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 1 1 9 9 4 8 16 16
A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains 0 0 0 131 0 1 3 322
A New Look at the Forward Premium Puzzle 0 0 0 105 0 1 3 241
A Simple Diagnostic for Time-Series and Panel-Data Regressions 0 0 20 20 2 3 14 14
A Uniformly Valid Test for Instrument Exogeneity 5 5 5 5 4 4 4 4
A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains 0 0 0 46 0 0 2 92
A new method for approximating vector autoregressive processes by finite-state Markov chains 0 0 0 62 0 0 0 118
A staggered pricing approach to modeling speculative storage: implications for commodity price dynamics 0 0 0 14 1 1 2 148
Analytical solution for the constrained Hansen-Jagannathan distance under multivariate ellipticity 0 0 0 12 1 1 2 54
Asset Co-movements: Features and Challenges 0 0 1 27 2 2 4 62
Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes: An Application to Purchasing Power Parity 0 0 0 0 1 1 1 401
Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models 0 0 0 25 0 0 0 63
Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors 0 0 0 156 0 0 2 426
Chi-squared tests for evaluation and comparison of asset pricing models 0 0 0 21 0 1 4 116
Deconstructing the yield curve 0 0 1 54 1 1 6 123
Forecasts of inflation and interest rates in no-arbitrage affine models 0 0 0 31 1 1 3 63
Foreign exchange predictability during the financial crisis: implications for carry trade profitability 0 0 0 162 1 2 2 389
Further results on the limiting distribution of GMM sample moment conditions 0 0 0 34 3 3 4 93
General Aggregation of Misspecified Asset Pricing Models 0 0 0 33 2 2 5 120
Hedging and Pricing in Imperfect Markets under Non-Convexity 0 0 0 16 1 1 1 31
How Uncertain Is the Estimated Probability of a Future Recession? 0 0 13 13 0 5 19 19
Local GMM Estimation of Time Series Models with Conditional Moment Restrictions 0 0 0 269 1 1 5 767
Long-Term Health Effects of Vietnam War's Herbicide Exposure on the Vietnamese Population 0 0 0 42 3 3 8 228
Median Unbiased Forecasts for Highly Persistent Autoregressive Processes 0 0 0 69 0 2 3 602
Minimum Distance Estimation of Dynamic Models with Errors-In-Variables 0 0 0 22 0 0 2 102
Minimum distance estimation of possibly non-invertible moving average models 0 0 0 42 0 0 0 91
Misspecification-robust inference in linear asset pricing models with irrelevant risk factors 0 0 1 36 2 2 5 109
Modeling Financial Return Dynamics by Decomposition 0 0 1 195 0 0 4 707
Modeling Financial Return Dynamics by Decomposition 0 0 2 5 0 0 3 64
Monetary policy surprises, positions of traders, and changes in commodity futures prices 0 0 0 42 0 1 5 162
Multivariate return decomposition: theory and implications 0 0 0 44 0 1 3 139
Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels 0 0 0 54 0 1 3 221
Nonparametric Likelihood Methods for Estimation and Inference in Moment Condition Models with Weak Instruments 0 0 0 0 0 0 2 783
On Model Aggregation and Forecast Combination 8 8 8 8 4 4 4 4
On the Hansen-Jagannathan distance with a no-arbitrage constraint 0 0 0 33 2 3 4 158
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 0 0 1 193
Sparse Trend Estimation 0 0 1 34 0 0 5 24
Specification Testing in Models with Many Instruments 0 0 2 2 4 4 7 27
Specification Testing in Models with Many Instruments 0 0 0 82 0 1 2 311
Spurious Inference in Unidentified Asset-Pricing Models 0 0 0 0 0 0 1 67
The Economic Impact of Low- and High-Frequency Temperature Changes 0 5 8 8 1 12 16 16
The Persistent Compression of the Breakeven Inflation Curve 1 2 5 41 2 3 10 71
The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks 0 0 1 48 1 1 3 116
The role of commodity prices in forecasting U.S. core inflation 0 0 0 51 1 1 3 63
Time Series Nonparametric Regression Using Asymmetric Kernels with an Application to Estimation of Scalar Diffusion Processes 0 1 2 87 1 3 5 216
