Stanislav Anatolyev

Biographic Data

ID8920574
NAMEStanislav Anatolyev
GIVEN NAMESStanislav
FAMILY NAMEAnatolyev
SIGNATUREANATOLYEV S
AFFILIATIONSNew Economic School
ORCID0000-0002-2560-0200
VERIFIEDYes
TOTAL WORKS6
TOTAL CITATIONS0
WORKS AS AUTHOR6
WORKS AS EDITOR0
FIRST PUBLICATION YEAR2005
LATEST PUBLICATION YEAR2025
H-INDEX0

  • Correlated Errors Challenge Vulnerable Growth

    Open AccessWorth Long, Wei Long et al.ARTICLEJournal of Applied Econometrics2025

    We examine the impact of correlated errors on findings regarding fluctuations in US GDP growth, which are primarily driven by the lower quantiles of the distribution as predicted by financial conditions. A proposed zero‐correlation test reveals the presence of correlated residuals in the quantile regression, introducing endogeneity and raising concerns about the validity of the previous analysis. In response, we extend the model by including two …

  • How does the financial market update beliefs about the real economy? Evidence from the oil market

    Open AccessStanislav Anatolyev, Sergei Seleznev et al.ARTICLEJournal of Applied Econometrics2021

    Oil traders find it challenging to process all information and choose which sources to follow. Inventories represent a perfect source, as they provide important information regarding real agents' intertemporal decisions and can easily be observed in real time. However, inventories do not contain full information about the state of the oil market. We show that financial traders fail to acquire additional information and treat inventories as a suff…

  • Semiparametric estimation and variable selection for single‐index copula models

    Open AccessStanislav Anatolyev, Bingduo Yang et al.ARTICLEJournal of Applied Econometrics2021

    A copula with a flexibly dependence structure can capture complexity and heterogeneity in economic and financial time series. Based on the recently proposed single‐index copula, we propose a simultaneous variable selection and estimation procedure. This method allows for choosing the most relevant state variables by using a penalized estimation with large sample properties derived. Simulation results demonstrate the good performance of the method…

  • Modeling Financial Return Dynamics via Decomposition

    Stanislav Anatolyev, Nikolay GospodinovARTICLEJournal of Business and Economic…2010

    While the predictability of excess stock returns is detected by traditional predictive regressions as statistically small, the direction-of-change and volatility of returns exhibit a substantially larger degree of dependence over time. We capitalize on this observation and decompose the returns into a product of sign and absolute value components whose joint distribution is obtained by combining a multiplicative error model for absolute values, a…

  • Nonparametric Retrospection and Monitoring of Predictability of Financial Returns

    Stanislav AnatolyevARTICLEJournal of Business and Economic…2009

    We develop and evaluate sequential testing tools for a class of nonparametric tests for predictability of financial returns that include, in particular, the directional accuracy and excess profitability tests. Our sequential methods consider in a unified framework both retrospection of a historical sample and monitoring newly arriving data. To this end, we focus on linear monitoring boundaries that are continuations of horizontal lines correspond…

  • A Trading Approach to Testing for Predictability

    Stanislav Anatolyev, Alexander GerkoARTICLEJournal of Business and Economic…2005

    We propose a market timing test for conditional mean independence of financial returns. The new excess predictability (EP) test statistic has an interpretation of a properly normalized return of a certain trading strategy. We discuss similarities of the EP test to the popular directional accuracy (DA) test of Pesaran and Timmermann. Power properties of the EP test are advantageous, and size properties are comparable to those of the DA test. We il…