Stanislav Anatolyev
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Stanislav Anatolyev & Mikkel S{o}lvsten, 2020.
"Testing Many Restrictions Under Heteroskedasticity,"
Papers
2003.07320, arXiv.org, revised Jan 2023.
- Anatolyev, Stanislav & Sølvsten, Mikkel, 2023. "Testing many restrictions under heteroskedasticity," Journal of Econometrics, Elsevier, vol. 236(1).
Cited by:
- Patrick Kline & Raffaele Saggio & Mikkel S{o}lvsten, 2018.
"Leave-out estimation of variance components,"
Papers
1806.01494, arXiv.org, revised Aug 2019.
- Patrick Kline & Raffaele Saggio & Mikkel Sølvsten, 2019. "Leave-out Estimation of Variance Components," NBER Working Papers 26244, National Bureau of Economic Research, Inc.
- Patrick Kline & Raffaele Saggio & Mikkel Sølvsten, 2020. "Leave‐Out Estimation of Variance Components," Econometrica, Econometric Society, vol. 88(5), pages 1859-1898, September.
- Hyunseok Jung & Xiaodong Liu, 2023. "Testing for Peer Effects without Specifying the Network Structure," Papers 2306.09806, arXiv.org, revised Mar 2024.
- Michal Koles'ar & Ulrich K. Muller & Sebastian T. Roelsgaard, 2023. "The Fragility of Sparsity," Papers 2311.02299, arXiv.org, revised Jan 2024.
- Anna Mikusheva & Liyang Sun, 2023. "Weak Identification with Many Instruments," Papers 2308.09535, arXiv.org, revised Jan 2024.
- 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.
- 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.
Cited by:
- Dennis Lim & Wenjie Wang & Yichong Zhang, 2022. "A Conditional Linear Combination Test with Many Weak Instruments," Papers 2207.11137, arXiv.org, revised Apr 2023.
- Jungjun Choi & Ming Yuan, 2024. "High Dimensional Factor Analysis with Weak Factors," Papers 2402.05789, arXiv.org.
- Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2021.
"Measurement of factor strength: Theory and practice,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 587-613, August.
- Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2020. "Measurement of Factor Strenght: Theory and Practice," CESifo Working Paper Series 8146, CESifo.
- Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2020. "Measurement of Factor Strength: Theory and Practice," Monash Econometrics and Business Statistics Working Papers 7/20, Monash University, Department of Econometrics and Business Statistics.
- Allen, David, 2022. "Asset Pricing Tests, Endogeneity issues and Fama-French factors," MPRA Paper 113610, University Library of Munich, Germany.
- Yinchu Zhu, 2019. "How well can we learn large factor models without assuming strong factors?," Papers 1910.10382, arXiv.org, revised Nov 2019.
- Anatolyev, Stanislav & Mikusheva, Anna, 2021.
"Limit Theorems For Factor Models,"
Econometric Theory, Cambridge University Press, vol. 37(5), pages 1034-1074, October.
- Stanislav Anatolyev & Anna Mikusheva, 2018. "Limit Theorems for Factor Models," Papers 1807.06338, arXiv.org, revised Sep 2020.
- Alena Skolkova, 2023. "Instrumental Variable Estimation with Many Instruments Using Elastic-Net IV," CERGE-EI Working Papers wp759, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Stanislav Anatolyev & Anna Mikusheva, 2018.
"Limit Theorems for Factor Models,"
Papers
1807.06338, arXiv.org, revised Sep 2020.
- Anatolyev, Stanislav & Mikusheva, Anna, 2021. "Limit Theorems For Factor Models," Econometric Theory, Cambridge University Press, vol. 37(5), pages 1034-1074, October.
Cited by:
- 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.
- 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.
- Stanislav Anatolyev & Mikkel S{o}lvsten, 2020.
"Testing Many Restrictions Under Heteroskedasticity,"
Papers
2003.07320, arXiv.org, revised Jan 2023.
- Anatolyev, Stanislav & Sølvsten, Mikkel, 2023. "Testing many restrictions under heteroskedasticity," Journal of Econometrics, Elsevier, vol. 236(1).
- Christis Katsouris, 2023. "Optimal Estimation Methodologies for Panel Data Regression Models," Papers 2311.03471, arXiv.org, revised Nov 2023.
- 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.
Cited by:
- Sultan Alturki & Alexander Kurov, 2022. "Market inefficiencies surrounding energy announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 172-188, January.
- Stanislav Anatolyev & Jozef Barunik, 2017.
"Forecasting dynamic return distributions based on ordered binary choice,"
Papers
1711.05681, arXiv.org, revised Jan 2019.
- 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.
Cited by:
- Stanislav Anatolyev, 2021. "Directional news impact curve," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 94-107, January.
- Jozef Barunik & Lubos Hanus, 2023. "Learning Probability Distributions of Day-Ahead Electricity Prices," Papers 2310.02867, arXiv.org, revised Oct 2023.
- Jozef Barunik & Lubos Hanus, 2022. "Learning Probability Distributions in Macroeconomics and Finance," Papers 2204.06848, arXiv.org.
- Lei, Heng & Xue, Minggao & Liu, Huiling, 2022. "Probability distribution forecasting of carbon allowance prices: A hybrid model considering multiple influencing factors," Energy Economics, Elsevier, vol. 113(C).
- Stanislav Anatolyev & Nikita Kobotaev, 2015.
"Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage,"
Working Papers
w0213, New Economic School (NES).
- 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.
- Stanislav Anatolyev & Nikita Kobotaev, 2015. "Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage," Working Papers w0213, Center for Economic and Financial Research (CEFIR).
Cited by:
- Jiawen Luo & Langnan Chen, 2019. "Multivariate realized volatility forecasts of agricultural commodity futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(12), pages 1565-1586, December.
- Luo, Jiawen & Chen, Langnan, 2020. "Realized volatility forecast with the Bayesian random compressed multivariate HAR model," International Journal of Forecasting, Elsevier, vol. 36(3), pages 781-799.
- Qu, Hui & Zhang, Yi, 2022. "Asymmetric multivariate HAR models for realized covariance matrix: A study based on volatility timing strategies," Economic Modelling, Elsevier, vol. 106(C).
- Golosnoy, Vasyl & Schmid, Wolfgang & Seifert, Miriam Isabel & Lazariv, Taras, 2020. "Statistical inferences for realized portfolio weights," Econometrics and Statistics, Elsevier, vol. 14(C), pages 49-62.
- Cem Cakmakli & Verda Ozturk, 2021. "Economic Value of Modeling the Joint Distribution of Returns and Volatility: Leverage Timing," Koç University-TUSIAD Economic Research Forum Working Papers 2110, Koc University-TUSIAD Economic Research Forum.
- Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2020. "Multivariate leverage effects and realized semicovariance GARCH models," Journal of Econometrics, Elsevier, vol. 217(2), pages 411-430.
- Yaojie Zhang & Yu Wei & Li Liu, 2019. "Improving forecasting performance of realized covariance with extensions of HAR-RCOV model: statistical significance and economic value," Quantitative Finance, Taylor & Francis Journals, vol. 19(9), pages 1425-1438, September.
- Alfelt, Gustav & Bodnar, Taras & Javed, Farrukh & Tyrcha, Joanna, 2020. "Singular conditional autoregressive Wishart model for realized covariance matrices," Working Papers 2021:1, Örebro University, School of Business.
- Stanislav Anatolyev & Nikolay Gospodinov, 2015.
"Multivariate return decomposition: theory and implications,"
FRB Atlanta Working Paper
2015-7, Federal Reserve Bank of Atlanta.
- Stanislav Anatolyev & Nikolay Gospodinov, 2019. "Multivariate Return Decomposition: Theory and Implications," Econometric Reviews, Taylor & Francis Journals, vol. 38(5), pages 487-508, May.
Cited by:
- Chen, Nan-Kuang & Chen, Shiu-Sheng & Chou, Yu-Hsi, 2013.
"Further evidence on bear market predictability: The role of the external finance premium,"
MPRA Paper
49093, University Library of Munich, Germany.
- Chen, Nan-Kuang & Chen, Shiu-Sheng & Chou, Yu-Hsi, 2017. "Further evidence on bear market predictability: The role of the external finance premium," International Review of Economics & Finance, Elsevier, vol. 50(C), pages 106-121.
- Stanislav Anatolyev, 2021. "Directional news impact curve," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 94-107, January.
- Nikolay Gospodinov, 2017. "Asset Co-movements: Features and Challenges," FRB Atlanta Working Paper 2017-11, Federal Reserve Bank of Atlanta.
- Stanislav Anatolyev, 2012.
"Instrumental variables estimation and inference in the presence of many exogenous regressors,"
Working Papers
w0162, New Economic School (NES).
- 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.
- Stanislav Anatolyev, 2012. "Instrumental variables estimation and inference in the presence of many exogenous regressors," Working Papers w0162, Center for Economic and Financial Research (CEFIR).
Cited by:
- Tiziano Arduini & Eleonora Patacchini & Edoardo Rainone, 2014.
"Identification and Estimation of Outcome Response with Heterogeneous Treatment Externalities,"
EIEF Working Papers Series
1407, Einaudi Institute for Economics and Finance (EIEF), revised Sep 2014.
- Tiziano Arduini & Eleonora Patacchini & Edoardo Rainone, 2014. "Identification and estimation of outcome response with heterogeneous treatment externalities," Temi di discussione (Economic working papers) 974, Bank of Italy, Economic Research and International Relations Area.
- Eleonora Patacchini & Tiziano Arduini & Edoardo Rainone, 2014. "Identification and Estimation of Outcome Response with Heterogeneous Treatment Externalities," Center for Policy Research Working Papers 167, Center for Policy Research, Maxwell School, Syracuse University.
- Alyssa G. Anderson & Wenxin Du & Bernd Schlusche, 2021. "Arbitrage Capital of Global Banks," Finance and Economics Discussion Series 2021-032, Board of Governors of the Federal Reserve System (U.S.).
- Stanislav Anatolyev & Mikkel S{o}lvsten, 2020.
"Testing Many Restrictions Under Heteroskedasticity,"
Papers
2003.07320, arXiv.org, revised Jan 2023.
- Anatolyev, Stanislav & Sølvsten, Mikkel, 2023. "Testing many restrictions under heteroskedasticity," Journal of Econometrics, Elsevier, vol. 236(1).
