← All authors Stanislav Anatolyev New Economic School (from arXiv:1807.04094, 2018) · ORCID · OpenAlex
61 papers in scope · 60 published · 2 on the econ.EM arXiv · 772 citations · h-index 14 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Wenjie Wang Lingwei Kong Dennis Lim Mikkel Sølvsten Yichong Zhang Pengjin Min Ron Smith Anna Mikusheva Sombut Jaidee Qu Feng Mikkel S olvsten Raffaele Saggio Michal Kolesár M. Hashem Pesaran Marko Mlikota Patrick Kline Sebastian T. Roelsgaard Peter Hull Luther Yap Weiguang Liu Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (3 of 61)
AIC for many-regressor heteroskedastic regressions
published 2026 · Journal of Econometrics
Many covariate and cluster robust estimation and inference
published 2026 · Econometric Reviews
with C Ng
Ridging out many covariates
published 2025 · Communication in Statistics-Theory and Methods
Off-diagonal elements of projection matrices and dimension asymptotics
published 2024 · Economics Letters
with M. A. Smirnov
published 2023 · Journal of Econometrics · 5 citations
Do Mistakes Provoke New Mistakes? Evidence From Chess
published 2023 · IEEE Transactions on Games · 1 citations
with Akash Adhikari, Dmitry Dagaev
Copula shrinkage and portfolio allocation in ultra-high dimensions
published 2022 · Journal of Economic Dynamics and Control · 6 citations
with Vladimir Pyrlik
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
published 2022 · Studies in Nonlinear Dynamics and Econometrics · 1 citations
with Filip Staněk
How does the financial market update beliefs about the real economy? Evidence from the oil market
published 2021 · Journal of Applied Econometrics · 1 citations
Mallows criterion for heteroskedastic linear regressions with many regressors
published 2021 · Economics Letters · 2 citations
published 2021 · Journal of Econometrics · 21 citations · first circulated 2018
A ridge to homogeneity for linear models
published 2020 · Journal of Statistical Computation and Simulation · 5 citations
Directional news impact curve
published 2020 · Journal of Forecasting · 1 citations
Many instruments: Implementation in Stata
published 2019 · The Stata Journal Promoting communications on statistics and Stata · 4 citations
with Alena Skolkova
Forecasting dynamic return distributions based on ordered binary choice
published 2019 · International Journal of Forecasting · 11 citations · first circulated 2017
Volatility filtering in estimation of kurtosis (and variance)
published 2019 · Dependence Modeling · 8 citations
MANY INSTRUMENTS AND/OR REGRESSORS: A FRIENDLY GUIDE
published 2018 · Journal of Economic Surveys · 24 citations
working paper 2018 · arXiv
Almost unbiased variance estimation in linear regressions with many covariates
published 2018 · Economics Letters · 5 citations
Testing for a Functional Form of Mean Regression in a Fully Parametric Environment
published 2018 · Journal of Econometric Methods
Sequential Testing with Uniformly Distributed Size
published 2018 · Journal of Time Series Econometrics · 8 citations · first circulated 2008
with Grigory Kosenok
Multivariate Return Decomposition: Theory and Implications
published 2017 · Econometric Reviews · 1 citations
with Nikolay Gospodinov
Foreign exchange predictability and the carry trade: A decomposition approach
published 2017 · Journal of Empirical Finance · 16 citations
ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS
published 2016 · Econometric Theory · 29 citations
with Pavel Yaskov
Uncovering the Skewness News Impact Curve
published 2016 · Journal of Financial Econometrics · 18 citations
with Anton Petukhov
Right on Target, or Is it? The Role of Distributional Shape in Variance Targeting
published 2015 · Econometrics · 2 citations
with Stanislav Khrapov
Missing mean does no harm to volatility!
