CERGE-EI
Politickych veznu 7, office 316
Prague 1, Czech Republic, 111 21
Phone: +420-224 005 229
E-mail: stanislav.anatolyev (at) cerge-ei.cz
Web: www.cerge-ei.cz/people/stanislav-anatolyev
New Economic School
3 Nobel Street, office 340
Moscow, Russia, 121205
Phone: +7 495 956-9508 ext 233
E-mail: sanatoly (at) nes.ru
Web: pages.nes.ru/sanatoly
Associate Professor (tenured), CERGE-EI, Prague, 2016-present
Full Professor, New Economic School, Moscow, 2009-present
Associate Professor (tenured), New Economic School, Moscow, 2007-2008
Assistant Professor (tenure track), New Economic School, Moscow, 2000-2006
Fernand Braudel Senior Fellow, European University Institute, Florence, Italy, November 2013-May 2014
Researcher, Bank of Finland Institute for Economies in Transition (BOFIT), Helsinki, Finland, January-April 2005
Visiting lecturer, New Economic School, Moscow, May-June 1998, May-June 1999
University of Wisconsin-Madison, Ph.D., Economics, 2000
University of Wisconsin-Madison, M.Sc., Economics, 1997
New Economic School, Moscow, M.A., Economics, cum laude, 1995
Moscow Physico-Technical Institute, Diploma, Applied Mathematics, 1992
Many instruments, many regressors, optimal instruments, empirical likelihood, weak identification, large factor models
Return prediction, directional forecasting, ARCH models, volatility, sequential testing, higher order moments, copulas, asymmetric loss, conditional density
ORCID number: 0000-0002-2560-0200
Web of Science Researcher ID: V-9122-2017
Web of Science/Scopus/Google Scholar: citations: 396/450/1200, h-index: 10/11/18
Stanislav Anatolyev and Nikolay Gospodinov. Methods for Estimation and Inference in Modern Econometrics. CRC Press, Taylor & Francis. June 06, 2011. 234 pages. ISBN: 9781439838242, ISBN 10: 1439838240
Anatolyev, Stanislav and Sølvsten, Mikkel (2023) "Testing many restrictions under heteroskedasticity", Journal of Econometrics, vol. 236, no. 1, pp. 105473
Adhikari, Akash, Anatolyev, Stanislav, and Dagaev, Dmitry (2023) "Do mistakes provoke new mistakes? Evidence from chess", IEEE Transactions on Games, accepted for publication
Anatolyev, Stanislav and Staněk, Filip (2023) "Unrestricted, restricted and regularized models for multivariate volatility", Studies in Nonlinear Dynamics & Econometrics, vol. 27, no. 2, pp. 199-218
Anatolyev, Stanislav and Pyrlik, Vladimir (2022) "Copula shrinkage and portfolio allocation in ultra-high dimensions", Journal of Economic Dynamics and Control, vol. 143, pp. 104508
Anatolyev, Stanislav and Mikusheva, Anna (2022) "Factor models with many assets: strong factors, weak factors, and the two-pass procedure", Journal of Econometrics, vol. 229, no. 1, pp. 103-126
Anatolyev, Stanislav, Seleznev, Sergei, and Selezneva, Veronika (2021) "How does the financial market update beliefs about the real economy? Evidence from the oil market", Journal of Applied Econometrics, vol. 36, no. 7, pp. 938-961
Anatolyev, Stanislav and Mikusheva, Anna (2021) "Limit theorems for factor models", Econometric Theory, vol. 37, no. 5, pp. 1034-1074
Anatolyev, Stanislav (2021) "Mallows criterion for heteroskedastic linear regressions with many regressors", Economics Letters, vol. 203, pp. 109864
Anatolyev, Stanislav (2021) "Directional news impact curve", Journal of Forecasting, vol. 40, no. 1, pp. 94-107
Anatolyev, Stanislav (2020) "A ridge to homogeneity for linear models", Journal of Statistical Computation and Simulation, vol. 90, no. 13, pp. 2455-2472
Anatolyev, Stanislav and Skolkova, Alena (2019) "Many instruments: implementation in Stata", Stata Journal, vol. 19, no. 4, pp. 849-866
Anatolyev, Stanislav and Gospodinov, Nikolay (2019) "Multivariate return decomposition: theory and implications", Econometric Reviews, vol. 38, no. 5, pp. 487-508
Anatolyev, Stanislav and Baruník, Jozef (2019) "Forecasting dynamic return distributions based on ordered binary choice", International Journal of Forecasting, vol. 35, no. 3, pp. 823-835
Anatolyev, Stanislav (2019) "Many instruments and/or regressors: a friendly guide", Journal of Economic Surveys, vol. 33, no. 2, pp. 689-726
Anatolyev, Stanislav (2019) "Volatility filtering in estimation of kurtosis (and variance)", Dependence Modeling, vol. 7, no. 1, pp. 1-23
Anatolyev, Stanislav (2018) "Testing for a functional form of mean regression in a fully parametric environment", Journal of Econometric Methods, vol. 8, no. 1, 1-20
Anatolyev, Stanislav (2018) "Almost unbiased variance estimation in linear regressions with many covariates", Economics Letters, vol. 169, pp. 20-23
Anatolyev, Stanislav and Kosenok, Grigory (2018) "Sequential testing with uniformly distributed size", Journal of Time Series Econometrics, vol. 10, no. 2, pp. 1-22
Anatolyev, Stanislav and Kobotaev, Nikita (2018) "Modeling and forecasting realized covariance matrices with accounting for leverage", Econometric Reviews, vol. 37, no. 2, pp. 114-139
Anatolyev, Stanislav and Yaskov, Pavel (2017) "Asymptotics of diagonal elements of projection matrices under many instruments/regressors", Econometric Theory, vol. 33, no. 3, pp. 717-738
Anatolyev, Stanislav, Gospodinov, Nikolay, Jamali, Ibrahim, and Liu, Xiaochun (2017) "Foreign exchange predictability and the carry trade: a decomposition approach", Journal of Empirical Finance, vol. 42, pp. 199-211
