Stanislav Anatolyev

New Economic School

Professor

Skolkovskoe shosse, 45

Moscow, 121353

Russia

CERGE-EI

Professor

P.O. Box 882

7 Politickych veznu

Prague 1, 111 21

Czech Republic

SCHOLARLY PAPERS

24

DOWNLOADS
Rank 27,191

SSRN RANKINGS

Top 27,191

in Total Papers Downloads

2,067

SSRN CITATIONS
Rank 18,830

SSRN RANKINGS

Top 18,830

in Total Papers Citations

25

CROSSREF CITATIONS

29

Scholarly Papers (24)

1.

Foreign Exchange Predictability During the Financial Crisis: Implications for Carry Trade Profitability

FRB Atlanta Working Paper No. 2015-6
Number of pages: 30 Posted: 07 Sep 2017
Stanislav Anatolyev, Nikolay Gospodinov, Ibrahim Jamali and Xiaochun Liu
New Economic School, Federal Reserve Bank of Atlanta, American University of Beirut and University of Central Arkansas
Downloads 411 (83,043)

Abstract:

Loading...

exchange rate forecasting, carry trade, positions of traders, return decomposition, copula, joint predictive distribution

2.

Modeling Financial Return Dynamics via Decomposition

Journal of Business and Economic Statistics, Forthcoming
Number of pages: 35 Posted: 19 Sep 2008 Last Revised: 12 Aug 2009
Stanislav Anatolyev and Nikolay Gospodinov
New Economic School and Federal Reserve Bank of Atlanta
Downloads 199 (177,861)

Abstract:

Loading...

Stock returns predictability, Directional forecasting, Absolute returns, Joint predictive distribution, Copulas

3.

Trade Intensity in the Russian Stock Market: Dynamics, Distribution and Determinants

Applied Financial Economics, Vol. 17, No. 2, pp. 87-104, 2007
Number of pages: 37 Posted: 09 Aug 2006
Dmitry Shakin and Stanislav Anatolyev
affiliation not provided to SSRN and New Economic School
Downloads 199 (177,861)

Abstract:

Loading...

High frequency data, Trading intensity, Intertrade durations, ACD model, ARMA-GARCH model, Market microstructure

4.

A Ten-Year Retrospection of the Behavior of Russian Stock Returns

BOFIT Discussion Paper No. 9/2005
Number of pages: 43 Posted: 25 Jul 2007
Stanislav Anatolyev
New Economic School
Downloads 158 (217,529)
Citation 5

Abstract:

Loading...

Russia, transition, stock returns, integration, efficiency

Optimal Instruments in Time Series: A Survey

Journal of Economic Surveys, Forthcoming
Number of pages: 34 Posted: 09 Aug 2006
Stanislav Anatolyev
New Economic School
Downloads 125 (263,351)

Abstract:

Loading...

Instrumental variables estimation, Moment restrictions, Optimal instrument, Efficiency bounds, Stationary time series

Optimal Instruments in Time Series: A Survey

Journal of Economic Surveys, Vol. 21, No. 1, pp. 143-173, February 2007
Number of pages: 31 Posted: 26 Jan 2007
Stanislav Anatolyev
New Economic School
Downloads 15 (658,708)
  • Add to Cart

Abstract:

Loading...

6.

A Unifying View of Some Nonparametric Predictability Tests

Number of pages: 35 Posted: 14 Sep 2006
Stanislav Anatolyev
New Economic School
Downloads 97 (312,969)
Citation 1

Abstract:

Loading...

Testing, time series, mean predictability, sign predictability, market timing

7.

Nonparametric Retrospection and Monitoring of Predictability of Financial Returns

Journal of Business and Economic Statistics, Forthcoming
Number of pages: 35 Posted: 21 Jul 2006 Last Revised: 17 Sep 2008
Stanislav Anatolyev
New Economic School
Downloads 88 (333,019)
Citation 1

Abstract:

Loading...

Predictability testing, sequential tests, retrospection, monitoring, stock indexes

8.

