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 1 7 16 335
A New Jackknife Variance Estimator for Time-Series and Panel Regressions 1 1 2 10 2 3 16 24
A New Look at the Forward Premium Puzzle 0 0 0 105 4 10 18 258
A Simple Diagnostic for Time-Series and Panel-Data Regressions 0 0 1 20 3 5 18 27
A Uniformly Valid Test for Instrument Exogeneity 0 1 8 8 0 2 15 15
A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains 0 0 0 46 2 6 15 105
A new method for approximating vector autoregressive processes by finite-state Markov chains 0 0 0 62 1 7 14 132
A staggered pricing approach to modeling speculative storage: implications for commodity price dynamics 0 0 0 14 2 10 20 167
Analytical solution for the constrained Hansen-Jagannathan distance under multivariate ellipticity 0 0 0 12 4 5 9 62
Asset Co-movements: Features and Challenges 0 0 0 27 0 4 14 73
Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes: An Application to Purchasing Power Parity 0 0 0 0 2 8 12 412
Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models 0 0 0 25 2 10 12 75
Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors 0 0 0 156 3 7 15 440
Chi-squared tests for evaluation and comparison of asset pricing models 0 0 0 21 0 7 17 132
Deconstructing the yield curve 0 0 0 54 2 7 21 143
Forecasts of inflation and interest rates in no-arbitrage affine models 0 0 0 31 2 3 12 73
Foreign exchange predictability during the financial crisis: implications for carry trade profitability 0 0 0 162 1 3 9 396
Further results on the limiting distribution of GMM sample moment conditions 0 0 0 34 1 2 14 104
General Aggregation of Misspecified Asset Pricing Models 0 0 0 33 2 4 10 128
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 0 14 14 2 5 34 34
Local GMM Estimation of Time Series Models with Conditional Moment Restrictions 0 0 0 269 2 7 12 777
Long-Term Health Effects of Vietnam War's Herbicide Exposure on the Vietnamese Population 0 0 0 42 5 17 38 261
Median Unbiased Forecasts for Highly Persistent Autoregressive Processes 0 0 0 69 1 5 10 610
Minimum Distance Estimation of Dynamic Models with Errors-In-Variables 0 0 0 22 1 3 11 113
Minimum distance estimation of possibly non-invertible moving average models 0 0 0 42 0 7 9 100
Misspecification-robust inference in linear asset pricing models with irrelevant risk factors 0 0 0 36 1 6 19 125
Modeling Financial Return Dynamics by Decomposition 0 0 1 195 5 6 18 724
Modeling Financial Return Dynamics by Decomposition 1 1 3 6 2 4 11 72
Monetary policy surprises, positions of traders, and changes in commodity futures prices 0 0 0 42 1 8 19 179
Multivariate return decomposition: theory and implications 0 0 0 44 3 3 12 150
Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels 0 0 0 54 0 4 13 232
Nonparametric Likelihood Methods for Estimation and Inference in Moment Condition Models with Weak Instruments 0 0 0 0 5 8 14 797
On Model Aggregation and Forecast Combination 0 1 22 22 3 6 21 21
On the Hansen-Jagannathan distance with a no-arbitrage constraint 0 0 0 33 2 4 13 168
Robust inference in linear asset pricing models 0 0 0 35 3 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 0 2 13 206
Sparse Trend Estimation 0 0 0 34 3 15 25 49
Specification Testing in Models with Many Instruments 0 0 0 82 3 28 66 376
Specification Testing in Models with Many Instruments 0 0 2 2 2 7 26 47
Spurious Inference in Unidentified Asset-Pricing Models 0 0 0 0 0 2 6 73
The Economic Impact of Low- and High-Frequency Temperature Changes 0 0 8 8 5 6 33 33
The Persistent Compression of the Breakeven Inflation Curve 0 1 7 44 1 4 27 91
The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks 0 0 0 48 1 4 15 130
The role of commodity prices in forecasting U.S. core inflation 0 0 0 51 0 0 3 64
Time Series Nonparametric Regression Using Asymmetric Kernels with an Application to Estimation of Scalar Diffusion Processes 0 0 1 87 5 6 14 226
Too Good to Be True? Fallacies in Evaluating Risk Factor Models 0 0 0 21 0 1 13 75
Total Working Papers 2 5 69 2,312 90 281 784 8,942

