Stanislav Anatolyev
Names
| first: |
Stanislav |
| last: |
Anatolyev |
Identifer
Contact
| homepage: |
https://pages.nes.ru/sanatoly/ |
|
| phone: |
+7 (495) 956-9508 |
| postal address: |
New Economic School
Skolkovskoye shosse, 45
Office 2.39
Moscow, 121353
Russia |
Affiliations
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Center for Economic Research and Graduate Education and Economics Institute (CERGE-EI) (weight: 67%)
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New Economic School (NES) (weight: 33%)
Research profile
author of:
- Optimal Instruments in Time Series: A Survey (RePEc:abo:neswpt:w0069)
by Stanislav Anatolyev - Trade intensity in the Russian stock market:dynamics, distribution and determinants (RePEc:abo:neswpt:w0070)
by Stanislav Anatolyev & Dmitry Shakin - Nonparametric retrospection and monitoring of predictability of financial returns (RePEc:abo:neswpt:w0071)
by Stanislav Anatolyev - Tests in contingency tables as regression tests (RePEc:abo:neswpt:w0075)
by Stanislav Anatolyev & Grigory Kosenok - Dynamic modeling under linear-exponential loss (RePEc:abo:neswpt:w0092)
by Stanislav Anatolyev - Modeling Financial Return Dynamics by Decomposition (RePEc:abo:neswpt:w0095)
by Stanislav Anatolyev & Nikolay Gospodinov - Inference about predictive ability when there are many predictors (RePEc:abo:neswpt:w0096)
by Stanislav Anatolyev - Sequential Testing with Uniformly Distributed Size (RePEc:abo:neswpt:w0123)
by Stanislav Anatolyev & Grigory Kosenok - Specification Testing in Models with Many Instruments (RePEc:abo:neswpt:w0124)
by Stanislav Anatolyev & Nikolay Gospodinov - Inference in Regression Models with Many Regressors (RePEc:abo:neswpt:w0125)
by Stanislav Anatolyev - Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches (RePEc:abo:neswpt:w0136)
by Stanislav Anatolyev & Natalia Kryzhanovskaya - Instrumental variables estimation and inference in the presence of many exogenous regressors (RePEc:abo:neswpt:w0162)
by Stanislav Anatolyev - Reconstructing high dimensional dynamic distributions from distributions of lower dimension (RePEc:abo:neswpt:w0167)
by Stanislav Anatolyev & Renat Khabibullin & Artem Prokhorov - Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage (RePEc:abo:neswpt:w0213)
by Stanislav Anatolyev & Nikita Kobotaev - Forecasting dynamic return distributions based on ordered binary choice (RePEc:arx:papers:1711.05681)
by Stanislav Anatolyev & Jozef Barunik - Factor models with many assets: strong factors, weak factors, and the two-pass procedure (RePEc:arx:papers:1807.04094)
by Stanislav Anatolyev & Anna Mikusheva - Limit Theorems for Factor Models (RePEc:arx:papers:1807.06338)
by Stanislav Anatolyev & Anna Mikusheva - Testing Many Restrictions Under Heteroskedasticity (RePEc:arx:papers:2003.07320)
by Stanislav Anatolyev & Mikkel S{o}lvsten - Feasible optimal instrumental variables estimation of linear models with moving average disturbances (RePEc:att:wimass:19991)
by West,K.D. & Wong,K.F. & Anatolyev,S. - Instrumental variables estimation of heteroskedastic linear models using all lags of instruments (RePEc:att:wimass:200120)
by West,K.D. & Wong,K.-F. & Anatolyev,S. - A Trading Approach to Testing for Predictability (RePEc:bes:jnlbes:v:23:y:2005:p:455-461)
