Stanislav Anatolyev : Citation Profile


Are you Stanislav Anatolyev?

Center for Economic Research and Graduate Education and Economics Institute (CERGE-EI) (66% share)
New Economic School (NES) (1% share)
New Economic School (NES) (33% share)

11

H index

11

i10 index

364

Citations

RESEARCH PRODUCTION:

65

Articles

45

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   24 years (1999 - 2023). See details.
   Cites by year: 15
   Journals where Stanislav Anatolyev has often published
   Relations with other researchers
   Recent citing documents: 34.    Total self citations: 40 (9.9 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pan48
   Updated: 2024-01-16    RAS profile: 2023-12-05    
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Relations with other researchers


Works with:

Baruník, Jozef (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Stanislav Anatolyev.

Is cited by:

Liu, Xiaochun (7)

Liu, Xiaochun (7)

Liu, Xiaochun (7)

Liu, Xiaochun (7)

Wang, Wenjie (6)

Cerqueti, Roy (5)

Pincheira, Pablo (5)

Pönkä, Harri (5)

Nyberg, Henri (5)

Imbens, Guido (4)

Alvarez, Luis (4)

Cites to:

Engle, Robert (52)

Newey, Whitney (27)

Diebold, Francis (27)

Bollerslev, Tim (26)

Timmermann, Allan (22)

West, Kenneth (22)

Bauwens, Luc (21)

Hansen, Bruce (19)

Gospodinov, Nikolay (19)

Giot, Pierre (16)

Patton, Andrew (16)

Main data


Where Stanislav Anatolyev has published?


Journals with more than one article published# docs
Quantile12
Econometric Theory10
Economics Letters10
Journal of Business & Economic Statistics3
Journal of Econometrics3
Econometric Reviews3
Studies in Nonlinear Dynamics & Econometrics2
Journal of Economic Surveys2
Economics Bulletin2

Working Papers Series with more than one paper published# docs
Working Papers / New Economic School (NES)14
Working Papers / Center for Economic and Financial Research (CEFIR)14
Papers / arXiv.org4
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta2

Recent works citing Stanislav Anatolyev (2024 and 2023)


YearTitle of citing document
2023New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191.

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2023Testing Overidentifying Restrictions with High-Dimensional Data and Heteroskedasticity. (2022). Mei, Ziwei ; Guo, Zijian ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2205.00171.

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2023A Conditional Linear Combination Test with Many Weak Instruments. (2022). Zhang, Yichong ; Wang, Wenjie ; Lim, Dennis. In: Papers. RePEc:arx:papers:2207.11137.

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2023A Ridge-Regularised Jackknifed Anderson-Rubin Test. (2022). Mavroeidis, Sophocles ; Kock, Anders Bredahl ; Dovi, Max-Sebastian. In: Papers. RePEc:arx:papers:2209.03259.

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2023A specification test for the strength of instrumental variables. (2023). Yao, Jianfeng ; Wang, Chen ; Huang, Zhenhong. In: Papers. RePEc:arx:papers:2302.14396.

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2023Assessing the strength of many instruments with the first-stage F and Cragg-Donald statistics. (2023). Yao, Jianfeng ; Wang, Chen ; Huang, Zhenhong. In: Papers. RePEc:arx:papers:2302.14423.

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2023Identification- and many instrument-robust inference via invariant moment conditions. (2023). Ligtenberg, Johannes W ; Boot, Tom. In: Papers. RePEc:arx:papers:2303.07822.

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2023Inference in IV models with clustered dependence, many instruments and weak identification. (2023). Ligtenberg, Johannes W. In: Papers. RePEc:arx:papers:2306.08559.

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2023Testing for Peer Effects without Specifying the Network Structure. (2023). Liu, Xiaodong ; Jung, Hyunseok. In: Papers. RePEc:arx:papers:2306.09806.

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2023Predictability Tests Robust against Parameter Instability. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.15151.

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2023Linear Regression with Weak Exogeneity. (2023). Solvsten, Mikkel ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:2308.08958.

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2023Weak Identification with Many Instruments. (2023). Sun, Liyang ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:2308.09535.

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2023Learning Probability Distributions of Day-Ahead Electricity Prices. (2023). Hanus, Lubos ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2310.02867.

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2023The Fragility of Sparsity. (2023). Muller, Ulrich K ; Koles, Michal ; Roelsgaard, Sebastian T. In: Papers. RePEc:arx:papers:2311.02299.

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2023Optimal Estimation Methodologies for Panel Data Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.03471.

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2023Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203.

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2023Instrumental Variable Estimation with Many Instruments Using Elastic-Net IV. (2023). Skolkova, Alena. In: CERGE-EI Working Papers. RePEc:cer:papers:wp759.

