Details about Stanislav Anatolyev

Access statistics for papers by Stanislav Anatolyev.

Last updated 2023-05-05. Update your information in the RePEc Author Service.

Short-id: pan48

Working Papers

2023

1. Testing Many Restrictions Under Heteroskedasticity
   Papers, arXiv.org View citations (2)

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 in Econometric Theory (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 in Journal of Econometrics (2022)
6. Forecasting dynamic return distributions based on ordered binary choice
   Papers, arXiv.org View citations (3)
   See also Journal Article in International Journal of Forecasting (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, New Economic School (NES)
   Also in Working Papers, Center for Economic and Financial Research (CEFIR) (2015)
   See also Journal Article in Econometric Reviews (2018)
10. Multivariate return decomposition: theory and implications
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (2)
    See also Journal Article in Econometric Reviews (2019)

2013

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

2011

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

2009

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

2008

16. Specification Testing in Models with Many Instruments
    Working Papers, Center for Economic and Financial Research (CEFIR) View citations (6)
    Also in Working Papers, New Economic School (NES) (2008)
    See also Journal Article in Econometric Theory (2011)

2007

17. Inference about predictive ability when there are many predictors
    Working Papers, New Economic School (NES) View citations (7)
    Also in Working Papers, Center for Economic and Financial Research (CEFIR) (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 in Econometric Reviews (2009)
19. Modeling Financial Return Dynamics by Decomposition
    Working Papers, New Economic School (NES) View citations (1)
    Also in Working Papers, Center for Economic and Financial Research (CEFIR) (2007) View citations (3)

2006

20. Dynamic modeling under linear-exponential loss
    Working Papers, Center for Economic and Financial Research (CEFIR) View citations (1)
    Also in Working Papers, New Economic School (NES) (2006)
    See also Journal Article in Economic Modelling (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 in Journal of Business & Economic Statistics (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 in Economics Letters (2009)
23. Trade intensity in the Russian stock market:dynamics, distribution and determinants
    Working Papers, Center for Economic and Financial Research (CEFIR) View citations (1)
    Also in Working Papers, New Economic School (NES) (2006) View citations (1)

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, Center for Economic and Financial Research (CEFIR)
    Also in Working Papers, New Economic School (NES) (2005)
    See also Journal Article in Journal of Economic Surveys (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

2023

1. Unrestricted, restricted, and regularized models for forecasting multivariate volatility
   Studies in Nonlinear Dynamics & Econometrics, 2023, 27, (2), 199-218

2022

2. Copula shrinkage and portfolio allocation in ultra-high dimensions
   Journal of Economic Dynamics and Control, 2022, 143, (C)
3. Factor models with many assets: Strong factors, weak factors, and the two-pass procedure
   Journal of Econometrics, 2022, 229, (1), 103-126 View citations (3)
   See also Working Paper (2019)

2021

4. Directional news impact curve
   Journal of Forecasting, 2021, 40, (1), 94-107
5. 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
6. LIMIT THEOREMS FOR FACTOR MODELS
   Econometric Theory, 2021, 37, (5), 1034-1074 View citations (1)
   See also Working Paper (2020)
7. Mallows criterion for heteroskedastic linear regressions with many regressors
   Economics Letters, 2021, 203, (C)

2019

8. Basics of quasi- and pseudo-likelihood theories (in Russian)
   Quantile, 2019, (14), 45-52
9. Do spatial structures yield better volatility forecasts? (in Russian)
   Quantile, 2019, (14), 63-81
10. Forecasting dynamic return distributions based on ordered binary choice
    International Journal of Forecasting, 2019, 35, (3), 823-835 View citations (3)
    See also Working Paper (2019)
11. MANY INSTRUMENTS AND/OR REGRESSORS: A FRIENDLY GUIDE
    Journal of Economic Surveys, 2019, 33, (2), 689-726 View citations (9)
12. Many instruments: Implementation in Stata
    Stata Journal, 2019, 19, (4), 849-866 View citations (1)
13. Multivariate Return Decomposition: Theory and Implications
    Econometric Reviews, 2019, 38, (5), 487-508 View citations (1)
    See also Working Paper (2015)
14. Testing for a Functional Form of Mean Regression in a Fully Parametric Environment
    Journal of Econometric Methods, 2019, 8, (1), 20
15. Volatility filtering in estimation of kurtosis (and variance)
    Dependence Modeling, 2019, 7, (1), 1-23 View citations (2)

2018

16. Almost unbiased variance estimation in linear regressions with many covariates
    Economics Letters, 2018, 169, (C), 20-23 View citations (2)
17. Modeling and forecasting realized covariance matrices with accounting for leverage
    Econometric Reviews, 2018, 37, (2), 114-139 View citations (8)
    See also Working Paper (2015)
18. Sequential Testing with Uniformly Distributed Size
    Journal of Time Series Econometrics, 2018, 10, (2), 22 View citations (3)
    See also Working Paper (2011)