by Anatolyev, Stanislav & Gerko, Alexander - Nonparametric Retrospection and Monitoring of Predictability of Financial Returns (RePEc:bes:jnlbes:v:27:i:2:y:2009:p:149-160)
by Anatolyev, Stanislav - Modeling Financial Return Dynamics via Decomposition (RePEc:bes:jnlbes:v:28:i:2:y:2010:p:232-245)
by Anatolyev, Stanislav & Gospodinov, Nikolay - Optimal Instruments In Time Series: A Survey (RePEc:bla:jecsur:v:21:y:2007:i:1:p:143-173)
by Stanislav Anatolyev - Many Instruments And/Or Regressors: A Friendly Guide (RePEc:bla:jecsur:v:33:y:2019:i:2:p:689-726)
by Stanislav Anatolyev - VCE_MCOV: Stata module to compute the Leave-Cluster-Out-Crossfit (LCOC) variance estimates for user-chosen coefficients in a linear regression model (RePEc:boc:bocode:s459293)
by Stanislav Anatolyev & Cheuk Fai Ng - Unknown item RePEc:bof:bofitp:2005_009 (paper)
- Testing for a Functional Form of Mean Regression in a Fully Parametric Environment (RePEc:bpj:jecome:v:8:y:2019:i:1:p:20:n:4)
by Anatolyev Stanislav - Sequential Testing with Uniformly Distributed Size (RePEc:bpj:jtsmet:v:10:y:2018:i:2:p:22:n:2)
by Anatolyev Stanislav & Kosenok Grigory - Multi-Market Direction-of-Change Modeling Using Dependence Ratios (RePEc:bpj:sndecm:v:13:y:2009:i:1:n:5)
by Anatolyev Stanislav - Unrestricted, restricted, and regularized models for forecasting multivariate volatility (RePEc:bpj:sndecm:v:27:y:2023:i:2:p:199-218:n:5)
by Anatolyev Stanislav & Staněk Filip - Formation of Market Beliefs in the Oil Market (RePEc:cer:papers:wp619)
by Stanislav Anatolyev & Sergei Seleznev & Veronika Selezneva - Does Index Arbitrage Distort the Market Reaction to Shocks? (RePEc:cer:papers:wp651)
by Stanislav Anatolyev & Sergei Seleznev & Veronika Selezneva - Shrinkage for Gaussian and t Copulas in Ultra-High Dimensions (RePEc:cer:papers:wp699)
by Stanislav Anatolyev & Vladimir Pyrlik - Optimal Instruments in Time Series: A Survey (RePEc:cfr:cefirw:w0069)
by Stanislav Anatolyev - Trade intensity in the Russian stock market:dynamics, distribution and determinants (RePEc:cfr:cefirw:w0070)
by Stanislav Anatolyev & Dmitry Shakin - Nonparametric retrospection and monitoring of predictability of financial returns (RePEc:cfr:cefirw:w0071)
by Stanislav Anatolyev - Tests in contingency tables as regression tests (RePEc:cfr:cefirw:w0075)
by Stanislav Anatolyev & Grigory Kosenok - Dynamic modeling under linear-exponential loss (RePEc:cfr:cefirw:w0092)
by Stanislav Anatolyev - Modeling Financial Return Dynamics by Decomposition (RePEc:cfr:cefirw:w0095)
by Stanislav Anatolyev & Nikolay Gospodinov - Inference about predictive ability when there are many predictors (RePEc:cfr:cefirw:w0096)
by Stanislav Anatolyev - Sequential Testing with Uniformly Distributed Size (RePEc:cfr:cefirw:w0123)
by Stanislav Anatolyev & Grigory Kosenok - Sequential Testing with Uniformly Distributed Size (RePEc:cfr:cefirw:w0123_april2011)
by Stanislav Anatolyev & Grigory Kosenok - Specification Testing in Models with Many Instruments (RePEc:cfr:cefirw:w0124)
by Stanislav Anatolyev & Nikolay Gospodinov - Inference in Regression Models with Many Regressors (RePEc:cfr:cefirw:w0125)
by Stanislav Anatolyev - Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches (RePEc:cfr:cefirw:w0136)