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2023Finite-sample corrected inference for two-step GMM in time series. (2023). Valdes, Gonzalo ; Hwang, Jungbin. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:327-352.

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2023A higher-order correct fast moving-average bootstrap for dependent data. (2023). Scaillet, Olivier ; Moor, Alban ; la Vecchia, Davide. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:65-81.

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2023Joint inference based on Stein-type averaging estimators in the linear regression model. (2023). Boot, Tom. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1542-1563.

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2023Likelihood ratio tests under model misspecification in high dimensions. (2023). Dornemann, Nina. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:193:y:2023:i:c:s0047259x22001130.

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2023Skewness in energy returns: estimation, testing and retain-->implications for tail risk. (2023). Iguez, Trino-Manuel ; Leon, Angel ; Carnero, Angeles M. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:178-189.

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2023Fluctuations of the diagonal entries of a large sample precision matrix. (2023). Dette, Holger ; Dornemann, Nina. In: Statistics & Probability Letters. RePEc:eee:stapro:v:198:y:2023:i:c:s0167715223000627.

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2023.

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2023.

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2023Managing Portfolio Risk During the BREXIT Crisis: A Cross-Quantilogram Analysis of Stock Markets and Commodities Across European Countries, the US, and BRICS. (2023). Goutte, Stéphane ; Gana, Marjene ; Ahmed, Ayedi ; Guesmi, Khaled. In: Working Papers. RePEc:hal:wpaper:halshs-04068651.

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2023Improving out-of-sample Forecasts of Stock Price Indexes with Forecast Reconciliation and Clustering. (2023). Mattera, Raffaele ; Hyndman, Rob J ; Athanasopoulos, George. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-17.

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2023Analysis of progressive type-II censored gamma distribution. (2023). Nassar, Mazen ; Elshahhat, Ahmed ; Dey, Sanku. In: Computational Statistics. RePEc:spr:compst:v:38:y:2023:i:1:d:10.1007_s00180-022-01239-y.

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2023Predicting binary outcomes based on the pair-copula construction. (2023). Yang, Liu ; Lahiri, Kajal. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-023-02418-6.

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2023Return direction forecasting: a conditional autoregressive shape model with beta density. (2023). Fan, Pengying ; Sun, Yuying ; Xie, Haibin. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00489-z.

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2023Stress–strength reliability models on power-Muth distribution. (2023). Saroj, Agni ; Kumar, Mukesh ; Sonker, Prashant Kumar. In: International Journal of System Assurance Engineering and Management. RePEc:spr:ijsaem:v:14:y:2023:i:1:d:10.1007_s13198-022-01832-w.

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2023Robust Inference on Infinite and Growing Dimensional Time?Series Regression. (2023). Gupta, Abhimanyu ; Seo, Myung Hwan. In: Econometrica. RePEc:wly:emetrp:v:91:y:2023:i:4:p:1333-1361.

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2023Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach. (2023). Agarwalla, Sobhesh Kumar ; Kumar, Sudarshan ; Virmani, Vineet ; Varma, Jayanth R. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1615-1644.

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2023Modeling skewness in portfolio choice. (2023). Markellos, Raphael ; Kourtis, Apostolos ; Le, Trung H. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:6:p:734-770.

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Stanislav Anatolyev is editor of


Journal
Quantile

Works by Stanislav Anatolyev:


