Stanislav Anatolyev : Citation Profile

New Economic School (NES) (33% share)
Center for Economic Research and Graduate Education and Economics Institute (CERGE-EI) (67% share)

12

H index

14

i10 index

429

Citations

RESEARCH PRODUCTION:

66

Articles

45

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   25 years (1999 - 2024). See details.
   Cites by year: 17
   Journals where Stanislav Anatolyev has often published
   Relations with other researchers
   Recent citing documents: 60.    Total self citations: 41 (8.72 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pan48
   Updated: 2026-01-17    RAS profile: 2025-04-24    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Sølvsten, Mikkel (2)

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

Is cited by:

Wang, Wenjie (10)

Liu, Xiaochun (7)

Liu, Xiaochun (7)

Liu, Xiaochun (7)

Liu, Xiaochun (7)

Pincheira, Pablo (6)

Sølvsten, Mikkel (6)

Hardy, Nicolas (6)

Gospodinov, Nikolay (5)

Cerqueti, Roy (5)

Pönkä, Harri (5)

Cites to:

Engle, Robert (47)

Newey, Whitney (30)

Diebold, Francis (26)

Bollerslev, Tim (26)

West, Kenneth (22)

Timmermann, Allan (22)

Hansen, Bruce (19)

Gospodinov, Nikolay (19)

Bauwens, Luc (17)

Sarno, Lucio (16)

Patton, Andrew (16)

Main data

Where Stanislav Anatolyev has published?

Journals with more than one article published# docs
Quantile12
Economics Letters11
Econometric Theory10
Journal of Business & Economic Statistics3
Econometric Reviews3
Journal of Econometrics3
Economics Bulletin2
Studies in Nonlinear Dynamics & Econometrics2
Journal of Economic Surveys2

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 (2025 and 2024)

YearTitle of citing document
2024Aid, Domestic Governance, and Agricultural Growth in Developing Countries. (2024). Djokoto, Justice ; Srofenyoh, Francis Yao ; Gidiglo, Ferguson Korbla ; Agyeiwaa-Afrane, Akua ; Badu-Prah, Charlotte ; Aboa-Offei, Kofi Aaron. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:348964.

Full description at Econpapers || Download paper

2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024022.

Full description at Econpapers || Download paper

2024Trade exposure, immigrants and workplace injuries. (2024). Picchio, Matteo ; Lo Turco, Alessia ; Filomena, Mattia. In: Working Papers. RePEc:anc:wpaper:488.

Full description at Econpapers || Download paper

2024A Heteroskedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates. (2024). Mei, Ziwei ; Guo, Zijian ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2205.00171.

Full description at Econpapers || Download paper

2024The First-stage F Test with Many Weak Instruments. (2024). Huang, Zhenhong ; Yao, Jianfeng ; Wang, Chen. In: Papers. RePEc:arx:papers:2302.14423.

Full description at Econpapers || Download paper

2025Identification- and many instrument-robust inference via invariant moment conditions. (2025). Boot, Tom ; Ligtenberg, Johannes W. In: Papers. RePEc:arx:papers:2303.07822.

Full description at Econpapers || Download paper

2025Inference in IV models with clustered dependence, many instruments and weak identification. (2024). Ligtenberg, Johannes W. In: Papers. RePEc:arx:papers:2306.08559.

Full description at Econpapers || Download paper

2025Testing for Peer Effects without Specifying the Network Structure. (2024). Liu, Xiaodong ; Jung, Hyun Seok. In: Papers. RePEc:arx:papers:2306.09806.

Full description at Econpapers || Download paper

2024Linear Regression with Weak Exogeneity. (2024). Sølvsten, Mikkel ; Solvsten, Mikkel ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:2308.08958.

Full description at Econpapers || Download paper

2024Weak Identification with Many Instruments. (2024). Sun, Liyang ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:2308.09535.

Full description at Econpapers || Download paper

2025Learning Probability Distributions of Day-Ahead Electricity Prices. (2023). Baruník, Jozef ; Hanus, Lubos ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2310.02867.

Full description at Econpapers || Download paper

2025The Fragility of Sparsity. (2025). Muller, Ulrich K ; Roelsgaard, Sebastian T ; Koles, Michal. In: Papers. RePEc:arx:papers:2311.02299.

Full description at Econpapers || Download paper

2024High Dimensional Factor Analysis with Weak Factors. (2024). Yuan, Ming ; Choi, Jungjun. In: Papers. RePEc:arx:papers:2402.05789.

