Stanislav Anatolyev and Nikolay Gospodinov. Methods for Estimation and Inference in Modern Econometrics. CRC Press, 2011, 234 pages
GMM, GEL, serial correlation, and asymptotic bias, Econometrica, 2005
Testing many restrictions under heteroskedasticity (with Mikkel Sølvsten), Journal of Econometrics, 2023
Mallows criterion for heteroskedastic linear regressions with many regressors, Economics Letters, 2021
Many instruments and/or regressors: a friendly guide, Journal of Economic Surveys, 2019
Many instruments: implementation in Stata (with Alena Skolkova), Stata Journal, 2019
Almost unbiased variance estimation in linear regressions with many covariates, Economics Letters, 2018
Asymptotics of diagonal elements of projection matrices under many instruments/regressors (with Pavel Yaskov), Econometric Theory, 2017
Instrumental variables estimation and inference in the presence of many exogenous regressors, Econometrics Journal, 2013
Asymptotic variance under many instruments: numerical computations, Economics Letters, 2013
Inference in regression models with many regressors, Journal of Econometrics, 2012
Specification testing in models with many instruments (with Nikolay Gospodinov), Econometric Theory, 2011
Factor models with many assets: strong factors, weak factors, and the two-pass procedure (with Anna Mikusheva), Journal of Econometrics, 2022
Limit theorems for factor models (with Anna Mikusheva), Econometric Theory, 2021
Instrumental variables estimation of heteroskedastic linear models using all lags of instruments (with Kenneth West and Ka-fu Wong), Econometric Reviews, 2009
Method-of-moments estimation and choice of instruments: numerical computations, Economics Letters, 2008
Optimal instruments in time series: a survey, Journal of Economic Surveys, 2007
Redundancy of lagged regressors revisited, Econometric Theory (Notes and Problems), 2007
The form of the optimal nonlinear instrument for multiperiod conditional moment restrictions, Econometric Theory, 2003
Redundancy of lagged regressors in a conditionally heteroskedastic time series regression, Econometric Theory (Problems and Solutions), 2003
Autoregression and redundant instruments, Econometric Theory (Problems and Solutions), 2002-2003
Multivariate return decomposition: theory and implications (with Nikolay Gospodinov), Econometric Reviews, 2019
Foreign exchange predictability and the carry trade: a decomposition approach (with Nikolay Gospodinov, Ibrahim Jamali and Xiaochun Liu), Journal of Empirical Finance, 2017
Modeling financial return dynamics via decomposition (with Nikolay Gospodinov), Journal of Business & Economic Statistics, 2010
Copula shrinkage and portfolio allocation in ultra-high dimensions (with Vladimir Pyrlik), Journal of Economic Dynamics and Control, 2022
Directional news impact curve, Journal of Forecasting, 2021
Forecasting dynamic return distributions based on ordered binary choice (with Jozef Baruník), International Journal of Forecasting, 2019
Estimating asymmetric dynamic distributions in high dimensions (with Renat Khabibullin and Artem Prokhorov), Asymmetric Dependence in Finance, 2018
Uncovering the skewness news impact curve (with Anton Petukhov), Journal of Financial Econometrics, 2016
An algorithm for constructing high dimensional distributions from distributions of lower dimension (with Renat Khabibullin and Artem Prokhorov), Economics Letters, 2014
Multi-market direction-of-change modeling using dependence ratios, Studies in Nonlinear Dynamics & Econometrics, 2009
Dynamic modeling under linear-exponential loss, Economic Modelling, 2009
A trading approach to testing for predictability (with Alexander Gerko), Journal of Business & Economic Statistics, 2005
Unrestricted, restricted and regularized models for forecasting multivariate volatility (with Filip Staněk), Studies in Nonlinear Dynamics & Econometrics, 2023
MEM or/and LogARMA: which model for realized volatility? Financial Econometrics: Bayesian Analysis, Quantum Uncertainty, and Related Topics, 2022
Volatility filtering in estimation of kurtosis (and variance), Dependence Modeling, 2019
Modeling and forecasting realized covariance matrices with accounting for leverage (with Nikita Kobotaev), Econometric Reviews, 2018
Right on target, or is it? The role of distributional shape in variance targeting (with Stanislav Khrapov), Econometrics, 2015
Missing mean does no harm to volatility! (with Irina Tarasyuk), Economics Letters, 2015
Sequential testing with uniformly distributed size (with Grigory Kosenok), Journal of Time Series Econometrics, 2018
Another numerical method of finding critical values for the Andrews stability test (with Grigory Kosenok), Econometric Theory (Notes and Problems), 2011
Nonparametric retrospection and monitoring of predictability of financial returns, Journal of Business & Economic Statistics, 2009
Using all observations when forecasting under structural breaks (with Victor Kitov), Finnish Economic Papers, 2007
Tests in contingency tables as regression tests (with Grigory Kosenok), Economics Letters, 2010
Robustness of residual-based bootstrap to composition of serially correlated errors, Journal of Statistical Computation and Simulation, 2009
Kernel estimation under linear-exponential loss, Economics Letters, 2006
Markov chain approximation in bootstrapping autoregressions (with Andrey Vasnev), Economics Bulletin, 2002
Nonparametric estimation of nonlinear rational expectations models, Economics Letters, 1999
A ridge to homogeneity for linear models, Journal of Statistical Computation and Simulation, 2020
Testing for a functional form of mean regression in a fully parametric environment, Journal of Econometric Methods, 2019
An alternative to maximum likelihood based on spacings (with Grigory Kosenok), Econometric Theory (Notes and Problems), 2005
Inference when a nuisance parameter is weakly identified under the null hypothesis, Economics Letters, 2004
Durbin-Watson statistic and random individual effects, Econometric Theory (Problems and Solutions), 2002-2003
Serial correlation and asymptotic variance, Econometric Theory (Problems and Solutions), 2001
Conditional and unconditional correlatedness and heteroskedasticity, Econometric Theory (Problems and Solutions), 2001-2002
Do mistakes provoke new mistakes? Evidence from chess (with Akash Adhikari and Dmitry Dagaev), IEEE Transactions on Games, 2023
How does the financial market update beliefs about the real economy? Evidence from the oil market (with Sergei Seleznev and Veronika Selezneva), Journal of Applied Econometrics, 2021
A 10-year retrospective on the determinants of Russian stock returns, Research in International Business and Finance, 2008
Trade intensity in the Russian stock market: dynamics, distribution and determinants (with Dmitry Shakin), Applied Financial Economics, 2007
The term structure of Russian interest rates (with Sergey Korepanov), Applied Economics Letters, 2003
Basics of quasi- and pseudo-likelihood theories, Quantile, 2019
Do spatial structures yield better volatility forecasts? (with Stanislav Khrapov), Quantile, 2019
Objects of nonstructural time series modeling, Quantile, 2013
Asymptotics of near unit roots (with Nikolay Gospodinov), Quantile, 2012
Nonparametric regression, Quantile, 2009
Where to find data on the Web? (with Alexander Tsyplakov), Quantile, 2009
Review of English textbooks in time series analysis, Quantile, 2008
Making econometric reports, Quantile, 2008
The basics of bootstrapping, Quantile, 2007
Review of English textbooks in econometrics, Quantile, 2007
Optimal instruments, Quantile, 2007
Testing for pedictability, Quantile, 2006
Асимптотические приближения в современной эконометрике, Экономика и математические методы, 2005