published 2015 · Economics Letters · 1 citations
with Irina Tarasyuk
Modeling and forecasting realized covariance matrices with accounting for leverage
published 2015 · Econometric Reviews · 24 citations
with Nikita Kobotaev
An algorithm for constructing high dimensional distributions from distributions of lower dimension
published 2014 · Economics Letters · 7 citations
Asymptotic variance under many instruments: Numerical computations
published 2012 · Economics Letters · 2 citations
with Albert Abutaliev
Instrumental variables estimation and inference in the presence of many exogenous regressors
published 2012 · Econometrics Journal · 27 citations
Inference in regression models with many regressors
published 2012 · Journal of Econometrics · 8 citations · first circulated 2009
ANOTHER NUMERICAL METHOD OF FINDING CRITICAL VALUES FOR THE ANDREWS STABILITY TEST
published 2011 · Econometric Theory · 4 citations
with Grigory Kosenok
SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS
published 2010 · Econometric Theory · 6 citations
with Nikolay Gospodinov
Modeling Financial Return Dynamics via Decomposition
published 2010 · Journal of Business and Economic Statistics · 71 citations · first circulated 2007
with Nikolay Gospodinov
Tests in contingency tables as regression tests
published 2009 · Economics Letters · 3 citations · first circulated 2006
with Grigory Kosenok
Nonparametric Retrospection and Monitoring of Predictability of Financial Returns
published 2009 · Journal of Business and Economic Statistics · 15 citations · first circulated 2006
Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
published 2009 · Econometric Reviews · 17 citations · first circulated 2007
with Kenneth D. West, Wong Ka-Fu
Multi-Market Direction-of-Change Modeling Using Dependence Ratios
published 2009 · Studies in Nonlinear Dynamics and Econometrics · 11 citations
Robustness of residual-based bootstrap to the composition of serially correlated errors
published 2008 · Journal of Statistical Computation and Simulation · 2 citations
Dynamic modeling under linear-exponential loss
published 2008 · Economic Modelling · 3 citations · first circulated 2006
Method-of-moments estimation and choice of instruments: Numerical computations
published 2008 · Economics Letters · 1 citations
REDUNDANCY OF LAGGED REGRESSORS REVISITED
published 2007 · Econometric Theory · 2 citations
OPTIMAL INSTRUMENTS IN TIME SERIES: A SURVEY
published 2007 · Journal of Economic Surveys · 10 citations · first circulated 2005
A 10-year retrospective on the determinants of Russian stock returns
published 2007 · Research in International Business and Finance · 23 citations
Using all observations when forecasting under structural breaks
published 2007 · Finnish economic papers · 4 citations
with Victor Kitov
no link
Trade intensity in the Russian stock market: dynamics, distribution and determinants
published 2006 · Applied Financial Economics · 14 citations
with Dmitry Shakin
Kernel estimation under linear-exponential loss
published 2006 · Economics Letters · 4 citations
A Trading Approach to Testing for Predictability
published 2005 · Journal of Business and Economic Statistics · 78 citations
with Alexander Gerko
GMM, GEL, Serial Correlation, and Asymptotic Bias
published 2005 · Econometrica · 101 citations
AN ALTERNATIVE TO MAXIMUM LIKELIHOOD BASED ON SPACINGS
published 2005 · Econometric Theory · 113 citations
with Grigory Kosenok
Inference when a nuisance parameter is weakly identified under the null hypothesis
published 2004 · Economics Letters · 5 citations
02.6.2. Autoregression and Redundant Instruments—Solution
published 2003 · Econometric Theory
The term structure of Russian interest rates
published 2003 · Applied Economics Letters · 5 citations
with S. Korepanov
02.5.2. Durbin–Watson Statistic and Random Individual Effects
published 2003 · Econometric Theory · 5 citations
THE FORM OF THE OPTIMAL NONLINEAR INSTRUMENT FOR MULTIPERIOD CONDITIONAL MOMENT RESTRICTIONS
published 2003 · Econometric Theory · 13 citations
03.1.2. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression
published 2003 · Econometric Theory · 3 citations
Approximately Optimal Instrument for Multiperiod Conditional Moment Restrictions
published 2003 · Acta chirurgiae orthopaedicae et traumatologiae Cechoslovaca · 5 citations
no link
Autoregression and Redundant Instruments
published 2003 · Econometric Theory · 1 citations
no link
Markov chain approximation in bootstrapping autoregressions
published 2002 · Economics bulletin · 11 citations
no link
Nonparametric estimation of nonlinear rational expectation models
published 1999 · Economics Letters · 4 citations
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