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Stanislav Anatolyev

Personal Details

First Name:Stanislav
Middle Name:
Last Name:Anatolyev
Suffix:
RePEc Short-ID:pan48
[This author has chosen not to make the email address public]
https://pages.nes.ru/sanatoly/
New Economic School Skolkovskoye shosse, 45 Office 2.39 Moscow, 121353 Russia
+7 (495) 956-9508
Terminal Degree:2000 Economics Department; University of Wisconsin-Madison (from RePEc Genealogy)

Affiliation

(67%) Center for Economic Research and Graduate Education and Economics Institute (CERGE-EI)

Praha, Czech Republic
http://www.cerge-ei.cz/
RePEc:edi:eiacacz (more details at EDIRC)

(33%) New Economic School (NES)

Moscow, Russia
http://www.nes.ru/
RePEc:edi:nerasru (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Software Editorship

Working papers

  1. Stanislav Anatolyev & Vladimir Pyrlik, 2021. "Shrinkage for Gaussian and t Copulas in Ultra-High Dimensions," CERGE-EI Working Papers wp699, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  2. Stanislav Anatolyev & Mikkel S{o}lvsten, 2020. "Testing Many Restrictions Under Heteroskedasticity," Papers 2003.07320, arXiv.org, revised Jan 2023.
  3. Stanislav Anatolyev & Sergei Seleznev & Veronika Selezneva, 2019. "Does Index Arbitrage Distort the Market Reaction to Shocks?," CERGE-EI Working Papers wp651, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  4. Stanislav Anatolyev & Anna Mikusheva, 2018. "Limit Theorems for Factor Models," Papers 1807.06338, arXiv.org, revised Sep 2020.
  5. Stanislav Anatolyev & Anna Mikusheva, 2018. "Factor models with many assets: strong factors, weak factors, and the two-pass procedure," Papers 1807.04094, arXiv.org, revised Apr 2019.
  6. Stanislav Anatolyev & Sergei Seleznev & Veronika Selezneva, 2018. "Formation of Market Beliefs in the Oil Market," CERGE-EI Working Papers wp619, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  7. Stanislav Anatolyev & Jozef Barunik, 2017. "Forecasting dynamic return distributions based on ordered binary choice," Papers 1711.05681, arXiv.org, revised Jan 2019.
  8. Stanislav Anatolyev & Nikita Kobotaev, 2015. "Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage," Working Papers w0213, New Economic School (NES).
  9. Stanislav Anatolyev & Nikolay Gospodinov, 2015. "Multivariate return decomposition: theory and implications," FRB Atlanta Working Paper 2015-7, Federal Reserve Bank of Atlanta.
  10. Stanislav Anatolyev & Nikolay Gospodinov & Ibrahim Jamali & Xiaochun Liu, 2015. "Foreign exchange predictability during the financial crisis: implications for carry trade profitability," FRB Atlanta Working Paper 2015-6, Federal Reserve Bank of Atlanta.
  11. Stanislav Anatolyev & Renat Khabibullin & Artem Prokhorov, 2013. "Reconstructing high dimensional dynamic distributions from distributions of lower dimension," Working Papers w0167, New Economic School (NES).
  12. Stanislav Anatolyev, 2012. "Instrumental variables estimation and inference in the presence of many exogenous regressors," Working Papers w0162, New Economic School (NES).
  13. Stanislav Anatolyev & Grigory Kosenok, 2011. "Sequential Testing with Uniformly Distributed Size," Working Papers w0123, New Economic School (NES).
  14. Stanislav Anatolyev & Grigory Kosenok, 2011. "Sequential Testing with Uniformly Distributed Size," Working Papers w0123_April2011, Center for Economic and Financial Research (CEFIR).
  15. Stanislav Anatolyev & Natalia Kryzhanovskaya, 2009. "Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches," Working Papers w0136, New Economic School (NES).
  16. Stanislav Anatolyev, 2009. "Inference in Regression Models with Many Regressors," Working Papers w0125, New Economic School (NES).
  17. Stanislav Anatolyev & Nikolay Gospodinov, 2008. "Specification Testing in Models with Many Instruments," Working Papers w0124, New Economic School (NES).
  18. Stanislav Anatolyev & Nikolay Gospodinov, 2007. "Modeling Financial Return Dynamics by Decomposition," Working Papers w0095, New Economic School (NES).
  19. Stanislav Anatolyev, 2007. "Inference about predictive ability when there are many predictors," Working Papers w0096, New Economic School (NES).
  20. Stanislav Anatolyev & Dmitry Shakin, 2006. "Trade intensity in the Russian stock market:dynamics, distribution and determinants," Working Papers w0070, New Economic School (NES).
  21. Stanislav Anatolyev, 2006. "Dynamic modeling under linear-exponential loss," Working Papers w0092, New Economic School (NES).
  22. Stanislav Anatolyev & Grigory Kosenok, 2006. "Tests in contingency tables as regression tests," Working Papers w0075, New Economic School (NES).
  23. Stanislav Anatolyev, 2006. "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers w0071, New Economic School (NES).
  24. Anatolyev, Stanislav, 2005. "A Ten-year retrospection of the behavior of Russian stock returns," BOFIT Discussion Papers 9/2005, Bank of Finland Institute for Emerging Economies (BOFIT).
  25. Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, New Economic School (NES).
  26. West,K.D. & Wong,K.-F. & Anatolyev,S., 2001. "Instrumental variables estimation of heteroskedastic linear models using all lags of instruments," Working papers 20, Wisconsin Madison - Social Systems.
  27. West,K.D. & Wong,K.F. & Anatolyev,S., 1999. "Feasible optimal instrumental variables estimation of linear models with moving average disturbances," Working papers 1, Wisconsin Madison - Social Systems.

