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 2 130 0 5 12 305
A New Look at the Forward Premium Puzzle 0 2 2 105 0 4 13 221
A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains 0 0 0 43 0 2 7 74
A new method for approximating vector autoregressive processes by finite-state Markov chains 0 0 1 60 0 0 7 103
A staggered pricing approach to modeling speculative storage: implications for commodity price dynamics 0 0 0 14 0 2 7 71
Analytical solution for the constrained Hansen-Jagannathan distance under multivariate ellipticity 1 1 1 12 1 4 7 50
Asset Co-movements: Features and Challenges 0 0 2 19 0 5 14 29
Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes: An Application to Purchasing Power Parity 0 0 0 0 0 3 7 396
Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models 0 0 0 24 0 2 19 47
Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors 0 0 0 156 0 1 7 410
Chi-squared tests for evaluation and comparison of asset pricing models 0 0 0 20 3 6 13 102
Deconstructing the yield curve 0 2 37 37 1 7 48 48
Forecasts of inflation and interest rates in no-arbitrage affine models 0 0 0 30 1 5 11 48
Foreign exchange predictability during the financial crisis: implications for carry trade profitability 0 0 1 158 0 3 15 371
Further results on the limiting distribution of GMM sample moment conditions 0 0 0 34 0 3 5 81
General Aggregation of Misspecified Asset Pricing Models 0 0 3 31 3 5 11 33
Hedging and Pricing in Imperfect Markets under Non-Convexity 0 0 1 16 0 2 5 25
Local GMM Estimation of Time Series Models with Conditional Moment Restrictions 0 1 1 269 0 4 9 750
Long-Term Health Effects of Vietnam War's Herbicide Exposure on the Vietnamese Population 1 1 10 34 3 11 50 141
Median Unbiased Forecasts for Highly Persistent Autoregressive Processes 0 0 0 69 2 4 8 591
Minimum Distance Estimation of Dynamic Models with Errors-In-Variables 0 1 3 22 0 4 14 91
Minimum distance estimation of possibly non-invertible moving average models 0 0 0 42 0 3 9 81
Misspecification-robust inference in linear asset pricing models with irrelevant risk factors 0 0 0 33 1 5 9 89
Modeling Financial Return Dynamics by Decomposition 0 0 0 191 0 6 12 646
Modeling Financial Return Dynamics by Decomposition 0 0 0 0 0 3 8 8
Monetary policy surprises, positions of traders, and changes in commodity futures prices 0 0 0 36 0 7 9 132
Multivariate return decomposition: theory and implications 0 0 1 40 0 4 14 113
Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels 0 0 1 54 0 2 7 203
Nonparametric Likelihood Methods for Estimation and Inference in Moment Condition Models with Weak Instruments 0 0 0 0 0 2 3 773
On the Hansen-Jagannathan distance with a no-arbitrage constraint 0 0 0 29 0 2 6 142
Robust inference in linear asset pricing models 0 0 0 34 0 2 3 58
Sensitivity of Impulse Responses to Small Low Frequency Co-Movements: Reconciling the Evidence on the Effects of Technology Shocks 0 0 1 39 2 6 18 167
Specification Testing in Models with Many Instruments 0 0 0 80 0 2 7 286
Specification Testing in Models with Many Instruments 0 0 0 0 0 2 10 10
Spurious Inference in Unidentified Asset-Pricing Models 0 0 0 0 2 5 12 54
The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks 0 0 2 46 1 3 12 95
The role of commodity prices in forecasting U.S. core inflation 0 0 0 50 1 3 8 53
Time Series Nonparametric Regression Using Asymmetric Kernels with an Application to Estimation of Scalar Diffusion Processes 0 0 0 82 0 2 6 191
Too Good to Be True? Fallacies in Evaluating Risk Factor Models 0 0 1 17 0 5 17 45
Total Working Papers 2 8 70 2,056 21 146 459 7,133

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 19 0 1 2 66
A New Look at the Forward Premium Puzzle 0 0 0 16 0 5 8 78
A Robust Approach to Hedging and Pricing in Imperfect Markets 0 0 0 1 1 5 6 10
A `long march' perspective on tobacco use in Canada 0 0 0 51 0 1 3 266
Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root 0 0 0 58 0 1 1 154
Asymptotic confidence intervals for impulse responses of near-integrated processes 0 0 1 44 0 3 10 252
Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models 0 1 2 4 0 3 9 15
Asymptotics of near unit roots (in Russian) 0 0 0 16 0 2 3 41
Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors 0 0 0 35 0 1 2 107
Bootstrap-Based Inference in Models with a Nearly Noninvertible Moving Average Component 0 0 0 0 0 1 2 163
Chi-squared tests for evaluation and comparison of asset pricing models 0 0 0 52 4 9 15 222
Commodity Prices, Convenience Yields, and Inflation 0 0 7 73 2 4 31 288
Forecasting volatility 0 0 1 91 0 2 6 269
Foreign exchange predictability and the carry trade: A decomposition approach 1 3 5 14 2 9 29 75
Further Results on the Limiting Distribution of GMM Sample Moment Conditions 0 0 0 8 0 3 4 45
Global Health Warnings on Tobacco Packaging: Evidence from the Canadian Experiment 0 0 2 103 1 2 6 508
Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions 0 0 4 83 0 2 14 191
Local GMM estimation of time series models with conditional moment restrictions 0 0 1 88 0 3 13 299
Market consistent valuations with financial imperfection 0 0 1 2 0 1 8 11
Median unbiased forecasts for highly persistent autoregressive processes 0 0 0 42 1 3 5 149
Minimum Distance Estimation of Possibly Noninvertible Moving Average Models 0 0 1 4 0 3 12 23
Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors 0 1 2 12 1 3 9 42
Modeling Financial Return Dynamics via Decomposition 0 0 2 93 0 4 11 257
Monetary policy uncertainty, positions of traders and changes in commodity futures prices 0 0 2 3 0 1 12 13
Multivariate Return Decomposition: Theory and Implications 0 0 0 0 0 5 12 12
Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels 0 0 0 5 0 2 7 34
On the properties of the constrained Hansen–Jagannathan distance 0 0 0 10 0 4 8 50
ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS 0 0 0 17 0 2 2 98
Risk premiums and predictive ability of BAX futures 0 0 0 3 0 1 1 16
Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks 0 0 3 14 2 4 15 58
Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks 0 0 1 95 2 6 19 351
Simulated minimum distance estimation of dynamic models with errors-in-variables 0 1 4 11 1 6 28 103
Spurious Inference in Reduced‐Rank Asset‐Pricing Models 0 0 3 6 1 3 8 25
Testing For Threshold Nonlinearity in Short-Term Interest Rates 0 0 0 51 0 1 3 135
The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium 0 1 12 22 0 4 24 81
The response of stock market volatility to futures-based measures of monetary policy shocks 0 0 3 14 0 3 19 61
Tobacco taxes and regressivity 0 0 3 51 0 0 10 171
Too good to be true? Fallacies in evaluating risk factor models 0 2 9 9 4 12 52 52
Total Journal Articles 1 9 69 1,220 22 125 429 4,791

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Statistics updated 2020-03-04