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

7

i10 index

214

Citations

RESEARCH PRODUCTION:

56

Articles

41

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   20 years (1999 - 2019). See details.
   Cites by year: 10
   Journals where Stanislav Anatolyev has often published
   Relations with other researchers
   Recent citing documents: 23.    Total self citations: 32 (13.01 %)

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   Permalink: http://citec.repec.org/pan48
   Updated: 2019-09-14    RAS profile: 2019-07-30    
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Relations with other researchers


Works with:

Gospodinov, Nikolay (4)

Liu, Xiaochun (2)

Prokhorov, Artem (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)

Kozhan, Roman (6)

Cerqueti, Roy (5)

Nyberg, Henri (5)

Pönkä, Harri (5)

Imbens, Guido (4)

Dick, Christian (4)

Tobacman, Jeremy (4)

Chetty, Raj (4)

Guay, Alain (4)

Gospodinov, Nikolay (4)

Cites to:

Engle, Robert (31)

West, Kenneth (19)

Diebold, Francis (18)

Timmermann, Allan (17)

Sarno, Lucio (17)

Gospodinov, Nikolay (16)

Christoffersen, Peter (15)

Newey, Whitney (14)

Bollerslev, Tim (13)

Hansen, Lars (13)

Hansen, Bruce (13)

Main data


Where Stanislav Anatolyev has published?


Journals with more than one article published# docs
Quantile12
Economics Letters9
Econometric Theory9
Econometric Reviews3
Journal of Business & Economic Statistics3
Journal of Economic Surveys2
Economics Bulletin2

Working Papers Series with more than one paper published# docs
Working Papers / Center for Economic and Financial Research (CEFIR)14
Working Papers / New Economic School (NES)14
Papers / arXiv.org3
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta2

Recent works citing Stanislav Anatolyev (2019 and 2018)


YearTitle of citing document
2018Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Empirical Likelihood Estimators. (2018). Lee, Seojeong. In: Papers. RePEc:arx:papers:1806.00953.

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2019Leave-out estimation of variance components. (2018). 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. (2018). D'Adamo, Riccardo. In: Papers. RePEc:arx:papers:1806.07314.

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2017Monitoring Parameter Constancy with Endogenous Regressors. (2017). Perron, Pierre ; Kurozumi, Eiji ; Zorita, Eduardo . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:5:p:791-805.

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2017On bootstrap validity for specification testing with many weak instruments. (2017). Kaffo, Maximilien ; Wang, Wenjie. In: Economics Letters. RePEc:eee:ecolet:v:157:y:2017:i:c:p:107-111.

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2018Generalized empirical likelihood specification test robust to local misspecification. (2018). Park, Sung Y. ; Fan, Rui ; Li, Haiqi. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:149-153.

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2018Moment redundancy test with application to efficiency-improving copulas. (2018). Hao, Bowen ; Qian, Hailong ; Prokhorov, Artem. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:29-33.

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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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2018Minimum distance approach to inference with many instruments. (2018). Kolesar, Michal. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:86-100.

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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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2018A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets. (2018). Rizvi, Syed Aun R. ; Alam, Nafis ; Arshad, Shaista ; Aun, Syed . In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:143-161.

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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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2018Spillover effect of US dollar on the stock indices of BRICS. (2018). Naresh, G ; Thiyagarajan, S ; Mahalakshmi, S ; Vasudevan, Gopala. In: Research in International Business and Finance. RePEc:eee:riibaf:v:44:y:2018:i:c:p:359-368.

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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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2018Quasi-Maximum Likelihood and the Kernel Block Bootstrap for Nonlinear Dynamic Models. (2018). Parente, Paulo ; Smith, Richard J. In: Working Papers REM. RePEc:ise:remwps:wp0592018.

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2018Rate Optimal Specification Test When the Number of Instruments is Large. (2018). Hitomi, Kohtaro ; Nishiyama, Yoshihiko ; Iwasawa, Masamune . In: KIER Working Papers. RePEc:kyo:wpaper:986.

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2018Higher Order Approximation of IV Estimators with Invalid Instruments. (2018). Kang, Byunghoon. In: Working Papers. RePEc:lan:wpaper:257105320.

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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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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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2018Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form. (2018). Lin, Eric ; Chou, Ta-Sheng . In: Econometric Reviews. RePEc:taf:emetrv:v:37:y:2018:i:1:p:1-28.

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2017Inference in instrumental variables models with heteroskedasticity and many instruments. (2017). Mellace, Giovanni ; Crudu, Federico ; Sandor, Zsolt. In: Department of Economics University of Siena. RePEc:usi:wpaper:761.

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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 another version. Agregated cites: 1
article
2005Optimal Instruments in Time Series: A Survey.(2005) In: Working Papers.
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This paper has another version. Agregated cites: 1
paper
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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paper
2007Trade intensity in the Russian stock market: dynamics, distribution and determinants.(2007) In: Applied Financial Economics.
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article
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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article
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
paper
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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paper
2009Dynamic modeling under linear-exponential loss.(2009) In: Economic Modelling.
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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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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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paper
2011SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS.(2011) In: Econometric Theory.
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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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2012Inference in regression models with many regressors.(2012) In: Journal of Econometrics.
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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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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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2019Factor models with many assets: strong factors, weak factors, and the two-pass procedure In: Papers.
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2018Limit Theorems for Factor Models 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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paper1
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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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 InstrumentsSolution 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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2019Forecasting dynamic return distributions based on ordered binary choice In: International Journal of Forecasting.
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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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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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2019Multivariate Return Decomposition: Theory and Implications In: Econometric Reviews.
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2019Volatility filtering in estimation of kurtosis (and variance) In: Dependence Modeling.
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