    repec:bof:bofitp:2005_009 is not listed on IDEAS

Articles

  1. Anatolyev, Stanislav & Smirnov, Maksim, 2024. "Off-diagonal elements of projection matrices and dimension asymptotics," Economics Letters, Elsevier, vol. 239(C).
  2. Anatolyev Stanislav & Staněk Filip, 2023. "Unrestricted, restricted, and regularized models for forecasting multivariate volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(2), pages 199-218, April.
  3. Anatolyev, Stanislav & Sølvsten, Mikkel, 2023. "Testing many restrictions under heteroskedasticity," Journal of Econometrics, Elsevier, vol. 236(1).
  4. Anatolyev, Stanislav & Mikusheva, Anna, 2022. "Factor models with many assets: Strong factors, weak factors, and the two-pass procedure," Journal of Econometrics, Elsevier, vol. 229(1), pages 103-126.
  5. Anatolyev, Stanislav & Pyrlik, Vladimir, 2022. "Copula shrinkage and portfolio allocation in ultra-high dimensions," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
  6. Anatolyev, Stanislav & Mikusheva, Anna, 2021. "Limit Theorems For Factor Models," Econometric Theory, Cambridge University Press, vol. 37(5), pages 1034-1074, October.
  7. Stanislav Anatolyev, 2021. "Directional news impact curve," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 94-107, January.
  8. Anatolyev, Stanislav, 2021. "Mallows criterion for heteroskedastic linear regressions with many regressors," Economics Letters, Elsevier, vol. 203(C).
  9. Stanislav Anatolyev & Sergei Seleznev & Veronika Selezneva, 2021. "How does the financial market update beliefs about the real economy? Evidence from the oil market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(7), pages 938-961, November.
  10. Anatolyev Stanislav, 2019. "Volatility filtering in estimation of kurtosis (and variance)," Dependence Modeling, De Gruyter, vol. 7(1), pages 1-23, February.
  11. Stanislav Anatolyev, 2019. "Many Instruments And/Or Regressors: A Friendly Guide," Journal of Economic Surveys, Wiley Blackwell, vol. 33(2), pages 689-726, April.
  12. Stanislav Anatolyev & Nikolay Gospodinov, 2019. "Multivariate Return Decomposition: Theory and Implications," Econometric Reviews, Taylor & Francis Journals, vol. 38(5), pages 487-508, May.
  13. Anatolyev Stanislav, 2019. "Testing for a Functional Form of Mean Regression in a Fully Parametric Environment," Journal of Econometric Methods, De Gruyter, vol. 8(1), pages 1-20, January.
  14. Anatolyev, Stanislav & Baruník, Jozef, 2019. "Forecasting dynamic return distributions based on ordered binary choice," International Journal of Forecasting, Elsevier, vol. 35(3), pages 823-835.
  15. Stanislav Anatolyev & Stanislav Khrapov, 2019. "Do spatial structures yield better volatility forecasts? (in Russian)," Quantile, Quantile, issue 14, pages 63-81, June.
  16. Stanislav Anatolyev, 2019. "Basics of quasi- and pseudo-likelihood theories (in Russian)," Quantile, Quantile, issue 14, pages 45-52, June.
  17. Stanislav Anatolyev & Alena Skolkova, 2019. "Many instruments: Implementation in Stata," Stata Journal, StataCorp LP, vol. 19(4), pages 849-866, December.
  18. Anatolyev, Stanislav, 2018. "Almost unbiased variance estimation in linear regressions with many covariates," Economics Letters, Elsevier, vol. 169(C), pages 20-23.
  19. Stanislav Anatolyev & Nikita Kobotaev, 2018. "Modeling and forecasting realized covariance matrices with accounting for leverage," Econometric Reviews, Taylor & Francis Journals, vol. 37(2), pages 114-139, February.
  20. Anatolyev Stanislav & Kosenok Grigory, 2018. "Sequential Testing with Uniformly Distributed Size," Journal of Time Series Econometrics, De Gruyter, vol. 10(2), pages 1-22, July.
  21. Anatolyev, Stanislav & Yaskov, Pavel, 2017. "Asymptotics Of Diagonal Elements Of Projection Matrices Under Many Instruments/Regressors," Econometric Theory, Cambridge University Press, vol. 33(3), pages 717-738, June.