- Eugenio Levi & Isabelle Sin & Steven Stillman, 2024. "The lasting impact of external shocks on political opinions and populist voting," Economic Inquiry, Western Economic Association International, vol. 62(1), pages 349-374, January.
- Paul Goldsmith-Pinkham & Isaac Sorkin & Henry Swift, 2020.
"Bartik Instruments: What, When, Why, and How,"
American Economic Review, American Economic Association, vol. 110(8), pages 2586-2624, August.
- Paul Goldsmith-Pinkham & Isaac Sorkin & Henry Swift, 2018. "Bartik Instruments: What, When, Why, and How," NBER Working Papers 24408, National Bureau of Economic Research, Inc.
- Zhenhong Huang & Chen Wang & Jianfeng Yao, 2023. "A specification test for the strength of instrumental variables," Papers 2302.14396, arXiv.org.
- Kirill S. Evdokimov & Michal Kolesár, 2018. "Inference in Instrumental Variable Regression Analysis with Heterogeneous Treatment Effects," Working Papers 2018-16, Princeton University. Economics Department..
- Eric Gautier & Christiern Rose, 2022. "Fast, Robust Inference for Linear Instrumental Variables Models using Self-Normalized Moments," Papers 2211.02249, arXiv.org, revised Nov 2022.
- Michal Kolesár & Raj Chetty & John N. Friedman & Edward L. Glaeser & Guido W. Imbens, 2011.
"Identification and Inference with Many Invalid Instruments,"
NBER Working Papers
17519, National Bureau of Economic Research, Inc.
- Kolesar, Michal & Chetty, Raj & Friedman, John & Glaeser, Edward Ludwig & Imbens, Guido, 2015. "Identification and Inference With Many Invalid Instruments," Scholarly Articles 27769098, Harvard University Department of Economics.
- Michal Kolesár & Raj Chetty & John Friedman & Edward Glaeser & Guido W. Imbens, 2015. "Identification and Inference With Many Invalid Instruments," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(4), pages 474-484, October.
- Daniel A. Broxterman & William D. Larson, 2020. "An empirical examination of shift‐share instruments," Journal of Regional Science, Wiley Blackwell, vol. 60(4), pages 677-711, September.
- Kolesár, Michal, 2018. "Minimum distance approach to inference with many instruments," Journal of Econometrics, Elsevier, vol. 204(1), pages 86-100.
- Stanislav Anatolyev & Grigory Kosenok, 2011.
"Sequential Testing with Uniformly Distributed Size,"
Working Papers
w0123, New Economic School (NES).
- 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.
- Stanislav Anatolyev & Grigory Kosenok, 2011. "Sequential Testing with Uniformly Distributed Size," Working Papers w0123, Center for Economic and Financial Research (CEFIR).
Cited by:
- Sven Otto & Jorg Breitung, 2020. "Backward CUSUM for Testing and Monitoring Structural Change with an Application to COVID-19 Pandemic Data," Papers 2003.02682, arXiv.org, revised Mar 2022.
- Josua Gösmann & Tobias Kley & Holger Dette, 2021. "A new approach for open‐end sequential change point monitoring," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(1), pages 63-84, January.
- Otto, Sven & Breitung, Jörg, 2020. "Backward CUSUM for Testing and Monitoring Structural Change," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224533, Verein für Socialpolitik / German Economic Association.
- Stanislav Anatolyev, 2009.
"Inference in Regression Models with Many Regressors,"
Working Papers
w0125, New Economic School (NES).
- Anatolyev, Stanislav, 2012. "Inference in regression models with many regressors," Journal of Econometrics, Elsevier, vol. 170(2), pages 368-382.
- Stanislav Anatolyev, 2009. "Inference in Regression Models with Many Regressors," Working Papers w0125, Center for Economic and Financial Research (CEFIR).
Cited by:
- Westerlund, Joakim, 2019. "Testing additive versus interactive effects in fixed-T panels," Economics Letters, Elsevier, vol. 174(C), pages 5-8.
- Hongchang Hu & Weifu Hu & Xinxin Yu, 2021. "Pseudo-maximum likelihood estimators in linear regression models with fractional time series," Statistical Papers, Springer, vol. 62(2), pages 639-659, April.
- Martin, Ian W.R. & Nagel, Stefan, 2022.
"Market efficiency in the age of big data,"
LSE Research Online Documents on Economics
112960, London School of Economics and Political Science, LSE Library.
- Ian Martin & Stefan Nagel, 2019. "Market Efficiency in the Age of Big Data," CESifo Working Paper Series 8015, CESifo.
- Martin, Ian W.R. & Nagel, Stefan, 2022. "Market efficiency in the age of big data," Journal of Financial Economics, Elsevier, vol. 145(1), pages 154-177.
- Martin, Ian & Nagel, Stefan, 2019. "Market Efficiency in the Age of Big Data," CEPR Discussion Papers 14235, C.E.P.R. Discussion Papers.
- Ian Martin & Stefan Nagel, 2019. "Market Efficiency in the Age of Big Data," NBER Working Papers 26586, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Patrick Kline & Raffaele Saggio & Mikkel S{o}lvsten, 2018.
"Leave-out estimation of variance components,"
Papers
1806.01494, arXiv.org, revised Aug 2019.
- Patrick Kline & Raffaele Saggio & Mikkel Sølvsten, 2019. "Leave-out Estimation of Variance Components," NBER Working Papers 26244, National Bureau of Economic Research, Inc.
- Patrick Kline & Raffaele Saggio & Mikkel Sølvsten, 2020. "Leave‐Out Estimation of Variance Components," Econometrica, Econometric Society, vol. 88(5), pages 1859-1898, September.
- Stanislav Anatolyev & Mikkel S{o}lvsten, 2020.
"Testing Many Restrictions Under Heteroskedasticity,"
Papers
2003.07320, arXiv.org, revised Jan 2023.
- Anatolyev, Stanislav & Sølvsten, Mikkel, 2023. "Testing many restrictions under heteroskedasticity," Journal of Econometrics, Elsevier, vol. 236(1).
- Wang, Wenjie & Kaffo, Maximilien, 2016. "Bootstrap inference for instrumental variable models with many weak instruments," Journal of Econometrics, Elsevier, vol. 192(1), pages 231-268.
- Stanislav Anatolyev, 2012.
"Instrumental variables estimation and inference in the presence of many exogenous regressors,"
Working Papers
w0162, Center for Economic and Financial Research (CEFIR).
- Stanislav Anatolyev, 2012. "Instrumental variables estimation and inference in the presence of many exogenous regressors," Working Papers w0162, New Economic School (NES).
- 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.
- Márcio Laurini, 2012.
"Generalized Tests of Investment Fund Performance,"
IBMEC RJ Economics Discussion Papers
2012-03, Economics Research Group, IBMEC Business School - Rio de Janeiro.
- Laurini, Márcio Poletti & Sanvicente, Antônio Zoratto & Monteiro, Rogério da Costa, 2011. "Generalized Tests of Investment Fund Performance," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 31(2), December.
- Patrick Richard, 2014. "Bootstrap tests in linear models with many regressors," Cahiers de recherche 14-06, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.
- Abhimanyu Gupta & Myung Hwan Seo, 2023.
"Robust Inference on Infinite and Growing Dimensional Time‐Series Regression,"
Econometrica, Econometric Society, vol. 91(4), pages 1333-1361, July.
- Abhimanyu Gupta & Myung Hwan Seo, 2019. "Robust Inference on Infinite and Growing Dimensional Time Series Regression," Papers 1911.08637, arXiv.org, revised Apr 2023.
- Riccardo D'Adamo, 2018. "Cluster-Robust Standard Errors for Linear Regression Models with Many Controls," Papers 1806.07314, arXiv.org, revised Apr 2019.
- Ledoit, Olivier & Wolf, Michael, 2015.
"Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions,"
Journal of Multivariate Analysis, Elsevier, vol. 139(C), pages 360-384.
- Olivier Ledoit & Michael Wolf, 2013. "Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions," ECON - Working Papers 105, Department of Economics - University of Zurich, revised Jul 2013.
- Calhoun, Gray, 2010.
"Hypothesis Testing in Linear Regression when K/N is Large,"
Staff General Research Papers Archive
32216, Iowa State University, Department of Economics.
- Calhoun, Gray, 2011. "Hypothesis testing in linear regression when k/n is large," Journal of Econometrics, Elsevier, vol. 165(2), pages 163-174.
- Mayer, Alexander, 2022. "On the local power of some tests of strict exogeneity in linear fixed effects models," Econometrics and Statistics, Elsevier, vol. 24(C), pages 49-74.
- Zhenhong Huang & Chen Wang & Jianfeng Yao, 2023. "Assessing the strength of many instruments with the first-stage F and Cragg-Donald statistics," Papers 2302.14423, arXiv.org.
- Dante Amengual & Luca Repetto, 2014. "Testing a Large Number of Hypotheses in Approximate Factor Models," Working Papers wp2014_1410, CEMFI.
- Abhimanyu Gupta & Xi Qu, 2021. "Consistent specification testing under spatial dependence," Papers 2101.10255, arXiv.org, revised Aug 2022.
- Richard, Patrick, 2019. "Residual bootstrap tests in linear models with many regressors," Journal of Econometrics, Elsevier, vol. 208(2), pages 367-394.
- Stanislav Anatolyev & Natalia Kryzhanovskaya, 2009.
"Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches,"
Working Papers
w0136, New Economic School (NES).
- Stanislav Anatolyev & Natalia Kryzhanovskaya, 2009. "Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches," Working Papers w0136, Center for Economic and Financial Research (CEFIR).
Cited by:
- Roch, Oriol, 2013. "Histogram-based prediction of directional price relatives," Finance Research Letters, Elsevier, vol. 10(3), pages 110-115.
- Stanislav Anatolyev & Nikolay Gospodinov, 2008.
"Specification Testing in Models with Many Instruments,"
Working Papers
w0124, New Economic School (NES).
- Anatolyev, Stanislav & Gospodinov, Nikolay, 2011. "Specification Testing In Models With Many Instruments," Econometric Theory, Cambridge University Press, vol. 27(2), pages 427-441, April.
- Stanislav Anatolyev & Nikolay Gospodinov, 2008. "Specification Testing in Models with Many Instruments," Working Papers w0124, Center for Economic and Financial Research (CEFIR).
