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 Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains 0 0 0 131 0 0 15 336
A New Jackknife Variance Estimator for Time-Series and Panel Regressions 0 0 2 10 0 0 15 24
A New Look at the Forward Premium Puzzle 0 0 0 105 0 0 17 258
A Simple Diagnostic for Time-Series and Panel-Data Regressions 0 0 1 21 2 2 18 30
A Uniformly Valid Test for Instrument Exogeneity 0 0 9 9 8 19 36 36
A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains 0 0 0 46 2 2 15 107
A new method for approximating vector autoregressive processes by finite-state Markov chains 0 0 0 62 0 0 16 134
A staggered pricing approach to modeling speculative storage: implications for commodity price dynamics 0 0 0 14 1 1 21 168
Analytical solution for the constrained Hansen-Jagannathan distance under multivariate ellipticity 0 0 0 12 0 0 10 63
Asset Co-movements: Features and Challenges 0 0 0 27 1 1 15 75
Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes: An Application to Purchasing Power Parity 0 0 0 0 0 1 13 413
Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models 0 0 0 25 0 1 13 76
Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors 0 0 0 156 0 0 17 443
Chi-squared tests for evaluation and comparison of asset pricing models 0 0 0 21 0 1 17 133
Deconstructing the yield curve 0 0 1 55 0 1 25 147
Forecasts of inflation and interest rates in no-arbitrage affine models 0 0 0 31 0 0 11 73
Foreign exchange predictability during the financial crisis: implications for carry trade profitability 0 0 0 162 0 0 9 396
Further results on the limiting distribution of GMM sample moment conditions 0 0 0 34 1 1 15 105
General Aggregation of Misspecified Asset Pricing Models 0 0 0 33 0 0 11 129
Hedging and Pricing in Imperfect Markets under Non-Convexity 0 0 0 16 0 0 4 34
How Uncertain Is the Estimated Probability of a Future Recession? 0 1 2 15 1 2 23 37
Local GMM Estimation of Time Series Models with Conditional Moment Restrictions 0 0 0 269 2 2 14 780
Long-Term Health Effects of Vietnam War's Herbicide Exposure on the Vietnamese Population 0 0 0 42 0 0 37 262
Median Unbiased Forecasts for Highly Persistent Autoregressive Processes 0 0 0 69 0 0 10 611
Minimum Distance Estimation of Dynamic Models with Errors-In-Variables 0 0 0 22 0 1 12 114
Minimum distance estimation of possibly non-invertible moving average models 0 0 0 42 0 0 10 101
Misspecification-robust inference in linear asset pricing models with irrelevant risk factors 0 0 0 36 1 1 19 126
Modeling Financial Return Dynamics by Decomposition 0 0 1 6 1 1 9 73
Modeling Financial Return Dynamics by Decomposition 0 0 0 195 2 3 20 727
Monetary policy surprises, positions of traders, and changes in commodity futures prices 0 0 0 42 1 1 18 180
Multivariate return decomposition: theory and implications 0 0 0 44 1 2 13 152
Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels 0 0 0 54 0 1 14 234
Nonparametric Likelihood Methods for Estimation and Inference in Moment Condition Models with Weak Instruments 0 0 0 0 0 0 14 797
On Model Aggregation and Forecast Combination 0 0 22 22 0 0 22 22
On the Hansen-Jagannathan distance with a no-arbitrage constraint 0 1 1 34 0 1 13 169
Robust inference in linear asset pricing models 0 0 0 35 0 0 8 74
Sensitivity of Impulse Responses to Small Low Frequency Co-Movements: Reconciling the Evidence on the Effects of Technology Shocks 0 0 0 43 1 2 15 208
Sparse Trend Estimation 0 0 0 34 0 0 27 51
Specification Testing in Models with Many Instruments 0 0 0 2 1 1 26 49
Specification Testing in Models with Many Instruments 0 0 0 82 0 0 68 378
Spurious Inference in Unidentified Asset-Pricing Models 0 0 0 0 0 1 7 74
The Economic Impact of Low- and High-Frequency Temperature Changes 0 0 4 9 2 3 26 38
The Persistent Compression of the Breakeven Inflation Curve 0 0 4 44 1 3 26 95
The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks 0 0 0 48 0 0 15 130
The role of commodity prices in forecasting U.S. core inflation 0 0 0 51 1 4 8 70
Time Series Nonparametric Regression Using Asymmetric Kernels with an Application to Estimation of Scalar Diffusion Processes 0 1 1 88 0 1 14 228
Too Good to Be True? Fallacies in Evaluating Risk Factor Models 0 0 0 21 0 1 13 76
Total Working Papers 0 3 48 2,319 30 61 814 9,036