Anatolyev, Stanislav and Petukhov, Anton (2016) "Uncovering the skewness news impact curve", Journal of Financial Econometrics, vol. 14, no. 4, pp. 746-771
Anatolyev, Stanislav and Tarasyuk, Irina (2015) "Missing mean does no harm to volatility!", Economics Letters, vol. 134, pp. 62-64
Anatolyev, Stanislav and Khrapov, Stanislav (2015) "Right on target, or is it? The role of distributional shape in variance targeting", Econometrics, vol. 3, no. 3, pp. 610-632
Anatolyev, Stanislav, Khabibullin, Renat, and Prokhorov, Artem (2014) "An algorithm for constructing high dimensional distributions from distributions of lower dimension", Economics Letters, vol. 123, no. 3, pp. 257-261
Anatolyev, Stanislav (2013) "Instrumental variables estimation and inference in the presence of many exogenous regressors", Econometrics Journal, vol. 16, no. 1, pp. 27-72
Abutaliev, Albert and Anatolyev, Stanislav (2013) "Asymptotic variance under many instruments: numerical computations", Economics Letters, vol. 118, no. 2, pp. 272-274
Anatolyev, Stanislav (2012) "Inference in regression models with many regressors", Journal of Econometrics, vol. 170, no. 2, pp. 368-382
Anatolyev, Stanislav and Kosenok, Grigory (2011) "Another numerical method of finding critical values for the Andrews stability test", Econometric Theory, vol. 28, no. 1, pp. 239-246
Anatolyev, Stanislav and Gospodinov, Nikolay (2011) "Specification testing in models with many instruments", Econometric Theory, vol. 27, no. 2, pp. 427-441
Anatolyev, Stanislav and Gospodinov, Nikolay (2010) "Modeling financial return dynamics via decomposition", Journal of Business & Economic Statistics, vol. 28, no. 2, pp. 232-245
Anatolyev, Stanislav and Kosenok, Grigory (2010) "Tests in contingency tables as regression tests", Economics Letters, vol. 105, pp. 189-192
Anatolyev, Stanislav (2009) "Nonparametric retrospection and monitoring of predictability of financial returns", Journal of Business & Economic Statistics, vol. 27, no. 2, pp. 149-160
Anatolyev, Stanislav (2009) "Multi-market direction-of-change modeling using dependence ratios", Studies in Nonlinear Dynamics & Econometrics, vol. 13, issue 1, article 5
West, Kenneth D., Wong, Ka-fu and Anatolyev, Stanislav (2009) "Instrumental variables estimation of heteroskedastic linear models using all lags of instruments", Econometric Reviews, vol. 28, no. 5, pp. 441-467
Anatolyev, Stanislav (2009) "Robustness of residual-based bootstrap to composition of serially correlated errors", Journal of Statistical Computation and Simulation, vol. 79, no. 3, pp. 315-320
Anatolyev, Stanislav (2009) "Dynamic modeling under linear-exponential loss", Economic Modelling, vol. 26, no. 1, pp. 82-89
Anatolyev, Stanislav (2008) "Method-of-moments estimation and choice of instruments: numerical computations", Economics Letters, vol. 100, no. 2, pp. 217-220
Anatolyev, Stanislav (2008) "A 10-year retrospective on the determinants of Russian stock returns", Research in International Business and Finance, vol. 22, no. 1, pp. 56-67
Anatolyev, Stanislav and Kitov, Victor (2007) "Using all observations when forecasting under structural breaks", Finnish Economic Papers, vol. 20, no. 2, pp. 166-176
Anatolyev, Stanislav (2007) "Redundancy of lagged regressors revisited", Econometric Theory, vol. 23, no. 2, pp. 364-368
Anatolyev, Stanislav (2007) "Optimal instruments in time series: a survey", Journal of Economic Surveys, vol. 21, no. 1, pp. 143-173
Anatolyev, Stanislav and Shakin, Dmitry (2007) "Trade intensity in the Russian stock market: dynamics, distribution and determinants", Applied Financial Economics, vol. 17, no. 2, pp. 87-104
Anatolyev, Stanislav (2006) "Kernel estimation under linear-exponential loss", Economics Letters, vol. 91, no. 1, pp. 39-43
Anatolyev, Stanislav (2005) "GMM, GEL, serial correlation and asymptotic bias", Econometrica, vol. 73, no. 3, pp. 983-1002
Anatolyev, Stanislav and Gerko, Alexander (2005) "A trading approach to testing for predictability", Journal of Business & Economic Statistics, vol. 23, no. 4, pp. 455-461
Anatolyev, Stanislav and Kosenok, Grigory (2005) "An alternative to maximum likelihood based on spacings", Econometric Theory, vol. 21, no. 2, pp. 472-476
Anatolyev, Stanislav (2004) "Inference when a nuisance parameter is weakly identified under the null hypothesis", Economics Letters, vol. 84, no. 2, pp. 245-254
Anatolyev, Stanislav (2003) "The form of the optimal nonlinear instrument for multiperiod conditional moment restrictions", Econometric Theory, vol. 19, no. 4, pp. 602-609
Anatolyev, Stanislav and Korepanov, Sergey (2003) "The term structure of Russian interest rates", Applied Economics Letters, vol. 10, no. 13, pp. 867-870
Anatolyev, Stanislav (2003) "Redundancy of lagged regressors in a conditionally heteroskedastic time series regression", Econometric Theory, vol. 19, no. 1, Problem 03.1.2, pp. 225-226
Anatolyev, Stanislav (2002, 2003) "Autoregression and redundant instruments", Econometric Theory, vol. 18, no. 6, Problem 02.6.2, p. 1461; vol. 19, no. 6, Solution 02.6.2, pp. 1197-1198
Anatolyev, Stanislav (2002, 2003) "Durbin-Watson statistic and random individual effects", Econometric Theory, vol. 18, no. 5, Problem 02.5.1, pp. 1273-1274; vol. 19, no. 5, Solution 02.5.2, pp. 882-883