YearTitleTypeCited
2005Optimal Instruments in Time Series: A Survey In: Working Papers.
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2007OPTIMAL INSTRUMENTS IN TIME SERIES: A SURVEY.(2007) In: Journal of Economic Surveys.
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This paper has nother version. Agregated cites: 1
article
2005Optimal Instruments in Time Series: A Survey.(2005) In: Working Papers.
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This paper has nother version. Agregated cites: 1
paper
2006Trade intensity in the Russian stock market:dynamics, distribution and determinants In: Working Papers.
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paper1
2006Trade intensity in the Russian stock market:dynamics, distribution and determinants.(2006) In: Working Papers.
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This paper has nother version. Agregated cites: 1
paper
2006Nonparametric retrospection and monitoring of predictability of financial returns In: Working Papers.
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paper4
2009Nonparametric Retrospection and Monitoring of Predictability of Financial Returns.(2009) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 4
article
2006Nonparametric retrospection and monitoring of predictability of financial returns.(2006) In: Working Papers.
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This paper has nother version. Agregated cites: 4
paper
2006Tests in contingency tables as regression tests In: Working Papers.
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paper1
2006Tests in contingency tables as regression tests.(2006) In: Working Papers.
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This paper has nother version. Agregated cites: 1
paper
2009Tests in contingency tables as regression tests.(2009) In: Economics Letters.
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This paper has nother version. Agregated cites: 1
article
2006Dynamic modeling under linear-exponential loss In: Working Papers.
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paper3
2006Dynamic modeling under linear-exponential loss.(2006) In: Working Papers.
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This paper has nother version. Agregated cites: 3
paper
2009Dynamic modeling under linear-exponential loss.(2009) In: Economic Modelling.
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This paper has nother version. Agregated cites: 3
article
2007Modeling Financial Return Dynamics by Decomposition In: Working Papers.
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2007Modeling Financial Return Dynamics by Decomposition.(2007) In: Working Papers.
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This paper has nother version. Agregated cites: 2
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2007Inference about predictive ability when there are many predictors In: Working Papers.
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2007Inference about predictive ability when there are many predictors.(2007) In: Working Papers.
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This paper has nother version. Agregated cites: 7
paper
2011Sequential Testing with Uniformly Distributed Size In: Working Papers.
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2018Sequential Testing with Uniformly Distributed Size.(2018) In: Journal of Time Series Econometrics.
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This paper has nother version. Agregated cites: 3
article
2011Sequential Testing with Uniformly Distributed Size.(2011) In: Working Papers.
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paper
2008Specification Testing in Models with Many Instruments In: Working Papers.
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2008Specification Testing in Models with Many Instruments.(2008) In: Working Papers.
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This paper has nother version. Agregated cites: 32
paper
2011SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS.(2011) In: Econometric Theory.
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This paper has nother version. Agregated cites: 32
article
2009Inference in Regression Models with Many Regressors In: Working Papers.
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2009Inference in Regression Models with Many Regressors.(2009) In: Working Papers.
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This paper has nother version. Agregated cites: 24
paper
2012Inference in regression models with many regressors.(2012) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 24
article
2009Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches In: Working Papers.
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2009Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches.(2009) In: Working Papers.
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This paper has nother version. Agregated cites: 1
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2012Instrumental variables estimation and inference in the presence of many exogenous regressors In: Working Papers.
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2012Instrumental variables estimation and inference in the presence of many exogenous regressors.(2012) In: Working Papers.
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This paper has nother version. Agregated cites: 13
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2013Instrumental variables estimation and inference in the presence of many exogenous regressors.(2013) In: Econometrics Journal.
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2013Reconstructing high dimensional dynamic distributions from distributions of lower dimension In: Working Papers.
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2013Reconstructing high dimensional dynamic distributions from distributions of lower dimension.(2013) In: Working Papers.
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2012Reconstructing high dimensional dynamic distributions from distributions of lower dimension.(2012) In: Working Papers.
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2015Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage In: Working Papers.
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2015Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage.(2015) In: Working Papers.
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This paper has nother version. Agregated cites: 8
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2018Modeling and forecasting realized covariance matrices with accounting for leverage.(2018) In: Econometric Reviews.
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2019Forecasting dynamic return distributions based on ordered binary choice In: Papers.
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2019Forecasting dynamic return distributions based on ordered binary choice.(2019) In: International Journal of Forecasting.
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This paper has nother version. Agregated cites: 3
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2019Factor models with many assets: strong factors, weak factors, and the two-pass procedure In: Papers.
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2022Factor models with many assets: Strong factors, weak factors, and the two-pass procedure.(2022) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 6
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2020Limit Theorems for Factor Models In: Papers.
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2021LIMIT THEOREMS FOR FACTOR MODELS.(2021) In: Econometric Theory.
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This paper has nother version. Agregated cites: 1
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2023Testing Many Restrictions Under Heteroskedasticity In: Papers.
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2023Testing many restrictions under heteroskedasticity.(2023) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 4
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1999Feasible optimal instrumental variables estimation of linear models with moving average disturbances In: Working papers.
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1999Feasible Optimal Instrumental Variables Estimation of Linear Models with Moving Average Disturbances.(1999) In: Departmental Working Papers.
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This paper has nother version. Agregated cites: 1
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2001Instrumental variables estimation of heteroskedastic linear models using all lags of instruments In: Working papers.