Tests in Contingency Tables as Regression Tests

Number of pages: 28 Posted: 05 Sep 2006
Stanislav Anatolyev and Grigory Kosenok
New Economic School and New Economic School
Downloads 75 (365,977)
Citation 1

Abstract:

Loading...

Contingency table, Linear regression, ?2-test, Wald test, Ranks

9.

Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage

Econometric Reviews, Forthcoming
Number of pages: 50 Posted: 11 Feb 2015
Stanislav Anatolyev and Nikita Kobotaev
New Economic School and Independent
Downloads 74 (368,721)
Citation 1

Abstract:

Loading...

volatility, realized covariance matrix, leverage, conditional Wishart

10.

Testing for Predictability

Quantile Journal, Vol. 1, pp. 39-42, 2006
Posted: 21 Oct 2006
Stanislav Anatolyev
New Economic School
Downloads 74 (368,721)

Abstract:

Loading...

11.

Does Index Arbitrage Distort the Market Reaction to Shocks?

CERGE-EI Working Paper Series No. 651
Number of pages: 50 Posted: 05 Mar 2020
Stanislav Anatolyev, Sergei Seleznev and Veronika Selezneva
New Economic School, INECO Capital Ltd and Charles University in Prague - CERGE-EI (Center for Economic Research and Graduate Education - Economics Institute)
Downloads 58 (418,553)

Abstract:

Loading...

high-frequency data, stock market, ETF, arbitrage intensity, oil shock, market efficiency

12.

Inference About Predictive Ability When There are Many Predictors

Number of pages: 42 Posted: 25 Apr 2007 Last Revised: 12 Aug 2009
Stanislav Anatolyev
New Economic School
Downloads 58 (418,553)
Citation 2

Abstract:

Loading...

Predictive ability, testing, t-statistic, asymptotic distribution, asymptotic variance, asymptotic bias, many predictors

13.

Dynamic Modeling Under Linear-Exponential Loss

Economic Modelling, Forthcoming
Number of pages: 19 Posted: 21 Nov 2006 Last Revised: 17 Sep 2008
Stanislav Anatolyev
New Economic School
Downloads 58 (418,553)
Citation 1

Abstract:

Loading...

Linear-exponential loss, optimal predictor, quasi maximum likelihood, multiple error model, autoregressive conditional durations

14.

Multivariate Return Decomposition: Theory and Implications

FRB Atlanta Working Paper No. 2015-7
Number of pages: 31 Posted: 07 Sep 2017
Stanislav Anatolyev and Nikolay Gospodinov
New Economic School and Federal Reserve Bank of Atlanta
Downloads 55 (429,175)

Abstract:

Loading...

multivariate decomposition, multiplicative components, volatility and direction models, copula, dependence

15.

Forecasting Dynamic Return Distributions Based on Ordered Binary Choice

Number of pages: 30 Posted: 17 Nov 2017 Last Revised: 09 Jan 2019
Stanislav Anatolyev and Jozef BarunĂ­k
New Economic School and Charles University in Prague - Department of Economics
Downloads 49 (451,406)

Abstract:

Loading...

asset returns, predictive distribution, conditional probability, probability forecasting, ordered binary choice

16.

Reconstructing High Dimensional Dynamic Distributions from Distributions of Lower Dimension

Number of pages: 29 Posted: 20 Mar 2012
Stanislav Anatolyev, Renat Khabibullin and Artem Prokhorov
New Economic School, Barclays Investment Bank and Concordia University, Quebec - Department of Economics
Downloads 47 (459,371)

Abstract:

Loading...

multivariate distribution, univariate distribution, copula, asset returns

17.

Inference in Regression Models with Many Regressors

Number of pages: 40 Posted: 16 Aug 2009
Stanislav Anatolyev
New Economic School
Downloads 42 (480,532)
Citation 8

Abstract:

Loading...

Alternative asymptotic theory, linear regression, test size, test power, F test, Wald test, Likelihood Ratio test, Lagrange Multiplier test

18.

