2 citations · 2 across the 3 of their papers we have counts for
4 papers
Testing Many Restrictions Under Heteroskedasticity
Stanislav Anatolyev, Mikkel Sølvsten
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 val…
Limit Theorems for Factor Models
Stanislav Anatolyev, Anna Mikusheva
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…
Factor models with many assets: strong factors, weak factors, and the two-pass procedure
Stanislav Anatolyev, Anna Mikusheva
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…
Forecasting dynamic return distributions based on ordered binary choice
Stanislav Anatolyev, Jozef Barunik
We present a simple approach to forecasting conditional probability distributions of asset returns. We work with a parsimonious specification of ordered binary choice regression th…