11
H index
14
i10 index
392
Citations
Stanislav Anatolyev : Citation Profile
Center for Economic Research and Graduate Education and Economics Institute (CERGE-EI) (67% share) | RESEARCH PRODUCTION: 66 Articles 45 Papers EDITOR: Series edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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25 years (1999 - 2024). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Stanislav Anatolyev. | Is cited by:
| Cites to:
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Main data
Where Stanislav Anatolyev has published?
| Journals with more than one article published | # docs |
|---|---|
| Quantile | 12 |
| Economics Letters | 11 |
| Econometric Theory | 10 |
| Journal of Business & Economic Statistics | 3 |
| Econometric Reviews | 3 |
| Journal of Econometrics | 3 |
| Economics Bulletin | 2 |
| Studies in Nonlinear Dynamics & Econometrics | 2 |
| Journal of Economic Surveys | 2 |
| 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.org | 4 |
| FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta | 2 |
Recent works citing Stanislav Anatolyev (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191. Full description at Econpapers || Download paper |
| 2024 | Testing Overidentifying Restrictions with High-Dimensional Data and Heteroskedasticity. (2022). Mei, Ziwei ; Guo, Zijian ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2205.00171. Full description at Econpapers || Download paper |
| 2023 | A Conditional Linear Combination Test with Many Weak Instruments. (2022). Zhang, Yichong ; Wang, Wenjie ; Lim, Dennis. In: Papers. RePEc:arx:papers:2207.11137. Full description at Econpapers || Download paper |
| 2023 | A Ridge-Regularised Jackknifed Anderson-Rubin Test. (2022). Mavroeidis, Sophocles ; Kock, Anders Bredahl ; Dovi, Max-Sebastian. In: Papers. RePEc:arx:papers:2209.03259. Full description at Econpapers || Download paper |
| 2023 | A specification test for the strength of instrumental variables. (2023). Yao, Jianfeng ; Wang, Chen ; Huang, Zhenhong. In: Papers. RePEc:arx:papers:2302.14396. Full description at Econpapers || Download paper |
| 2024 | Assessing 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. Full description at Econpapers || Download paper |
| 2023 | Identification- and many instrument-robust inference via invariant moment conditions. (2023). Ligtenberg, Johannes W ; Boot, Tom. In: Papers. RePEc:arx:papers:2303.07822. Full description at Econpapers || Download paper |
| 2024 | Inference in IV models with clustered dependence, many instruments and weak identification. (2023). Ligtenberg, Johannes W. In: Papers. RePEc:arx:papers:2306.08559. Full description at Econpapers || Download paper |
| 2024 | Testing for Peer Effects without Specifying the Network Structure. (2023). Liu, Xiaodong ; Jung, Hyunseok. In: Papers. RePEc:arx:papers:2306.09806. Full description at Econpapers || Download paper |
| 2023 | Predictability Tests Robust against Parameter Instability. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.15151. Full description at Econpapers || Download paper |
| 2024 | Linear Regression with Weak Exogeneity. (2023). Solvsten, Mikkel ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:2308.08958. Full description at Econpapers || Download paper |
| 2024 | Weak Identification with Many Instruments. (2023). Sun, Liyang ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:2308.09535. Full description at Econpapers || Download paper |
| 2023 | Learning Probability Distributions of Day-Ahead Electricity Prices. (2023). Hanus, Lubos ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2310.02867. Full description at Econpapers || Download paper |
| 2024 | The Fragility of Sparsity. (2023). Muller, Ulrich K ; Koles, Michal ; Roelsgaard, Sebastian T. In: Papers. RePEc:arx:papers:2311.02299. Full description at Econpapers || Download paper |
| 2023 | Optimal Estimation Methodologies for Panel Data Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.03471. Full description at Econpapers || Download paper |
| 2024 | Extract Mechanisms from Heterogeneous Effects: Identification Strategy for Mediation Analysis. (2024). Fu, Jiawei. In: Papers. RePEc:arx:papers:2403.04131. Full description at Econpapers || Download paper |
| 2023 | Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203. Full description at Econpapers || Download paper |
| 2024 | The lasting impact of external shocks on political opinions and populist voting. (2024). Stillman, Steven ; Levi, Eugenio ; Sin, Isabelle. In: Economic Inquiry. RePEc:bla:ecinqu:v:62:y:2024:i:1:p:349-374. Full description at Econpapers || Download paper |
| 2023 | Instrumental Variable Estimation with Many Instruments Using Elastic-Net IV. (2023). Skolkova, Alena. In: CERGE-EI Working Papers. RePEc:cer:papers:wp759. Full description at Econpapers || Download paper |
| 2024 | Research on contracting institutions and convergence. (2024). Liu, Kaifeng ; Yang, Zhiyuan. In: China Economic Review. RePEc:eee:chieco:v:84:y:2024:i:c:s1043951x2400018x. Full description at Econpapers || Download paper |
| 2023 | On the role of interest rate differentials in the dynamic asymmetry of exchange rates. (2023). Ulm, M ; Hambuckers, J. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003668. Full description at Econpapers || Download paper |
| 2023 | Finite-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. Full description at Econpapers || Download paper |
| 2023 | A 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. Full description at Econpapers || Download paper |
| 2023 | Joint 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. Full description at Econpapers || Download paper |
| 2024 | A conditional linear combination test with many weak instruments. (2024). Zhang, Yichong ; Wang, Wenjie ; Lim, Dennis. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003184. Full description at Econpapers || Download paper |