Full description at Econpapers || Download paper

2025Extracting Mechanisms from Heterogeneous Effects: An Identification Strategy for Mediation Analysis. (2024). Fu, Jiawei. In: Papers. RePEc:arx:papers:2403.04131.

Full description at Econpapers || Download paper

2025Sparse Asymptotic PCA: Identifying Sparse Latent Factors Across Time Horizon. (2025). Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2407.09738.

Full description at Econpapers || Download paper

2025Revisiting the Many Instruments Problem using Random Matrix Theory. (2024). Groh, Rebecca ; Muhlegger, Michael ; Farbmacher, Helmut ; Vollert, Gabriel. In: Papers. RePEc:arx:papers:2408.08580.

Full description at Econpapers || Download paper

2025A Dimension-Agnostic Bootstrap Anderson-Rubin Test For Instrumental Variable Regressions. (2024). Wang, Wenjie ; Zhang, Yichong ; Lim, Dennis. In: Papers. RePEc:arx:papers:2412.01603.

Full description at Econpapers || Download paper

2025Robust Quantile Factor Analysis. (2025). Feng, Junlong ; Chen, Songnian. In: Papers. RePEc:arx:papers:2501.15761.

Full description at Econpapers || Download paper

2025An Improved Inference for IV Regressions. (2025). Dou, Liyu ; Zhang, Yichong ; Min, Pengjin ; Wang, Wenjie. In: Papers. RePEc:arx:papers:2506.23816.

Full description at Econpapers || Download paper

2025Robust Inference with High-Dimensional Instruments. (2025). Jaidee, Sombut ; Feng, QU ; Wang, Wenjie. In: Papers. RePEc:arx:papers:2506.23834.

Full description at Econpapers || Download paper

2025Interactive, Grouped and Non-separable Fixed Effects: A Practitioners Guide to the New Panel Data Econometrics. (2025). Karavias, Yiannis ; Ditzen, Jan. In: Papers. RePEc:arx:papers:2507.19099.

Full description at Econpapers || Download paper

2024The lasting impact of external shocks on political opinions and populist voting. (2024). Stillman, Steven ; Sin, Isabelle ; Levi, Eugenio. In: Economic Inquiry. RePEc:bla:ecinqu:v:62:y:2024:i:1:p:349-374.

Full description at Econpapers || Download paper

2024Do Professional Forecasters Follow Uncovered Interest Rate Parity?. (2024). Bürgi, Constantin ; Brgi, Constantin ; Song, Mengdi. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11338.

Full description at Econpapers || Download paper

2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2024024.

Full description at Econpapers || Download paper

2024Research on contracting institutions and convergence. (2024). Yang, Zhiyuan ; Liu, Kaifeng. In: China Economic Review. RePEc:eee:chieco:v:84:y:2024:i:c:s1043951x2400018x.

Full description at Econpapers || Download paper

2025Time-varying risk aversion and international stock returns. (2025). Hansen, Erwin ; Guidolin, Massimo ; Cabrera, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001967.

Full description at Econpapers || Download paper

2024A 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

2024Inference on the best policies with many covariates. (2024). Zheng, Zeyu ; Zhou, Yuqing ; Wei, Waverly ; Wang, Jingshen. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623001549.

Full description at Econpapers || Download paper

2024Bias in local projections. (2024). Herbst, Edward P ; Johannsen, Benjamin K. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000010.

Full description at Econpapers || Download paper

2025Identification robust inference for the risk premium in term structure models. (2025). Kong, Lingwei ; Kleibergen, Frank. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624000745.

Full description at Econpapers || Download paper

2025Adjustments with many regressors under covariate-adaptive randomizations. (2025). Miao, Ke ; Jiang, Liang ; Zhang, Yichong ; Li, Liyao. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000454.

Full description at Econpapers || Download paper

2024Evolving efficiency of the BRICS markets. (2024). Kulikova, Maria V ; Yu, Gennady ; Taylor, David R. In: Economic Systems. RePEc:eee:ecosys:v:48:y:2024:i:1:s093936252300105x.

Full description at Econpapers || Download paper

2024Combining the MGHyp distribution with nonlinear shrinkage in modeling financial asset returns. (2024). Hediger, Simon ; Naf, Jeffrey. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000240.

Full description at Econpapers || Download paper

2025Forecasting multivariate volatilities with exogenous predictors: An application to industry diversification strategies. (2025). GUPTA, RANGAN ; Demirer, Riza ; Cepni, Oguzhan ; Luo, Jiawen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000179.

