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 2 17 336
A New Jackknife Variance Estimator for Time-Series and Panel Regressions 0 1 2 10 0 2 16 24
A New Look at the Forward Premium Puzzle 0 0 0 105 0 4 18 258
A Simple Diagnostic for Time-Series and Panel-Data Regressions 0 1 1 21 0 4 17 28
A Uniformly Valid Test for Instrument Exogeneity 0 1 9 9 5 7 22 22
A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains 0 0 0 46 0 2 14 105
A new method for approximating vector autoregressive processes by finite-state Markov chains 0 0 0 62 0 3 16 134
A staggered pricing approach to modeling speculative storage: implications for commodity price dynamics 0 0 0 14 0 2 20 167
Analytical solution for the constrained Hansen-Jagannathan distance under multivariate ellipticity 0 0 0 12 0 5 10 63
Asset Co-movements: Features and Challenges 0 0 0 27 0 1 15 74
Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes: An Application to Purchasing Power Parity 0 0 0 0 0 2 12 412
Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models 0 0 0 25 0 2 12 75
Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors 0 0 0 156 0 6 17 443
Chi-squared tests for evaluation and comparison of asset pricing models 0 0 0 21 1 1 18 133
Deconstructing the yield curve 0 1 1 55 1 6 25 147
Forecasts of inflation and interest rates in no-arbitrage affine models 0 0 0 31 0 2 11 73
Foreign exchange predictability during the financial crisis: implications for carry trade profitability 0 0 0 162 0 1 9 396
Further results on the limiting distribution of GMM sample moment conditions 0 0 0 34 0 1 14 104
General Aggregation of Misspecified Asset Pricing Models 0 0 0 33 0 3 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? 1 1 3 15 1 4 24 36
Local GMM Estimation of Time Series Models with Conditional Moment Restrictions 0 0 0 269 0 3 12 778
Long-Term Health Effects of Vietnam War's Herbicide Exposure on the Vietnamese Population 0 0 0 42 0 6 37 262
Median Unbiased Forecasts for Highly Persistent Autoregressive Processes 0 0 0 69 0 2 11 611
Minimum Distance Estimation of Dynamic Models with Errors-In-Variables 0 0 0 22 0 1 11 113
Minimum distance estimation of possibly non-invertible moving average models 0 0 0 42 0 1 10 101
Misspecification-robust inference in linear asset pricing models with irrelevant risk factors 0 0 0 36 0 1 18 125
Modeling Financial Return Dynamics by Decomposition 0 0 1 195 1 6 19 725
Modeling Financial Return Dynamics by Decomposition 0 1 1 6 0 2 9 72
Monetary policy surprises, positions of traders, and changes in commodity futures prices 0 0 0 42 0 1 19 179
Multivariate return decomposition: theory and implications 0 0 0 44 0 3 12 150
Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels 0 0 0 54 1 2 15 234
Nonparametric Likelihood Methods for Estimation and Inference in Moment Condition Models with Weak Instruments 0 0 0 0 0 5 14 797
On Model Aggregation and Forecast Combination 0 0 22 22 0 4 22 22
On the Hansen-Jagannathan distance with a no-arbitrage constraint 0 0 0 33 0 2 13 168
Robust inference in linear asset pricing models 0 0 0 35 0 3 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 1 14 207
Sparse Trend Estimation 0 0 0 34 0 5 27 51
Specification Testing in Models with Many Instruments 0 0 0 2 0 3 25 48
Specification Testing in Models with Many Instruments 0 0 0 82 0 5 68 378
Spurious Inference in Unidentified Asset-Pricing Models 0 0 0 0 0 0 6 73
The Economic Impact of Low- and High-Frequency Temperature Changes 0 1 9 9 1 8 35 36
The Persistent Compression of the Breakeven Inflation Curve 0 0 7 44 2 4 29 94
The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks 0 0 0 48 0 1 15 130
The role of commodity prices in forecasting U.S. core inflation 0 0 0 51 3 5 8 69
Time Series Nonparametric Regression Using Asymmetric Kernels with an Application to Estimation of Scalar Diffusion Processes 0 0 1 87 0 6 15 227
Too Good to Be True? Fallacies in Evaluating Risk Factor Models 0 0 0 21 0 0 13 75
Total Working Papers 1 7 57 2,317 17 140 807 8,992