| 2024 | Bias in local projections. (2024). Johannsen, Benjamin K ; Herbst, Edward P. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000010. Full description at Econpapers || Download paper |
| 2024 | Evolving efficiency of the BRICS markets. (2024). Yu, Gennady ; Taylor, David R ; Kulikova, Maria V. In: Economic Systems. RePEc:eee:ecosys:v:48:y:2024:i:1:s093936252300105x. Full description at Econpapers || Download paper |
| 2024 | Fan charts in era of big data and learning. (2024). Hanus, Lubo ; Barunik, Jozef. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000333. Full description at Econpapers || Download paper |
| 2023 | Likelihood 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. Full description at Econpapers || Download paper |
| 2023 | “Watch your tone!”: Forecasting mining industry commodity prices with financial report tone. (2023). Hardy, Nicolas ; Ferreira, Tiago ; Magner, Nicolas S ; Quinteros, Maria J. In: Resources Policy. RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723009625. Full description at Econpapers || Download paper |
| 2023 | Skewness 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. Full description at Econpapers || Download paper |
| 2024 | Risk premiums from temperature trends. (2024). Gregory, Richard P. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:505-525. Full description at Econpapers || Download paper |
| 2023 | Fluctuations 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. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Managing 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. Full description at Econpapers || Download paper |
| 2023 | Improving 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. Full description at Econpapers || Download paper |
| 2023 | Analysis 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. Full description at Econpapers || Download paper |
| 2023 | Predicting 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. Full description at Econpapers || Download paper |
| 2023 | Return 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. Full description at Econpapers || Download paper |
| 2023 | Stress–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. Full description at Econpapers || Download paper |
| 2024 | Leaveâ€Out Estimation of Variance Components. (2020). Kline, Patrick ; Solvsten, Mikkel ; Saggio, Raffaele. In: Econometrica. RePEc:wly:emetrp:v:88:y:2020:i:5:p:1859-1898. Full description at Econpapers || Download paper |
| 2024 | Robust 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. Full description at Econpapers || Download paper |
| 2023 | Harvesting 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. Full description at Econpapers || Download paper |
| 2023 | Modeling 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. Full description at Econpapers || Download paper |
Stanislav Anatolyev is editor of
| Journal | |
|---|---|
| Quantile |
Works by Stanislav Anatolyev:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2005 | Optimal Instruments in Time Series: A Survey In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2007 | OPTIMAL INSTRUMENTS IN TIME SERIES: A SURVEY.(2007) In: Journal of Economic Surveys. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2005 | Optimal Instruments in Time Series: A Survey.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2006 | Trade intensity in the Russian stock market:dynamics, distribution and determinants In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
| 2006 | Trade intensity in the Russian stock market:dynamics, distribution and determinants.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2007 | Trade intensity in the Russian stock market: dynamics, distribution and determinants.(2007) In: Applied Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2006 | Nonparametric retrospection and monitoring of predictability of financial returns In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2009 | Nonparametric Retrospection and Monitoring of Predictability of Financial Returns.(2009) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2006 | Nonparametric retrospection and monitoring of predictability of financial returns.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2006 | Tests in contingency tables as regression tests In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2006 | Tests in contingency tables as regression tests.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2009 | Tests in contingency tables as regression tests.(2009) In: Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2006 | Dynamic modeling under linear-exponential loss In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2006 | Dynamic modeling under linear-exponential loss.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2009 | Dynamic modeling under linear-exponential loss.(2009) In: Economic Modelling. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2007 | Modeling Financial Return Dynamics by Decomposition In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2007 | Modeling Financial Return Dynamics by Decomposition.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2007 | Inference about predictive ability when there are many predictors In: Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2007 | Inference about predictive ability when there are many predictors.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2011 | Sequential Testing with Uniformly Distributed Size In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2018 | Sequential Testing with Uniformly Distributed Size.(2018) In: Journal of Time Series Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2011 | Sequential Testing with Uniformly Distributed Size.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2008 | Specification Testing in Models with Many Instruments In: Working Papers. [Full Text][Citation analysis] | paper | 34 |