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2007Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments.(2007) In: NBER Technical Working Papers.
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2007Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments.(2007) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 17
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2009Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments.(2009) In: Econometric Reviews.
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This paper has nother version. Agregated cites: 17
article
2005A Trading Approach to Testing for Predictability In: Journal of Business & Economic Statistics.
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article35
2010Modeling Financial Return Dynamics via Decomposition In: Journal of Business & Economic Statistics.
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article35
2019MANY INSTRUMENTS AND/OR REGRESSORS: A FRIENDLY GUIDE In: Journal of Economic Surveys.
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2005A Ten-year retrospection of the behavior of Russian stock returns In: BOFIT Discussion Papers.
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paper16
2019Testing for a Functional Form of Mean Regression in a Fully Parametric Environment In: Journal of Econometric Methods.
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2009Multi-Market Direction-of-Change Modeling Using Dependence Ratios In: Studies in Nonlinear Dynamics & Econometrics.
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2023Unrestricted, restricted, and regularized models for forecasting multivariate volatility In: Studies in Nonlinear Dynamics & Econometrics.
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2018Formation of Market Beliefs in the Oil Market In: CERGE-EI Working Papers.
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2019Does Index Arbitrage Distort the Market Reaction to Shocks? In: CERGE-EI Working Papers.
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2021Shrinkage for Gaussian and t Copulas in Ultra-High Dimensions In: CERGE-EI Working Papers.
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200303.1.2. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression In: Econometric Theory.
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2003THE FORM OF THE OPTIMAL NONLINEAR INSTRUMENT FOR MULTIPERIOD CONDITIONAL MOMENT RESTRICTIONS In: Econometric Theory.
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200302.5.2. Durbin–Watson Statistic and Random Individual Effects In: Econometric Theory.
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200302.6.2. Autoregression and Redundant Instruments—Solution In: Econometric Theory.
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2005AN ALTERNATIVE TO MAXIMUM LIKELIHOOD BASED ON SPACINGS In: Econometric Theory.
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2007REDUNDANCY OF LAGGED REGRESSORS REVISITED In: Econometric Theory.
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2012ANOTHER NUMERICAL METHOD OF FINDING CRITICAL VALUES FOR THE ANDREWS STABILITY TEST In: Econometric Theory.
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2017ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS In: Econometric Theory.
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2002Markov chain approximation in bootstrapping autoregressions In: Economics Bulletin.
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2002Electoral behavior of US counties: a panel data approach In: Economics Bulletin.
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2005GMM, GEL, Serial Correlation, and Asymptotic Bias In: Econometrica.
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2022Copula shrinkage and portfolio allocation in ultra-high dimensions In: Journal of Economic Dynamics and Control.
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2008Method-of-moments estimation and choice of instruments: Numerical computations In: Economics Letters.
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2013Asymptotic variance under many instruments: Numerical computations In: Economics Letters.
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2014An algorithm for constructing high dimensional distributions from distributions of lower dimension In: Economics Letters.
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2015Missing mean does no harm to volatility! In: Economics Letters.
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2018Almost unbiased variance estimation in linear regressions with many covariates In: Economics Letters.
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2021Mallows criterion for heteroskedastic linear regressions with many regressors In: Economics Letters.
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1999Nonparametric estimation of nonlinear rational expectation models In: Economics Letters.
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2004Inference when a nuisance parameter is weakly identified under the null hypothesis In: Economics Letters.
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2006Kernel estimation under linear-exponential loss In: Economics Letters.
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2017Foreign exchange predictability and the carry trade: A decomposition approach In: Journal of Empirical Finance.
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2008A 10-year retrospective on the determinants of Russian stock returns In: Research in International Business and Finance.
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2007Using All Observations when Forecasting under Structural Breaks In: Finnish Economic Papers.
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2015Foreign exchange predictability during the financial crisis: implications for carry trade profitability In: FRB Atlanta Working Paper.
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2015Multivariate return decomposition: theory and implications In: FRB Atlanta Working Paper.
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2019Multivariate Return Decomposition: Theory and Implications.(2019) In: Econometric Reviews.
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2015Right on Target, or Is it? The Role of Distributional Shape in Variance Targeting In: Econometrics.
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2016Uncovering the Skewness News Impact Curve In: The Journal of Financial Econometrics.
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2006Testing for predictability (in Russian) In: Quantile.
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2007Optimal instruments (in Russian) In: Quantile.
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2007The basics of bootstrapping (in Russian) In: Quantile.
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2007Review of English textbooks in econometrics (in Russian) In: Quantile.
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2008Making econometric reports (in Russian) In: Quantile.
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2008Review of English textbooks in time series analysis (in Russian) In: Quantile.
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2009Where to find data on the Web? (in Russian) In: Quantile.
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2009Nonparametric regression (in Russian) In: Quantile.
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2012Asymptotics of near unit roots (in Russian) In: Quantile.
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2013Objects of nonstructural time series modeling (in Russian) In: Quantile.
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2019Basics of quasi- and pseudo-likelihood theories (in Russian) In: Quantile.
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2019Do spatial structures yield better volatility forecasts? (in Russian) In: Quantile.
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2003The term structure of Russian interest rates In: Applied Economics Letters.
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2007Trade intensity in the Russian stock market: dynamics, distribution and determinants In: Applied Financial Economics.
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2019Many instruments: Implementation in Stata In: Stata Journal.
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2019Volatility filtering in estimation of kurtosis (and variance) In: Dependence Modeling.
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2021How does the financial market update beliefs about the real economy? Evidence from the oil market In: Journal of Applied Econometrics.
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2021Directional news impact curve In: Journal of Forecasting.
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