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Access Statistics for Nikolay Gospodinov

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Jackknife Variance Estimator for Panel Regressions 0 0 0 0 0 0 0 0
A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains 0 0 0 131 0 0 0 319
A New Look at the Forward Premium Puzzle 0 0 0 105 0 0 1 238
A Simple Diagnostic for Time-Series and Panel-Data Regressions 13 13 13 13 6 6 6 6
A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains 0 0 0 46 0 0 0 90
A new method for approximating vector autoregressive processes by finite-state Markov chains 0 0 1 62 0 1 2 118
A staggered pricing approach to modeling speculative storage: implications for commodity price dynamics 0 0 0 14 0 1 2 147
Analytical solution for the constrained Hansen-Jagannathan distance under multivariate ellipticity 0 0 0 12 0 0 0 52
Asset Co-movements: Features and Challenges 1 1 2 27 1 1 3 59
Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes: An Application to Purchasing Power Parity 0 0 0 0 0 0 0 400
Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models 0 0 0 25 0 1 1 63
Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors 0 0 0 156 0 0 0 424
Chi-squared tests for evaluation and comparison of asset pricing models 0 0 0 21 0 0 0 112
Deconstructing the yield curve 0 0 2 53 1 4 11 120
Forecasts of inflation and interest rates in no-arbitrage affine models 0 0 0 31 0 1 1 60
Foreign exchange predictability during the financial crisis: implications for carry trade profitability 0 0 0 162 0 1 1 387
Further results on the limiting distribution of GMM sample moment conditions 0 0 0 34 0 0 1 89
General Aggregation of Misspecified Asset Pricing Models 0 0 0 33 0 0 0 115
Hedging and Pricing in Imperfect Markets under Non-Convexity 0 0 0 16 0 0 0 30
Local GMM Estimation of Time Series Models with Conditional Moment Restrictions 0 0 0 269 0 2 2 763
Long-Term Health Effects of Vietnam War's Herbicide Exposure on the Vietnamese Population 0 0 0 42 1 1 2 221
Median Unbiased Forecasts for Highly Persistent Autoregressive Processes 0 0 0 69 0 0 0 599
Minimum Distance Estimation of Dynamic Models with Errors-In-Variables 0 0 0 22 0 0 0 100
Minimum distance estimation of possibly non-invertible moving average models 0 0 0 42 0 1 2 91
Misspecification-robust inference in linear asset pricing models with irrelevant risk factors 0 0 0 35 0 0 1 104
Modeling Financial Return Dynamics by Decomposition 0 0 1 3 0 0 1 61
Modeling Financial Return Dynamics by Decomposition 0 0 1 194 1 2 5 704
Monetary policy surprises, positions of traders, and changes in commodity futures prices 0 0 0 42 0 0 0 157
Multivariate return decomposition: theory and implications 0 0 0 44 2 3 3 138
Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels 0 0 0 54 0 0 2 218
Nonparametric Likelihood Methods for Estimation and Inference in Moment Condition Models with Weak Instruments 0 0 0 0 0 1 1 782
On the Hansen-Jagannathan distance with a no-arbitrage constraint 0 0 0 33 0 0 0 154
Robust inference in linear asset pricing models 0 0 0 35 0 0 0 66
Sensitivity of Impulse Responses to Small Low Frequency Co-Movements: Reconciling the Evidence on the Effects of Technology Shocks 0 0 0 43 1 1 2 193
Sparse Trend Estimation 0 0 0 33 0 1 5 20
Specification Testing in Models with Many Instruments 0 0 0 0 0 0 0 20
Specification Testing in Models with Many Instruments 0 0 0 82 1 1 1 310
Spurious Inference in Unidentified Asset-Pricing Models 0 0 0 0 0 0 0 66
The Persistent Compression of the Breakeven Inflation Curve 1 1 3 37 1 2 6 63
The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks 0 0 0 47 0 0 2 113
The role of commodity prices in forecasting U.S. core inflation 0 0 0 51 0 3 3 61
Time Series Nonparametric Regression Using Asymmetric Kernels with an Application to Estimation of Scalar Diffusion Processes 0 1 1 86 0 2 2 212
Too Good to Be True? Fallacies in Evaluating Risk Factor Models 0 0 0 21 0 0 1 62
Total Working Papers 15 16 24 2,225 15 36 70 8,107