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 0 26 1 2 22 118
A New Look at the Forward Premium Puzzle 0 0 0 17 1 2 10 100
A Robust Approach to Hedging and Pricing in Imperfect Markets 0 0 0 3 0 1 11 40
A `long march' perspective on tobacco use in Canada 0 0 0 52 0 1 7 284
A uniformly valid test for instrument exogeneity 0 1 1 1 1 8 10 10
A ‘long march’ perspective on tobacco use in Canada 0 0 0 0 0 1 9 18
Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root 0 0 1 63 0 2 12 180
Asymptotic confidence intervals for impulse responses of near-integrated processes 0 0 0 44 0 1 9 272
Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models 0 0 0 4 0 1 14 37
Asymptotics of near unit roots (in Russian) 0 0 0 21 0 0 18 77
Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors 0 0 0 36 0 1 9 126
Bootstrap-Based Inference in Models with a Nearly Noninvertible Moving Average Component 0 0 0 0 0 0 5 174
Chi-squared tests for evaluation and comparison of asset pricing models 0 0 0 54 0 0 9 259
Commodity Prices, Convenience Yields, and Inflation 0 0 3 122 0 4 30 472
Common pricing across asset classes: Empirical evidence revisited 0 1 4 20 0 1 22 76
Deconstructing the Yield Curve 0 0 6 12 0 0 30 45
Forecasting volatility 0 0 0 96 0 2 15 367
Foreign exchange predictability and the carry trade: A decomposition approach 0 0 0 24 0 3 16 159
Further Results on the Limiting Distribution of GMM Sample Moment Conditions 0 0 0 8 0 1 12 62
Generalized aggregation of misspecified models: With an application to asset pricing 0 0 0 4 1 2 23 45
Global Health Warnings on Tobacco Packaging: Evidence from the Canadian Experiment 0 0 0 106 1 3 12 603
Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions 1 1 1 86 2 2 10 211
Local GMM estimation of time series models with conditional moment restrictions 0 0 1 94 0 1 14 334
Long-horizon stock valuation and return forecasts based on demographic projections 0 0 0 4 1 3 17 38
Market consistent valuations with financial imperfection 0 0 0 2 0 0 10 34
Median unbiased forecasts for highly persistent autoregressive processes 0 0 0 43 0 0 13 176
Minimum Distance Estimation of Possibly Noninvertible Moving Average Models 0 0 0 4 0 0 9 39
Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors 0 0 0 22 1 4 15 92
Modeling Financial Return Dynamics via Decomposition 0 1 3 103 3 6 25 311
Monetary policy uncertainty, positions of traders and changes in commodity futures prices 0 0 0 15 2 3 19 77
Multivariate Return Decomposition: Theory and Implications 0 0 0 1 0 0 11 39
Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels 0 1 1 8 0 2 16 59
On the Factor Structure of Bond Returns 0 0 14 64 4 5 45 156
On the properties of the constrained Hansen–Jagannathan distance 0 0 0 14 1 1 9 75
ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS 0 0 0 17 0 1 7 106
Risk premiums and predictive ability of BAX futures 0 0 0 5 0 0 8 31
SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS 0 2 3 45 8 29 70 220
Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks 0 0 0 111 0 0 25 446
Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks 0 0 0 16 1 2 16 98
Simulated minimum distance estimation of dynamic models with errors-in-variables 0 0 0 16 0 1 20 168
Specification testing for conditional moment restrictions under local identification failure 0 1 1 1 0 2 23 27
Spurious Inference in Reduced‐Rank Asset‐Pricing Models 0 0 1 8 0 1 15 64
Testing For Threshold Nonlinearity in Short-Term Interest Rates 0 1 1 55 0 2 7 152
The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium 0 2 4 48 0 4 72 227
The response of stock market volatility to futures-based measures of monetary policy shocks 0 0 1 24 1 3 13 122
Tobacco taxes and regressivity 0 0 1 61 1 1 12 212
Too good to be true? Fallacies in evaluating risk factor models 0 0 1 29 1 2 20 156
Total Journal Articles 1 11 48 1,609 31 111 826 7,194

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Resampling Asset Prices 0 0 0 0 1 5 5 5
Resampling Asset Prices 0 0 0 0 0 0 0 0
Total Books 0 0 0 0 1 5 5 5

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 0 3 1 2 10 21
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 2 11 2 5 20 43
Total Chapters 0 0 2 14 3 7 30 64
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Statistics updated 2026-09-10