| 2008 | Specification Testing in Models with Many Instruments.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | paper | |
| 2011 | SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS.(2011) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | article | |
| 2009 | Inference in Regression Models with Many Regressors In: Working Papers. [Full Text][Citation analysis] | paper | 24 |
| 2009 | Inference in Regression Models with Many Regressors.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | paper | |
| 2012 | Inference in regression models with many regressors.(2012) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | article | |
| 2009 | Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2009 | Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2012 | Instrumental variables estimation and inference in the presence of many exogenous regressors In: Working Papers. [Full Text][Citation analysis] | paper | 17 |
| 2012 | Instrumental variables estimation and inference in the presence of many exogenous regressors.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
| 2013 | Instrumental variables estimation and inference in the presence of many exogenous regressors.(2013) In: Econometrics Journal. [Citation analysis] This paper has nother version. Agregated cites: 17 | article | |
| 2013 | Reconstructing high dimensional dynamic distributions from distributions of lower dimension In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Reconstructing high dimensional dynamic distributions from distributions of lower dimension.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2012 | Reconstructing high dimensional dynamic distributions from distributions of lower dimension.(2012) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2015 | Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage In: Working Papers. [Full Text][Citation analysis] | paper | 10 |
| 2015 | Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2018 | Modeling and forecasting realized covariance matrices with accounting for leverage.(2018) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2019 | Forecasting dynamic return distributions based on ordered binary choice In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2019 | Forecasting dynamic return distributions based on ordered binary choice.(2019) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2019 | Factor models with many assets: strong factors, weak factors, and the two-pass procedure In: Papers. [Full Text][Citation analysis] | paper | 10 |
| 2022 | Factor models with many assets: Strong factors, weak factors, and the two-pass procedure.(2022) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2020 | Limit Theorems for Factor Models In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2021 | LIMIT THEOREMS FOR FACTOR MODELS.(2021) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2023 | Testing Many Restrictions Under Heteroskedasticity In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2023 | Testing many restrictions under heteroskedasticity.(2023) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 1999 | Feasible optimal instrumental variables estimation of linear models with moving average disturbances In: Working papers. [Full Text][Citation analysis] | paper | 1 |
| 1999 | Feasible Optimal Instrumental Variables Estimation of Linear Models with Moving Average Disturbances.(1999) In: Departmental Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2001 | Instrumental variables estimation of heteroskedastic linear models using all lags of instruments In: Working papers. [Full Text][Citation analysis] | paper | 17 |
| 2007 | Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments.(2007) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
| 2007 | Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
| 2009 | Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments.(2009) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | article | |
| 2005 | A Trading Approach to Testing for Predictability In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 39 |
| 2010 | Modeling Financial Return Dynamics via Decomposition In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 36 |
| 2019 | MANY INSTRUMENTS AND/OR REGRESSORS: A FRIENDLY GUIDE In: Journal of Economic Surveys. [Full Text][Citation analysis] | article | 12 |
| 2005 | A Ten-year retrospection of the behavior of Russian stock returns In: BOFIT Discussion Papers. [Full Text][Citation analysis] | paper | 16 |
| 2019 | Testing for a Functional Form of Mean Regression in a Fully Parametric Environment In: Journal of Econometric Methods. [Full Text][Citation analysis] | article | 0 |
| 2009 | Multi-Market Direction-of-Change Modeling Using Dependence Ratios In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 6 |
| 2023 | Unrestricted, restricted, and regularized models for forecasting multivariate volatility In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2018 | Formation of Market Beliefs in the Oil Market In: CERGE-EI Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2019 | Does Index Arbitrage Distort the Market Reaction to Shocks? In: CERGE-EI Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Shrinkage for Gaussian and t Copulas in Ultra-High Dimensions In: CERGE-EI Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2003 | 03.1.2. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression In: Econometric Theory. [Full Text][Citation analysis] | article | 1 |
| 2003 | THE FORM OF THE OPTIMAL NONLINEAR INSTRUMENT FOR MULTIPERIOD CONDITIONAL MOMENT RESTRICTIONS In: Econometric Theory. [Full Text][Citation analysis] | article | 4 |
| 2003 | 02.5.2. Durbin–Watson Statistic and Random Individual Effects In: Econometric Theory. [Full Text][Citation analysis] | article | 2 |