How does the financial market update beliefs about the real economy? Evidence from the oil market

Number of pages: 42 Posted: 23 Jul 2018 Last Revised: 29 Apr 2020
Stanislav Anatolyev, Sergei Seleznev and Veronika Selezneva
New Economic School, INECO Capital Ltd and Charles University in Prague - CERGE-EI (Center for Economic Research and Graduate Education - Economics Institute)
Downloads 41 (484,948)
Citation 1

Abstract:

Loading...

oil market, ultra high frequency data, futures returns, inventory surprises, term structure curve, theory of storage

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

NBER Working Paper No. t0338
Number of pages: 35 Posted: 27 Jun 2007 Last Revised: 17 Aug 2007
Kenneth D. West, K. F. Wong and Stanislav Anatolyev
University of Wisconsin - Madison - Department of Economics, The University of Hong Kong - Faculty of Business and Economics and New Economic School
Downloads 27 (571,551)

Abstract:

Loading...

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

NBER Working Paper No. w13134
Number of pages: 35 Posted: 22 May 2012
Kenneth D. West, K. F. Wong and Stanislav Anatolyev
University of Wisconsin - Madison - Department of Economics, The University of Hong Kong - Faculty of Business and Economics and New Economic School
Downloads 9 (706,172)
Citation 2

Abstract:

Loading...

20.

Sequential Testing with Uniformly Distributed Size

Number of pages: 35 Posted: 18 Sep 2008
Stanislav Anatolyev and Grigory Kosenok
New Economic School and New Economic School
Downloads 34 (517,788)

Abstract:

Loading...

Structural stability, sequential tests, CUSUM, retrospection, monitoring, boundaries, asymptotic size

21.

Specification Testing in Models with Many Instruments

Econometric Theory, Forthcoming
Number of pages: 16 Posted: 16 Aug 2009
Stanislav Anatolyev and Nikolay Gospodinov
New Economic School and Federal Reserve Bank of Atlanta
Downloads 31 (533,170)
Citation 2

Abstract:

Loading...

Instrumental variables, many instruments, Bekker's asymptotics, Anderson-Rubin test, test for overidentifying restrictions

22.
Downloads 28 (549,874)
Citation 3

Many Instruments and/or Regressors: A Friendly Guide

Journal of Economic Surveys, 2018
Number of pages: 46 Posted: 19 Dec 2018
Stanislav Anatolyev
New Economic School
Downloads 28 (565,196)
Citation 3

Abstract:

Loading...

linear regression, instrumental variables, alternative asymptotic theory, dimension asymptotics, many instruments, weak instruments, many regressors

Many Instruments And/Or Regressors: A Friendly Guide

Journal of Economic Surveys, Vol. 33, Issue 2, pp. 689-726, 2019
Number of pages: 38 Posted: 12 Mar 2019
Stanislav Anatolyev
New Economic School
Downloads 0
  • Add to Cart

Abstract:

Loading...

Alternative asymptotic theory, Dimension asymptotics, Instrumental variables, Linear regression, Many instruments, Many regressors, Weak instruments

23.

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

Econometrics, 3(3), pp. 610-632
Number of pages: 23 Posted: 01 Sep 2015
Stanislav Anatolyev and Stanislav Khrapov
New Economic School and New Economic School (NES)
Downloads 14 (642,050)

Abstract:

Loading...

GARCH, variance targeting, non-normality, heavy tails, skewness, quasi-maximum likelihood

24.

Instrumental Variables Estimation and Inference in the Presence of Many Exogenous Regressors

The Econometrics Journal, Vol. 16, Issue 1, pp. 27-72, 2013
Number of pages: 46 Posted: 13 Feb 2013
Stanislav Anatolyev
New Economic School
Downloads 1 (744,689)
Citation 1
  • Add to Cart

Abstract:

Loading...

2SLS estimator, Anderson–Rubin test, Bias correction, Instrumental variables regression, J test, Kleibergen test, LIML estimator, Many exogenous regressors, Many instruments, T test