by Stanislav Anatolyev & Natalia Kryzhanovskaya - Instrumental variables estimation and inference in the presence of many exogenous regressors (RePEc:cfr:cefirw:w0162)
by Stanislav Anatolyev - Reconstructing high dimensional dynamic distributions from distributions of lower dimension (RePEc:cfr:cefirw:w0167)
by Stanislav Anatolyev & Renat Khabibullin & Artem Prokhorov - Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage (RePEc:cfr:cefirw:w0213)
by Stanislav Anatolyev & Nikita Kobotaev - Feasible Optimal Instrumental Variables Estimation of Linear Models with Moving Average Disturbances (RePEc:chk:cuhked:_109)
by Kenneth D. West & Ka-Fu, Wong & Stanislav Anatolyev - Reconstructing high dimensional dynamic distributions from distributions of lower dimension (RePEc:crd:wpaper:12003)
by Stanislav Anatolyev & Renat Khabibullin & Artem Prokhorov - 03.1.2. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression (RePEc:cup:etheor:v:19:y:2003:i:01:p:225-226_22)
by Anatolyev, Stanislav - The Form Of The Optimal Nonlinear Instrument For Multiperiod Conditional Moment Restrictions (RePEc:cup:etheor:v:19:y:2003:i:04:p:602-609_19)
by Anatolyev, Stanislav - 02.5.2. Durbin–Watson Statistic and Random Individual Effects (RePEc:cup:etheor:v:19:y:2003:i:05:p:882-883_24)
by Anatolyev, Stanislav - 02.6.2. Autoregression and Redundant Instruments—Solution (RePEc:cup:etheor:v:19:y:2003:i:06:p:1197-1198_25)
by Anatolyev, Stanislav - An Alternative To Maximum Likelihood Based On Spacings (RePEc:cup:etheor:v:21:y:2005:i:02:p:472-476_05)
by Anatolyev, Stanislav & Kosenok, Grigory - Redundancy Of Lagged Regressors Revisited (RePEc:cup:etheor:v:23:y:2007:i:02:p:364-368_07)
by Anatolyev, Stanislav - Specification Testing In Models With Many Instruments (RePEc:cup:etheor:v:27:y:2011:i:02:p:427-441_00)
by Anatolyev, Stanislav & Gospodinov, Nikolay - Another Numerical Method Of Finding Critical Values For The Andrews Stability Test (RePEc:cup:etheor:v:28:y:2012:i:01:p:239-246_00)
by Anatolyev, Stanislav & Kosenok, Grigory - Asymptotics Of Diagonal Elements Of Projection Matrices Under Many Instruments/Regressors (RePEc:cup:etheor:v:33:y:2017:i:03:p:717-738_00)
by Anatolyev, Stanislav & Yaskov, Pavel - Limit Theorems For Factor Models (RePEc:cup:etheor:v:37:y:2021:i:5:p:1034-1074_6)
by Anatolyev, Stanislav & Mikusheva, Anna - Markov chain approximation in bootstrapping autoregressions (RePEc:ebl:ecbull:eb-02c10004)
by Stanislav Anatolyev & Andrey Vasnev - Electoral behavior of US counties: a panel data approach (RePEc:ebl:ecbull:eb-02c50004)
by Stanislav Anatolyev - GMM, GEL, Serial Correlation, and Asymptotic Bias (RePEc:ecm:emetrp:v:73:y:2005:i:3:p:983-1002)
by Stanislav Anatolyev - Copula shrinkage and portfolio allocation in ultra-high dimensions (RePEc:eee:dyncon:v:143:y:2022:i:c:s0165188922002123)
by Anatolyev, Stanislav & Pyrlik, Vladimir - Dynamic modeling under linear-exponential loss (RePEc:eee:ecmode:v:26:y:2009:i:1:p:82-89)
by Anatolyev, Stanislav - Method-of-moments estimation and choice of instruments: Numerical computations (RePEc:eee:ecolet:v:100:y:2008:i:2:p:217-220)
by Anatolyev, Stanislav - Tests in contingency tables as regression tests (RePEc:eee:ecolet:v:105:y:2009:i:2:p:189-192)
by Anatolyev, Stanislav & Kosenok, Grigory - Asymptotic variance under many instruments: Numerical computations (RePEc:eee:ecolet:v:118:y:2013:i:2:p:272-274)
