Stanislav Anatolyev

Available identifiers

zbMath Open anatolyev.stanislavMaRDI QIDQ528053

List of research outcomes

Publication	Date of Publication	Type
Unrestricted, restricted, and regularized models for forecasting multivariate volatility	2023-09-05	Paper
Testing many restrictions under heteroskedasticity	2023-08-18	Paper
Copula shrinkage and portfolio allocation in ultra-high dimensions	2022-11-17	Paper
Instrumental variables estimation and inference in the presence of many exogenous regressors	2022-07-26	Paper
Factor models with many assets: strong factors, weak factors, and the two-pass procedure	2022-06-09	Paper
Multivariate Return Decomposition: Theory and Implications	2022-03-04	Paper
Modeling and forecasting realized covariance matrices with accounting for leverage	2022-02-24	Paper
A ridge to homogeneity for linear models	2022-02-23	Paper
LIMIT THEOREMS FOR FACTOR MODELS	2021-11-25	Paper
Mallows criterion for heteroskedastic linear regressions with many regressors	2021-06-30	Paper
Volatility filtering in estimation of kurtosis (and variance)	2020-01-13	Paper
Testing for a functional form of mean regression in a fully parametric environment	2019-07-18	Paper
THE FORM OF THE OPTIMAL NONLINEAR INSTRUMENT FOR MULTIPERIOD CONDITIONAL MOMENT RESTRICTIONS	2018-12-14	Paper
Almost unbiased variance estimation in linear regressions with many covariates	2018-10-05	Paper
Sequential testing with uniformly distributed size	2018-09-04	Paper
ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS	2017-08-22	Paper
Missing mean does no harm to volatility!	2017-06-09	Paper
Inference in regression models with many regressors	2017-05-12	Paper
Method-of-moments estimation and choice of instruments: numerical computations	2013-01-29	Paper
Kernel estimation under linear-exponential loss	2013-01-07	Paper
Inference when a nuisance parameter is weakly identified under the null hypothesis	2013-01-01	Paper
REDUNDANCY OF LAGGED REGRESSORS REVISITED	2012-05-14	Paper
ANOTHER NUMERICAL METHOD OF FINDING CRITICAL VALUES FOR THE ANDREWS STABILITY TEST	2012-03-29	Paper
Methods for Estimation and Inference in Modern Econometrics	2011-05-19	Paper
SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS	2011-04-27	Paper
Modeling Financial Return Dynamics via Decomposition	2010-10-11	Paper
Multi-Market Direction-of-Change Modeling Using Dependence Ratios	2010-07-02	Paper
Tests in contingency tables as regression tests	2009-12-21	Paper
Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments	2009-08-28	Paper
Robustness of residual-based bootstrap to the composition of serially correlated errors	2009-06-29	Paper
GMM, GEL, Serial Correlation, and Asymptotic Bias	2006-10-24	Paper
AN ALTERNATIVE TO MAXIMUM LIKELIHOOD BASED ON SPACINGS	2005-06-07	Paper
Nonparametric estimation of nonlinear rational expectation models	1999-03-02	Paper

Research outcomes over time

Doctoral students

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