Full description at Econpapers || Download paper

2024Fan charts in era of big data and learning. (2024). Baruník, Jozef ; Hanus, Lubo ; Barunik, Jozef. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000333.

Full description at Econpapers || Download paper

2024Risk 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

2025A Uniformly Valid Test for Instrument Exogeneity. (2025). Gospodinov, Nikolay ; Dovonon, Prosper. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:101963.

Full description at Econpapers || Download paper

2024Modelling and Forecasting Crude Oil Prices Using Trend Analysis in a Binary-Temporal Representation. (2024). Stasiak, Micha Dominik ; Staszak, Aneta. In: Energies. RePEc:gam:jeners:v:17:y:2024:i:14:p:3361-:d:1431456.

Full description at Econpapers || Download paper

2024The Role of Political Uncertainty in Climate-Related Disaster Impacts on Financial Markets. (2024). Gregory, Richard Paul. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:7:p:273-:d:1425572.

Full description at Econpapers || Download paper

2024Substantiation of the Risk Neutralization Mechanism in the Financial Security Management of Agricultural Enterprises. (2024). Titenko, Zoya ; Wasilewska, Natalia ; Davydenko, Nadiia ; Wasilewski, Mirosaw. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:3:p:1159-:d:1329486.

Full description at Econpapers || Download paper

2024A simple test of misspecification for linear asset pricing models. (2024). Giannetti, Antoine. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:38:y:2024:i:3:d:10.1007_s11408-024-00445-6.

Full description at Econpapers || Download paper

2025Boosting Carry with Equilibrium Exchange Rate Estimates. (2025). Rubaszek, Michał ; Beckmann, Joscha ; Kwas, Marek ; Ca, Michele. In: Open Economies Review. RePEc:kap:openec:v:36:y:2025:i:4:d:10.1007_s11079-024-09795-0.

Full description at Econpapers || Download paper

2024Empirical verification of the link between the digital divide and womens economic participation in Africa. (2024). Asaloko, Prince Piva. In: European Journal of Comparative Economics. RePEc:liu:liucej:v:21:y:2024:i:1:p:123-164.

Full description at Econpapers || Download paper

2025Sport and happiness: an evidence from football. (2025). Possi, Eric Xaverie. In: European Journal of Comparative Economics. RePEc:liu:liucej:v:22:y:2025:i:1:p:77-127.

Full description at Econpapers || Download paper

2024Time series forecasting under structural breaks. (2024). Skrobotov, Anton. In: Applied Econometrics. RePEc:ris:apltrx:0512.

Full description at Econpapers || Download paper

2025Testing overidentifying restrictions on high-dimensional instruments and covariates. (2025). Guo, XU ; Zhang, Xinyu ; Wang, Chenyang ; He, Baihua ; Shi, Hongwei. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:77:y:2025:i:2:d:10.1007_s10463-024-00918-5.

Full description at Econpapers || Download paper

2024Inference for a constant-stress model under progressive type-II censored data from the truncated normal distribution. (2024). Liu, Xinsheng ; Sief, Mohamed ; Mohamed, Abd El-Raheem. In: Computational Statistics. RePEc:spr:compst:v:39:y:2024:i:5:d:10.1007_s00180-023-01407-8.

Full description at Econpapers || Download paper

2024Impacts of the integral development of agriculture and tourism on agricultural eco-efficiency: a case study of two river basins in China. (2024). Shi, Juan ; Xie, Ailiang ; Wang, Jingjing ; Zhou, Faming. In: Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development. RePEc:spr:endesu:v:26:y:2024:i:1:d:10.1007_s10668-022-02781-x.

Full description at Econpapers || Download paper

2024Robustifying and simplifying high-dimensional regression with applications to yearly stock return and telematics data. (2024). Marchese, Malvina ; Martinez-Miranda, Maria Dolores ; Scholz, Michael ; Nielsen, Jens Perch. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00657-9.

Full description at Econpapers || Download paper

2025Incorporating causal notions to forecasting time series: a case study. (2025). Kristjanpoller, Werner ; Llanos, Cristian ; Michell, Kevin ; Minutolo, Marcel C. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00681-9.

Full description at Econpapers || Download paper

2024Statistical inference of the exponentiated exponential distribution based on progressive type-II censoring with optimal scheme. (2024). Hora, Rashi ; Azhad, Qazi J ; Kabdwal, Naresh Chandra. In: International Journal of System Assurance Engineering and Management. RePEc:spr:ijsaem:v:15:y:2024:i:8:d:10.1007_s13198-024-02381-0.

