometrics, 2018, 10, (2), 22 View citations (3)
    See also Working Paper Sequential Testing with Uniformly Distributed Size, Working Papers (2011) (2011)

2017

21. ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS
    Econometric Theory, 2017, 33, (3), 717-738 View citations (12)
22. Foreign exchange predictability and the carry trade: A decomposition approach
    Journal of Empirical Finance, 2017, 42, (C), 199-211 View citations (6)

2016

23. Uncovering the Skewness News Impact Curve
    Journal of Financial Econometrics, 2016, 14, (4), 746-771 View citations (7)

2015

24. Missing mean does no harm to volatility!
    Economics Letters, 2015, 134, (C), 62-64
25. Right on Target, or Is it? The Role of Distributional Shape in Variance Targeting
    Econometrics, 2015, 3, (3), 1-23 View citations (1)

2014

26. An algorithm for constructing high dimensional distributions from distributions of lower dimension
    Economics Letters, 2014, 123, (3), 257-261 View citations (1)

2013

27. Asymptotic variance under many instruments: Numerical computations
    Economics Letters, 2013, 118, (2), 272-274
28. Instrumental variables estimation and inference in the presence of many exogenous regressors
    Econometrics Journal, 2013, 16, (1), 27-72 View citations (18)
    See also Working Paper Instrumental variables estimation and inference in the presence of many exogenous regressors, Working Papers (2012) (2012)
29. Objects of nonstructural time series modeling (in Russian)
    Quantile, 2013, (11), 1-12

2012

30. ANOTHER NUMERICAL METHOD OF FINDING CRITICAL VALUES FOR THE ANDREWS STABILITY TEST
    Econometric Theory, 2012, 28, (1), 239-246 View citations (4)
31. Asymptotics of near unit roots (in Russian)
    Quantile, 2012, (10), 57-71
32. Inference in regression models with many regressors
    Journal of Econometrics, 2012, 170, (2), 368-382 View citations (29)
    See also Working Paper Inference in Regression Models with Many Regressors, Working Papers (2009) View citations (2) (2009)

2011

33. SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS
    Econometric Theory, 2011, 27, (2), 427-441 View citations (33)
    See also Working Paper Specification Testing in Models with Many Instruments, Working Papers (2008) (2008)

2010

34. Modeling Financial Return Dynamics via Decomposition
    Journal of Business & Economic Statistics, 2010, 28, (2), 232-245 View citations (44)

2009

35. Dynamic modeling under linear-exponential loss
    Economic Modelling, 2009, 26, (1), 82-89 View citations (4)
    See also Working Paper Dynamic modeling under linear-exponential loss, Working Papers (2006) (2006)
36. Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
    Econometric Reviews, 2009, 28, (5), 441-467 View citations (11)
    See also Working Paper Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments, NBER Technical Working Papers (2007) View citations (6) (2007)
37. Multi-Market Direction-of-Change Modeling Using Dependence Ratios
    Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (1), 24 View citations (10)
38. Nonparametric Retrospection and Monitoring of Predictability of Financial Returns
    Journal of Business & Economic Statistics, 2009, 27, (2), 149-160 View citations (3)
    See also Working Paper Nonparametric retrospection and monitoring of predictability of financial returns, Working Papers (2006) View citations (2) (2006)
39. Nonparametric regression (in Russian)
    Quantile, 2009, (7), 37-52
40. Tests in contingency tables as regression tests
    Economics Letters, 2009, 105, (2), 189-192 View citations (1)
    See also Working Paper Tests in contingency tables as regression tests, Working Papers (2006) (2006)
41. Where to find data on the Web? (in Russian)
    Quantile, 2009, (6), 59-71

2008

42. A 10-year retrospective on the determinants of Russian stock returns
    Research in International Business and Finance, 2008, 22, (1), 56-67 View citations (13)
43. Making econometric reports (in Russian)
    Quantile, 2008, (4), 71-78
44. Method-of-moments estimation and choice of instruments: Numerical computations
    Economics Letters, 2008, 100, (2), 217-220
45. Review of English textbooks in time series analysis (in Russian)
    Quantile, 2008, (5), 49-55

2007

46. OPTIMAL INSTRUMENTS IN TIME SERIES: A SURVEY
    Journal of Economic Surveys, 2007, 21, (1), 143-173 View citations (1)
    See also Working Paper Optimal Instruments in Time Series: A Survey, Working Papers (2005) (2005)
47. Optimal instruments (in Russian)
    Quantile, 2007, (2), 61-69 View citations (1)
48. REDUNDANCY OF LAGGED REGRESSORS REVISITED
    Econometric Theory, 2007, 23, (2), 364-368 View citations (6)
49. Review of English textbooks in econometrics (in Russian)
    Quantile, 2007, (3), 73-82
50. The basics of bootstrapping (in Russian)
    Quantile, 2007, (3), 1-12 View citations (3)
51. Trade intensity in the Russian stock market: dynamics, distribution and determinants
    Applied Financial Economics, 2007, 17, (2), 87-104 View citations (10)
    See also Working Paper Trade intensity in the Russian stock market:dynamics, distribution and determinants, Working Papers (2006) View citations (1) (2006)
52. Using All Observations when Forecasting under Structural Breaks
    Finnish Economic Papers, 2007, 20, (2), 166-176 View citations (2)

2006

53. Kernel estimation under linear-exponential loss
    Economics Letters, 2006, 91, (1), 39-43 View citations (3)
54. Testing for predictability (in Russian)
    Quantile, 2006, (1), 39-42

2005

55. A Trading Approach to Testing for Predictability
    Journal of Business & Economic Statistics, 2005, 23, 455-461 View citations (49)
56. AN ALTERNATIVE TO MAXIMUM LIKELIHOOD BASED ON SPACINGS
    Econometric Theory, 2005, 21, (2), 472-476 View citations (13)
57. GMM, GEL, Serial Correlation, and Asymptotic Bias
    Econometrica, 2005, 73, (3), 983-1002 View citations (50)

2004

58. Inference when a nuisance parameter is weakly identified under the null hypothesis
    Economics Letters, 2004, 84, (2), 245-254 View citations (2)

2003

59. 02.5.2. Durbin–Watson Statistic and Random Individual Effects
    Econometric Theory, 2003, 19, (5), 882-883 View citations (2)
60. 02.6.2. Autoregression and Redundant Instruments—Solution
    Econometric Theory, 2003, 19, (6), 1197-1198
61. 03.1.2. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression
    Econometric Theory, 2003, 19, (1), 225-226 View citations (2)
62. THE FORM OF THE OPTIMAL NONLINEAR INSTRUMENT FOR MULTIPERIOD CONDITIONAL MOMENT RESTRICTIONS
    Econometric Theory, 2003, 19, (4), 602-609 View citations (8)
63. The term structure of Russian interest rates
    Applied Economics Letters, 2003, 10, (13), 867-870 View citations (5)

2002

64. Electoral behavior of US counties: a panel data approach
    Economics Bulletin, 2002, 3, (9), 1-10
65. Markov chain approximation in bootstrapping autoregressions
    Economics Bulletin, 2002, 3, (19), 1-8 View citations (5)

1999

66. Nonparametric estimation of nonlinear rational expectation models
    Economics Letters, 1999, 62, (1), 1-6 View citations (2)

Software Items

2024

1. VCE_MCOV: Stata module to compute the Leave-Cluster-Out-Crossfit (LCOC) variance estimates for user-chosen coefficients in a linear regression model
   Statistical Software Components, Boston College Department of Economics

Editor

1. Quantile
   Quantile