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 5 6 9 328
A New Jackknife Variance Estimator for Time-Series and Panel Regressions 0 0 2 9 3 5 15 21
A New Look at the Forward Premium Puzzle 0 0 0 105 5 7 9 248
A Simple Diagnostic for Time-Series and Panel-Data Regressions 0 0 1 20 4 8 13 22
A Uniformly Valid Test for Instrument Exogeneity 0 2 7 7 4 9 13 13
A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains 0 0 0 46 4 7 9 99
A new method for approximating vector autoregressive processes by finite-state Markov chains 0 0 0 62 4 7 7 125
A staggered pricing approach to modeling speculative storage: implications for commodity price dynamics 0 0 0 14 3 9 10 157
Analytical solution for the constrained Hansen-Jagannathan distance under multivariate ellipticity 0 0 0 12 2 3 5 57
Asset Co-movements: Features and Challenges 0 0 0 27 3 7 10 69
Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes: An Application to Purchasing Power Parity 0 0 0 0 1 3 4 404
Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models 0 0 0 25 1 2 2 65
Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors 0 0 0 156 5 7 9 433
Chi-squared tests for evaluation and comparison of asset pricing models 0 0 0 21 5 9 11 125
Deconstructing the yield curve 0 0 1 54 10 13 15 136
Forecasts of inflation and interest rates in no-arbitrage affine models 0 0 0 31 3 7 10 70
Foreign exchange predictability during the financial crisis: implications for carry trade profitability 0 0 0 162 1 4 6 393
Further results on the limiting distribution of GMM sample moment conditions 0 0 0 34 4 9 12 102
General Aggregation of Misspecified Asset Pricing Models 0 0 0 33 2 4 8 124
Hedging and Pricing in Imperfect Markets under Non-Convexity 0 0 0 16 0 3 4 34
How Uncertain Is the Estimated Probability of a Future Recession? 0 1 14 14 6 10 29 29
Local GMM Estimation of Time Series Models with Conditional Moment Restrictions 0 0 0 269 2 3 7 770
Long-Term Health Effects of Vietnam War's Herbicide Exposure on the Vietnamese Population 0 0 0 42 12 16 23 244
Median Unbiased Forecasts for Highly Persistent Autoregressive Processes 0 0 0 69 3 3 6 605
Minimum Distance Estimation of Dynamic Models with Errors-In-Variables 0 0 0 22 4 8 10 110
Minimum distance estimation of possibly non-invertible moving average models 0 0 0 42 1 2 2 93
Misspecification-robust inference in linear asset pricing models with irrelevant risk factors 0 0 1 36 3 10 14 119
Modeling Financial Return Dynamics by Decomposition 0 0 1 195 6 11 14 718
Modeling Financial Return Dynamics by Decomposition 0 0 2 5 1 4 7 68
Monetary policy surprises, positions of traders, and changes in commodity futures prices 0 0 0 42 6 9 12 171
Multivariate return decomposition: theory and implications 0 0 0 44 5 8 9 147
Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels 0 0 0 54 4 7 10 228
Nonparametric Likelihood Methods for Estimation and Inference in Moment Condition Models with Weak Instruments 0 0 0 0 4 6 7 789
On Model Aggregation and Forecast Combination 0 13 21 21 4 11 15 15
On the Hansen-Jagannathan distance with a no-arbitrage constraint 0 0 0 33 5 6 9 164
Robust inference in linear asset pricing models 0 0 0 35 5 5 5 71
Sensitivity of Impulse Responses to Small Low Frequency Co-Movements: Reconciling the Evidence on the Effects of Technology Shocks 0 0 0 43 10 11 11 204
Sparse Trend Estimation 0 0 1 34 6 10 14 34
Specification Testing in Models with Many Instruments 0 0 2 2 11 13 20 40
Specification Testing in Models with Many Instruments 0 0 0 82 16 37 38 348
Spurious Inference in Unidentified Asset-Pricing Models 0 0 0 0 1 4 5 71
The Economic Impact of Low- and High-Frequency Temperature Changes 0 0 8 8 7 11 27 27
The Persistent Compression of the Breakeven Inflation Curve 0 2 6 43 8 16 24 87
The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks 0 0 1 48 3 10 12 126
The role of commodity prices in forecasting U.S. core inflation 0 0 0 51 0 1 3 64
Time Series Nonparametric Regression Using Asymmetric Kernels with an Application to Estimation of Scalar Diffusion Processes 0 0 1 87 4 4 8 220
Too Good to Be True? Fallacies in Evaluating Risk Factor Models 0 0 0 21 5 10 12 74