Anatolyev, Stanislav and Vasnev, Andrey (2002) "Markov chain approximation in bootstrapping autoregressions", Economics Bulletin, vol. 3, no. 19, pp. 1-8
Anatolyev, Stanislav (2001, 2002) "Conditional and unconditional correlatedness and heteroskedasticity", Econometric Theory, vol. 17, no. 3, Problem 01.3.2, p. 669; vol. 18, no. 3, Solution 01.3.2, pp. 820-821
Anatolyev, Stanislav (2001) "Serial correlation and asymptotic variance", Econometric Theory, vol. 17, no. 5, Problem 01.5.3, p. 1026
Anatolyev, Stanislav (1999) "Nonparametric estimation of nonlinear rational expectations models", Economics Letters, vol. 62, no. 1, pp. 1-6
Anatolyev, Stanislav (2022) "MEM or/and LogARMA: which model for realized volatility?", chapter in: Ngoc Thach, N., Kreinovich, V., Ha, D.T., Trung, N.D. (eds.), Financial Econometrics: Bayesian Analysis, Quantum Uncertainty, and Related Topics, Studies in Systems, Decision and Control, vol. 427, Springer, Cham
Anatolyev, Stanislav, Khabibullin, Renat, and Prokhorov, Artem (2018) "Estimating asymmetric dynamic distributions in high dimensions", chapter 8 in: Alcock, Jamie and Satchell, Stephen (eds.), Asymmetric Dependence in Finance: Diversification, Correlation and Portfolio Management in Market Downturns, John Wiley & Sons, pp. 169-197
Anatolyev, Stanislav (2019) "Basics of quasi- and pseudo-likelihood theories", Quantile, no. 14, pp. 45-52
Anatolyev, Stanislav and Stanislav Khrapov (2019) "Do spatial structures yield better volatility forecasts?", Quantile, no. 14, pp. 63-81
Anatolyev, Stanislav (2013) "Objects of nonstructural time series modeling", Quantile, no. 11, pp. 1-11
Anatolyev, Stanislav and Nikolay Gospodinov (2012) "Asymptotics of near unit roots", Quantile, no. 10, pp. 57-71
Anatolyev, Stanislav (2009) "Nonparametric regression", Quantile, no. 7, pp. 37-52
Anatolyev, Stanislav and Alexander Tsyplakov (2009) "Where to find data on the Web?", Quantile, no. 6, pp. 59-71
Anatolyev, Stanislav (2008) "Review of English textbooks in time series analysis", Quantile, no. 5, pp. 49-55
Anatolyev, Stanislav (2008) "Making econometric reports", Quantile, no. 4, pp. 71-78
Anatolyev, Stanislav (2007) "The basics of bootstrapping", Quantile, no. 3, pp. 1-12
Anatolyev, Stanislav (2007) "Review of English textbooks in econometrics", Quantile, no. 3, pp. 73-82
Anatolyev, Stanislav (2007) "Optimal instruments", Quantile, no. 2, pp. 61-69
Anatolyev, Stanislav (2006) "Testing for pedictability", Quantile, no. 1, pp. 39-44
Anatolyev, Stanislav (2005) "Asymptotic approximations in modern econometrics", Ekonomika i Matematicheskie Metody, vol. 41, no. 2, pp. 84-94
"Many instruments under data clustering", with Maksim Smirnov
"Nonparametric regression with clustered observations"
"Leave-cluster-out and variance estimation"
"Does index arbitrage distort market reaction to shocks?", with Sergei Seleznev and Veronika Selezneva
"Intermediate and advanced econometrics: problems and solutions", New Economic School, first edition, 2002; second edition, 2005; third edition, 2009
"Lecture notes: advanced econometrics" (in Russian), New Economic School, 2003
"Lecture notes: intermediate econometrics" (in Russian), New Economic School, 2002, second edition, 2003
Massachusetts Institute of Technology, Cambridge, July 1-17, 2019
Pontificia Universidad Catolica de Valparaiso, Chile, January 6-26, 2016
University of Sydney School of Economics, Sydney, Australia, September 28-October 21, 2014
Centre Interuniversitaire de Recherche d'Economie Quantitatif (CIREQ), Montreal, Canada, August 1-21, 2010; November 10-24, 2007; April 18-29, 2006; October 24-30, 2003
Monash University, Melbourne, Australia, March 19-26, 2010
Queensland University of Technology, Brisbane, Australia, March 3-April 9, 2010
Humboldt Universitat zu Berlin, School of Business and Economics, Berlin, Germany, March 19-25, 2008
University of Helsinki and HECER, Helsinki, Finland, October 19-22, 2008; March 19-31, 2007
Central Bank of Sweden (Riksbank), Stockholm, Sweden, March 7-9, 2005
17th International Conference on Computational and Financial Econometrics, HTW Berlin, Germany, December 16-18, 2023
64th Annual Conference of Italian Economic Association, L'Aquila, Italy, October 19-21, 2023
34th European Meeting of Statisticians 2023, University of Warsaw, Poland, July 3-7, 2023
Workshop on Econometric Theory and Applications (on instrumental variables and causal inference), Siena, Italy, June 22-23, 2023
10th Italian Congress of Econometrics and Empirical Economics, Cagliari, Italy, May 26-28, 2023
NES30 academic conference in memory of Gur Ofer, New Economic School, online, December 5-10, 2022
63rd Annual Conference of Italian Economic Association, Torino, Italy, October 20-22, 2022
11th Nordic Econometric Meeting, Sandbjerg Manor, Denmark, September 11-13, 2022
Econometric Society European meeting, Universita Bocconi, Milan, Italy, August 22-26, 2022
European Economic Association annual congress, Universita Bocconi, Milan, Italy, August 22-26, 2022
International Conference on Trends and Perspectives in Linear Statistical Inference 2022, Tomar, Portugal, July 4-8, 2022
22nd Annual Conference of European Network for Business and Industrial Statistics, Trondheim, Norway, June 26-30, 2022