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 7 23 117
A New Look at the Forward Premium Puzzle 0 0 0 17 0 2 9 98
A Robust Approach to Hedging and Pricing in Imperfect Markets 0 0 0 3 0 3 10 39
A `long march' perspective on tobacco use in Canada 0 0 0 52 0 3 6 283
A ‘long march’ perspective on tobacco use in Canada 0 0 0 0 1 2 9 18
Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root 0 0 1 63 1 4 14 179
Asymptotic confidence intervals for impulse responses of near-integrated processes 0 0 0 44 0 0 10 271
Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models 0 0 0 4 1 4 15 37
Asymptotics of near unit roots (in Russian) 0 0 0 21 0 2 19 77
Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors 0 0 0 36 1 3 12 126
Bootstrap-Based Inference in Models with a Nearly Noninvertible Moving Average Component 0 0 0 0 0 1 5 174
Chi-squared tests for evaluation and comparison of asset pricing models 0 0 0 54 0 2 11 259
Commodity Prices, Convenience Yields, and Inflation 0 1 3 122 1 6 31 469
Common pricing across asset classes: Empirical evidence revisited 0 0 3 19 0 3 22 75
Deconstructing the Yield Curve 0 0 8 12 0 0 34 45
Forecasting volatility 0 0 0 96 1 2 14 366
Foreign exchange predictability and the carry trade: A decomposition approach 0 0 0 24 3 6 16 159
Further Results on the Limiting Distribution of GMM Sample Moment Conditions 0 0 0 8 0 2 11 61
Generalized aggregation of misspecified models: With an application to asset pricing 0 0 0 4 1 9 23 44
Global Health Warnings on Tobacco Packaging: Evidence from the Canadian Experiment 0 0 0 106 0 2 9 600
Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions 0 0 0 85 0 2 8 209
Local GMM estimation of time series models with conditional moment restrictions 0 1 1 94 1 4 15 334
Long-horizon stock valuation and return forecasts based on demographic projections 0 0 0 4 1 5 15 36
Market consistent valuations with financial imperfection 0 0 0 2 0 1 10 34
Median unbiased forecasts for highly persistent autoregressive processes 0 0 0 43 0 0 14 176
Minimum Distance Estimation of Possibly Noninvertible Moving Average Models 0 0 0 4 0 1 9 39
Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors 0 0 1 22 0 1 12 88
Modeling Financial Return Dynamics via Decomposition 1 2 3 103 2 5 22 307
Monetary policy uncertainty, positions of traders and changes in commodity futures prices 0 0 0 15 1 5 17 75
Multivariate Return Decomposition: Theory and Implications 0 0 0 1 0 1 11 39
Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels 0 0 0 7 0 1 14 57
On the Factor Structure of Bond Returns 0 4 16 64 0 10 43 151
On the properties of the constrained Hansen–Jagannathan distance 0 0 0 14 0 2 8 74
ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS 0 0 0 17 0 1 6 105
Risk premiums and predictive ability of BAX futures 0 0 0 5 0 1 9 31
SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS 1 1 2 44 6 8 48 197
Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks 0 0 1 111 0 0 26 446
Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks 0 0 0 16 0 4 14 96
Simulated minimum distance estimation of dynamic models with errors-in-variables 0 0 0 16 0 2 22 167
Specification testing for conditional moment restrictions under local identification failure 0 0 0 0 0 2 21 25
Spurious Inference in Reduced‐Rank Asset‐Pricing Models 0 0 1 8 1 3 17 64
Testing For Threshold Nonlinearity in Short-Term Interest Rates 0 0 0 54 1 1 6 151
The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium 2 2 4 48 4 10 74 227
The response of stock market volatility to futures-based measures of monetary policy shocks 0 0 2 24 2 4 13 121
Tobacco taxes and regressivity 0 0 1 61 0 4 13 211
Too good to be true? Fallacies in evaluating risk factor models 0 0 1 29 0 4 19 154
Total Journal Articles 4 11 48 1,602 30 145 789 7,111

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 3 9 20
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 3 11 3 6 19 41
Total Chapters 0 0 3 14 4 9 28 61
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