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 2 26 5 12 26 115
A New Look at the Forward Premium Puzzle 0 0 0 17 1 2 9 97
A Robust Approach to Hedging and Pricing in Imperfect Markets 0 0 0 3 3 4 10 39
A `long march' perspective on tobacco use in Canada 0 0 0 52 2 2 5 282
A ‘long march’ perspective on tobacco use in Canada 0 0 0 0 1 1 8 17
Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root 0 0 1 63 3 3 13 178
Asymptotic confidence intervals for impulse responses of near-integrated processes 0 0 0 44 0 3 10 271
Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models 0 0 0 4 2 5 13 35
Asymptotics of near unit roots (in Russian) 0 0 1 21 2 7 20 77
Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors 0 0 0 36 2 5 11 125
Bootstrap-Based Inference in Models with a Nearly Noninvertible Moving Average Component 0 0 0 0 0 0 4 173
Chi-squared tests for evaluation and comparison of asset pricing models 0 0 0 54 1 1 10 258
Commodity Prices, Convenience Yields, and Inflation 0 1 2 121 4 12 29 467
Common pricing across asset classes: Empirical evidence revisited 0 0 4 19 3 6 24 75
Deconstructing the Yield Curve 0 1 11 12 0 9 39 45
Forecasting volatility 0 0 1 96 1 7 14 365
Foreign exchange predictability and the carry trade: A decomposition approach 0 0 0 24 2 9 13 155
Further Results on the Limiting Distribution of GMM Sample Moment Conditions 0 0 0 8 2 3 11 61
Generalized aggregation of misspecified models: With an application to asset pricing 0 0 0 4 7 10 21 42
Global Health Warnings on Tobacco Packaging: Evidence from the Canadian Experiment 0 0 0 106 2 5 9 600
Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions 0 0 0 85 1 2 7 208
Local GMM estimation of time series models with conditional moment restrictions 0 0 0 93 1 5 12 331
Long-horizon stock valuation and return forecasts based on demographic projections 0 0 0 4 2 3 12 33
Market consistent valuations with financial imperfection 0 0 0 2 1 6 11 34
Median unbiased forecasts for highly persistent autoregressive processes 0 0 1 43 0 4 16 176
Minimum Distance Estimation of Possibly Noninvertible Moving Average Models 0 0 0 4 0 3 8 38
Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors 0 0 1 22 1 4 14 88
Modeling Financial Return Dynamics via Decomposition 1 1 2 102 3 6 20 305
Monetary policy uncertainty, positions of traders and changes in commodity futures prices 0 0 0 15 4 8 18 74
Multivariate Return Decomposition: Theory and Implications 0 0 0 1 1 2 11 39
Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels 0 0 0 7 1 5 14 57
On the Factor Structure of Bond Returns 1 2 13 61 1 11 37 142
On the properties of the constrained Hansen–Jagannathan distance 0 0 0 14 1 4 7 73
ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS 0 0 0 17 1 4 6 105
Risk premiums and predictive ability of BAX futures 0 0 0 5 1 3 9 31
SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS 0 0 2 43 2 17 44 191
Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks 0 0 1 111 0 4 26 446
Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks 0 0 0 16 3 4 13 95
Simulated minimum distance estimation of dynamic models with errors-in-variables 0 0 0 16 1 4 21 166
Specification testing for conditional moment restrictions under local identification failure 0 0 0 0 1 3 22 24
Spurious Inference in Reduced‐Rank Asset‐Pricing Models 0 1 1 8 1 6 15 62
Testing For Threshold Nonlinearity in Short-Term Interest Rates 0 0 0 54 0 2 5 150
The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium 0 0 3 46 5 36 71 222
The response of stock market volatility to futures-based measures of monetary policy shocks 0 0 2 24 2 5 12 119
Tobacco taxes and regressivity 0 0 1 61 4 6 13 211
Too good to be true? Fallacies in evaluating risk factor models 0 0 1 29 2 5 18 152
Total Journal Articles 2 6 50 1,593 83 268 761 7,049

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 2 2 9 19
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 2 9 16 37
Total Chapters 0 0 3 14 4 11 25 56
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