International Symposium on Nonparametric Statistics 2022, Paphos, Cyprus, June 20-24, 2022
27th International Panel Data Conference, Bertinoro, Italy, June 16-19, 2022
3rd Italian Meeting on Probability and Mathematical Statistics, Bologna, Italy, June 13-16, 2022
11th Conference in Actuarial Science & Finance on Samos, Karlovasi, Greece, May 25-29, 2022
6th International Conference on Applied Theory, Macro and Empirical Finance, University of Macedonia, Thessaloniki, Greece, April 18-19, 2022
6th Conference of Deutsche Arbeitsgemeinschaft Statistik, Universitatsklinikum Hamburg-Eppendorf, Hamburg, Germany, March 28-April 1, 2022
3rd Italian Workshop of Econometrics and Empirical Economics: "High-dimensional and multivariate econometrics: theory and practice", Rimini, Italy, January 20-21, 2022
5th Econometric Conference of Vietnam "Prediction and causality in econometrics and related topics", virtual, January 10-12, 2022
XLIX New Economic School research conference, hybrid, November 18-19, 2021
XXXIX International Scientific Conference Multivariate Statistical Analysis 2021, Łódź, Poland, November 8-10, 2021
42nd annual meeting of Association of Southern-European Economic Theorists, Marseille, France, October 20-22, 2021
International Conference on Trends and Perspectives in Linear Statistical Inference 2021, Będlewo, Poland, August 30-September 3, 2021
7th International Conference on Time Series and Forecasting, Gran Canaria, Spain, July 19-21, 2021
41st International Symposium on Forecasting 2021, virtual, June 27-30, 2021
28th Nordic Conference in Mathematical Statistics, Tromsø, Norway, hybrid, June 21-24, 2021
5th International Workshop in Financial Markets and Nonlinear Dynamics, Aix-Marseille University and University of Lille, virtual, June 3-4, 2021
XIt Workshop in Time Series Econometrics, Universidad Zaragoza, virtual, April 15-16, 2021
9th Italian Congress of Econometrics and Empirical Economics, virtual, January 21-23, 2021
Slovak Economic Association 2020 Christmas Workshop, virtual, December 18-19, 2020
XLVII New Economic School research conference, virtual, November 19-20, 2020
6th International Symposium in Computational Economics and Finance, Society for Computational Economics and INSEEC, Paris, France, October 29-30, 2020
40th International Symposium on Forecasting 2020, virtual, October 26-28, 2020
Bernoulli-IMS One World Symposium 2020, virtual, August 24-28, 2020
12th Econometric Society World Congress, Bocconi University-virtual, August 17-21, 2020
XLV New Economic School research conference, Moscow, November 7-8, 2019
Czech Economic Society and Slovak Economic Association Meeting, Brno, September 11-13, 2019
10th Nordic Econometric Meeting, Stockholm School of Economics, Sweden, May 22-26, 2019
5th Conference of Deutsche Arbeitsgemeinschaft Statistik, Ludwdig-Maximilians-Universitat Munich, Germany, March 18-22, 2019
12th International Conference on Computational and Financial Econometrics, Universita di Pisa, Italy, December 14-16, 2018
XLII New Economic School research conference, Moscow, November 29-30, 2018
Workshop on Financial Econometrics, Orebro University, Orebro, Sweden, November 7-8, 2018
Econometric Society European meeting, Universitat zu Koln, Cologne, Germany, August 27-31, 2018
Workshop "Model selection, regularization, and inference", University of Vienna, Vienna, Austria, July 12-14, 2018
5th International Symposium in Computational Economics and Finance, Society for Computational Economics, Paris, France, April 12-14, 2018
4th International Conference on Applied Theory, Macro and Empirical Finance, University of Macedonia, Thessaloniki, Greece, April 2-3, 2018
Econometric Society European meeting, Universidade de Lisboa, Portugal, August 21-25, 2017
European Economic Association annual congress, Universidade de Lisboa, Portugal, August 21-25, 2017
31st European Meeting of Statisticians 2017, University of Helsinki, Finland, July 24-28, 2017
3rd Vienna Workshop on high-dimensional time series in macroeconomics and finance 2017, Institute for Advanced Studies, Vienna, Austria, June 8-9, 2017
XXXIX New Economic School research conference, Moscow, April 13-14, 2017 (keynote talk)
10th International Conference on Computational and Financial Econometrics, University of Seville, Spain, December 9-11, 2016
9th Biennial Conference of Czech Economic Society, Prague, Czech Republic, November 26, 2016
Econometric Society European meeting, Universite de Geneve, Switzerland, August 22-26, 2016
European Economic Association annual congress, Universite de Geneve, Switzerland, August 22-26, 2016
3rd Annual Conference of International Association for Applied Econometrics, University of Milano-Bicocca, Milan, Italy, June 22-25, 2016
XXXVI New Economic School research conference, Moscow, November 26-27, 2015
European Economic Association annual congress, University of Mannheim, Germany, August 24-27, 2015
2nd Annual Conference of International Association for Applied Econometrics, University of Macedonia, Thessaloniki, Greece, June 25-27, 2015
2nd International Workshop in Financial Markets and Nonlinear Dynamics, ESSCA, Paris, June 4-5, 2015
