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1

Modeling Financial Return Dynamics via Decomposition

Anatolyev, Stanislav, Gospodinov, Nikolay

Journal:

Journal of Business and Economic Statistics

Year:

2010

Language:

english

File:

PDF, 303 KB

english, 2010

2

Sequential Testing with Uniformly Distributed Size

Anatolyev, Stanislav, Kosenok, Grigory

Journal:

Journal of Time Series Econometrics

Year:

2018

Language:

english

File:

PDF, 11.98 MB

english, 2018

3

A Trading Approach to Testing for Predictability

Anatolyev, Stanislav, Gerko, Alexander

Journal:

Journal of Business and Economic Statistics

Year:

2005

Language:

english

File:

PDF, 246 KB

english, 2005

4

Almost unbiased variance estimation in linear regressions with many covariates

Anatolyev, Stanislav

Journal:

Economics Letters

Year:

2018

Language:

english

File:

PDF, 262 KB

english, 2018

5

A 10-year retrospective on the determinants of Russian stock returns

Stanislav Anatolyev

Journal:

Research in International Business and Finance

Year:

2008

Language:

english

File:

PDF, 1.06 MB

english, 2008

6

Multi-Market Direction-of-Change Modeling Using Dependence Ratios

Anatolyev, Stanislav

Journal:

Studies in Nonlinear Dynamics and Econometrics

Year:

2009

Language:

english

File:

PDF, 384 KB

english, 2009

7

The term structure of Russian interest rates

Anatolyev, Stanislav, Korepanov, Sergey

Journal:

Applied Economics Letters

Year:

2003

Language:

english

File:

PDF, 204 KB

english, 2003

8

Foreign exchange predictability and the carry trade: A decomposition approach

Anatolyev, Stanislav, Gospodinov, Nikolay, Jamali, Ibrahim, Liu, Xiaochun

Journal:

Journal of Empirical Finance

Year:

2017

Language:

english

File:

PDF, 863 KB

english, 2017

9

Multivariate Return Decomposition: Theory and Implications

Anatolyev, Stanislav, Gospodinov, Nikolay

Journal:

Econometric Reviews

Year:

2017

Language:

english

File:

PDF, 1.00 MB

english, 2017

10

OPTIMAL INSTRUMENTS IN TIME SERIES: A SURVEY

Stanislav Anatolyev

Journal:

Journal of Economic Surveys

Year:

2007

Language:

english

File:

PDF, 604 KB

english, 2007

11

Trade intensity in the Russian stock market: dynamics, distribution and determinants

Anatolyev, Stanislav, Shakin, Dmitry

Journal:

Applied Financial Economics

Year:

2007

Language:

english

File:

PDF, 294 KB

english, 2007

12

Inference when a nuisance parameter is weakly identified under the null hypothesis

Stanislav Anatolyev

Journal:

Economics Letters

Year:

2004

Language:

english

File:

PDF, 144 KB

english, 2004

13

Kernel estimation under linear-exponential loss

Stanislav Anatolyev

Journal:

Economics Letters

Year:

2006

Language:

english

File:

PDF, 145 KB

english, 2006

14

Method-of-moments estimation and choice of instruments: Numerical computations

Stanislav Anatolyev

Journal:

Economics Letters

Year:

2008

Language:

english

File:

PDF, 137 KB

english, 2008

15

Tests in contingency tables as regression tests

Stanislav Anatolyev, Grigory Kosenok

Journal:

Economics Letters

Year:

2009

Language:

english

File:

PDF, 183 KB

english, 2009

16

Dynamic modeling under linear-exponential loss

Stanislav Anatolyev

Journal:

Economic Modelling

Year:

2009

Language:

english

File:

PDF, 353 KB

english, 2009

17

Inference in regression models with many regressors

Stanislav Anatolyev

Journal:

Journal of Econometrics

Year:

2012

Language:

english

File:

PDF, 332 KB

english, 2012

18

Nonparametric estimation of nonlinear rational expectation models

Stanislav Anatolyev

Journal:

Economics Letters

Year:

1999

Language:

english

File:

PDF, 86 KB

english, 1999

19

Asymptotic variance under many instruments: Numerical computations

Abutaliev, Albert, Anatolyev, Stanislav

Journal:

Economics Letters

Year:

2013

Language:

english

File:

PDF, 189 KB

english, 2013

20

GMM, GEL, Serial Correlation, and Asymptotic Bias

Stanislav Anatolyev

Journal:

Year:

2005

Language:

english

File:

PDF, 138 KB

english, 2005

21

AN ALTERNATIVE TO MAXIMUM LIKELIHOOD BASED ON SPACINGS

Anatolyev, Stanislav, Kosenok, Grigory

Journal:

Econometric Theory

Year:

2005

Language:

english

File:

PDF, 455 KB

english, 2005

22

An algorithm for constructing high dimensional distributions from distributions of lower dimension

Anatolyev, Stanislav, Khabibullin, Renat, Prokhorov, Artem

Journal:

Economics Letters

Year:

2014

Language:

english

File:

PDF, 357 KB

english, 2014

23

Instrumental variables estimation and inference in the presence of many exogenous regressors

Anatolyev, Stanislav

Journal:

The Econometrics Journal

Year:

2013

Language:

english

File:

PDF, 825 KB

english, 2013

24

Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments

West, Kenneth D., Wong, Ka-fu, Anatolyev, Stanislav

Journal:

Econometric Reviews

Year:

2009

Language:

english

File:

PDF, 531 KB

english, 2009

25

SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS

Anatolyev, Stanislav, Gospodinov, Nikolay

Journal:

