Zobrazeno 1 - 10
of 195
pro vyhledávání: '"Anatolyev, Stanislav"'
Autor:
Anatolyev, Stanislav, Sølvsten, Mikkel
We propose a hypothesis test that allows for many tested restrictions in a heteroskedastic linear regression model. The test compares the conventional F statistic to a critical value that corrects for many restrictions and conditional heteroskedastic
Externí odkaz:
http://arxiv.org/abs/2003.07320
Autor:
Anatolyev, Stanislav, Sølvsten, Mikkel
Publikováno v:
In Journal of Econometrics September 2023 236(1)
Autor:
Anatolyev, Stanislav, Mikusheva, Anna
Publikováno v:
Econom. Theory 37 (2021) 1034-1074
The paper establishes the central limit theorems and proposes how to perform valid inference in factor models. We consider a setting where many counties/regions/assets are observed for many time periods, and when estimation of a global parameter incl
Externí odkaz:
http://arxiv.org/abs/1807.06338
Autor:
Anatolyev, Stanislav, Mikusheva, Anna
This paper re-examines the problem of estimating risk premia in linear factor pricing models. Typically, the data used in the empirical literature are characterized by weakness of some pricing factors, strong cross-sectional dependence in the errors,
Externí odkaz:
http://arxiv.org/abs/1807.04094
Autor:
Anatolyev, Stanislav, Pyrlik, Vladimir
Publikováno v:
In Journal of Economic Dynamics and Control October 2022 143
Autor:
Anatolyev, Stanislav, Mikusheva, Anna
Publikováno v:
In Journal of Econometrics July 2022 229(1):103-126
Autor:
Anatolyev, Stanislav, Barunik, Jozef
We present a simple approach to forecasting conditional probability distributions of asset returns. We work with a parsimonious specification of ordered binary choice regression that imposes a connection on sign predictability across different quanti
Externí odkaz:
http://arxiv.org/abs/1711.05681
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