Research conference "Modern econometric tools and applications", Higher School of Economics, Nizhny Novgorod, September 18-20, 2014 (invited talk "Many instruments and regressors")
XXXIII New Economic School research conference, Moscow, October 11-12, 2013
Research workshop "Achievements and Prospects of Econometric Studies in Russia", Kazan Federal University, Kazan, July 23, 2013
Econometric Society European meeting, University of Oslo, Norway, August 25-29, 2011
New Economic School retreat, Ventspils, Latvia, May 6-9, 2011
XXVIII New Economic School research conference, Moscow, November 11-13, 2010
XXVI New Economic School research conference, Moscow, November 12-14, 2009
XXIV New Economic School research conference, Moscow, November 6-8, 2008
2008 North American Winter Meeting of Econometric Society, New Orleans, Louisiana, January 4-6, 2008
CIREQ conference on GMM, Montreal, Canada, November 16-17, 2007
XXII New Economic School research conference, Moscow, November 8-10, 2007
2007 North American Summer Meeting of Econometric Society, Duke University, Durham, June 21-24, 2007
XX New Economic School research conference, Moscow, November 9-11, 2006
Econometric Society European meeting, University of Vienna, Austria, August 24-28, 2006
European Economic Association annual congress, University of Vienna, Austria, August 24-28, 2006
2006 North American Summer Meeting of Econometric Society, University of Minnesota, Minneapolis, June 22-25, 2006
XVIII New Economic School research conference, Moscow, November 3-5, 2005
9th Econometric Society World Congress, London, UK, August 18-25, 2005
XVI New Economic School research conference, Moscow, October 14-16, 2004
Econometric Society European meeting, University Carlos III-Madrid, Leganés, Spain, August 19-24, 2004
XIV New Economic School research conference, Moscow, October 9-11, 2003
European Economic Association annual congress, Stockholm University, Sweden, August 20-24, 2003
North American summer meeting of the Econometric Society, Kellogg School of Management, Northwestern University, June 26-29, 2003
VIII Spring Meeting of young economists, Catholic University of Leuven, Belgium, April 3-5, 2003
New Economic School Anniversary conference, Moscow, December 19-21, 2002
XII New Economic School research conference, Moscow, October 3-5, 2002
Econometric Study Group annual conference, University of Bristol, United Kingdom, July 18-20, 2002
VII Spring Meeting of young economists, University of Paris 1 Pantheon-Sorbonne, France, April 18-20, 2002
X New Economic School research conference, Moscow, November 1-3, 2001
North American summer meeting of the Econometric Society, University of Maryland, College Park, June 21-24, 2001
2023: Center for Econometrics and Business Analytics, St.Petersburg State University, Russia (virtual)
2020: Center for Econometrics and Business Analytics, St.Petersburg State University, Russia (virtual)
2019: CEMFI, Spain; ICEF HSE, Russia
2018: Max-Planck-Institut fur Sozialrecht und Sozialpolitik, Germany; Charles University Department of Probability and Mathematical Statistics, Czech Republic
2017: Stanford University, USA; University of California-Los Angeles, USA; University of California-Davis, USA; University of Southern California, USA
2016: Universidad de Alicante, Spain; Higher School of Economics and European University at St. Petersburg, Russia; University of Hong Kong, Hong Kong; Pontificia Universidad Catolica de Valparaiso, Chile; Universidad Adolfo Ibanez, Santiago, Chile
2015: CERGE-EI, Czech Republic
2014: University of Sydney, Australia (twice); University of New South Wales, Australia; European University Institute, Italy; Einaudi Institute for Economics and Finance, Italy; Universita Ca' Foscari Venezia, Italy; Universita di Padova, Italy
2013: CREST, France; PreMoLab, Institute for Information Transmission Problems RAS, Moscow
2011: Oxford University, Nuffield College, UK; University of Exeter, UK; University of Glasgow, UK; London School of Economics, UK; University College London, UK; GREQAM, France; Tilburg University, Netherlands; Tinbergen Institute, Netherlands; Koc University, Turkey; University of Zurich, Switzerland
2010: University of Adelaide, Australia; University of New South Wales, Australia; Monash University, Australia; Queensland University of Technology, Australia; Erasmus University Rotterdam, Netherlands; University of Groningen, Netherlands; Lund University, Sweden
2009: CERGE-EI, Czech Republic; University of Copenhagen, Denmark; Tinbergen Institute Amsterdam, Netherlands; ECARES, Universite Libre de Bruxelles, Belgium; Catholic University of Leuven, Belgium; Einaudi Institute for Economics and Finance, Italy; Universita degli Studi dell'Insubria, Italy; Universita di Bologna, Italy; European University Institute, Italy
2008: Bogazici University, Turkey; Bilkent University, Turkey; Bar-Ilan University, Israel; University of Haifa, Israel; Kyiv School of Economics, Ukraine; Humboldt Universitat zu Berlin, Germany; Central European University, Hungary; Baltic International Centre for Economic Policy Studies, Latvia; University of Helsinki, Finland; London School of Economics, UK; University of Warwick, UK
2007: CIREQ and Concordia University, Canada; University of Helsinki, Finland
