Work in progress

Many instruments under data clustering (with Maksim Smirnov), 2023

Nonparametric regression with clustered observations, 2022

Leave-cluster-out and variance estimation, 2022

Working papers

Shrinkage for Gaussian and t copulas in ultra-high dimensions (with Vladimir Pyrlik), CERGE-EI, August 2021

Does index arbitrage distort the market reaction to shocks? (with Sergei Seleznev and Veronika Selezneva), CERGE-EI, December 2019

Formation of market beliefs in the oil market (with Sergei Seleznev and Veronika Selezneva), CERGE-EI, June 2018

A ten-year retrospection of the behavior of Russian stock returns, Bank of Finland, July 2005

Unpublished manuscripts

Does trading volume help forecast volatility? (with Sergei Ponomarev), 2022

Second order asymptotic bias under many instruments and error non-normality, 2019

Directional prediction of returns under asymmetric loss: direct and indirect approaches (with Natalia Kryzhanovskaya), 2009

Inference about predictive ability when there are many predictors, 2007

A unifying view of some nonparametric predictability tests, 2006

Bivariate mixture model for pair of stocks: evidence from developing and developed markets (with Alexander Varakin), 2004

Approximately optimal instrument for multiperiod conditional moment restrictions, 2003

Conditional heteroskedasticity modeling in problems of multiperiod prediction, 2002