| 2003 | 02.6.2. Autoregression and Redundant Instruments—Solution In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
| 2005 | AN ALTERNATIVE TO MAXIMUM LIKELIHOOD BASED ON SPACINGS In: Econometric Theory. [Full Text][Citation analysis] | article | 13 |
| 2007 | REDUNDANCY OF LAGGED REGRESSORS REVISITED In: Econometric Theory. [Full Text][Citation analysis] | article | 4 |
| 2012 | ANOTHER NUMERICAL METHOD OF FINDING CRITICAL VALUES FOR THE ANDREWS STABILITY TEST In: Econometric Theory. [Full Text][Citation analysis] | article | 3 |
| 2017 | ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS In: Econometric Theory. [Full Text][Citation analysis] | article | 11 |
| 2002 | Markov chain approximation in bootstrapping autoregressions In: Economics Bulletin. [Full Text][Citation analysis] | article | 5 |
| 2002 | Electoral behavior of US counties: a panel data approach In: Economics Bulletin. [Full Text][Citation analysis] | article | 0 |
| 2005 | GMM, GEL, Serial Correlation, and Asymptotic Bias In: Econometrica. [Full Text][Citation analysis] | article | 42 |
| 2022 | Copula shrinkage and portfolio allocation in ultra-high dimensions In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 0 |
| 2008 | Method-of-moments estimation and choice of instruments: Numerical computations In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2013 | Asymptotic variance under many instruments: Numerical computations In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2014 | An algorithm for constructing high dimensional distributions from distributions of lower dimension In: Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2015 | Missing mean does no harm to volatility! In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2018 | Almost unbiased variance estimation in linear regressions with many covariates In: Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2021 | Mallows criterion for heteroskedastic linear regressions with many regressors In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2024 | Off-diagonal elements of projection matrices and dimension asymptotics In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 1999 | Nonparametric estimation of nonlinear rational expectation models In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2004 | Inference when a nuisance parameter is weakly identified under the null hypothesis In: Economics Letters. [Full Text][Citation analysis] | article | 2 |
| 2006 | Kernel estimation under linear-exponential loss In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2017 | Foreign exchange predictability and the carry trade: A decomposition approach In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 5 |
| 2008 | A 10-year retrospective on the determinants of Russian stock returns In: Research in International Business and Finance. [Full Text][Citation analysis] | article | 14 |
| 2007 | Using All Observations when Forecasting under Structural Breaks In: Finnish Economic Papers. [Full Text][Citation analysis] | article | 1 |
| 2015 | Foreign exchange predictability during the financial crisis: implications for carry trade profitability In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Multivariate return decomposition: theory and implications In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 2 |
| 2019 | Multivariate Return Decomposition: Theory and Implications.(2019) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2015 | Right on Target, or Is it? The Role of Distributional Shape in Variance Targeting In: Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2016 | Uncovering the Skewness News Impact Curve In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 6 |
| 2006 | Testing for predictability (in Russian) In: Quantile. [Full Text][Citation analysis] | article | 0 |
| 2007 | Optimal instruments (in Russian) In: Quantile. [Full Text][Citation analysis] | article | 1 |
| 2007 | The basics of bootstrapping (in Russian) In: Quantile. [Full Text][Citation analysis] | article | 3 |
| 2007 | Review of English textbooks in econometrics (in Russian) In: Quantile. [Full Text][Citation analysis] | article | 0 |
| 2008 | Making econometric reports (in Russian) In: Quantile. [Full Text][Citation analysis] | article | 0 |
| 2008 | Review of English textbooks in time series analysis (in Russian) In: Quantile. [Full Text][Citation analysis] | article | 0 |
| 2009 | Where to find data on the Web? (in Russian) In: Quantile. [Full Text][Citation analysis] | article | 0 |
| 2009 | Nonparametric regression (in Russian) In: Quantile. [Full Text][Citation analysis] | article | 0 |
| 2012 | Asymptotics of near unit roots (in Russian) In: Quantile. [Full Text][Citation analysis] | article | 0 |
| 2013 | Objects of nonstructural time series modeling (in Russian) In: Quantile. [Full Text][Citation analysis] | article | 0 |
| 2019 | Basics of quasi- and pseudo-likelihood theories (in Russian) In: Quantile. [Full Text][Citation analysis] | article | 0 |
| 2019 | Do spatial structures yield better volatility forecasts? (in Russian) In: Quantile. [Full Text][Citation analysis] | article | 0 |
| 2003 | The term structure of Russian interest rates In: Applied Economics Letters. [Full Text][Citation analysis] | article | 2 |
| 2019 | Many instruments: Implementation in Stata In: Stata Journal. [Full Text][Citation analysis] | article | 2 |
| 2019 | Volatility filtering in estimation of kurtosis (and variance) In: Dependence Modeling. [Full Text][Citation analysis] | article | 3 |
| 2021 | How does the financial market update beliefs about the real economy? Evidence from the oil market In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2021 | Directional news impact curve In: Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
| In: . [Full Text][Citation analysis] | paper | 0 |
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