Cited by:
- Pierre Chaussé, 2011. "Generalized empirical likelihood for a continuum of moment conditions," Working Papers 1104, University of Waterloo, Department of Economics, revised Oct 2011.
- Crudu, Federico & Mellace, Giovanni & Sándor, Zsolt, 2021.
"Inference In Instrumental Variable Models With Heteroskedasticity And Many Instruments,"
Econometric Theory, Cambridge University Press, vol. 37(2), pages 281-310, April.
- Federico Crudu & Giovanni Mellace & Zsolt Sandor, 2017. "Inference in instrumental variables models with heteroskedasticity and many instruments," Department of Economics University of Siena 761, Department of Economics, University of Siena.
- Federico Crudu & Giovanni Mellace & Zsolt Sándor, 2020. "Inference in instrumental variables models with heteroskedasticity and many instruments," Department of Economics University of Siena 821, Department of Economics, University of Siena.
- Díaz Antonia & Puch Luis A., 2019.
"Investment, technological progress and energy efficiency,"
The B.E. Journal of Macroeconomics, De Gruyter, vol. 19(2), pages 1-28, June.
- Antonia Diaz & Luis A. Puch, 2016. "Investment, Technological Progress and Energy Efficiency," Working Papers 909, Barcelona School of Economics.
- Wenjie Wang, 2012. "Bootstrapping Anderson-Rubin Statistic and J Statistic in Linear IV Models with Many Instruments," KIER Working Papers 810, Kyoto University, Institute of Economic Research.
- Kaffo, Maximilien & Wang, Wenjie, 2017. "On bootstrap validity for specification testing with many weak instruments," Economics Letters, Elsevier, vol. 157(C), pages 107-111.
- Lee, Yoonseok & Okui, Ryo, 2012. "Hahn–Hausman test as a specification test," Journal of Econometrics, Elsevier, vol. 167(1), pages 133-139.
- Marine Carrasco & Mohamed Doukali, 2022. "Testing overidentifying restrictions with many instruments and heteroscedasticity using regularised jackknife IV [Specification testing in models with many instruments]," The Econometrics Journal, Royal Economic Society, vol. 25(1), pages 71-97.
- Anna Mikusheva & Liyang Sun, 2022.
"Inference with Many Weak Instruments [Specification Testing in Models with Many Instruments],"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(5), pages 2663-2686.
- Anna Mikusheva & Liyang Sun, 2020. "Inference with Many Weak Instruments," Papers 2004.12445, arXiv.org, revised Oct 2021.
- Dennis Lim & Wenjie Wang & Yichong Zhang, 2022. "A Conditional Linear Combination Test with Many Weak Instruments," Papers 2207.11137, arXiv.org, revised Apr 2023.
- Wang, Wenjie, 2022. "Wild bootstrap test of overidentification with many instruments and heteroskedasticity," MPRA Paper 115168, University Library of Munich, Germany.
- Christian D. Dick & Maik Schmeling & Andreas Schrimpf, 2010.
"Macro Expectations, Aggregate Uncertainty, and Expected Term Premia,"
CREATES Research Papers
2010-49, Department of Economics and Business Economics, Aarhus University.
- Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas, 2013. "Macro-expectations, aggregate uncertainty, and expected term premia," European Economic Review, Elsevier, vol. 58(C), pages 58-80.
- Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas, 2010. "Macro expectations, aggregate uncertainty, and expected term premia," ZEW Discussion Papers 10-064, ZEW - Leibniz Centre for European Economic Research.
- Qingliang Fan & Zijian Guo & Ziwei Mei, 2022. "A Heteroskedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates," Papers 2205.00171, arXiv.org, revised Mar 2023.
- Kohtaro Hitomi & Masamune Iwasawa & Yoshihiko Nishiyama, 2020.
"Optimal Minimax Rates against Non-smooth Alternatives,"
KIER Working Papers
1051, Kyoto University, Institute of Economic Research.
- Kohtaro Hitomi & Masamune Iwasawa & Yoshihiko Nishiyama, 2022. "Optimal minimax rates against nonsmooth alternatives [Optimal testing for additivity in multiple nonparametric regression]," The Econometrics Journal, Royal Economic Society, vol. 25(2), pages 322-339.
- Stanislav Anatolyev & Mikkel S{o}lvsten, 2020.
"Testing Many Restrictions Under Heteroskedasticity,"
Papers
2003.07320, arXiv.org, revised Jan 2023.
- Anatolyev, Stanislav & Sølvsten, Mikkel, 2023. "Testing many restrictions under heteroskedasticity," Journal of Econometrics, Elsevier, vol. 236(1).
- Wang, Wenjie & Kaffo, Maximilien, 2016. "Bootstrap inference for instrumental variable models with many weak instruments," Journal of Econometrics, Elsevier, vol. 192(1), pages 231-268.
- Stanislav Anatolyev, 2012.
"Instrumental variables estimation and inference in the presence of many exogenous regressors,"
Working Papers
w0162, Center for Economic and Financial Research (CEFIR).
- Stanislav Anatolyev, 2012. "Instrumental variables estimation and inference in the presence of many exogenous regressors," Working Papers w0162, New Economic School (NES).
- 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.
- Tom Boot & Johannes W. Ligtenberg, 2023. "Identification- and many instrument-robust inference via invariant moment conditions," Papers 2303.07822, arXiv.org, revised Sep 2023.
- Zhenhong Huang & Chen Wang & Jianfeng Yao, 2023. "A specification test for the strength of instrumental variables," Papers 2302.14396, arXiv.org.
- Norman R. Swanson & John C. Chao & Jerry A. Hausman & Whitney K. Newey & Tiemen Woutersen, 2011.
"Testing Overidentifying Restrictions with Many Instruments and Heteroskedasticity,"
Departmental Working Papers
201118, Rutgers University, Department of Economics.
- Chao, John C. & Hausman, Jerry A. & Newey, Whitney K. & Swanson, Norman R. & Woutersen, Tiemen, 2014. "Testing overidentifying restrictions with many instruments and heteroskedasticity," Journal of Econometrics, Elsevier, vol. 178(P1), pages 15-21.
- Eric Gautier & Christiern Rose, 2022. "Fast, Robust Inference for Linear Instrumental Variables Models using Self-Normalized Moments," Papers 2211.02249, arXiv.org, revised Nov 2022.
- Yoonseok Lee & Ryo Okui, 2009. "A Specification Test for Instrumental Variables Regression with Many Instruments," Cowles Foundation Discussion Papers 1741, Cowles Foundation for Research in Economics, Yale University.
- Michal Kolesár & Raj Chetty & John N. Friedman & Edward L. Glaeser & Guido W. Imbens, 2011.
"Identification and Inference with Many Invalid Instruments,"
NBER Working Papers
17519, National Bureau of Economic Research, Inc.
- Kolesar, Michal & Chetty, Raj & Friedman, John & Glaeser, Edward Ludwig & Imbens, Guido, 2015. "Identification and Inference With Many Invalid Instruments," Scholarly Articles 27769098, Harvard University Department of Economics.
- Michal Kolesár & Raj Chetty & John Friedman & Edward Glaeser & Guido W. Imbens, 2015. "Identification and Inference With Many Invalid Instruments," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(4), pages 474-484, October.
- Abutaliev, Albert & Anatolyev, Stanislav, 2013. "Asymptotic variance under many instruments: Numerical computations," Economics Letters, Elsevier, vol. 118(2), pages 272-274.
- Hyunseok Jung & Xiaodong Liu, 2023. "Testing for Peer Effects without Specifying the Network Structure," Papers 2306.09806, arXiv.org, revised Mar 2024.
- Max-Sebastian Dov`i, 2021. "Inference on the New Keynesian Phillips Curve with Very Many Instrumental Variables," Papers 2101.09543, arXiv.org, revised Mar 2021.
- Atsushi Inoue & Barbara Rossi, 2015. "Tests for the validity of portfolio or group choice in financial and panel regressions," Economics Working Papers 1523, Department of Economics and Business, Universitat Pompeu Fabra.
- Guy Tchuente, 2021. "A Note on the Topology of the First Stage of 2SLS with Many Instruments," Papers 2106.15003, arXiv.org.
- Wang, Wenjie, 2020. "On Bootstrap Validity for the Test of Overidentifying Restrictions with Many Instruments and Heteroskedasticity," MPRA Paper 104858, University Library of Munich, Germany.
- Johannes W. Ligtenberg, 2023. "Inference in IV models with clustered dependence, many instruments and weak identification," Papers 2306.08559, arXiv.org, revised Mar 2024.
- Zhenhong Huang & Chen Wang & Jianfeng Yao, 2023. "Assessing the strength of many instruments with the first-stage F and Cragg-Donald statistics," Papers 2302.14423, arXiv.org.
- Kolesár, Michal, 2018. "Minimum distance approach to inference with many instruments," Journal of Econometrics, Elsevier, vol. 204(1), pages 86-100.
- Marine Carrasco & Guy Tchuente, 2016. "Regularization Based Anderson Rubin Tests for Many Instruments," Studies in Economics 1608, School of Economics, University of Kent.
- Kohtaro Hitomi & Masamune Iwasawa & Yoshihiko Nishiyama, 2018. "Rate Optimal Specification Test When the Number of Instruments is Large," KIER Working Papers 986, Kyoto University, Institute of Economic Research.
- Travaglini, Guido, 2010. "Dynamic Econometric Testing of Climate Change and of its Causes," MPRA Paper 23600, University Library of Munich, Germany.
- Stanislav Anatolyev, 2007.
"Inference about predictive ability when there are many predictors,"
Working Papers
w0096, New Economic School (NES).
- Stanislav Anatolyev, 2007. "Inference about predictive ability when there are many predictors," Working Papers w0096, Center for Economic and Financial Research (CEFIR).
Cited by:
- Ron Alquist & Lutz Kilian & Robert J. Vigfusson, 2011.
"Forecasting the price of oil,"
International Finance Discussion Papers
1022, Board of Governors of the Federal Reserve System (U.S.).
- Kilian, Lutz & Alquist, Ron & Vigfusson, Robert J., 2011. "Forecasting the Price of Oil," CEPR Discussion Papers 8388, C.E.P.R. Discussion Papers.
- Alquist, Ron & Kilian, Lutz & Vigfusson, Robert J., 2013. "Forecasting the Price of Oil," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 427-507, Elsevier.