Econometric Theory

Year:

2011

Language:

english

File:

PDF, 118 KB

english, 2011

26

Robustness of residual-based bootstrap to the composition of serially correlated errors

Anatolyev, Stanislav

Journal:

Journal of Statistical Computation and Simulation

Year:

2009

Language:

english

File:

PDF, 98 KB

english, 2009

27

Nonparametric Retrospection and Monitoring of Predictability of Financial Returns

Anatolyev, Stanislav

Journal:

Journal of Business and Economic Statistics

Year:

2009

Language:

english

File:

PDF, 1.55 MB

english, 2009

28

THE FORM OF THE OPTIMAL NONLINEAR INSTRUMENT FOR MULTIPERIOD CONDITIONAL MOMENT RESTRICTIONS

Anatolyev, Stanislav

Journal:

Econometric Theory

Year:

2003

Language:

english

File:

PDF, 79 KB

english, 2003

29

Missing mean does no harm to volatility!

Anatolyev, Stanislav, Tarasyuk, Irina

Journal:

Economics Letters

Year:

2015

Language:

english

File:

PDF, 676 KB

english, 2015

30

Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage

Anatolyev, Stanislav, Kobotaev, Nikita

Journal:

Econometric Reviews

Year:

2015

Language:

english

File:

PDF, 1.07 MB

english, 2015

31

REDUNDANCY OF LAGGED REGRESSORS REVISITED

Anatolyev, Stanislav

Journal:

Econometric Theory

Year:

2007

Language:

english

File:

PDF, 62 KB

english, 2007

32

ANOTHER NUMERICAL METHOD OF FINDING CRITICAL VALUES FOR THE ANDREWS STABILITY TEST

Anatolyev, Stanislav, Kosenok, Grigory

Journal:

Econometric Theory

Year:

2012

Language:

english

File:

PDF, 73 KB

english, 2012

33

Uncovering the Skewness News Impact Curve

Anatolyev, Stanislav, Petukhov, Anton

Journal:

Journal of Financial Econometrics

Year:

2016

Language:

english

File:

PDF, 850 KB

english, 2016

34

Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression

Stanislav Anatolyev

Journal:

Econometric Theory

Year:

2003

Language:

english

File:

PDF, 277 KB

english, 2003

35

The Form of the Optimal Nonlinear Instrument for Multiperiod Conditional Moment Restrictions

Stanislav Anatolyev

Journal:

Econometric Theory

Year:

2003

Language:

english

File:

PDF, 821 KB

english, 2003

36

Conditional and Unconditional Correlatedness and Heteroskedasticity

Stanislav Anatolyev

Journal:

Econometric Theory

Year:

2002

Language:

english

File:

PDF, 234 KB

english, 2002

37

Serial Correlation and Asymptotic Variance

Stanislav Anatolyev

Journal:

Econometric Theory

Year:

2001

Language:

english

File:

PDF, 220 KB

english, 2001

38

Conditional and Unconditional Correlatedness and Heteroskedasticity

Stanislav Anatolyev

Journal:

Econometric Theory

Year:

2001

Language:

english

File:

PDF, 197 KB

english, 2001

39

Autoregression and Redundant Instruments

Stanislav Anatolyev

Journal:

Econometric Theory

Year:

2002

Language:

english

File:

PDF, 201 KB

english, 2002

40

GMM, GEL, Serial Correlation, and Asymptotic Bias

Stanislav Anatolyev

Journal:

Year:

2005

Language:

english

File:

PDF, 1.87 MB

english, 2005

41

Autoregression and Redundant Instruments

Stanislav Anatolyev

Journal:

Econometric Theory

Year:

2003

Language:

english

File:

PDF, 243 KB

english, 2003

42

Durbin-Watson Statistic and Random Individual Effects

Stanislav Anatolyev

Journal:

Econometric Theory

Year:

2002

Language:

english

File:

PDF, 302 KB

english, 2002

43

An Alternative to Maximum Likelihood Based on Spacings

Stanislav Anatolyev and Grigory Kosenok

Journal:

Econometric Theory

Year:

2005

Language:

english

File:

PDF, 538 KB

english, 2005

44

Durbin-Watson Statistic and Random Individual Effects

Stanislav Anatolyev

Journal:

Econometric Theory

Year:

2003

Language:

english

File:

PDF, 211 KB

english, 2003

45

Nonparametric Retrospection and Monitoring of Predictability of Financial Returns

Stanislav Anatolyev

Journal:

Journal of Business and Economic Statistics

Year:

2009

Language:

english

File:

PDF, 2.01 MB

english, 2009

46

Redundancy of Lagged Regressors Revisited

Stanislav Anatolyev

Journal:

Econometric Theory

Year:

2007

Language:

english

File:

PDF, 223 KB

english, 2007

47

ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS

Anatolyev, Stanislav, Yaskov, Pavel

Journal:

Econometric Theory

Year:

2017

Language:

english

File:

PDF, 290 KB

english, 2017

48

Testing for a Functional Form of Mean Regression in a Fully Parametric Environment

Anatolyev, Stanislav

Journal:

Journal of Econometric Methods

Year:

2018

Language:

english

File:

PDF, 955 KB

english, 2018

49

Right on Target, or Is it? The Role of Distributional Shape in Variance Targeting

Anatolyev, Stanislav, Khrapov, Stanislav

Journal:

Year:

2015

Language:

english

File:

PDF, 623 KB

english, 2015

50

Inference in Regression Models with Many Regressors

Anatolyev, Stanislav A.

Journal:

SSRN Electronic Journal

Year:

2009

Language:

english

File:

PDF, 281 KB

english, 2009