Full description at Econpapers || Download paper

2025Classical and non-informative bayesian inference of Spmk for Nakagami distribution based on first-failure progressively censored samples. (2025). Dey, Sanku ; Al-Mosawi, Riyadh ; Kumar, Devendra. In: International Journal of System Assurance Engineering and Management. RePEc:spr:ijsaem:v:16:y:2025:i:7:d:10.1007_s13198-025-02814-4.

Full description at Econpapers || Download paper

2024A weighted average limited information maximum likelihood estimator. (2024). Qasim, Muhammad. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:5:d:10.1007_s00362-023-01485-2.

Full description at Econpapers || Download paper

2024Predictable by Construction: Assessing Forecast Directional Accuracy of Temporal Aggregates. (2024). Martin, Stephen Snudden. In: LCERPA Working Papers. RePEc:wlu:lcerpa:jc0147.

Full description at Econpapers || Download paper

2024Forecasting VaR and ES in emerging markets: The role of time‐varying higher moments. (2024). Le, Trung H. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:2:p:402-414.

Full description at Econpapers || Download paper

2024A forecasting model for oil prices using a large set of economic indicators. (2024). Hejase, Ale ; Jamali, Ibrahim ; el Hokayem, Jihad. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:5:p:1615-1624.

Full description at Econpapers || Download paper

2024The mean squared prediction error paradox. (2024). Pincheira, Pablo ; Hardy, Nicolas. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:2298-2321.

Full description at Econpapers || Download paper

2025Taming Data‐Driven Probability Distributions. (2025). Hanus, Lubo ; Barunk, Jozef. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:676-691.

Full description at Econpapers || Download paper

2025Fundamentals Models Versus Random Walk: Evidence From an Emerging Economy. (2025). de Mendonça, Helder ; Vereda, Luciano ; Matos, Luan Mateus ; de Mendona, Helder Ferreira. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:6:p:1884-1906.

Full description at Econpapers || Download paper

2025Linear regression with weak exogeneity. (2025). Sølvsten, Mikkel ; Slvsten, Mikkel ; Mikusheva, Anna. In: Quantitative Economics. RePEc:wly:quante:v:16:y:2025:i:2:p:367-403.

Full description at Econpapers || Download paper

Stanislav Anatolyev is editor of

Journal
Quantile

Works by Stanislav Anatolyev:

YearTitleTypeCited
2005Optimal Instruments in Time Series: A Survey In: Working Papers.
[Full Text][Citation analysis]		paper1
2007OPTIMAL 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
2005Optimal Instruments in Time Series: A Survey.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2006Trade intensity in the Russian stock market:dynamics, distribution and determinants In: Working Papers.
[Full Text][Citation analysis]		paper9
2006Trade 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
2007Trade 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
2006Nonparametric retrospection and monitoring of predictability of financial returns In: Working Papers.
[Full Text][Citation analysis]		paper5
2009Nonparametric 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
2006Nonparametric 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
2006Tests in contingency tables as regression tests In: Working Papers.
[Full Text][Citation analysis]		paper1
2006Tests in contingency tables as regression tests.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2009Tests in contingency tables as regression tests.(2009) In: Economics Letters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2006Dynamic modeling under linear-exponential loss In: Working Papers.
[Full Text][Citation analysis]		paper3
2006Dynamic modeling under linear-exponential loss.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2009Dynamic modeling under linear-exponential loss.(2009) In: Economic Modelling.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2007Modeling Financial Return Dynamics by Decomposition In: Working Papers.
[Full Text][Citation analysis]		paper2
2007Modeling Financial Return Dynamics by Decomposition.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2007Inference about predictive ability when there are many predictors In: Working Papers.
[Full Text][Citation analysis]		paper7
2007Inference 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
2011Sequential Testing with Uniformly Distributed Size In: Working Papers.
[Full Text][Citation analysis]		paper3
2018Sequential 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
2011Sequential Testing with Uniformly Distributed Size.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2008Specification Testing in Models with Many Instruments In: Working Papers.
[Full Text][Citation analysis]		paper39
2008Specification Testing in Models with Many Instruments.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39		paper
2011SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS.(2011) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39		article
2009Inference in Regression Models with Many Regressors In: Working Papers.
[Full Text][Citation analysis]		paper26
2009Inference in Regression Models with Many Regressors.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		paper
2012Inference in regression models with many regressors.(2012) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		article
2009Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches In: Working Papers.
[Full Text][Citation analysis]		paper1
2009Directional 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
2012Instrumental variables estimation and inference in the presence of many exogenous regressors In: Working Papers.
[Full Text][Citation analysis]		paper18
2012Instrumental 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: 18		paper
2013Instrumental variables estimation and inference in the presence of many exogenous regressors.(2013) In: Econometrics Journal.
[Citation analysis]
This paper has nother version. Agregated cites: 18		article
2013Reconstructing high dimensional dynamic distributions from distributions of lower dimension In: Working Papers.
[Full Text][Citation analysis]		paper0
2013Reconstructing 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
2012Reconstructing high dimensional dynamic distributions from distributions of lower dimension.(2012) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2015Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage In: Working Papers.
[Full Text][Citation analysis]		paper11
2015Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2018Modeling and forecasting realized covariance matrices with accounting for leverage.(2018) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		article
2019Forecasting dynamic return distributions based on ordered binary choice In: Papers.
[Full Text][Citation analysis]		paper6
2019Forecasting 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: 6		article
2019Factor models with many assets: strong factors, weak factors, and the two-pass procedure In: Papers.
[Full Text][Citation analysis]		paper17
2022Factor 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: 17		article
2020Limit Theorems for Factor Models In: Papers.
[Full Text][Citation analysis]		paper1
2021LIMIT THEOREMS FOR FACTOR MODELS.(2021) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2023Testing Many Restrictions Under Heteroskedasticity In: Papers.
[Full Text][Citation analysis]		paper7
2023Testing many restrictions under heteroskedasticity.(2023) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
1999Feasible optimal instrumental variables estimation of linear models with moving average disturbances In: Working papers.
[Full Text][Citation analysis]		paper1
1999Feasible 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
2001Instrumental variables estimation of heteroskedastic linear models using all lags of instruments In: Working papers.
[Full Text][Citation analysis]		paper17
2007Instrumental 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
2007Instrumental 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
2009Instrumental 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
2005A Trading Approach to Testing for Predictability In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article43
2010Modeling Financial Return Dynamics via Decomposition In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article36
2019MANY INSTRUMENTS AND/OR REGRESSORS: A FRIENDLY GUIDE In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article14
2005A Ten-year retrospection of the behavior of Russian stock returns In: BOFIT Discussion Papers.
[Full Text][Citation analysis]		paper16
2019Testing for a Functional Form of Mean Regression in a Fully Parametric Environment In: Journal of Econometric Methods.
[Full Text][Citation analysis]		article0
2009Multi-Market Direction-of-Change Modeling Using Dependence Ratios In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article6
2023Unrestricted, restricted, and regularized models for forecasting multivariate volatility In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article0