- Ron Alquist & Lutz Kilian & Robert Vigfusson, 2011. "Forecasting the Price of Oil," Staff Working Papers 11-15, Bank of Canada.
- Clark, Todd & McCracken, Michael, 2013.
"Advances in Forecast Evaluation,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1107-1201,
Elsevier.
- Todd E. Clark & Michael W. McCracken, 2011. "Advances in forecast evaluation," Working Papers 2011-025, Federal Reserve Bank of St. Louis.
- Todd E. Clark & Michael W. McCracken, 2011. "Advances in forecast evaluation," Working Papers (Old Series) 1120, Federal Reserve Bank of Cleveland.
- Calhoun, Gray, 2014. "Out-Of-Sample Comparisons of Overfit Models," Staff General Research Papers Archive 32462, Iowa State University, Department of Economics.
- Stanislav Anatolyev & Nikolay Gospodinov, 2007.
"Modeling Financial Return Dynamics by Decomposition,"
Working Papers
w0095, New Economic School (NES).
- Stanislav Anatolyev & Nikolay Gospodinov, 2007. "Modeling Financial Return Dynamics by Decomposition," Working Papers w0095, Center for Economic and Financial Research (CEFIR).
Cited by:
- Haibin Xie & Yuying Sun & Pengying Fan, 2023. "Return direction forecasting: a conditional autoregressive shape model with beta density," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-16, December.
- Stanislav Anatolyev & Natalia Kryzhanovskaya, 2009.
"Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches,"
Working Papers
w0136, New Economic School (NES).
- Stanislav Anatolyev & Natalia Kryzhanovskaya, 2009. "Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches," Working Papers w0136, Center for Economic and Financial Research (CEFIR).
- Thomakos, Dimitrios D. & Wang, Tao, 2010. "'Optimal' probabilistic and directional predictions of financial returns," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 102-119, January.
- Stanislav Anatolyev & Grigory Kosenok, 2006.
"Tests in contingency tables as regression tests,"
Working Papers
w0075, New Economic School (NES).
- Anatolyev, Stanislav & Kosenok, Grigory, 2009. "Tests in contingency tables as regression tests," Economics Letters, Elsevier, vol. 105(2), pages 189-192, November.
- Stanislav Anatolyev & Grigory Kosenok, 2006. "Tests in contingency tables as regression tests," Working Papers w0075, Center for Economic and Financial Research (CEFIR).
Cited by:
- Sentana, Juan, 2022. "Tests for independence between categorical variables," Economics Letters, Elsevier, vol. 220(C).
- Stanislav Anatolyev, 2006.
"Dynamic modeling under linear-exponential loss,"
Working Papers
w0092, New Economic School (NES).
- Anatolyev, Stanislav, 2009. "Dynamic modeling under linear-exponential loss," Economic Modelling, Elsevier, vol. 26(1), pages 82-89, January.
- Stanislav Anatolyev, 2006. "Dynamic modeling under linear-exponential loss," Working Papers w0092, Center for Economic and Financial Research (CEFIR).
Cited by:
- Liu, Xiaochun, 2015.
"Modeling time-varying skewness via decomposition for out-of-sample forecast,"
International Journal of Forecasting, Elsevier, vol. 31(2), pages 296-311.
- Liu, Xiaochun, 2011. "Modeling the time-varying skewness via decomposition for out-of-sample forecast," MPRA Paper 41248, University Library of Munich, Germany.
- Araichi, Sawssen & Peretti, Christian de & Belkacem, Lotfi, 2016. "Solvency capital requirement for a temporal dependent losses in insurance," Economic Modelling, Elsevier, vol. 58(C), pages 588-598.
- Stanislav Anatolyev & Natalia Kryzhanovskaya, 2009.
"Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches,"
Working Papers
w0136, New Economic School (NES).
- Stanislav Anatolyev & Natalia Kryzhanovskaya, 2009. "Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches," Working Papers w0136, Center for Economic and Financial Research (CEFIR).
- Stanislav Anatolyev & Dmitry Shakin, 2006.
"Trade intensity in the Russian stock market:dynamics, distribution and determinants,"
Working Papers
w0070, New Economic School (NES).
- Stanislav Anatolyev & Dmitry Shakin, 2006. "Trade intensity in the Russian stock market:dynamics, distribution and determinants," Working Papers w0070, Center for Economic and Financial Research (CEFIR).
Cited by:
- Dionne, Georges & Duchesne, Pierre & Pacurar, Maria, 2005.
"Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange,"
Working Papers
05-9, HEC Montreal, Canada Research Chair in Risk Management.
- Georges Dionne & Pierre Duchesne & Maria Pacurar, 2005. "Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange," Cahiers de recherche 0533, CIRPEE.
- Dionne, Georges & Duchesne, Pierre & Pacurar, Maria, 2009. "Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 777-792, December.
- Ruan, Yong-Ping & Zhou, Wei-Xing, 2011.
"Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(9), pages 1646-1654.
- Yong-Ping Ruan & Wei-Xing Zhou, 2010. "Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant," Papers 1008.0160, arXiv.org.
- 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.
- Dionne, Georges & Pacurar, Maria & Zhou, Xiaozhou, 2014.
"Liquidity-adjusted Intraday Value at Risk modeling and risk management: An application to data from Deutsche Börse,"
Working Papers
14-1, HEC Montreal, Canada Research Chair in Risk Management.
- Dionne, Georges & Pacurar, Maria & Zhou, Xiaozhou, 2015. "Liquidity-adjusted Intraday Value at Risk modeling and risk management: An application to data from Deutsche Börse," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 202-219.
- Georges Dionne & Maria Pacurar & Xiaozhou Zhou, 2014. "Liquidity-adjusted Intraday Value at Risk modeling and Risk Management: an Application to Data from Deutsche Börse," Cahiers de recherche 1414, CIRPEE.
- Zhi-Qiang Jiang & Wei Chen & Wei-Xing Zhou, 2008.
"Detrended fluctuation analysis of intertrade durations,"
Papers
0806.2444, arXiv.org.
- Jiang, Zhi-Qiang & Chen, Wei & Zhou, Wei-Xing, 2009. "Detrended fluctuation analysis of intertrade durations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(4), pages 433-440.
- Kovačić, Zlatko, 2007. "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper 5319, University Library of Munich, Germany.
- Alexander Muravyev, 2009. "Dual Class Stock in Russia: Explaining a Pricing Anomaly," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 45(2), pages 21-43, March.
- Stanislav Anatolyev, 2013. "Objects of nonstructural time series modeling (in Russian)," Quantile, Quantile, issue 11, pages 1-12, December.
- Denisa Georgiana Banulescu & Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2013. "High-Frequency Risk Measures," Working Papers halshs-00859456, HAL.
- Stanislav Anatolyev, 2006.
"Nonparametric retrospection and monitoring of predictability of financial returns,"
Working Papers
w0071, New Economic School (NES).
- 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.
- Stanislav Anatolyev, 2006. "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers w0071, Center for Economic and Financial Research (CEFIR).
Cited by:
- Alenka Kavkler & Mejra Festić, 2011. "Modelling Stock Exchange Index Returns in Different GDP Growth Regimes," Prague Economic Papers, Prague University of Economics and Business, vol. 2011(1), pages 3-22.
- Kovačić, Zlatko, 2007. "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper 5319, University Library of Munich, Germany.
- Kian-Ping Lim & Weiwei Luo & Jae H. Kim, 2013. "Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests," Applied Economics, Taylor & Francis Journals, vol. 45(8), pages 953-962, March.
- Pierre Perron & Eduardo Zorita & Eiji Kurozumi, 2017. "Monitoring Parameter Constancy with Endogenous Regressors," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(5), pages 791-805, September.
- Stanislav Anatolyev, 2005.
"Optimal Instruments in Time Series: A Survey,"
Working Papers
w0069, New Economic School (NES).
- Stanislav Anatolyev, 2007. "Optimal Instruments In Time Series: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 21(1), pages 143-173, February.
- Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, Center for Economic and Financial Research (CEFIR).
Cited by:
- Stanislav Anatolyev, 2007. "Optimal instruments (in Russian)," Quantile, Quantile, issue 2, pages 61-69, March.
- 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.
- 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.
- Kenneth D. West & Ka-fu Wong & Stanislav Anatolyev, 2007. "Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments," NBER Technical Working Papers 0338, National Bureau of Economic Research, Inc.
- Kenneth D. West & Ka-fu Wong & Stanislav Anatolyev, 2007. "Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments," NBER Working Papers 13134, National Bureau of Economic Research, Inc.
Cited by:
- Salem Abo-Zaid, 2021. "Taxation, credit frictions and the cyclical behavior of the labor wedge," Empirical Economics, Springer, vol. 60(4), pages 1777-1816, April.
- Manuel Arellano, 2003.
"Modelling Optimal Instrumental Variables for Dynamic Panel Data Models,"
Working Papers
wp2003_0310, CEMFI.
- Arellano, Manuel, 2016. "Modelling optimal instrumental variables for dynamic panel data models," Research in Economics, Elsevier, vol. 70(2), pages 238-261.
- David Laibson & Sean Chanwook Lee & Peter Maxted & Andrea Repetto & Jeremy Tobacman, 2007.
"Estimating Discount Functions with Consumption Choices over the Lifecycle,"
NBER Working Papers
13314, National Bureau of Economic Research, Inc.
- Jeremy Tobacman & David Laibson & Andrea Repetto, 2007. "Estimating Discount Functions with Consumption Choices over the Lifecycle," Economics Series Working Papers 341, University of Oxford, Department of Economics.
- David Laibson & Andrea Repetto & Jeremy Tobacman, 2005. "Estimating Discount Functions with Consumption Choices over the Lifecycle," Levine's Bibliography 784828000000000643, UCLA Department of Economics.
- David Laibson & Andrea Repetto & Jeremy Tobacman, 2007. "Estimating Discount Functions with Consumption Choices over the Lifecycle," Documentos de Trabajo 236, Centro de Economía Aplicada, Universidad de Chile.
- Stanislav Anatolyev, 2005.
"Optimal Instruments in Time Series: A Survey,"
Working Papers
w0069, Center for Economic and Financial Research (CEFIR).
- Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, New Economic School (NES).
- Stanislav Anatolyev, 2007. "Optimal Instruments In Time Series: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 21(1), pages 143-173, February.