by Abutaliev, Albert & Anatolyev, Stanislav - An algorithm for constructing high dimensional distributions from distributions of lower dimension (RePEc:eee:ecolet:v:123:y:2014:i:3:p:257-261)
by Anatolyev, Stanislav & Khabibullin, Renat & Prokhorov, Artem - Missing mean does no harm to volatility! (RePEc:eee:ecolet:v:134:y:2015:i:c:p:62-64)
by Anatolyev, Stanislav & Tarasyuk, Irina - Almost unbiased variance estimation in linear regressions with many covariates (RePEc:eee:ecolet:v:169:y:2018:i:c:p:20-23)
by Anatolyev, Stanislav - Mallows criterion for heteroskedastic linear regressions with many regressors (RePEc:eee:ecolet:v:203:y:2021:i:c:s0165176521001415)
by Anatolyev, Stanislav - Off-diagonal elements of projection matrices and dimension asymptotics (RePEc:eee:ecolet:v:239:y:2024:i:c:s0165176524002453)
by Anatolyev, Stanislav & Smirnov, Maksim - Nonparametric estimation of nonlinear rational expectation models (RePEc:eee:ecolet:v:62:y:1999:i:1:p:1-6)
by Anatolyev, Stanislav - Inference when a nuisance parameter is weakly identified under the null hypothesis (RePEc:eee:ecolet:v:84:y:2004:i:2:p:245-254)
by Anatolyev, Stanislav - Kernel estimation under linear-exponential loss (RePEc:eee:ecolet:v:91:y:2006:i:1:p:39-43)
by Anatolyev, Stanislav - Inference in regression models with many regressors (RePEc:eee:econom:v:170:y:2012:i:2:p:368-382)
by Anatolyev, Stanislav - Factor models with many assets: Strong factors, weak factors, and the two-pass procedure (RePEc:eee:econom:v:229:y:2022:i:1:p:103-126)
by Anatolyev, Stanislav & Mikusheva, Anna - Testing many restrictions under heteroskedasticity (RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001677)
by Anatolyev, Stanislav & Sølvsten, Mikkel - Foreign exchange predictability and the carry trade: A decomposition approach (RePEc:eee:empfin:v:42:y:2017:i:c:p:199-211)
by Anatolyev, Stanislav & Gospodinov, Nikolay & Jamali, Ibrahim & Liu, Xiaochun - Forecasting dynamic return distributions based on ordered binary choice (RePEc:eee:intfor:v:35:y:2019:i:3:p:823-835)
by Anatolyev, Stanislav & Baruník, Jozef - A 10-year retrospective on the determinants of Russian stock returns (RePEc:eee:riibaf:v:22:y:2008:i:1:p:56-67)
by Anatolyev, Stanislav - Using All Observations when Forecasting under Structural Breaks (RePEc:fep:journl:v:20:y:2007:i:2:p:166-176)
by Stanislav Anatolyev & Victor Kitov - Foreign exchange predictability during the financial crisis: implications for carry trade profitability (RePEc:fip:fedawp:2015-06)
by Stanislav Anatolyev & Nikolay Gospodinov & Ibrahim Jamali & Xiaochun Liu - Multivariate return decomposition: theory and implications (RePEc:fip:fedawp:2015-07)
by Stanislav Anatolyev & Nikolay Gospodinov - Right on Target, or Is it? The Role of Distributional Shape in Variance Targeting (RePEc:gam:jecnmx:v:3:y:2015:i:3:p:610-632:d:53976)
by Stanislav Anatolyev & Stanislav Khrapov - Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments (RePEc:nbr:nberte:0338)
by Kenneth D. West & Ka-fu Wong & Stanislav Anatolyev - Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments (RePEc:nbr:nberwo:13134)
by Kenneth D. West & Ka-fu Wong & Stanislav Anatolyev - Uncovering the Skewness News Impact Curve (RePEc:oup:jfinec:v:14:y:2016:i:4:p:746-771.)