2018Formation of Market Beliefs in the Oil Market In: CERGE-EI Working Papers.
[Full Text][Citation analysis]		paper1
2019Does Index Arbitrage Distort the Market Reaction to Shocks? In: CERGE-EI Working Papers.
[Full Text][Citation analysis]		paper0
2021Shrinkage for Gaussian and t Copulas in Ultra-High Dimensions In: CERGE-EI Working Papers.
[Full Text][Citation analysis]		paper0
200303.1.2. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression In: Econometric Theory.
[Full Text][Citation analysis]		article1
2003THE FORM OF THE OPTIMAL NONLINEAR INSTRUMENT FOR MULTIPERIOD CONDITIONAL MOMENT RESTRICTIONS In: Econometric Theory.
[Full Text][Citation analysis]		article4
200302.5.2. Durbin–Watson Statistic and Random Individual Effects In: Econometric Theory.
[Full Text][Citation analysis]		article2
200302.6.2. Autoregression and Redundant Instruments—Solution In: Econometric Theory.
[Full Text][Citation analysis]		article0
2005AN ALTERNATIVE TO MAXIMUM LIKELIHOOD BASED ON SPACINGS In: Econometric Theory.
[Full Text][Citation analysis]		article15
2007REDUNDANCY OF LAGGED REGRESSORS REVISITED In: Econometric Theory.
[Full Text][Citation analysis]		article4
2012ANOTHER NUMERICAL METHOD OF FINDING CRITICAL VALUES FOR THE ANDREWS STABILITY TEST In: Econometric Theory.
[Full Text][Citation analysis]		article3
2017ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS In: Econometric Theory.
[Full Text][Citation analysis]		article11
2002Markov chain approximation in bootstrapping autoregressions In: Economics Bulletin.
[Full Text][Citation analysis]		article5
2002Electoral behavior of US counties: a panel data approach In: Economics Bulletin.
[Full Text][Citation analysis]		article0
2005GMM, GEL, Serial Correlation, and Asymptotic Bias In: Econometrica.
[Full Text][Citation analysis]		article44
2022Copula shrinkage and portfolio allocation in ultra-high dimensions In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article1
2008Method-of-moments estimation and choice of instruments: Numerical computations In: Economics Letters.
[Full Text][Citation analysis]		article0
2013Asymptotic variance under many instruments: Numerical computations In: Economics Letters.
[Full Text][Citation analysis]		article0
2014An algorithm for constructing high dimensional distributions from distributions of lower dimension In: Economics Letters.
[Full Text][Citation analysis]		article1
2015Missing mean does no harm to volatility! In: Economics Letters.
[Full Text][Citation analysis]		article0
2018Almost unbiased variance estimation in linear regressions with many covariates In: Economics Letters.
[Full Text][Citation analysis]		article1
2021Mallows criterion for heteroskedastic linear regressions with many regressors In: Economics Letters.
[Full Text][Citation analysis]		article0
2024Off-diagonal elements of projection matrices and dimension asymptotics In: Economics Letters.
[Full Text][Citation analysis]		article0
1999Nonparametric estimation of nonlinear rational expectation models In: Economics Letters.
[Full Text][Citation analysis]		article0
2004Inference when a nuisance parameter is weakly identified under the null hypothesis In: Economics Letters.
[Full Text][Citation analysis]		article3
2006Kernel estimation under linear-exponential loss In: Economics Letters.
[Full Text][Citation analysis]		article0
2017Foreign exchange predictability and the carry trade: A decomposition approach In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article7
2008A 10-year retrospective on the determinants of Russian stock returns In: Research in International Business and Finance.
[Full Text][Citation analysis]		article14
2007Using All Observations when Forecasting under Structural Breaks In: Finnish Economic Papers.
[Full Text][Citation analysis]		article2
2015Foreign exchange predictability during the financial crisis: implications for carry trade profitability In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper0
2015Multivariate return decomposition: theory and implications In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper2
2019Multivariate Return Decomposition: Theory and Implications.(2019) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2015Right on Target, or Is it? The Role of Distributional Shape in Variance Targeting In: Econometrics.
[Full Text][Citation analysis]		article0
2016Uncovering the Skewness News Impact Curve In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article6
2006Testing for predictability (in Russian) In: Quantile.
[Full Text][Citation analysis]		article0
2007Optimal instruments (in Russian) In: Quantile.
[Full Text][Citation analysis]		article1
2007The basics of bootstrapping (in Russian) In: Quantile.
[Full Text][Citation analysis]		article3
2007Review of English textbooks in econometrics (in Russian) In: Quantile.
[Full Text][Citation analysis]		article0
2008Making econometric reports (in Russian) In: Quantile.
[Full Text][Citation analysis]		article0
2008Review of English textbooks in time series analysis (in Russian) In: Quantile.
[Full Text][Citation analysis]		article0
2009Where to find data on the Web? (in Russian) In: Quantile.
[Full Text][Citation analysis]		article0
2009Nonparametric regression (in Russian) In: Quantile.
[Full Text][Citation analysis]		article0
2012Asymptotics of near unit roots (in Russian) In: Quantile.
[Full Text][Citation analysis]		article0
2013Objects of nonstructural time series modeling (in Russian) In: Quantile.
[Full Text][Citation analysis]		article0
2019Basics of quasi- and pseudo-likelihood theories (in Russian) In: Quantile.
[Full Text][Citation analysis]		article0
2019Do spatial structures yield better volatility forecasts? (in Russian) In: Quantile.
[Full Text][Citation analysis]		article0
2003The term structure of Russian interest rates In: Applied Economics Letters.
[Full Text][Citation analysis]		article2
2019Many instruments: Implementation in Stata In: Stata Journal.
[Full Text][Citation analysis]		article3
2019Volatility filtering in estimation of kurtosis (and variance) In: Dependence Modeling.
[Full Text][Citation analysis]		article3
2021How does the financial market update beliefs about the real economy? Evidence from the oil market In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article0
2021Directional news impact curve In: Journal of Forecasting.
[Full Text][Citation analysis]		article0
2005A Ten-year retrospection of the behavior of Russian stock returns In: BOFIT Discussion Papers.
[Full Text][Citation analysis]		paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated December, 22 2025. Contact: CitEc Team