GMM, GEL, serial correlation, and asymptotic bias S Anatolyev Econometrica 73 (3), 983-1002, 2005 | 135 | 2005 |
A trading approach to testing for predictability S Anatolyev, A Gerko Journal of Business & Economic Statistics 23 (4), 455-461, 2005 | 89 | 2005 |
Modeling financial return dynamics via decomposition S Anatolyev, N Gospodinov Journal of Business & Economic Statistics 28 (2), 232-245, 2010 | 82 | 2010 |
An alternative to maximum likelihood based on spacings S Anatolyev, G Kosenok Econometric Theory 21 (2), 472-476, 2005 | 76 | 2005 |
Specification testing in models with many instruments S Anatolyev, N Gospodinov Econometric Theory 27 (2), 427-441, 2011 | 70 | 2011 |
A ten-year retrospection of the behavior of Russian stock returns S Anatolyev BOFIT Discussion Paper, 2005 | 55 | 2005 |
Inference in regression models with many regressors S Anatolyev Journal of Econometrics 170 (2), 368-382, 2012 | 54 | 2012 |
A 10-year retrospective on the determinants of Russian stock returns S Anatolyev Research in International Business and Finance 22 (1), 56-67, 2008 | 51 | 2008 |
Factor models with many assets: strong factors, weak factors, and the two-pass procedure S Anatolyev, A Mikusheva Journal of Econometrics 229 (1), 103-126, 2022 | 49 | 2022 |
Methods for estimation and inference in modern econometrics S Anatolyev, N Gospodinov CRC Press, 2011 | 35 | 2011 |
Asymptotics of diagonal elements of projection matrices under many instruments/regressors S Anatolyev, P Yaskov Econometric Theory 33 (3), 717-738, 2017 | 33 | 2017 |
Many instruments and/or regressors: A friendly guide S Anatolyev Journal of Economic Surveys 33 (2), 689-726, 2019 | 28 | 2019 |
Instrumental variables estimation and inference in the presence of many exogenous regressors S Anatolyev The Econometrics Journal 16 (1), 27-72, 2013 | 26 | 2013 |
Nonparametric retrospection and monitoring of predictability of financial returns S Anatolyev Journal of Business & Economic Statistics 27 (2), 149-160, 2009 | 25 | 2009 |
Instrumental variables estimation of heteroskedastic linear models using all lags of instruments KD West, K Wong, S Anatolyev Econometric Reviews 28 (5), 441-467, 2009 | 25 | 2009 |
Uncovering the skewness news impact curve S Anatolyev, A Petukhov Journal of Financial Econometrics 14 (4), 746-771, 2016 | 24 | 2016 |
Trade intensity in the Russian stock market: dynamics, distribution and determinants S Anatolyev, D Shakin Applied Financial Economics 17 (2), 87-104, 2007 | 24 | 2007 |
Modeling and forecasting realized covariance matrices with accounting for leverage S Anatolyev, N Kobotaev Econometric Reviews 37 (2), 114-139, 2018 | 22 | 2018 |
Multi-market direction-of-change modeling using dependence ratios S Anatolyev Studies in Nonlinear Dynamics & Econometrics 13 (1), 2009 | 19 | 2009 |
Markov chain approximation in bootstrapping autoregressions S Anatolyev, A Vasnev Economics Bulletin 3 (19), 1-8, 2002 | 18 | 2002 |