2006: University of Toronto, Canada; Queen's University, Canada; CIREQ and Concordia University, Canada
2005: Bank of Finland Institute for Economies in Transition, Finland; Swedish Central Bank (Riksbank), Sweden; Stockholm University, Sweden; Helsinki University, Finland
2003: CIREQ and McGill University, Canada; Catholic University of Leuven; Econometric Institute, Erasmus University Rotterdam, Netherlands
2000: Rutgers University-New Brunswick, USA; University of British Columbia, Canada; University of Virginia, USA; Indiana University-Bloomington, USA; Pennsylvania State University, USA
1999: University of Wisconsin-Madison, USA
64th Annual Conference of Italian Economic Association, L'Aquila, Italy, October 19-21, 2023
63rd Annual Conference of Italian Economic Association, Torino, Italy, October 20-22, 2022
5th International Workshop in Financial Markets and Nonlinear Dynamics, Aix-Marseille University and University of Lille, virtual, June 3-4, 2021
6th International Symposium in Computational Economics and Finance, Society for Computational Economics and INSEEC, Paris, France, October 29-30, 2020
Czech Economic Society and Slovak Economic Association Meeting, Brno, September 11-13, 2019
9th Biennial Conference of Czech Economic Society, Prague, Czech Republic, November 26, 2016
2nd International Workshop in Financial Markets and Nonlinear Dynamics, ESSCA, Paris, June 4-5, 2015
2007 North American Winter Meeting of Econometric Society, New Orleans, Louisiana, January 4-6, 2008
XX New Economic School research conference, Moscow, November 9-11, 2006
Economics workshop, Central European University, Budapest, February 5-7, 2004
VIII New Economic School research conference, Moscow, November 2-4, 2000
Time Series Econometrics (PhD's Econometrics field): 2016-2023
Econometrics 1 (PhD's Econometrics core): 2017-2024
Research Methodology Seminar (PhD's Econometrics optional): 2020-2023
Econometrics 3 (Intermediate Master's Econometrics): 1998-2011, 2017-2023
Econometrics 4 (Advanced Master's Econometrics): 2000-2011
Topics in Econometrics: 2001-2023
Applied Time Series Econometrics: 2001-2015, 2023
Estimation and Inference in Parametric Econometric Models, PreMoLab, Institute for Information Transmission Problems RAS, Moscow, 2013
Methodology of Research, Higher School of Economics, Nizhniy Novgorod, 2013
Applied Econometrics, Higher School of Economics, Nizhniy Novgorod, 2013
Advanced Time Series Analysis, Higher School of Economics, Nizhniy Novgorod, 2012
Advanced Econometrics, Higher School of Economics, Perm, 2011
Selected Aspects of Econometrics, Novosibirsk State University, Novosibirsk, 2011
Advanced Econometrics, Higher School of Economics, Moscow, 2010
Applied Econometrics, Belarusian Central Bank and BEROC summer school, Minsk, Belarus, 2010
Modern Instrumental Methods in Economic Theory: Econometrics, Higher School of Economics, Moscow, 2009
Econometrics and its Applications to Policy Analysis: Applied Time Series Analysis, EEA-EERC-INTAS Summer School, Kyiv, Ukraine, 2005
Introduction to Time Series Econometrics, NES and Institute for Economics and Finance Outreach Summer School, Almaty, Kazakhstan, 2002
Statistics and Application of Mathematical Methods in Economics, Center for Economic Research and World Bank, Tashkent, Uzbekistan, 2002
Macroeconomic Modeling and Forecasting, Ministry of Economic Development and Trade, Moscow, 2001
Economic Statistics and Econometrics, Graduate School of Business Administration, Moscow State University, 2001
Econometrics III: Panel Data Analysis, EERC-Russia Methodological Seminar, Moscow, 2001
Econometrics II: Time Series Analysis, EERC-Russia Methodological Seminar, Moscow, 2001
Econometrics I: Estimation and Inference in Econometrics, EERC-Russia Methodological Seminar, Moscow, 2000
Applied Econometrics, EERC Summer School, Issyk-Kul, Kyrgyz Republic, 2000
International Trade and Finance, Moscow International University, 1994-1995
Mathematical Tools in Modern Macroeconomics (with Sergey Slobodyan and Paolo Zacchia), FFM, Charles University, Prague, 2024
Seminar Academic publishing in economics, BEROC and National Bank of Belarus, Minsk, October 11, 2018
Lecture Objects of nonstructural time series modeling, Higher School of Economics, St. Petersburg, December 22, 2016
Public lecture Unconventional asymptotic methods, BEROC, Minsk, September 18, 2015
Public lectures Academic standards in the international economics science and Principles of time series prediction, BEROC, Minsk, June 28, 2011
Causality in Panel Data, Institute for Economies in Transition, Moscow, 2001
Time Series Econometrics (with Mark Taylor), World Bank and Higher School of Economics, Moscow, 2000
Graduate Econometrics I, II (Gautam Tripathi, Bruce Hansen), University of Wisconsin-Madison, 1999-2000
Graduate Macroeconomics I, II (Kenneth West, Rodolfo Manuelli), University of Wisconsin-Madison, 1996-1997
Research conference "Modern econometric tools and applications", Nizhny Novgorod, 2014 (chair of program committee)
Econometric Society European Meetings 2006, Econometrics and Empirical Economics
National Science Foundation, USA
Social Sciences and Humanities Research Council of Canada
Grant Agency of Charles University, Czech Republic
Founding Editor, Editor, Quantile, 2006-2019