- Salem Abo-Zaid & Anastasia Zervou, 2016.
"Financing of Firms, Labor Reallocation and the Distributional Role of Monetary Policy,"
Working Papers
20161020_001, Texas A&M University, Department of Economics.
- Salem Abo‐Zaid & Anastasia Zervou, 2020. "Financing of Firms, Labor Reallocation, and the Distributional Role of Monetary Policy," Scandinavian Journal of Economics, Wiley Blackwell, vol. 122(2), pages 790-823, April.
- West, Kenneth D., 2002. "Efficient GMM estimation of weak AR processes," Economics Letters, Elsevier, vol. 75(3), pages 415-418, May.
- Okui, Ryo, 2011. "Instrumental variable estimation in the presence of many moment conditions," Journal of Econometrics, Elsevier, vol. 165(1), pages 70-86.
- Kuersteiner, Guido M., 2012. "Kernel-weighted GMM estimators for linear time series models," Journal of Econometrics, Elsevier, vol. 170(2), pages 399-421.
- Hansen, Lars Peter, 2013.
"Uncertainty Outside and Inside Economic Models,"
Nobel Prize in Economics documents
2013-7, Nobel Prize Committee.
- Lars Peter Hansen, 2014. "Uncertainty Outside and Inside Economic Models," NBER Working Papers 20394, National Bureau of Economic Research, Inc.
- Elena Corallo, 2005. "The effect of the war risk: a comparison of the consequences of the two Iraq wars on some financial variables," LIUC Papers in Economics 171, Cattaneo University (LIUC).
- Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.
- Lars Peter Hansen, 2014. "Nobel Lecture: Uncertainty Outside and Inside Economic Models," Journal of Political Economy, University of Chicago Press, vol. 122(5), pages 945-987.
- Gospodinov, Nikolay & Otsu, Taisuke, 2012.
"Local GMM estimation of time series models with conditional moment restrictions,"
Journal of Econometrics, Elsevier, vol. 170(2), pages 476-490.
- Nikolay Gospodinov & Taisuke Otsu, 2008. "Local GMM Estimation of Time Series Models with Conditional Moment Restrictions," Working Papers 08010, Concordia University, Department of Economics.
- 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.
- Kenneth D. West & Ka-Fu, Wong & Stanislav Anatolyev, 1999. "Feasible Optimal Instrumental Variables Estimation of Linear Models with Moving Average Disturbances," Departmental Working Papers _109, Chinese University of Hong Kong, Department of Economics.
Cited by:
- Grammig, Joachim & Wellner, Marc, 2002. "Modeling the interdependence of volatility and inter-transaction duration processes," Journal of Econometrics, Elsevier, vol. 106(2), pages 369-400, February.
Articles
- Anatolyev, Stanislav & Sølvsten, Mikkel, 2023.
"Testing many restrictions under heteroskedasticity,"
Journal of Econometrics, Elsevier, vol. 236(1).
See citations under working paper version above.
- Stanislav Anatolyev & Mikkel S{o}lvsten, 2020. "Testing Many Restrictions Under Heteroskedasticity," Papers 2003.07320, arXiv.org, revised Jan 2023.
- 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.
See citations under working paper version above.
- 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.
- Anatolyev, Stanislav & Mikusheva, Anna, 2021.
"Limit Theorems For Factor Models,"
Econometric Theory, Cambridge University Press, vol. 37(5), pages 1034-1074, October.
See citations under working paper version above.
- Stanislav Anatolyev & Anna Mikusheva, 2018. "Limit Theorems for Factor Models," Papers 1807.06338, arXiv.org, revised Sep 2020.
- Stanislav Anatolyev & Nikolay Gospodinov, 2019.
"Multivariate Return Decomposition: Theory and Implications,"
Econometric Reviews, Taylor & Francis Journals, vol. 38(5), pages 487-508, May.
See citations under working paper version above.
- Stanislav Anatolyev & Nikolay Gospodinov, 2015. "Multivariate return decomposition: theory and implications," FRB Atlanta Working Paper 2015-7, Federal Reserve Bank of Atlanta.
- Anatolyev Stanislav, 2019.
"Volatility filtering in estimation of kurtosis (and variance),"
Dependence Modeling, De Gruyter, vol. 7(1), pages 1-23, February.
Cited by:
- Rustam Ibragimov & Jihyun Kim & Anton Skrobotov, 2020. "New robust inference for predictive regressions," Papers 2006.01191, arXiv.org, revised Mar 2023.
- Carnero, M. Angeles & León, Angel & Ñíguez, Trino-Manuel, 2023. "Skewness in energy returns: estimation, testing and retain-->implications for tail risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 178-189.
- Walter Distaso & Rustam Ibragimov & Alexander Semenov & Anton Skrobotov, 2020. "COVID-19: Tail Risk and Predictive Regressions," Papers 2009.02486, arXiv.org, revised Oct 2021.
- 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.
See citations under working paper version above.
- Stanislav Anatolyev & Jozef Barunik, 2017. "Forecasting dynamic return distributions based on ordered binary choice," Papers 1711.05681, arXiv.org, revised Jan 2019.
- Stanislav Anatolyev, 2019.
"Many Instruments And/Or Regressors: A Friendly Guide,"
Journal of Economic Surveys, Wiley Blackwell, vol. 33(2), pages 689-726, April.
Cited by:
- Anna Mikusheva & Mikkel S{o}lvsten, 2023. "Linear Regression with Weak Exogeneity," Papers 2308.08958, arXiv.org, revised Jan 2024.
- Wang, Wenjie, 2022. "Wild bootstrap test of overidentification with many instruments and heteroskedasticity," MPRA Paper 115168, University Library of Munich, Germany.
- Stanislav Anatolyev & Mikkel S{o}lvsten, 2020.
"Testing Many Restrictions Under Heteroskedasticity,"
Papers
2003.07320, arXiv.org, revised Jan 2023.
- Anatolyev, Stanislav & Sølvsten, Mikkel, 2023. "Testing many restrictions under heteroskedasticity," Journal of Econometrics, Elsevier, vol. 236(1).
- Kuanhao Jiang & Rajarshi Mukherjee & Subhabrata Sen & Pragya Sur, 2022. "A New Central Limit Theorem for the Augmented IPW Estimator: Variance Inflation, Cross-Fit Covariance and Beyond," Papers 2205.10198, arXiv.org, revised Oct 2022.
- Abhimanyu Gupta & Myung Hwan Seo, 2023.
"Robust Inference on Infinite and Growing Dimensional Time‐Series Regression,"
Econometrica, Econometric Society, vol. 91(4), pages 1333-1361, July.
- Abhimanyu Gupta & Myung Hwan Seo, 2019. "Robust Inference on Infinite and Growing Dimensional Time Series Regression," Papers 1911.08637, arXiv.org, revised Apr 2023.
- Mayer, Alexander, 2020. "(Consistently) testing strict exogeneity against the alternative of predeterminedness in linear time-series models," Economics Letters, Elsevier, vol. 193(C).
- Xuexin WANG, 2021. "Instrumental variable estimation via a continuum of instruments with an application to estimating the elasticity of intertemporal substitution in consumption," Working Papers 2021-11-06, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Wang, Wenjie, 2020. "On Bootstrap Validity for the Test of Overidentifying Restrictions with Many Instruments and Heteroskedasticity," MPRA Paper 104858, University Library of Munich, Germany.
- Johannes W. Ligtenberg, 2023. "Inference in IV models with clustered dependence, many instruments and weak identification," Papers 2306.08559, arXiv.org, revised Mar 2024.
- Mayer, Alexander, 2022. "On the local power of some tests of strict exogeneity in linear fixed effects models," Econometrics and Statistics, Elsevier, vol. 24(C), pages 49-74.
- Stanislav Anatolyev & Alena Skolkova, 2019.
"Many instruments: Implementation in Stata,"
Stata Journal, StataCorp LP, vol. 19(4), pages 849-866, December.
Cited by:
- Luca Bettarelli & Michela Cella & Giovanna Iannantuoni & Elena Manzoni, 2015.
"It's a matter of confidence: Institutions, government stability and economic outcomes,"
Working Papers
309, University of Milano-Bicocca, Department of Economics, revised Sep 2015.
- Luca Bettarelli & Michela Cella & Giovanna Iannantuoni & Elena Manzoni, 2021. "It’s a matter of confidence. Institutions, government stability and economic outcomes," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 38(2), pages 709-738, July.
- Bettareli, Luca & Cella, Michela & Iannantuoni, Giovanna & Manzoni, Elena, 2017. "It's a matter of confidence: Institutions, government stability and economic outcomes," MPRA Paper 77546, University Library of Munich, Germany.
- Luca Bettarelli & Michela Cella & Giovanna Iannantuoni & Elena Manzoni, 2015.
"It's a matter of confidence: Institutions, government stability and economic outcomes,"
Working Papers
309, University of Milano-Bicocca, Department of Economics, revised Sep 2015.
- 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.
See citations under working paper version above.
- Stanislav Anatolyev & Nikita Kobotaev, 2015. "Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage," Working Papers w0213, Center for Economic and Financial Research (CEFIR).
- Stanislav Anatolyev & Nikita Kobotaev, 2015. "Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage," Working Papers w0213, New Economic School (NES).
- 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.
See citations under working paper version above.
- Stanislav Anatolyev & Grigory Kosenok, 2011. "Sequential Testing with Uniformly Distributed Size," Working Papers w0123, New Economic School (NES).
- Stanislav Anatolyev & Grigory Kosenok, 2011. "Sequential Testing with Uniformly Distributed Size," Working Papers w0123, Center for Economic and Financial Research (CEFIR).
- Anatolyev, Stanislav, 2018.
"Almost unbiased variance estimation in linear regressions with many covariates,"
Economics Letters, Elsevier, vol. 169(C), pages 20-23.
Cited by:
- Stanislav Anatolyev & Mikkel S{o}lvsten, 2020.
"Testing Many Restrictions Under Heteroskedasticity,"
Papers
2003.07320, arXiv.org, revised Jan 2023.
- Anatolyev, Stanislav & Sølvsten, Mikkel, 2023. "Testing many restrictions under heteroskedasticity," Journal of Econometrics, Elsevier, vol. 236(1).
- Ng Cheuk Fai, 2022. "Robust Inference in High Dimensional Linear Model with Cluster Dependence," Papers 2212.05554, arXiv.org.