by Stanislav Anatolyev & Anton Petukhov - Quantile (RePEc:qnt:quantl)
from Quantile as editor - Testing for predictability (in Russian) (RePEc:qnt:quantl:y:2006:i:1:p:39-42)
by Stanislav Anatolyev - Optimal instruments (in Russian) (RePEc:qnt:quantl:y:2007:i:2:p:61-69)
by Stanislav Anatolyev - The basics of bootstrapping (in Russian) (RePEc:qnt:quantl:y:2007:i:3:p:1-12)
by Stanislav Anatolyev - Review of English textbooks in econometrics (in Russian) (RePEc:qnt:quantl:y:2007:i:3:p:73-82)
by Stanislav Anatolyev - Making econometric reports (in Russian) (RePEc:qnt:quantl:y:2008:i:4:p:71-78)
by Stanislav Anatolyev - Review of English textbooks in time series analysis (in Russian) (RePEc:qnt:quantl:y:2008:i:5:p:49-55)
by Stanislav Anatolyev - Where to find data on the Web? (in Russian) (RePEc:qnt:quantl:y:2009:i:6:p:59-71)
by Stanislav Anatolyev & Alexander Tsyplakov - Nonparametric regression (in Russian) (RePEc:qnt:quantl:y:2009:i:7:p:37-52)
by Stanislav Anatolyev - Asymptotics of near unit roots (in Russian) (RePEc:qnt:quantl:y:2012:i:10:p:57-71)
by Stanislav Anatolyev & Nikolay Gospodinov - Objects of nonstructural time series modeling (in Russian) (RePEc:qnt:quantl:y:2013:i:11:p:1-12)
by Stanislav Anatolyev - Basics of quasi- and pseudo-likelihood theories (in Russian) (RePEc:qnt:quantl:y:2019:i:14:p:45-52)
by Stanislav Anatolyev - Do spatial structures yield better volatility forecasts? (in Russian) (RePEc:qnt:quantl:y:2019:i:14:p:63-81)
by Stanislav Anatolyev & Stanislav Khrapov - The term structure of Russian interest rates (RePEc:taf:apeclt:v:10:y:2003:i:13:p:867-870)
by Stanislav Anatolyev & Sergey Korepanov - Unknown item RePEc:taf:apfiec:v:17:y:2007:i:2:p:87-104 (article)
- Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments (RePEc:taf:emetrv:v:28:y:2009:i:5:p:441-467)
by Kenneth West & Ka-fu Wong & Stanislav Anatolyev - Modeling and forecasting realized covariance matrices with accounting for leverage (RePEc:taf:emetrv:v:37:y:2018:i:2:p:114-139)
by Stanislav Anatolyev & Nikita Kobotaev - Multivariate Return Decomposition: Theory and Implications (RePEc:taf:emetrv:v:38:y:2019:i:5:p:487-508)
by Stanislav Anatolyev & Nikolay Gospodinov - Many instruments: Implementation in Stata (RePEc:tsj:stataj:v:19:y:2019:i:4:p:849-866)
by Stanislav Anatolyev & Alena Skolkova - Volatility filtering in estimation of kurtosis (and variance) (RePEc:vrs:demode:v:7:y:2019:i:1:p:1-23:n:1)
by Anatolyev Stanislav - Instrumental variables estimation and inference in the presence of many exogenous regressors (RePEc:wly:emjrnl:v:16:y:2013:i:1:p:27-72)
by Stanislav Anatolyev - How does the financial market update beliefs about the real economy? Evidence from the oil market (RePEc:wly:japmet:v:36:y:2021:i:7:p:938-961)
by Stanislav Anatolyev & Sergei Seleznev & Veronika Selezneva - Directional news impact curve (RePEc:wly:jforec:v:40:y:2021:i:1:p:94-107)
by Stanislav Anatolyev - A Ten-year retrospection of the behavior of Russian stock returns (RePEc:zbw:bofitp:bdp2005_009)
by Anatolyev, Stanislav