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) (33% share)
New Economic School (NES) (1% share)

8

H index

6

i10 index

229

Citations

RESEARCH PRODUCTION:

55

Articles

43

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   21 years (1999 - 2020). See details.
   Cites by year: 10
   Journals where Stanislav Anatolyev has often published
   Relations with other researchers
   Recent citing documents: 37.    Total self citations: 33 (12.6 %)

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   Permalink: http://citec.repec.org/pan48
   Updated: 2020-09-22    RAS profile: 2020-09-06    
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Relations with other researchers


Works with:

Gospodinov, Nikolay (4)

Liu, Xiaochun (2)

Baruník, Jozef (2)

Khrapov, Stanislav (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)

Nyberg, Henri (5)

Cerqueti, Roy (5)

Pönkä, Harri (5)

Alvarez, Luis (4)

Gospodinov, Nikolay (4)

Laibson, David (4)

Guay, Alain (4)

Repetto, Andrea (4)

Pincheira, Pablo (4)

Prokhorov, Artem (4)

Cites to:

Engle, Robert (35)

Bollerslev, Tim (20)

West, Kenneth (20)

Diebold, Francis (19)

Timmermann, Allan (17)

Sarno, Lucio (17)

Christoffersen, Peter (16)

Newey, Whitney (15)

Hansen, Bruce (14)

Pesaran, M (14)

Gospodinov, Nikolay (14)

Main data


Where Stanislav Anatolyev has published?


Journals with more than one article published# docs
Quantile12
Economics Letters9
Econometric Theory8
Journal of Business & Economic Statistics3
Econometric Reviews3
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 (2020 and 2019)


YearTitle of citing document
2020Bartik Instruments: What, When, Why, and How. (2020). Sorkin, Isaac ; Goldsmith-Pinkham, Paul ; Swift, Henry. In: American Economic Review. RePEc:aea:aecrev:v:110:y:2020:i:8:p:2586-2624.

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2019Leave-out estimation of variance components. (2019). Saggio, Raffaele ; Kline, Patrick ; Solvsten, Mikkel. In: Papers. RePEc:arx:papers:1806.01494.

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2019Cluster-Robust Standard Errors for Linear Regression Models with Many Controls. (2019). D'Adamo, Riccardo. In: Papers. RePEc:arx:papers:1806.07314.

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2020A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data. (2020). Scaillet, Olivier ; Moor, Alban ; la Vecchia, Davide. In: Papers. RePEc:arx:papers:2001.04867.

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2020Backward CUSUM for Testing and Monitoring Structural Change. (2020). Breitung, Jörg ; Otto, Sven. In: Papers. RePEc:arx:papers:2003.02682.

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

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2020Announcements of Sanctions and the Russian Equity Market: An Event Study Approach. (2020). Dovbnya, Pavel. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:79:y:2020:i:1:p:74-92.

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2019Higher Moments and Exchange Rate Behavior. (2019). Sharma, Susan ; Khademalomoom, Siroos ; Narayan, Paresh Kumar. In: The Financial Review. RePEc:bla:finrev:v:54:y:2019:i:1:p:201-229.

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2020Measurement of Factor Strenght: Theory and Practice. (2020). Bailey, Natalia ; Kapetanios, George ; Pesaran, Hashem M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8146.

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2020Categorical Forecasts and Non-Categorical Loss Functions. (2020). Bürgi, Constantin ; Bürgi, Constantin ; Bürgi, Constantin ; Boumans, Dorine. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8266.

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2019The risk return relationship: Evidence from index returns and realised variances. (2019). Yang, Minxian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:5.

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2019Are financial returns really predictable out-of-sample?: Evidence from a new bootstrap test. (2019). Pan, Zhiyuan ; Bu, Ruijun ; Liu, LI ; Xu, Yuhua. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:124-135.

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2019Testing additive versus interactive effects in fixed-T panels. (2019). , Joakimwesterlund ; Westerlund, Joakim. In: Economics Letters. RePEc:eee:ecolet:v:174:y:2019:i:c:p:5-8.

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2019Residual bootstrap tests in linear models with many regressors. (2019). Richard, Patrick. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:367-394.

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2019GEL estimation and tests of spatial autoregressive models. (2019). Lee, Lung-Fei ; Jin, Fei. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:585-612.

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2020Statistical inferences for realized portfolio weights. (2020). Lazariv, Taras ; Seifert, Miriam Isabel ; Schmid, Wolfgang ; Golosnoy, Vasyl. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:49-62.

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2020Predicting exchange rate returns. (2020). Narayan, Paresh Kumar ; Liu, Guangqiang ; Bach, Dinh Hoang ; Sharma, Susan Sunila. In: Emerging Markets Review. RePEc:eee:ememar:v:42:y:2020:i:c:s1566014119303504.

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2019Ask CARL: Forecasting tail probabilities for energy commodities. (2019). Algieri, Bernardina ; Leccadito, Arturo. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319302786.

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2019Out-of-sample exchange rate predictability in emerging markets: Fundamentals versus technical analysis. (2019). Yamani, Ehab ; Jamali, Ibrahim. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:241-263.

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2019Penalized generalized empirical likelihood in high-dimensional weakly dependent data. (2019). Xiao, Fengjun ; Tian, Lemeng ; Shi, Haoming ; Zhang, Jia. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:171:y:2019:i:c:p:270-283.