- Stanislav Anatolyev & Mikkel S{o}lvsten, 2020.
"Testing Many Restrictions Under Heteroskedasticity,"
Papers
2003.07320, arXiv.org, revised Jan 2023.
- 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.
Cited by:
- Kaffo, Maximilien & Wang, Wenjie, 2017. "On bootstrap validity for specification testing with many weak instruments," Economics Letters, Elsevier, vol. 157(C), pages 107-111.
- Byunghoon Kang, 2018. "Higher Order Approximation of IV Estimators with Invalid Instruments," Working Papers 257105320, Lancaster University Management School, Economics Department.
- Pavel Yaskov, 2018. "LLN for Quadratic Forms of Long Memory Time Series and Its Applications in Random Matrix Theory," Journal of Theoretical Probability, Springer, vol. 31(4), pages 2032-2055, December.
- Dörnemann, Nina, 2023. "Likelihood ratio tests under model misspecification in high dimensions," Journal of Multivariate Analysis, Elsevier, vol. 193(C).
- Zhenhong Huang & Chen Wang & Jianfeng Yao, 2023. "A specification test for the strength of instrumental variables," Papers 2302.14396, arXiv.org.
- Hyunseok Jung & Xiaodong Liu, 2023. "Testing for Peer Effects without Specifying the Network Structure," Papers 2306.09806, arXiv.org, revised Mar 2024.
- Dörnemann, Nina & Dette, Holger, 2023. "Fluctuations of the diagonal entries of a large sample precision matrix," Statistics & Probability Letters, Elsevier, vol. 198(C).
- Boot, Tom, 2023. "Joint inference based on Stein-type averaging estimators in the linear regression model," Journal of Econometrics, Elsevier, vol. 235(2), pages 1542-1563.
- Max-Sebastian Dov`i & Anders Bredahl Kock & Sophocles Mavroeidis, 2022. "A Ridge-Regularised Jackknifed Anderson-Rubin Test," Papers 2209.03259, arXiv.org, revised Nov 2023.
- Zhenhong Huang & Chen Wang & Jianfeng Yao, 2023. "Assessing the strength of many instruments with the first-stage F and Cragg-Donald statistics," Papers 2302.14423, arXiv.org.
- Richard, Patrick, 2019. "Residual bootstrap tests in linear models with many regressors," Journal of Econometrics, Elsevier, vol. 208(2), pages 367-394.
- 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.
Cited by:
- Stanislav Anatolyev, 2021. "Directional news impact curve," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 94-107, January.
- Lumengo Bonga-Bonga & Tebogo Maake, 2021.
"The Relationship between Carry Trade and Asset Markets in South Africa,"
JRFM, MDPI, vol. 14(7), pages 1-13, July.
- Maake, Tebogo & Bonga-Bonga, Lumengo, 2019. "The relationship between carry trade and asset markets in South Africa," MPRA Paper 96667, University Library of Munich, Germany.
- Qian Zhang & Kuo-Jui Wu & Ming-Lang Tseng, 2019. "Exploring Carry Trade and Exchange Rate toward Sustainable Financial Resources: An application of the Artificial Intelligence UKF Method," Sustainability, MDPI, vol. 11(12), pages 1-26, June.
- Jamali, Ibrahim & Yamani, Ehab, 2019. "Out-of-sample exchange rate predictability in emerging markets: Fundamentals versus technical analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 241-263.
- Fu, Hsuan & Luger, Richard, 2022. "Multiple testing of the forward rate unbiasedness hypothesis across currencies," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 232-245.
- Stanislav Anatolyev & Anton Petukhov, 2016.
"Uncovering the Skewness News Impact Curve,"
Journal of Financial Econometrics, Oxford University Press, vol. 14(4), pages 746-771.
Cited by:
- Ñíguez, Trino-Manuel & Perote, Javier, 2017. "Moments expansion densities for quantifying financial risk," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 53-69.
- Trung H. Le & Apostolos Kourtis & Raphael Markellos, 2023. "Modeling skewness in portfolio choice," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 734-770, June.
- Stanislav Anatolyev, 2021. "Directional news impact curve," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 94-107, January.
- León, Ángel & Ñíguez, Trino-Manuel, 2021. "The transformed Gram Charlier distribution: Parametric properties and financial risk applications," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 323-349.
- Trung H. Le, 2024. "Forecasting VaR and ES in emerging markets: The role of time‐varying higher moments," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(2), pages 402-414, March.
- León, Ángel & Ñíguez, Trino-Manuel, 2020. "Modeling asset returns under time-varying semi-nonparametric distributions," Journal of Banking & Finance, Elsevier, vol. 118(C).
- Le, Trung H., 2020. "Forecasting value at risk and expected shortfall with mixed data sampling," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1362-1379.
- 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.
Cited by:
- Anatolyev Stanislav, 2019. "Volatility filtering in estimation of kurtosis (and variance)," Dependence Modeling, De Gruyter, vol. 7(1), pages 1-23, February.
- 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.
Cited by:
- Matsypura, Dmytro & Neo, Emily & Prokhorov, Artem, 2016.
"Estimation of Hierarchical Archimedean Copulas as a Shortest Path Prob lem,"
Working Papers
2123/14745, University of Sydney Business School, Discipline of Business Analytics.
- Matsypura, Dmytro & Neo, Emily & Prokhorov, Artem, 2016. "Estimation of Hierarchical Archimedean Copulas as a Shortest Path Problem," Economics Letters, Elsevier, vol. 149(C), pages 131-134.
- Matsypura, Dmytro & Neo, Emily & Prokhorov, Artem, 2016.
"Estimation of Hierarchical Archimedean Copulas as a Shortest Path Prob lem,"
Working Papers
2123/14745, University of Sydney Business School, Discipline of Business Analytics.
- 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.
See citations under working paper version above.
- Stanislav Anatolyev, 2012. "Instrumental variables estimation and inference in the presence of many exogenous regressors," Working Papers w0162, New Economic School (NES).
- Stanislav Anatolyev, 2012. "Instrumental variables estimation and inference in the presence of many exogenous regressors," Working Papers w0162, Center for Economic and Financial Research (CEFIR).
- 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.
Cited by:
- Carlos Castro & Stijn Ferrari, 2012.
"Measuring and testing for the systemically important financial institutions,"
Working Paper Research
228, National Bank of Belgium.
- Castro, Carlos & Ferrari, Stijn, 2014. "Measuring and testing for the systemically important financial institutions," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 1-14.
- Carlos Castro & Stijn Ferrari, 2011. "Measuring and testing for the systemically important financial institutions," Documentos de Trabajo 8779, Universidad del Rosario.
- Stanislav Anatolyev & Grigory Kosenok, 2011.
"Sequential Testing with Uniformly Distributed Size,"
Working Papers
w0123, New Economic School (NES).
- 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.
- Stanislav Anatolyev & Grigory Kosenok, 2011. "Sequential Testing with Uniformly Distributed Size," Working Papers w0123, Center for Economic and Financial Research (CEFIR).
- Christis Katsouris, 2023. "Predictability Tests Robust against Parameter Instability," Papers 2307.15151, arXiv.org.
- Carlos Castro & Stijn Ferrari, 2012.
"Measuring and testing for the systemically important financial institutions,"
Working Paper Research
228, National Bank of Belgium.
- Anatolyev, Stanislav, 2012.
"Inference in regression models with many regressors,"
Journal of Econometrics, Elsevier, vol. 170(2), pages 368-382.
See citations under working paper version above.
- Stanislav Anatolyev, 2009. "Inference in Regression Models with Many Regressors," Working Papers w0125, Center for Economic and Financial Research (CEFIR).
- Stanislav Anatolyev, 2009. "Inference in Regression Models with Many Regressors," Working Papers w0125, New Economic School (NES).
- Anatolyev, Stanislav & Gospodinov, Nikolay, 2011.
"Specification Testing In Models With Many Instruments,"
Econometric Theory, Cambridge University Press, vol. 27(2), pages 427-441, April.
See citations under working paper version above.
- Stanislav Anatolyev & Nikolay Gospodinov, 2008. "Specification Testing in Models with Many Instruments," Working Papers w0124, New Economic School (NES).
- Stanislav Anatolyev & Nikolay Gospodinov, 2008. "Specification Testing in Models with Many Instruments," Working Papers w0124, Center for Economic and Financial Research (CEFIR).
- 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.
Cited by:
- Chen, Nan-Kuang & Chen, Shiu-Sheng & Chou, Yu-Hsi, 2013.
"Further evidence on bear market predictability: The role of the external finance premium,"
MPRA Paper
49093, University Library of Munich, Germany.
- Chen, Nan-Kuang & Chen, Shiu-Sheng & Chou, Yu-Hsi, 2017. "Further evidence on bear market predictability: The role of the external finance premium," International Review of Economics & Finance, Elsevier, vol. 50(C), pages 106-121.
- Liu, Xiaochun, 2015.
"Modeling time-varying skewness via decomposition for out-of-sample forecast,"
International Journal of Forecasting, Elsevier, vol. 31(2), pages 296-311.
- Liu, Xiaochun, 2011. "Modeling the time-varying skewness via decomposition for out-of-sample forecast," MPRA Paper 41248, University Library of Munich, Germany.
- Liu, Jiadong & Papailias, Fotis & Quinn, Barry, 2021. "Direction-of-change forecasting in commodity futures markets," International Review of Financial Analysis, Elsevier, vol. 74(C).
- Bernardina Algieri & Arturo Leccadito, 2020. "CARL and His POT: Measuring Risks in Commodity Markets," Risks, MDPI, vol. 8(1), pages 1-15, March.
- Stanislav Anatolyev, 2021. "Directional news impact curve," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 94-107, January.
- Stanislav Anatolyev & Jozef Barunik, 2017.
"Forecasting dynamic return distributions based on ordered binary choice,"
Papers
1711.05681, arXiv.org, revised Jan 2019.
- 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.
- 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.
- Straetmans, S.T.M. & Candelon, B. & Ahmed, J., 2012.
"Predicting and capitalizing on stock market bears in the U.S,"
Research Memorandum
019, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Bertrand Candelon & Jameel Ahmed & Stefan Straetmans, 2014. "Predicting and Capitalizing on Stock Market Bears in the U.S," Working Papers 2014-409, Department of Research, Ipag Business School.