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A MOMENT‐MATCHING METHOD FOR APPROXIMATING VECTOR AUTOREGRESSIVE PROCESSES BY FINITE‐STATE MARKOV CHAINS 0 0 1 23 1 1 5 88
A New Look at the Forward Premium Puzzle 0 0 1 17 0 0 1 88
A Robust Approach to Hedging and Pricing in Imperfect Markets 0 0 0 3 0 0 0 29
A `long march' perspective on tobacco use in Canada 0 0 0 52 0 0 0 276
A ‘long march’ perspective on tobacco use in Canada 0 0 0 0 0 1 1 4
Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root 0 1 1 62 0 1 1 164
Asymptotic confidence intervals for impulse responses of near-integrated processes 0 0 0 44 0 1 1 260
Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models 0 0 0 4 0 0 2 21
Asymptotics of near unit roots (in Russian) 0 0 0 20 0 1 2 57
Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors 0 0 0 36 0 0 0 114
Bootstrap-Based Inference in Models with a Nearly Noninvertible Moving Average Component 0 0 0 0 0 0 0 169
Chi-squared tests for evaluation and comparison of asset pricing models 0 0 1 54 0 2 4 247
Commodity Prices, Convenience Yields, and Inflation 0 1 5 118 1 4 23 431
Common pricing across asset classes: Empirical evidence revisited 0 0 2 15 1 2 5 49
Forecasting volatility 0 0 1 95 1 2 4 350
Foreign exchange predictability and the carry trade: A decomposition approach 0 0 3 24 1 1 10 140
Further Results on the Limiting Distribution of GMM Sample Moment Conditions 0 0 0 8 0 1 1 50
Generalized aggregation of misspecified models: With an application to asset pricing 0 0 0 4 1 2 2 19
Global Health Warnings on Tobacco Packaging: Evidence from the Canadian Experiment 0 0 0 106 0 0 4 590
Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions 0 0 0 85 0 0 1 201
Local GMM estimation of time series models with conditional moment restrictions 0 0 0 93 0 1 2 316
Long-horizon stock valuation and return forecasts based on demographic projections 0 1 1 3 0 3 5 20
Market consistent valuations with financial imperfection 0 0 0 2 0 1 2 22
Median unbiased forecasts for highly persistent autoregressive processes 0 0 0 42 0 0 0 160
Minimum Distance Estimation of Possibly Noninvertible Moving Average Models 0 0 0 4 2 2 2 30
Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors 0 0 0 20 0 1 3 72
Modeling Financial Return Dynamics via Decomposition 1 1 2 99 5 7 10 282
Monetary policy uncertainty, positions of traders and changes in commodity futures prices 1 3 3 11 1 5 10 48
Multivariate Return Decomposition: Theory and Implications 0 0 0 1 0 0 0 27
Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels 0 0 0 7 0 1 2 43
On the Factor Structure of Bond Returns 0 2 5 47 1 7 14 98
On the properties of the constrained Hansen–Jagannathan distance 0 0 0 14 1 1 1 66
ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS 0 0 0 17 0 0 0 99
Risk premiums and predictive ability of BAX futures 0 0 0 5 0 0 1 20
SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS 0 1 1 40 0 1 1 146
Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks 0 0 0 109 0 0 5 415
Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks 0 0 0 16 0 0 3 80
Simulated minimum distance estimation of dynamic models with errors-in-variables 0 0 0 16 0 3 3 145
Specification testing for conditional moment restrictions under local identification failure 0 0 0 0 0 2 2 2
Spurious Inference in Reduced‐Rank Asset‐Pricing Models 0 0 0 7 0 0 1 47
Testing For Threshold Nonlinearity in Short-Term Interest Rates 0 0 1 54 0 0 1 144
The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium 0 0 2 43 0 4 16 147
The response of stock market volatility to futures-based measures of monetary policy shocks 0 1 1 22 1 2 7 103
Tobacco taxes and regressivity 0 0 1 60 0 1 2 197
Too good to be true? Fallacies in evaluating risk factor models 0 0 3 28 0 0 7 133
Total Journal Articles 2 11 35 1,530 17 61 167 6,209

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Inference in Conditional Vector Error Correction Models With a Small Signal-to-Noise Ratio* 0 0 2 3 0 0 6 10
Unit Roots, Cointegration, and Pretesting in Var Models☆The views expressed here are the authors and not necessarily those of the Federal Reserve Bank of Atlanta or the Federal Reserve System 0 0 6 8 0 0 11 20
Total Chapters 0 0 8 11 0 0 17 30
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