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2019Forecasting base metal prices with the Chilean exchange rate. (2019). Pincheira, Pablo ; Hardy, Nicolas ; Brown, Pablo Pincheira. In: Resources Policy. RePEc:eee:jrpoli:v:62:y:2019:i:c:p:256-281.

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2019Impacts of lagged returns on the risk-return relationship of Chinese aggregate stock market: Evidence from different data frequencies. (2019). Liu, Jingzhen. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:243-257.

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2019Forecasting the market return direction based on a time-varying probability density model. (2019). Peng, Yiqing ; Gu, Wentao. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:148:y:2019:i:c:s0040162519310741.

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2020CARL and His POT: Measuring Risks in Commodity Markets. (2020). Algieri, Bernardina ; Leccadito, Arturo. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:27-:d:332245.

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2019Chinese Currency Exchange Rates Forecasting with EMD-Based Neural Network. (2019). Jiang, Chonghui ; Du, Jiangze ; Wang, Jying-Nan ; Lai, Kin-Keung . In: Complexity. RePEc:hin:complx:7458961.

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2020Portfolio Efficiency Tests with Conditioning Information - Comparing GMM and GEL Estimators. (2020). Laurini, Marcio ; Pereira, Caio Vigo. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202014.

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2019Incorporating financial market volatility to improve forecasts of directional changes in Australian share market returns. (2019). Natoli, Riccardo ; Kulendran, Nada ; Erdugan, Riza. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:33:y:2019:i:4:d:10.1007_s11408-019-00338-z.

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2020Measurement of Factor Strength: Theory and Practice. (2020). Pesaran, M ; Bailey, Natalia ; Kapetanios, George. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-7.

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2019Leave-out Estimation of Variance Components. (2019). Kline, Patrick ; Solvsten, Mikkel ; Saggio, Raffaele. In: NBER Working Papers. RePEc:nbr:nberwo:26244.

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2019The relationship between carry trade and asset markets in South Africa. (2019). Bonga-Bonga, Lumengo ; Maake, Tebogo. In: MPRA Paper. RePEc:pra:mprapa:96667.

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2019VALIDITY OF FAMA AND FRENCH MODEL ON RTS INDEX. (2019). Ozornov, S. In: Вестник исследований бизнеса и экономики // Review of Business and Economics Studies. RePEc:scn:00rbes:y:2015:i:4:p:22-43.

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2020Maximum product of spacings prediction of future record values. (2020). Kamps, Udo ; Volovskiy, Grigoriy. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:83:y:2020:i:7:d:10.1007_s00184-020-00767-1.

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2019Moment Redundancy Test with Application to Efficiency-Improving Copulas. (2019). Qian, Hailong ; Prokhorov, Artem ; Hao, Bowen. In: Working Papers. RePEc:syb:wpbsba:2123/20204.

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2019Improving forecasting performance of realized covariance with extensions of HAR-RCOV model: statistical significance and economic value. (2019). Liu, LI ; Wei, YU ; Zhang, Yaojie. In: Quantitative Finance. RePEc:taf:quantf:v:19:y:2019:i:9:p:1425-1438.

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2020Finite-sample Corrected Inference for Two-step GMM in Time Series. (2020). Hwang, Jungbin ; Valdes, Gonzalo. In: Working papers. RePEc:uct:uconnp:2020-02.

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2019Multivariate realized volatility forecasts of agricultural commodity futures. (2019). Chen, Langnan ; Luo, Jiawen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:12:p:1565-1586.

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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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2005Optimal Instruments in Time Series: A Survey.(2005) In: Working Papers.
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This paper has another version. Agregated cites: 0
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2006Trade intensity in the Russian stock market:dynamics, distribution and determinants In: Working Papers.
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2006Trade intensity in the Russian stock market:dynamics, distribution and determinants.(2006) In: Working Papers.
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2007Trade intensity in the Russian stock market: dynamics, distribution and determinants.(2007) In: Applied Financial Economics.
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2006Nonparametric retrospection and monitoring of predictability of financial returns In: Working Papers.
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2009Nonparametric Retrospection and Monitoring of Predictability of Financial Returns.(2009) In: Journal of Business & Economic Statistics.
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2006Nonparametric retrospection and monitoring of predictability of financial returns.(2006) In: Working Papers.
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This paper has another version. Agregated cites: 4
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2006Tests in contingency tables as regression tests In: Working Papers.
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2006Tests in contingency tables as regression tests.(2006) In: Working Papers.
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2009Tests in contingency tables as regression tests.(2009) In: Economics Letters.
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2006Dynamic modeling under linear-exponential loss In: Working Papers.
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2006Dynamic modeling under linear-exponential loss.(2006) In: Working Papers.
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2009Dynamic modeling under linear-exponential loss.(2009) In: Economic Modelling.
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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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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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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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2011Sequential Testing with Uniformly Distributed Size.(2011) In: Working Papers.
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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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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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2012Inference in regression models with many regressors.(2012) In: Journal of Econometrics.
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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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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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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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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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2019Factor models with many assets: strong factors, weak factors, and the two-pass procedure In: Papers.
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2020Limit Theorems for Factor Models In: Papers.
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2020Testing Many Restrictions Under Heteroskedasticity In: Papers.
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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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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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2009Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments.(2009) In: Econometric Reviews.
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2005A Trading Approach to Testing for Predictability In: Journal of Business & Economic Statistics.
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2010Modeling Financial Return Dynamics via Decomposition In: Journal of Business & Economic Statistics.
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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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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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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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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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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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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: 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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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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