- Liu, Xiaochun, 2017. "Unfolded risk-return trade-offs and links to Macroeconomic Dynamics," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 1-19.
- Gu, Wentao & Peng, Yiqing, 2019. "Forecasting the market return direction based on a time-varying probability density model," Technological Forecasting and Social Change, Elsevier, vol. 148(C).
- Hambuckers, J. & Ulm, M., 2023. "On the role of interest rate differentials in the dynamic asymmetry of exchange rates," Economic Modelling, Elsevier, vol. 129(C).
- Harri Pönkä, 2017.
"Predicting the direction of US stock markets using industry returns,"
Empirical Economics, Springer, vol. 52(4), pages 1451-1480, June.
- Pönkä, Harri, 2014. "Predicting the direction of US stock markets using industry returns," MPRA Paper 62942, University Library of Munich, Germany.
- Frazier, David T. & Liu, Xiaochun, 2016. "A new approach to risk-return trade-off dynamics via decomposition," Journal of Economic Dynamics and Control, Elsevier, vol. 62(C), pages 43-55.
- Andreea Röthig & Andreas Röthig & Carl Chiarella, 2015. "On Candlestick-based Trading Rules Profitability Analysis via Parametric Bootstraps and Multivariate Pair-Copula based Models," Research Paper Series 362, Quantitative Finance Research Centre, University of Technology, Sydney.
- Luis H. R. Alvarez E. & Paavo Salminen, 2017.
"Timing in the presence of directional predictability: optimal stopping of skew Brownian motion,"
Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 86(2), pages 377-400, October.
- Luis H. R. Alvarez E. & Paavo Salminen, 2016. "Timing in the Presence of Directional Predictability: Optimal Stopping of Skew Brownian Motion," Papers 1608.04537, arXiv.org.
- Liu, Xiaochun, 2017. "Can macroeconomic dynamics explain the time variation of risk–return trade-offs in the U.S. financial market?," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 275-293.
- James W. Taylor & Keming Yu, 2016. "Using auto-regressive logit models to forecast the exceedance probability for financial risk management," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 179(4), pages 1069-1092, October.
- Thomas Bury, 2013. "Predicting trend reversals using market instantaneous state," Papers 1310.8169, arXiv.org, revised Mar 2014.
- 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.
- Lee Tae-Hwy & Wang He & Xi Zhou & Zhang Ru, 2023.
"Density Forecast of Financial Returns Using Decomposition and Maximum Entropy,"
Journal of Econometric Methods, De Gruyter, vol. 12(1), pages 57-83, January.
- Tae-Hwy Lee & He Wang & Zhou Xi & Ru Zhang, 2021. "Density Forecast of Financial Returns Using Decomposition and Maximum Entropy," Working Papers 202115, University of California at Riverside, Department of Economics.
- Liu, Jingzhen, 2019. "Impacts of lagged returns on the risk-return relationship of Chinese aggregate stock market: Evidence from different data frequencies," Research in International Business and Finance, Elsevier, vol. 48(C), pages 243-257.
- Lei, Heng & Xue, Minggao & Liu, Huiling, 2022. "Probability distribution forecasting of carbon allowance prices: A hybrid model considering multiple influencing factors," Energy Economics, Elsevier, vol. 113(C).
- Stanislav Anatolyev & Natalia Kryzhanovskaya, 2009.
"Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches,"
Working Papers
w0136, New Economic School (NES).
- Stanislav Anatolyev & Natalia Kryzhanovskaya, 2009. "Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches," Working Papers w0136, Center for Economic and Financial Research (CEFIR).
- Nyberg, Henri & Pönkä, Harri, 2016.
"International sign predictability of stock returns: The role of the United States,"
Economic Modelling, Elsevier, vol. 58(C), pages 323-338.
- Henri Nyberg & Harri Pönkä, 2015. "International Sign Predictability of Stock Returns: The Role of the United States," CREATES Research Papers 2015-20, Department of Economics and Business Economics, Aarhus University.
- Ginker, Tim & Lieberman, Offer, 2017. "Robustness of binary choice models to conditional heteroscedasticity," Economics Letters, Elsevier, vol. 150(C), pages 130-134.
- Stanislav Anatolyev & Nikolay Gospodinov, 2015.
"Multivariate return decomposition: theory and implications,"
FRB Atlanta Working Paper
2015-7, Federal Reserve Bank of Atlanta.
- Stanislav Anatolyev & Nikolay Gospodinov, 2019. "Multivariate Return Decomposition: Theory and Implications," Econometric Reviews, Taylor & Francis Journals, vol. 38(5), pages 487-508, May.
- Algieri, Bernardina & Leccadito, Arturo, 2019. "Ask CARL: Forecasting tail probabilities for energy commodities," Energy Economics, Elsevier, vol. 84(C).
- Stanislav Anatolyev, 2013. "Objects of nonstructural time series modeling (in Russian)," Quantile, Quantile, issue 11, pages 1-12, December.
- Nyberg, Henri, 2011. "Forecasting the direction of the US stock market with dynamic binary probit models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 561-578.
- Nyberg, Henri, 2011. "Forecasting the direction of the US stock market with dynamic binary probit models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 561-578, April.
- Nikolay Gospodinov, 2017. "Asset Co-movements: Features and Challenges," FRB Atlanta Working Paper 2017-11, Federal Reserve Bank of Atlanta.
- de Resende, Charlene C. & Pereira, Adriano C.M. & Cardoso, Rodrigo T.N. & de Magalhães, A.R. Bosco, 2017. "Investigating market efficiency through a forecasting model based on differential equations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 474(C), pages 199-212.
- Riza Erdugan & Nada Kulendran & Riccardo Natoli, 2019. "Incorporating financial market volatility to improve forecasts of directional changes in Australian share market returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(4), pages 417-445, December.
- Liu, Xiaochun & Luger, Richard, 2015. "Unfolded GARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 186-217.
- Bury, Thomas, 2014. "Predicting trend reversals using market instantaneous state," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 404(C), pages 79-91.
- Nyberg, Henri, 2013. "Predicting bear and bull stock markets with dynamic binary time series models," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3351-3363.
- Hadhri, Sinda & Ftiti, Zied, 2017. "Stock return predictability in emerging markets: Does the choice of predictors and models matter across countries?," Research in International Business and Finance, Elsevier, vol. 42(C), pages 39-60.
- Yang, Minxian, 2019. "The risk return relationship: Evidence from index returns and realised variances," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
- Chen, Nan-Kuang & Chen, Shiu-Sheng & Chou, Yu-Hsi, 2013.
"Further evidence on bear market predictability: The role of the external finance premium,"
MPRA Paper
49093, University Library of Munich, Germany.
- Anatolyev, Stanislav & Kosenok, Grigory, 2009.
"Tests in contingency tables as regression tests,"
Economics Letters, Elsevier, vol. 105(2), pages 189-192, November.
See citations under working paper version above.
- Stanislav Anatolyev & Grigory Kosenok, 2006. "Tests in contingency tables as regression tests," Working Papers w0075, New Economic School (NES).
- Stanislav Anatolyev & Grigory Kosenok, 2006. "Tests in contingency tables as regression tests," Working Papers w0075, Center for Economic and Financial Research (CEFIR).
- 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.
See citations under working paper version above.
- Kenneth D. West & Ka-fu Wong & Stanislav Anatolyev, 2007. "Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments," NBER Technical Working Papers 0338, National Bureau of Economic Research, Inc.
- 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.
- Kenneth D. West & Ka-fu Wong & Stanislav Anatolyev, 2007. "Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments," NBER Working Papers 13134, National Bureau of Economic Research, Inc.
- 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.
Cited by:
- Stanislav Anatolyev, 2021. "Directional news impact curve," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 94-107, January.
- Kajal Lahiri & Liu Yang, 2015.
"A Non-linear Forecast Combination Procedure for Binary Outcomes,"
CESifo Working Paper Series
5175, CESifo.
- Lahiri Kajal & Yang Liu, 2016. "A non-linear forecast combination procedure for binary outcomes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 421-440, September.
- Lahiri, Kajal & Yang, Liu, 2013.
"Forecasting Binary Outcomes,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1025-1106,
Elsevier.
- Kajal Lahiri & Liu Yang, 2012. "Forecasting Binary Outcomes," Discussion Papers 12-09, University at Albany, SUNY, Department of Economics.
- Stanislav Anatolyev & Natalia Kryzhanovskaya, 2009.
"Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches,"
Working Papers
w0136, New Economic School (NES).
- Stanislav Anatolyev & Natalia Kryzhanovskaya, 2009. "Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches," Working Papers w0136, Center for Economic and Financial Research (CEFIR).
- Nyberg, Henri & Pönkä, Harri, 2016.
"International sign predictability of stock returns: The role of the United States,"
Economic Modelling, Elsevier, vol. 58(C), pages 323-338.
- Henri Nyberg & Harri Pönkä, 2015. "International Sign Predictability of Stock Returns: The Role of the United States," CREATES Research Papers 2015-20, Department of Economics and Business Economics, Aarhus University.
- Stanislav Anatolyev & Nikolay Gospodinov, 2015.
"Multivariate return decomposition: theory and implications,"
FRB Atlanta Working Paper
2015-7, Federal Reserve Bank of Atlanta.
- Stanislav Anatolyev & Nikolay Gospodinov, 2019. "Multivariate Return Decomposition: Theory and Implications," Econometric Reviews, Taylor & Francis Journals, vol. 38(5), pages 487-508, May.
- Stanislav Anatolyev, 2013. "Objects of nonstructural time series modeling (in Russian)," Quantile, Quantile, issue 11, pages 1-12, December.
- Kajal Lahiri & Liu Yang, 2023. "Predicting binary outcomes based on the pair-copula construction," Empirical Economics, Springer, vol. 64(6), pages 3089-3119, June.
- 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.
See citations under working paper version above.
- Stanislav Anatolyev, 2006. "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers w0071, New Economic School (NES).
- Stanislav Anatolyev, 2006. "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers w0071, Center for Economic and Financial Research (CEFIR).
- Anatolyev, Stanislav, 2009.
"Dynamic modeling under linear-exponential loss,"
Economic Modelling, Elsevier, vol. 26(1), pages 82-89, January.
See citations under working paper version above.
- Stanislav Anatolyev, 2006. "Dynamic modeling under linear-exponential loss," Working Papers w0092, Center for Economic and Financial Research (CEFIR).