Too Good to Be True? Fallacies in Evaluating Risk Factor Models 0 0 0 21 0 1 2 64
Total Working Papers 15 22 80 2,289 46 82 203 8,286

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 3 26 2 3 11 98
A New Look at the Forward Premium Puzzle 0 0 0 17 0 1 2 90
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 1 2 278
A ‘long march’ perspective on tobacco use in Canada 0 0 0 0 1 1 6 10
Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root 1 1 1 63 1 2 5 169
Asymptotic confidence intervals for impulse responses of near-integrated processes 0 0 0 44 1 1 5 264
Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models 0 0 0 4 0 0 2 23
Asymptotics of near unit roots (in Russian) 0 0 1 21 0 0 2 59
Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors 0 0 0 36 0 1 3 117
Bootstrap-Based Inference in Models with a Nearly Noninvertible Moving Average Component 0 0 0 0 1 1 1 170
Chi-squared tests for evaluation and comparison of asset pricing models 0 0 0 54 1 1 5 251
Commodity Prices, Convenience Yields, and Inflation 0 0 1 119 0 4 15 445
Common pricing across asset classes: Empirical evidence revisited 1 3 4 19 2 9 14 62
Deconstructing the Yield Curve 1 5 10 10 3 9 22 22
Forecasting volatility 0 0 1 96 1 1 5 353
Foreign exchange predictability and the carry trade: A decomposition approach 0 0 0 24 1 2 6 145
Further Results on the Limiting Distribution of GMM Sample Moment Conditions 0 0 0 8 1 1 1 51
Generalized aggregation of misspecified models: With an application to asset pricing 0 0 0 4 0 1 5 22
Global Health Warnings on Tobacco Packaging: Evidence from the Canadian Experiment 0 0 0 106 1 1 2 592
Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions 0 0 0 85 1 1 1 202
Local GMM estimation of time series models with conditional moment restrictions 0 0 0 93 0 0 5 320
Long-horizon stock valuation and return forecasts based on demographic projections 0 0 2 4 2 2 5 23
Market consistent valuations with financial imperfection 0 0 0 2 0 0 2 24
Median unbiased forecasts for highly persistent autoregressive processes 0 0 1 43 2 2 5 165
Minimum Distance Estimation of Possibly Noninvertible Moving Average Models 0 0 0 4 2 2 4 32
Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors 0 0 2 22 1 1 7 78
Modeling Financial Return Dynamics via Decomposition 1 1 3 101 2 3 14 289
Monetary policy uncertainty, positions of traders and changes in commodity futures prices 0 0 5 15 1 2 14 60
Multivariate Return Decomposition: Theory and Implications 0 0 0 1 2 3 4 31
Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels 0 0 0 7 1 1 1 44
On the Factor Structure of Bond Returns 2 7 9 55 2 7 23 116
On the properties of the constrained Hansen–Jagannathan distance 0 0 0 14 0 0 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 1 3 23
SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS 0 1 4 43 2 4 8 153
Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks 0 0 0 16 1 1 3 83
Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks 0 0 2 111 1 1 7 422
Simulated minimum distance estimation of dynamic models with errors-in-variables 0 0 0 16 1 3 6 150
Specification testing for conditional moment restrictions under local identification failure 0 0 0 0 0 0 3 4
Spurious Inference in Reduced‐Rank Asset‐Pricing Models 0 0 0 7 3 4 5 52
Testing For Threshold Nonlinearity in Short-Term Interest Rates 0 0 0 54 0 0 1 145
The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium 0 0 1 44 2 4 13 159
The response of stock market volatility to futures-based measures of monetary policy shocks 0 0 1 23 1 1 8 110
Tobacco taxes and regressivity 0 0 0 60 1 1 4 201
Too good to be true? Fallacies in evaluating risk factor models 0 0 0 28 2 4 6 139
Total Journal Articles 6 18 51 1,576 46 88 267 6,440

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 0 0 1 11
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 1 2 2 10 1 2 4 24
Total Chapters 1 2 2 13 1 2 5 35
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