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Details about Stanislav Anatolyev

Homepage:https://pages.nes.ru/sanatoly/
Phone:+7 (495) 956-9508
Postal address:New Economic School Skolkovskoye shosse, 45 Office 2.39 Moscow, 121353 Russia
Workplace:Center for Economic Research and Graduate Education and Economics Institute (CERGE-EI), (more information at EDIRC)
New Economic School (NES), (more information at EDIRC)

Access statistics for papers by Stanislav Anatolyev.

Last updated 2024-06-18. Update your information in the RePEc Author Service.

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Working Papers

2023

  1. Testing Many Restrictions Under Heteroskedasticity
    Papers, arXiv.org Downloads View citations (4)
    See also Journal Article Testing many restrictions under heteroskedasticity, Journal of Econometrics, Elsevier (2023) Downloads View citations (2) (2023)

2021

  1. 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 Downloads

2020

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

2019

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

2018

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

2015

  1. Foreign exchange predictability during the financial crisis: implications for carry trade profitability
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads
  2. Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage
    Working Papers, Center for Economic and Financial Research (CEFIR) Downloads
    Also in Working Papers, New Economic School (NES) (2015) Downloads

    See also Journal Article Modeling and forecasting realized covariance matrices with accounting for leverage, Econometric Reviews, Taylor & Francis Journals (2018) Downloads View citations (8) (2018)
  3. Multivariate return decomposition: theory and implications
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (2)
    See also Journal Article Multivariate Return Decomposition: Theory and Implications, Econometric Reviews, Taylor & Francis Journals (2019) Downloads View citations (1) (2019)

2013

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

2012

  1. Instrumental variables estimation and inference in the presence of many exogenous regressors
    Working Papers, Center for Economic and Financial Research (CEFIR) Downloads View citations (1)
    Also in Working Papers, New Economic School (NES) (2012) Downloads

    See also Journal Article Instrumental variables estimation and inference in the presence of many exogenous regressors, Econometrics Journal, Royal Economic Society (2013) View citations (15) (2013)

2011

  1. Sequential Testing with Uniformly Distributed Size
    Working Papers, Center for Economic and Financial Research (CEFIR) Downloads
    Also in Working Papers, New Economic School (NES) (2011) Downloads

    See also Journal Article Sequential Testing with Uniformly Distributed Size, Journal of Time Series Econometrics, De Gruyter (2018) Downloads View citations (3) (2018)

2009

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

    See also Journal Article Inference in regression models with many regressors, Journal of Econometrics, Elsevier (2012) Downloads View citations (26) (2012)

2008

  1. Specification Testing in Models with Many Instruments
    Working Papers, New Economic School (NES) Downloads
    Also in Working Papers, Center for Economic and Financial Research (CEFIR) (2008) Downloads View citations (6)

    See also Journal Article SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS, Econometric Theory, Cambridge University Press (2011) Downloads View citations (32) (2011)

2007

  1. Inference about predictive ability when there are many predictors
    Working Papers, Center for Economic and Financial Research (CEFIR) Downloads View citations (7)
    Also in Working Papers, New Economic School (NES) (2007) Downloads View citations (7)
  2. Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in Working papers, Wisconsin Madison - Social Systems (2001) Downloads View citations (2)
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (2007) Downloads View citations (6)

    See also Journal Article Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments, Econometric Reviews, Taylor & Francis Journals (2009) Downloads View citations (11) (2009)
  3. Modeling Financial Return Dynamics by Decomposition
    Working Papers, New Economic School (NES) Downloads View citations (1)
    Also in Working Papers, Center for Economic and Financial Research (CEFIR) (2007) Downloads View citations (3)

2006

  1. Dynamic modeling under linear-exponential loss
    Working Papers, Center for Economic and Financial Research (CEFIR) Downloads View citations (1)
    Also in Working Papers, New Economic School (NES) (2006) Downloads

    See also Journal Article Dynamic modeling under linear-exponential loss, Economic Modelling, Elsevier (2009) Downloads View citations (4) (2009)
  2. Nonparametric retrospection and monitoring of predictability of financial returns
    Working Papers, New Economic School (NES) Downloads View citations (2)
    Also in Working Papers, Center for Economic and Financial Research (CEFIR) (2006) Downloads 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) Downloads View citations (2) (2009)
  3. Tests in contingency tables as regression tests
    Working Papers, New Economic School (NES) Downloads
    Also in Working Papers, Center for Economic and Financial Research (CEFIR) (2006) Downloads

    See also Journal Article Tests in contingency tables as regression tests, Economics Letters, Elsevier (2009) Downloads View citations (1) (2009)
  4. Trade intensity in the Russian stock market:dynamics, distribution and determinants
    Working Papers, New Economic School (NES) Downloads View citations (1)
    Also in Working Papers, Center for Economic and Financial Research (CEFIR) (2006) Downloads 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) Downloads View citations (10) (2007)