  22. Anatolyev, Stanislav & Gospodinov, Nikolay & Jamali, Ibrahim & Liu, Xiaochun, 2017. "Foreign exchange predictability and the carry trade: A decomposition approach," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 199-211.
  23. Stanislav Anatolyev & Anton Petukhov, 2016. "Uncovering the Skewness News Impact Curve," Journal of Financial Econometrics, Oxford University Press, vol. 14(4), pages 746-771.
  24. Anatolyev, Stanislav & Tarasyuk, Irina, 2015. "Missing mean does no harm to volatility!," Economics Letters, Elsevier, vol. 134(C), pages 62-64.
  25. Stanislav Anatolyev & Stanislav Khrapov, 2015. "Right on Target, or Is it? The Role of Distributional Shape in Variance Targeting," Econometrics, MDPI, vol. 3(3), pages 1-23, August.
  26. Anatolyev, Stanislav & Khabibullin, Renat & Prokhorov, Artem, 2014. "An algorithm for constructing high dimensional distributions from distributions of lower dimension," Economics Letters, Elsevier, vol. 123(3), pages 257-261.
  27. Stanislav Anatolyev, 2013. "Instrumental variables estimation and inference in the presence of many exogenous regressors," Econometrics Journal, Royal Economic Society, vol. 16(1), pages 27-72, February.
  28. Stanislav Anatolyev, 2013. "Objects of nonstructural time series modeling (in Russian)," Quantile, Quantile, issue 11, pages 1-12, December.
  29. Abutaliev, Albert & Anatolyev, Stanislav, 2013. "Asymptotic variance under many instruments: Numerical computations," Economics Letters, Elsevier, vol. 118(2), pages 272-274.
  30. Stanislav Anatolyev & Nikolay Gospodinov, 2012. "Asymptotics of near unit roots (in Russian)," Quantile, Quantile, issue 10, pages 57-71, December.
  31. Anatolyev, Stanislav, 2012. "Inference in regression models with many regressors," Journal of Econometrics, Elsevier, vol. 170(2), pages 368-382.
  32. Anatolyev, Stanislav & Kosenok, Grigory, 2012. "Another Numerical Method Of Finding Critical Values For The Andrews Stability Test," Econometric Theory, Cambridge University Press, vol. 28(1), pages 239-246, February.
  33. Anatolyev, Stanislav & Gospodinov, Nikolay, 2011. "Specification Testing In Models With Many Instruments," Econometric Theory, Cambridge University Press, vol. 27(2), pages 427-441, April.
  34. Anatolyev, Stanislav & Gospodinov, Nikolay, 2010. "Modeling Financial Return Dynamics via Decomposition," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(2), pages 232-245.
  35. Anatolyev, Stanislav & Kosenok, Grigory, 2009. "Tests in contingency tables as regression tests," Economics Letters, Elsevier, vol. 105(2), pages 189-192, November.
  36. Stanislav Anatolyev & Alexander Tsyplakov, 2009. "Where to find data on the Web? (in Russian)," Quantile, Quantile, issue 6, pages 59-71, March.
  37. Anatolyev, Stanislav, 2009. "Nonparametric Retrospection and Monitoring of Predictability of Financial Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 149-160.
  38. Anatolyev, Stanislav, 2009. "Dynamic modeling under linear-exponential loss," Economic Modelling, Elsevier, vol. 26(1), pages 82-89, January.
  39. Stanislav Anatolyev, 2009. "Nonparametric regression (in Russian)," Quantile, Quantile, issue 7, pages 37-52, September.
  40. Anatolyev Stanislav, 2009. "Multi-Market Direction-of-Change Modeling Using Dependence Ratios," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(1), pages 1-24, March.
  41. Kenneth West & Ka-fu Wong & Stanislav Anatolyev, 2009. "Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments," Econometric Reviews, Taylor & Francis Journals, vol. 28(5), pages 441-467.
  42. Stanislav Anatolyev, 2008. "Review of English textbooks in time series analysis (in Russian)," Quantile, Quantile, issue 5, pages 49-55, September.
  43. Anatolyev, Stanislav, 2008. "A 10-year retrospective on the determinants of Russian stock returns," Research in International Business and Finance, Elsevier, vol. 22(1), pages 56-67, January.