Econometrica; Quantitative Economics; Econometric Theory; Journal of Econometrics; Journal of Business & Economic Statistics; Review of Economics and Statistics; Journal of Applied Econometrics; Econometrics Journal; Econometric Reviews; Journal of American Statistical Association; International Economic Review; Econometrics and Statistics; Economics Letters; Studies in Nonlinear Dynamics & Econometrics; Journal of Money, Credit, and Banking; Journal of Economic Dynamics and Control; International Journal of Forecasting; Journal of Forecasting; Journal of Empirical Finance; Journal of Banking and Finance; Quantitative Finance; Journal of Multivariate Analysis; Computational Statistics and Data Analysis; Journal of Time Series Econometrics; Journal of Statistical Computation and Simulation; Communications in Statistics - Theory and Methods; Communications in Statistics - Simulation and Computation; Annals of the Institute of Statistical Mathematics; Stata journal; Economic Modeling; Global Finance Journal; Applied Economics; Emerging Markets Finance and Trade; International Review of Economics and Finance; Econometrics; Complexity; Mathematics; Economics Bulletin; Financial Innovation; Statistica Neerlandica; Finnish Economic Papers; Czech Journal of Economics and Finance; Russian Journal of Economics; Pakistan Journal of Statistics; Ekonomika i Matematicheskie Metody; Prikladnaya Ekonometrika
Mentoring Russian economics researchers, CERGE-EI Foundation, 2022-2024
Evaluation of graduate students' grant proposals, Grantova agentura Univerzity Karlovy, 2020, 2023
Evaluation of economics journals in Russia, Higher School of Economics, 2019
Evaluation of Higher School of Economics grant proposals, 2011-2012
Outside evaluation of Higher School of Economics econometrics program econometrics program
EERC Research Workshops: Kyiv, Ukraine, July 2002; Moscow, December 2001; Konobeevo, Moscow region, July 2001; Moscow, December 2000; Moscow, July 2000
Econometric Society
European Economic Association
American Statistical Association
Dissertation chair: Filip Staněk, Vladimir Pyrlik, Yevhen Kosovan, Michal Hakala, Maksim Smirnov, Yaroslav Korobka
Member of committee: Magdaléna Raušová, Daniel Husek, Gregory Boadu-Sebbe
Arseniy Scherbov, Roman Shaibaneev
2023-2024: Nikita Klimov, Valentin Lizhdvoy
2022-2023: Gaziz Abdrakhman, Sergey Postnov
2021-2022: Sergei Ponomarev, Nikolay Tretyak
2020-2021: Iakov Grigoryev (Raiffeisen Bank, Moscow), Daniil Smetanin (Raiffeisen Bank, Moscow)
2019-2020: Konstantin Krainev (Raiffeisen Bank, Moscow), Ilia Nagovitcyn (Sberbank, Moscow), Ilya Platonov (AIM Tech, Moscow)
2018-2019: Aleksandr Dudoladov (Owl Markets), Aleksandr Kukovitskiy (Quantport, Moscow), Egor Postolit (Sberbank, Moscow)
2017-2018: Sergey Ermakov (Sberbank, Moscow), Konstantin Korotkiy (Ph.D. program, Stanford GSB)
2016-2017: Yuriy Baryshnikov (JPMorgan Chase & Co, London), Petr Kuznetsov (Bank Otkrytie, Moscow)
2015-2016: Evgeniy Smirnov (WorldQuant, Moscow), Nikita Toropov (TA, NES and HSE)
2014-2015: Alina Babenko (WorldQuant, Moscow), Sergei Kurochkin (JPMorgan Chase & Co), Irina Tarasyuk (Barclays Capital, London)
2013-2014: Vasily Afonin (Deutsche Bank AG, Moscow), Alexei Chugunov (Gazprombank), Lidia Erdman (Gazprombank, Russia), Mikhail Makhyanov (Renaissance Capital), Anna Mazur (Sberbank, Moscow), Alexander Moskalev (Ph.D. program, University of Michigan), Evgeny Penkin (Deutsche Bank AG, Moscow), Yaroslav Shelepko (Barclays Capital), Yulia Volkova (Copperstone Capital, Moscow), Andrey Zeleneev (Ph.D. program, Princeton University)
2012-2013: Rostislav Berezovskiy (postgraduate studies, Higher School of Economics), Elena Buchatskaya (JPMorgan Chase & Co, London), Alexander Firstenko (WorldQuant, Moscow), Grigory Franguridi (Ph.D. program, Pennsylvania State University), Nikita Kobotaev (VTB Capital, Moscow), Anton Petukhov (Ph.D. program, Sloan School of Management, MIT), Artem Tsalkovich (Credit Suisse, Moscow), Matvey Vinokurov (Megafon, Moscow)
2011-2012: Albert Abutaliev (Barclays Capital, London), Konstantin Egorov (Ph.D. program, Economics, Penn State University), Alexey Goncharenko (Oliver Wyman, Russia), Sergey Korovin (JPMorgan Chase & Co), Maksim Kovalev (Europa Finance), Alexander Kuznetsov (Sberbank, Moscow), Eduard Mingazhev (Deutsche Bank AG, Moscow), Evgeny Uskov (Highload Lab), Artem Zaigrin (Deutsche Bank AG, Moscow)
2010-2011: Oleg Groshev (Oliver Wyman, Russia), Alexei Ermilov (postgraduate studies, HSE, Moscow), Lyudmila Kaurova (Troika Dialog, Moscow), Renat Khabibullin (Barclays Capital, Russia)
2009-2010: Alexey Balaev (Economic Expert Group, Moscow), Yury Bedny (GSA Capital Partners, London), Rodion Lomivorotov (OTP Bank, Moscow), Maxim Spiryaev (Barclays Capital, London)
2008-2009: Elena Reukova (Gazprombank, Moscow), Stanislav Mikheev (Kiel Institute for the World Economy), Pavel Krupsky (Ph.D. program, University of British Columbia), Natalya Kryzhanovskaya
2007-2008: Alexander Migita (Deutsche Bank, London), Ivan Mirgorodsky (Unicredit, Moscow), Victoria Belyakova (Renaissance Capital, Moscow), Pavel Yaskov (graduate studies in mathematics, Moscow)
