Many instruments under data clustering (with Maksim Smirnov), 2023
Nonparametric regression with clustered observations, 2022
Leave-cluster-out and variance estimation, 2022
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
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