  44. Anatolyev, Stanislav, 2008. "Method-of-moments estimation and choice of instruments: Numerical computations," Economics Letters, Elsevier, vol. 100(2), pages 217-220, August.
  45. Stanislav Anatolyev, 2008. "Making econometric reports (in Russian)," Quantile, Quantile, issue 4, pages 71-78, March.
  46. Stanislav Anatolyev, 2007. "Review of English textbooks in econometrics (in Russian)," Quantile, Quantile, issue 3, pages 73-82, September.
  47. Stanislav Anatolyev, 2007. "Optimal instruments (in Russian)," Quantile, Quantile, issue 2, pages 61-69, March.
  48. Anatolyev, Stanislav, 2007. "Redundancy Of Lagged Regressors Revisited," Econometric Theory, Cambridge University Press, vol. 23(2), pages 364-368, April.
  49. Stanislav Anatolyev & Dmitry Shakin, 2007. "Trade intensity in the Russian stock market: dynamics, distribution and determinants," Applied Financial Economics, Taylor & Francis Journals, vol. 17(2), pages 87-104.
  50. Stanislav Anatolyev & Victor Kitov, 2007. "Using All Observations when Forecasting under Structural Breaks," Finnish Economic Papers, Finnish Economic Association, vol. 20(2), pages 166-176, Autumn.
  51. Stanislav Anatolyev, 2007. "Optimal Instruments In Time Series: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 21(1), pages 143-173, February.
  52. Stanislav Anatolyev, 2007. "The basics of bootstrapping (in Russian)," Quantile, Quantile, issue 3, pages 1-12, September.
  53. Anatolyev, Stanislav, 2006. "Kernel estimation under linear-exponential loss," Economics Letters, Elsevier, vol. 91(1), pages 39-43, April.
  54. Stanislav Anatolyev, 2006. "Testing for predictability (in Russian)," Quantile, Quantile, issue 1, pages 39-42, September.
  55. Anatolyev, Stanislav & Gerko, Alexander, 2005. "A Trading Approach to Testing for Predictability," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 455-461, October.
  56. Stanislav Anatolyev, 2005. "GMM, GEL, Serial Correlation, and Asymptotic Bias," Econometrica, Econometric Society, vol. 73(3), pages 983-1002, May.
  57. Anatolyev, Stanislav & Kosenok, Grigory, 2005. "An Alternative To Maximum Likelihood Based On Spacings," Econometric Theory, Cambridge University Press, vol. 21(2), pages 472-476, April.
  58. Anatolyev, Stanislav, 2004. "Inference when a nuisance parameter is weakly identified under the null hypothesis," Economics Letters, Elsevier, vol. 84(2), pages 245-254, August.
  59. Anatolyev, Stanislav, 2003. "02.6.2. Autoregression and Redundant Instruments—Solution," Econometric Theory, Cambridge University Press, vol. 19(6), pages 1197-1198, December.
  60. Anatolyev, Stanislav, 2003. "03.1.2. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression," Econometric Theory, Cambridge University Press, vol. 19(1), pages 225-226, February.
  61. Anatolyev, Stanislav, 2003. "02.5.2. Durbin–Watson Statistic and Random Individual Effects," Econometric Theory, Cambridge University Press, vol. 19(5), pages 882-883, October.
  62. Stanislav Anatolyev & Sergey Korepanov, 2003. "The term structure of Russian interest rates," Applied Economics Letters, Taylor & Francis Journals, vol. 10(13), pages 867-870.
  63. Anatolyev, Stanislav, 2003. "The Form Of The Optimal Nonlinear Instrument For Multiperiod Conditional Moment Restrictions," Econometric Theory, Cambridge University Press, vol. 19(4), pages 602-609, August.
  64. Stanislav Anatolyev & Andrey Vasnev, 2002. "Markov chain approximation in bootstrapping autoregressions," Economics Bulletin, AccessEcon, vol. 3(19), pages 1-8.
  65. Stanislav Anatolyev, 2002. "Electoral behavior of US counties: a panel data approach," Economics Bulletin, AccessEcon, vol. 3(9), pages 1-10.
  66. Anatolyev, Stanislav, 1999. "Nonparametric estimation of nonlinear rational expectation models," Economics Letters, Elsevier, vol. 62(1), pages 1-6, January.