2006-2007: Victoria Stepanova (Deutsche Bank, New York), Danila Deliya (Deutsche Bank, Hong Kong), Alexey Belkin (HSBC Bank, Moscow), Victor Kitov (graduate studies in mathematics, Moscow)
2005-2006: Konstantin Golyaev (Ph.D. program, University of Minnesota), Yaroslav Volkov (CEFIR, Moscow), Egor Matveev (Ph.D. program, Rochester University)
2004-2005: Sergey Belousov (Alfa-Bank, Moscow), Sergey Popov (Ph.D. program, University of Illinois at Urbana-Champaign)
2003-2004: Alexander Varakin (Metalloinvest, Moscow), Natalia Guseva (Ph.D. program, Universitat Pompeu Fabra), Olga Zagvozdkina (Deloitte, Moscow), Boris Livshitz (Carana Corporation, Moscow), Andrey Shabalin (Ph.D. program, Statistics, University of North Carolina)
2002-2003: Alexander Gerko (Deutsche Bank, London), Sergey Korepanov (Russipoteka Bank, Moscow), Georgy Tchabakauri (Ph.D. program, London Business School), Kanat Khusainov (Almaty), Dmitry Shakin (Academy of National Economy, Russia)
2001-2002: Dmitriy Levtchenkov (Ph.D. program, Operations Research, Cornell University)
2000-2001: Andrey Vasnev (Ph.D. program, Tilburg University), Denis Agentov (ACNielsen Russia, Moscow)
Deputy Director for Graduate Studies, CERGE-EI, 2023-present
Member of CERGE-EI Executive and Supervisory Committee, 2016-present
Member of CERGE Scientific Council, 2020-present
Member of CERGE-EI Committee for Graduate Studies, 2020-present
Member of CERGE-EI Admission Committee, 2016-2020
Member of CERGE-EI Recruiting Committee, 2016-2017
Chair of NES Promotion and Tenure Committee, 2015-present
Member of NES Master in Economics program council, 2011-present
Director of Master in Economics program, 2011-2016
Acting Rector of NES, 2013
Member of NES Succession Committee, 2013
Director of NES Research Center, 2003-2011
Secretary of NES Recruiting Committee, 2010-2011
Co-director of NES Research Center, 2001-2003
Member of NES International Examination Committee, 2002-2010
Member of NES Recruiting Committee, 2002, 2008
Chair of NES Library Committee, 2000-2003
Member of NES Library Committee, 2003-2016
Docent in Economic Theory, Charles University, 2024
Econometric Theory Multa Scripsit award, Cambridge University Press, 2022
Qualification grade 5, Economics Institute, Czech Academy of Sciences, 2017
"For reforming nonreformable", New Economic School class of 2013
Professor of the year, NES Alumni Association, 2011
Best Professor, "Plainly about difficult", New Economic School class of 2010
Excellence in teaching award, New Economic School class of 2009
Best Professor, New Economic School class of 2008
Professor of the year, NES Alumni Association, 2007
Professor of the year, New Economic School class of 2007
Excellence in teaching award, New Economic School class of 2006
Cum Laude graduation, New Economic School, Moscow, 1995
Research grant 24-12720S "Econometric methods robust to parameter dimension and clustering" from Grantova agentura Ceske republiky, 2024-2026
Research grant 20-28055S "Econometrics with overparameterization and weak identification" from Grantova agentura Ceske republiky, 2020-2022
Research grant 17-26535S "Econometrics with dimension asymptotics" from Grantova agentura Ceske republiky, 2017-2019
Access Industries Professor of Economics, Access Industries, 2003-2021
Swedish Professorship Award, Economics Education and Research Consortium-Russia and Eurasia Foundation, 2000-2003
Travel grant, 9th Econometric Society World Congress, London, 2005
Travel grants, VIIth Spring Meeting of Young Economists, Paris, 2002, and VIIIth Spring Meeting of Young Economists, Leuven, 2003
New Economic School supplementary grant, 1996-1997
Bullis Scholarship, University of Wisconsin, Department of Economics, 1995-1996
Open Society Institute grant, 1995-1996
"Topics in dynamic volatility modeling", 2023-2024
"Topics in high-frequency financial econometrics", 2022-2023
"Returns, return volatility, and trading activity", 2021-2022
"Volatility models with elements of machine learning", 2020-2021
"Financial time series models with elements of machine learning", 2019-2020
"Econometrics of cryptocurrencies", 2018-2019
"Dynamics in Russian financial markets: what's new?", 2017-2018
"Topics in financial econometrics", 2016-2017
"Misspecification and forecasting", 2015-2016
"Misspecification in financial econometric models", 2014-2015
"Econometrics of many financial assets" (with Stanislav Khrapov), 2013-2014
"Topics in financial econometrics II" (with Stanislav Khrapov), 2012-2013
"Topics in financial econometrics" (with Stanislav Khrapov), 2011-2012
"Topics in time series prediction" (with Igor Kheifets), 2010-2011
"Topics in time series prediction", NES, 2009-2010
"Predictability and trading strategies in financial markets", 2008-2009
"Directional predictability in financial and macroeconomic markets", 2007-2008
"Issues in predictability in financial and macroeconomic markets", 2006-2007
"Structural breaks and structural change in financial and other series", 2005-2006
"Econometrics of financial markets: nonparametric methods", 2004-2005
"Dynamics in Russian and other financial markets", 2003-2004
"Dynamics and predictability in Russian financial markets", 2002-2003
"Econometrics of moment conditions in time series", 2001-2002
"Capital expenditures financing in Russia" (with Galina Ovtcharova), 2000-2001