- Stanislav Anatolyev, 2006. "Dynamic modeling under linear-exponential loss," Working Papers w0092, New Economic School (NES).
- 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.
Cited by:
- Delia-Elena Diaconaşu, 2015. "CENTRAL AND EASTERN EUROPEAN STOCK MARKETS IN TIMES OF CRISIS (International Conference "Recent Advances in Economic and Social Research", 13-14 mai 2015, București)," Institute for Economic Forecasting Conference Proceedings 151205, Institute for Economic Forecasting.
- Middleton, C.A.J. & Fifield, S.G.M. & Power, D.M., 2008. "An investigation of the benefits of portfolio investment in Central and Eastern European stock markets," Research in International Business and Finance, Elsevier, vol. 22(2), pages 162-174, June.
- Gelman, Sergey & Kliger, Doron, 2021. "The effect of time-induced stress on financial decision making in real markets: The case of traffic congestion," Journal of Economic Behavior & Organization, Elsevier, vol. 185(C), pages 814-841.
- Agata Lozinskaia & Anastasiia Saltykova, 2019. "Fundamental Factors Affecting The Moex Russia Index: Structural Break Detection In A Long-Term Time Series," HSE Working papers WP BRP 77/FE/2019, National Research University Higher School of Economics.
- Apergis, Nicholas & Artikis, Panagiotis & Sorros, John, 2011. "Asset pricing and foreign exchange risk," Research in International Business and Finance, Elsevier, vol. 25(3), pages 308-328, September.
- Alexander Muravyev, 2009. "Dual Class Stock in Russia: Explaining a Pricing Anomaly," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 45(2), pages 21-43, March.
- Manuel Hoffmann & Matthias Neuenkirch, 2015.
"The Pro-Russian Conflict and its Impact on Stock Returns in Russia and the Ukraine,"
Research Papers in Economics
2015-01, University of Trier, Department of Economics.
- Manuel Hoffmann & Matthias Neuenkirch, 2017. "The pro-Russian conflict and its impact on stock returns in Russia and the Ukraine," International Economics and Economic Policy, Springer, vol. 14(1), pages 61-73, January.
- Naresh, G. & Vasudevan, Gopala & Mahalakshmi, S. & Thiyagarajan, S., 2018. "Spillover effect of US dollar on the stock indices of BRICS," Research in International Business and Finance, Elsevier, vol. 44(C), pages 359-368.
- Samson, Lucie, 2013. "Asset prices and exchange risk: Empirical evidence from Canada," Research in International Business and Finance, Elsevier, vol. 28(C), pages 35-44.
- Oleg N. Salmanov & Natalia V. Babina & Marina V. Samoshkina & Irina P. Drachena & Irina P. Salmanova, 2020. "The Effects Of Volatility And Changes In Conditional Correlations In The Stock Markets Of Russia And Developed Countries," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 65(227), pages 67-94, October –.
- Babecký, Jan & Komárek, Lubos & Komárková, Zlatuse, 2012. "Integration of Chinese and Russian stock markets with world markets: National and sectoral Perspectives," BOFIT Discussion Papers 4/2012, Bank of Finland Institute for Emerging Economies (BOFIT).
- 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.
Cited by:
- Inoue, Atsushi & Jin, Lu & Rossi, Barbara, 2017.
"Rolling window selection for out-of-sample forecasting with time-varying parameters,"
Journal of Econometrics, Elsevier, vol. 196(1), pages 55-67.
- Atsushi Inoue & Lu Jin & Barbara Rossi, 2014. "Rolling window selection for out-of-sample forecasting with time-varying parameters," Economics Working Papers 1435, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 2016.
- Atsushi Inoue & Lu Jin & Barbara Rossi, 2014. "Rolling Window Selection for Out-of-Sample Forecasting with Time-Varying Parameters," Working Papers 768, Barcelona School of Economics.
- Inoue, Atsushi & Jin, Lu & Rossi, Barbara, 2017.
"Rolling window selection for out-of-sample forecasting with time-varying parameters,"
Journal of Econometrics, Elsevier, vol. 196(1), pages 55-67.
- Anatolyev, Stanislav, 2007.
"Redundancy Of Lagged Regressors Revisited,"
Econometric Theory, Cambridge University Press, vol. 23(2), pages 364-368, April.
Cited by:
- Jean-Pierre Florens & Marine Carrasco, 2004.
"On the Asymptotic Efficiency of GMM,"
Econometric Society 2004 North American Winter Meetings
436, Econometric Society.
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Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 86(2), pages 377-400, October.
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Empirical Economics, Springer, vol. 56(2), pages 399-422, February.
- Tsionas, Efthymios G. & Tran, Kien C. & Michaelides, Panayotis G., 2017. "Bayesian inference in threshold stochastic frontier models," LSE Research Online Documents on Economics 86848, London School of Economics and Political Science, LSE Library.
- Stanislav Anatolyev & Sergey Korepanov, 2003.
"The term structure of Russian interest rates,"
Applied Economics Letters, Taylor & Francis Journals, vol. 10(13), pages 867-870.
Cited by:
- Benjamin Tabak, 2009. "Testing the expectations hypothesis in the Brazilian term structure of interest rates: a cointegration analysis," Applied Economics, Taylor & Francis Journals, vol. 41(21), pages 2681-2689.
- Stanislav Anatolyev & Dmitry Shakin, 2006.
"Trade intensity in the Russian stock market:dynamics, distribution and determinants,"
Working Papers
w0070, Center for Economic and Financial Research (CEFIR).
- Stanislav Anatolyev & Dmitry Shakin, 2006. "Trade intensity in the Russian stock market:dynamics, distribution and determinants," Working Papers w0070, New Economic School (NES).
- Minoas Koukouritakis & Leo Michelis, 2008. "The term structure of interest rates in the 12 newest EU countries," Applied Economics, Taylor & Francis Journals, vol. 40(4), pages 479-490.
- 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.
Cited by:
- Stanislav Anatolyev, 2005.
"Optimal Instruments in Time Series: A Survey,"
Working Papers
w0069, Center for Economic and Financial Research (CEFIR).
- Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, New Economic School (NES).
- Stanislav Anatolyev, 2007. "Optimal Instruments In Time Series: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 21(1), pages 143-173, February.
- Stanislav Anatolyev, 2007. "Optimal instruments (in Russian)," Quantile, Quantile, issue 2, pages 61-69, March.
- Prosper Donovon & Alastair R. Hall, 2015. "GMM and Indirect Inference: An appraisal of their connections and new results on their properties under second order identification," Economics Discussion Paper Series 1505, Economics, The University of Manchester.
- Kenneth D. West & Ka-fu Wong & Stanislav Anatolyev, 2007.
"Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments,"
NBER Working Papers
13134, National Bureau of Economic Research, Inc.
- Kenneth D. West & Ka-fu Wong & Stanislav Anatolyev, 2007. "Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments," NBER Technical Working Papers 0338, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.
- Stanislav Anatolyev, 2005.
"Optimal Instruments in Time Series: A Survey,"
Working Papers
w0069, Center for Economic and Financial Research (CEFIR).
- 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.
Cited by:
- Stanislav Anatolyev, 2005.
"Optimal Instruments in Time Series: A Survey,"
Working Papers
w0069, Center for Economic and Financial Research (CEFIR).
- Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, New Economic School (NES).
- Stanislav Anatolyev, 2007. "Optimal Instruments In Time Series: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 21(1), pages 143-173, February.
- Stanislav Anatolyev, 2005.
"Optimal Instruments in Time Series: A Survey,"
Working Papers
w0069, Center for Economic and Financial Research (CEFIR).
- 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.
Cited by:
- Nadiia Davydenko & Natalia Wasilewska & Zoya Titenko & Mirosław Wasilewski, 2024. "Substantiation of the Risk Neutralization Mechanism in the Financial Security Management of Agricultural Enterprises," Sustainability, MDPI, vol. 16(3), pages 1-18, January.
- Rodríguez Fernández, Mercedes, 2015. "Company financial performance: Does board size matter? Case of the EUROSTOXX50 index," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
- Stanislav Anatolyev & Andrey Vasnev, 2002.
"Markov chain approximation in bootstrapping autoregressions,"
Economics Bulletin, AccessEcon, vol. 3(19), pages 1-8.
Cited by:
- Cerqueti, Roy & Falbo, Paolo & Guastaroba, Gianfranco & Pelizzari, Cristian, 2013. "A Tabu Search heuristic procedure in Markov chain bootstrapping," European Journal of Operational Research, Elsevier, vol. 227(2), pages 367-384.
- Roy Cerqueti & Paolo Falbo & Cristian Pelizzari & Federica Ricca & Andrea Scozzari, 2012. "A Mixed Integer Linear Programming Approach to Markov Chain Bootstrapping," Working Papers 67-2012, Macerata University, Department of Finance and Economic Sciences, revised Nov 2012.
- Roy Cerqueti & Paolo Falbo & Cristian Pelizzari & Federica Ricca & Andrea Scozzari, 2017. "A mixed integer linear program to compress transition probability matrices in Markov chain bootstrapping," Annals of Operations Research, Springer, vol. 248(1), pages 163-187, January.
- Cerqueti, Roy & Falbo, Paolo & Pelizzari, Cristian, 2017.
"Relevant states and memory in Markov chain bootstrapping and simulation,"
European Journal of Operational Research, Elsevier, vol. 256(1), pages 163-177.
- Cerqueti, Roy & Falbo, Paolo & Pelizzari, Cristian, 2013. "Relevant States and Memory in Markov Chain Bootstrapping and Simulation," MPRA Paper 46250, University Library of Munich, Germany.
- Anatolyev, Stanislav, 1999.
"Nonparametric estimation of nonlinear rational expectation models,"
Economics Letters, Elsevier, vol. 62(1), pages 1-6, January.
Cited by:
- Stanislav Anatolyev, 2005.
"Optimal Instruments in Time Series: A Survey,"
Working Papers
w0069, Center for Economic and Financial Research (CEFIR).
- Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, New Economic School (NES).
- Stanislav Anatolyev, 2007. "Optimal Instruments In Time Series: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 21(1), pages 143-173, February.
- Stanislav Anatolyev, 2005.
"Optimal Instruments in Time Series: A Survey,"
Working Papers
w0069, Center for Economic and Financial Research (CEFIR).
Software components
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