2017

19. ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS
    Econometric Theory, 2017, 33, (3), 717-738 View citations (9)
20. Foreign exchange predictability and the carry trade: A decomposition approach
    Journal of Empirical Finance, 2017, 42, (C), 199-211 View citations (5)

2016

21. Uncovering the Skewness News Impact Curve
    The Journal of Financial Econometrics, 2016, 14, (4), 746-771 View citations (6)

2015

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

2014

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

2013

25. Asymptotic variance under many instruments: Numerical computations
    Economics Letters, 2013, 118, (2), 272-274
26. Instrumental variables estimation and inference in the presence of many exogenous regressors
    Econometrics Journal, 2013, 16, (1), 27-72 View citations (13)
    See also Working Paper (2012)
27. Objects of nonstructural time series modeling (in Russian)
    Quantile, 2013, (11), 1-12

2012

28. ANOTHER NUMERICAL METHOD OF FINDING CRITICAL VALUES FOR THE ANDREWS STABILITY TEST
    Econometric Theory, 2012, 28, (1), 239-246 View citations (4)
29. Asymptotics of near unit roots (in Russian)
    Quantile, 2012, (10), 57-71
30. Inference in regression models with many regressors
    Journal of Econometrics, 2012, 170, (2), 368-382 View citations (26)
    See also Working Paper (2009)

2011

31. SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS
    Econometric Theory, 2011, 27, (2), 427-441 View citations (29)
    See also Working Paper (2008)

2010

32. Modeling Financial Return Dynamics via Decomposition
    Journal of Business & Economic Statistics, 2010, 28, (2), 232-245 View citations (43)

2009

33. Dynamic modeling under linear-exponential loss
    Economic Modelling, 2009, 26, (1), 82-89 View citations (4)
    See also Working Paper (2006)
34. 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 (2007)
35. Multi-Market Direction-of-Change Modeling Using Dependence Ratios
    Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (1), 1-24 View citations (10)
36. Nonparametric Retrospection and Monitoring of Predictability of Financial Returns
    Journal of Business & Economic Statistics, 2009, 27, (2), 149-160 View citations (2)
    See also Working Paper (2006)
37. Nonparametric regression (in Russian)
    Quantile, 2009, (7), 37-52
38. Tests in contingency tables as regression tests
    Economics Letters, 2009, 105, (2), 189-192 View citations (1)
    See also Working Paper (2006)
39. Where to find data on the Web? (in Russian)
    Quantile, 2009, (6), 59-71

2008

40. 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)
41. Making econometric reports (in Russian)
    Quantile, 2008, (4), 71-78
42. Method-of-moments estimation and choice of instruments: Numerical computations
    Economics Letters, 2008, 100, (2), 217-220
43. Review of English textbooks in time series analysis (in Russian)
    Quantile, 2008, (5), 49-55

2007

44. OPTIMAL INSTRUMENTS IN TIME SERIES: A SURVEY
    Journal of Economic Surveys, 2007, 21, (1), 143-173 View citations (1)
    See also Working Paper (2005)
45. Optimal instruments (in Russian)
    Quantile, 2007, (2), 61-69 View citations (1)
46. REDUNDANCY OF LAGGED REGRESSORS REVISITED
    Econometric Theory, 2007, 23, (2), 364-368 View citations (6)
47. Review of English textbooks in econometrics (in Russian)
    Quantile, 2007, (3), 73-82
48. The basics of bootstrapping (in Russian)
    Quantile, 2007, (3), 1-12 View citations (3)
49. Using All Observations when Forecasting under Structural Breaks
    Finnish Economic Papers, 2007, 20, (2), 166-176 View citations (1)

2006

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

2005

52. A Trading Approach to Testing for Predictability
    Journal of Business & Economic Statistics, 2005, 23, 455-461 View citations (41)
53. AN ALTERNATIVE TO MAXIMUM LIKELIHOOD BASED ON SPACINGS
    Econometric Theory, 2005, 21, (2), 472-476 View citations (11)
54. GMM, GEL, Serial Correlation, and Asymptotic Bias
    Econometrica, 2005, 73, (3), 983-1002 View citations (46)

2004

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

2003

56. 02.5.2. Durbin–Watson Statistic and Random Individual Effects
    Econometric Theory, 2003, 19, (5), 882-883 View citations (1)
57. 02.6.2. Autoregression and Redundant Instruments—Solution
    Econometric Theory, 2003, 19, (6), 1197-1198
58. 03.1.2. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression
    Econometric Theory, 2003, 19, (1), 225-226 View citations (2)
59. THE FORM OF THE OPTIMAL NONLINEAR INSTRUMENT FOR MULTIPERIOD CONDITIONAL MOMENT RESTRICTIONS
    Econometric Theory, 2003, 19, (4), 602-609 View citations (8)
60. The term structure of Russian interest rates
    Applied Economics Letters, 2003, 10, (13), 867-870 View citations (5)

2002

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

1999

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

Editor

1. Quantile
   Quantile