2005

  1. A Ten-year retrospection of the behavior of Russian stock returns
    BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT) Downloads
  2. Optimal Instruments in Time Series: A Survey
    Working Papers, Center for Economic and Financial Research (CEFIR) Downloads
    Also in Working Papers, New Economic School (NES) (2005) Downloads

    See also Journal Article OPTIMAL INSTRUMENTS IN TIME SERIES: A SURVEY, Journal of Economic Surveys, Wiley Blackwell (2007) Downloads View citations (1) (2007)

1999

  1. 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) Downloads View citations (1)

Journal Articles

2024

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

2023

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

2022

  1. Copula shrinkage and portfolio allocation in ultra-high dimensions
    Journal of Economic Dynamics and Control, 2022, 143, (C) Downloads
  2. Factor models with many assets: Strong factors, weak factors, and the two-pass procedure
    Journal of Econometrics, 2022, 229, (1), 103-126 Downloads View citations (6)
    See also Working Paper Factor models with many assets: strong factors, weak factors, and the two-pass procedure, Papers (2019) Downloads View citations (4) (2019)

2021

  1. Directional news impact curve
    Journal of Forecasting, 2021, 40, (1), 94-107 Downloads
  2. 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 Downloads
  3. LIMIT THEOREMS FOR FACTOR MODELS
    Econometric Theory, 2021, 37, (5), 1034-1074 Downloads View citations (3)
    See also Working Paper Limit Theorems for Factor Models, Papers (2020) Downloads View citations (1) (2020)
  4. Mallows criterion for heteroskedastic linear regressions with many regressors
    Economics Letters, 2021, 203, (C) Downloads

2019

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

2018

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

2017

  1. ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS
    Econometric Theory, 2017, 33, (3), 717-738 Downloads View citations (11)
  2. Foreign exchange predictability and the carry trade: A decomposition approach
    Journal of Empirical Finance, 2017, 42, (C), 199-211 Downloads View citations (5)

2016

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

2015

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

2014

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

2013

  1. Asymptotic variance under many instruments: Numerical computations
    Economics Letters, 2013, 118, (2), 272-274 Downloads
  2. Instrumental variables estimation and inference in the presence of many exogenous regressors
    Econometrics Journal, 2013, 16, (1), 27-72 View citations (15)
    See also Working Paper Instrumental variables estimation and inference in the presence of many exogenous regressors, Working Papers (2012) Downloads View citations (1) (2012)
  3. Objects of nonstructural time series modeling (in Russian)
    Quantile, 2013, (11), 1-12 Downloads

2012

  1. ANOTHER NUMERICAL METHOD OF FINDING CRITICAL VALUES FOR THE ANDREWS STABILITY TEST
    Econometric Theory, 2012, 28, (1), 239-246 Downloads View citations (4)
  2. Asymptotics of near unit roots (in Russian)
    Quantile, 2012, (10), 57-71 Downloads
  3. Inference in regression models with many regressors
    Journal of Econometrics, 2012, 170, (2), 368-382 Downloads View citations (26)
    See also Working Paper Inference in Regression Models with Many Regressors, Working Papers (2009) Downloads View citations (3) (2009)

2011

  1. SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS
    Econometric Theory, 2011, 27, (2), 427-441 Downloads View citations (32)
    See also Working Paper Specification Testing in Models with Many Instruments, Working Papers (2008) Downloads (2008)

2010

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

2009

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

2008

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

2007

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

2006

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

2005

  1. A Trading Approach to Testing for Predictability
    Journal of Business & Economic Statistics, 2005, 23, 455-461 Downloads View citations (44)
  2. AN ALTERNATIVE TO MAXIMUM LIKELIHOOD BASED ON SPACINGS
    Econometric Theory, 2005, 21, (2), 472-476 Downloads View citations (11)
  3. GMM, GEL, Serial Correlation, and Asymptotic Bias
    Econometrica, 2005, 73, (3), 983-1002 Downloads View citations (47)

2004

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

2003

  1. 02.5.2. Durbin–Watson Statistic and Random Individual Effects
    Econometric Theory, 2003, 19, (5), 882-883 Downloads View citations (2)
  2. 02.6.2. Autoregression and Redundant Instruments—Solution
    Econometric Theory, 2003, 19, (6), 1197-1198 Downloads
  3. 03.1.2. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression
    Econometric Theory, 2003, 19, (1), 225-226 Downloads View citations (2)
  4. THE FORM OF THE OPTIMAL NONLINEAR INSTRUMENT FOR MULTIPERIOD CONDITIONAL MOMENT RESTRICTIONS
    Econometric Theory, 2003, 19, (4), 602-609 Downloads View citations (8)
  5. The term structure of Russian interest rates
    Applied Economics Letters, 2003, 10, (13), 867-870 Downloads View citations (5)

2002

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

1999

  1. Nonparametric estimation of nonlinear rational expectation models
    Economics Letters, 1999, 62, (1), 1-6 Downloads 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 Downloads

Editor

  1. Quantile
    Quantile
 
Page updated 2024-07-18