Total Working Papers 0 18 69 2,307 211 375 534 8,661

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 4 5 15 103
A New Look at the Forward Premium Puzzle 0 0 0 17 5 5 7 95
A Robust Approach to Hedging and Pricing in Imperfect Markets 0 0 0 3 5 6 6 35
A `long march' perspective on tobacco use in Canada 0 0 0 52 2 2 4 280
A ‘long march’ perspective on tobacco use in Canada 0 0 0 0 1 6 10 16
Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root 0 0 1 63 3 6 11 175
Asymptotic confidence intervals for impulse responses of near-integrated processes 0 0 0 44 2 4 7 268
Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models 0 0 0 4 3 7 9 30
Asymptotics of near unit roots (in Russian) 0 0 1 21 6 11 13 70
Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors 0 0 0 36 2 3 6 120
Bootstrap-Based Inference in Models with a Nearly Noninvertible Moving Average Component 0 0 0 0 1 3 4 173
Chi-squared tests for evaluation and comparison of asset pricing models 0 0 0 54 4 6 10 257
Commodity Prices, Convenience Yields, and Inflation 0 1 2 120 3 10 21 455
Common pricing across asset classes: Empirical evidence revisited 0 0 4 19 2 7 20 69
Deconstructing the Yield Curve 0 1 11 11 5 14 36 36
Forecasting volatility 0 0 1 96 3 5 8 358
Foreign exchange predictability and the carry trade: A decomposition approach 0 0 0 24 0 1 5 146
Further Results on the Limiting Distribution of GMM Sample Moment Conditions 0 0 0 8 5 7 8 58
Generalized aggregation of misspecified models: With an application to asset pricing 0 0 0 4 6 10 12 32
Global Health Warnings on Tobacco Packaging: Evidence from the Canadian Experiment 0 0 0 106 0 3 5 595
Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions 0 0 0 85 1 4 5 206
Local GMM estimation of time series models with conditional moment restrictions 0 0 0 93 5 6 8 326
Long-horizon stock valuation and return forecasts based on demographic projections 0 0 0 4 6 7 9 30
Market consistent valuations with financial imperfection 0 0 0 2 2 4 5 28
Median unbiased forecasts for highly persistent autoregressive processes 0 0 1 43 4 7 12 172
Minimum Distance Estimation of Possibly Noninvertible Moving Average Models 0 0 0 4 2 3 5 35
Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors 0 0 2 22 3 6 12 84
Modeling Financial Return Dynamics via Decomposition 0 0 1 101 5 10 14 299
Monetary policy uncertainty, positions of traders and changes in commodity futures prices 0 0 4 15 1 6 17 66
Multivariate Return Decomposition: Theory and Implications 0 0 0 1 3 6 10 37
Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels 0 0 0 7 3 8 9 52
On the Factor Structure of Bond Returns 1 4 12 59 7 15 31 131
On the properties of the constrained Hansen–Jagannathan distance 0 0 0 14 1 3 3 69
ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS 0 0 0 17 1 2 2 101
Risk premiums and predictive ability of BAX futures 0 0 0 5 2 5 7 28
SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS 0 0 3 43 13 21 28 174
Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks 0 0 0 16 6 8 11 91
Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks 0 0 2 111 17 20 25 442
Simulated minimum distance estimation of dynamic models with errors-in-variables 0 0 0 16 7 12 17 162
Specification testing for conditional moment restrictions under local identification failure 0 0 0 0 6 17 19 21
Spurious Inference in Reduced‐Rank Asset‐Pricing Models 0 0 0 7 2 4 9 56
Testing For Threshold Nonlinearity in Short-Term Interest Rates 0 0 0 54 2 3 4 148
The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium 0 2 3 46 20 27 39 186
The response of stock market volatility to futures-based measures of monetary policy shocks 0 1 2 24 1 4 11 114
Tobacco taxes and regressivity 1 1 1 61 4 4 7 205
Too good to be true? Fallacies in evaluating risk factor models 0 1 1 29 3 8 14 147
Total Journal Articles 2 11 55 1,587 189 341 550 6,781

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 3 6 7 17
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 1 3 11 4 4 8 28
Total Chapters 1 1 3 14 7 10 15 45
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Statistics updated 2026-02-12