Software components

  1. Stanislav Anatolyev & Cheuk Fai Ng, 2024. "VCE_MCOV: Stata module to compute the Leave-Cluster-Out-Crossfit (LCOC) variance estimates for user-chosen coefficients in a linear regression model," Statistical Software Components S459293, Boston College Department of Economics.

Editorship

  1. Quantile, Quantile.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Distinct Works, Weighted by Simple Impact Factor
  2. Number of Distinct Works, Weighted by Recursive Impact Factor
  3. Number of Distinct Works, Weighted by Number of Authors
  4. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  5. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  6. Number of Journal Pages
  7. Number of Journal Pages, Weighted by Simple Impact Factor
  8. Number of Journal Pages, Weighted by Number of Authors
  9. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  10. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors

Co-authorship network on CollEc

Featured entries

This author is featured on the following reading lists, publication compilations, Wikipedia, or ReplicationWiki entries:
  1. New Economic School Alumni
  2. Top Russian Federation Economists

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 25 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (20) 2001-11-21 2006-10-28 2006-10-28 2006-12-16 2007-01-28 2007-01-28 2007-06-11 2008-10-28 2008-11-18 2008-11-18 2009-12-19 2011-04-02 2011-04-09 2012-03-21 2015-11-01 2017-11-19 2018-08-13 2018-08-20 2020-03-30 2021-10-11. Author is listed
  2. NEP-ETS: Econometric Time Series (7) 2001-11-21 2006-10-28 2006-10-28 2006-12-16 2007-01-28 2018-07-16 2018-08-20. Author is listed
  3. NEP-FOR: Forecasting (5) 2007-01-28 2009-12-19 2015-02-28 2015-11-01 2017-11-19. Author is listed
  4. NEP-MST: Market Microstructure (3) 2006-10-28 2018-07-16 2020-02-10
  5. NEP-ENE: Energy Economics (2) 2018-07-16 2020-02-10
  6. NEP-FMK: Financial Markets (2) 2007-01-28 2020-02-10
  7. NEP-RMG: Risk Management (2) 2006-10-28 2017-11-19
  8. NEP-CFN: Corporate Finance (1) 2006-10-28
  9. NEP-CWA: Central and Western Asia (1) 2021-10-11
  10. NEP-FIN: Finance (1) 2006-10-28
  11. NEP-OPM: Open Economy Macroeconomics (1) 2015-11-01
  12. NEP-ORE: Operations Research (1) 2021-10-11
  13. NEP-TRA: Transition Economics (1) 2006-10-28

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