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 0 1 9 9 1 6 18 18
A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains 0 0 0 131 1 1 4 323
A New Look at the Forward Premium Puzzle 0 0 0 105 1 2 5 243
A Simple Diagnostic for Time-Series and Panel-Data Regressions 0 0 7 20 1 6 12 18
A Uniformly Valid Test for Instrument Exogeneity 0 7 7 7 3 9 9 9
A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains 0 0 0 46 3 3 5 95
A new method for approximating vector autoregressive processes by finite-state Markov chains 0 0 0 62 3 3 3 121
A staggered pricing approach to modeling speculative storage: implications for commodity price dynamics 0 0 0 14 3 7 7 154
Analytical solution for the constrained Hansen-Jagannathan distance under multivariate ellipticity 0 0 0 12 1 2 3 55
Asset Co-movements: Features and Challenges 0 0 0 27 2 6 7 66
Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes: An Application to Purchasing Power Parity 0 0 0 0 1 3 3 403
Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models 0 0 0 25 0 1 1 64
Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors 0 0 0 156 1 2 4 428
Chi-squared tests for evaluation and comparison of asset pricing models 0 0 0 21 2 4 8 120
Deconstructing the yield curve 0 0 1 54 3 4 6 126
Forecasts of inflation and interest rates in no-arbitrage affine models 0 0 0 31 3 5 7 67
Foreign exchange predictability during the financial crisis: implications for carry trade profitability 0 0 0 162 1 4 5 392
Further results on the limiting distribution of GMM sample moment conditions 0 0 0 34 3 8 9 98
General Aggregation of Misspecified Asset Pricing Models 0 0 0 33 0 4 7 122
Hedging and Pricing in Imperfect Markets under Non-Convexity 0 0 0 16 3 4 4 34
How Uncertain Is the Estimated Probability of a Future Recession? 0 1 14 14 3 4 23 23
Local GMM Estimation of Time Series Models with Conditional Moment Restrictions 0 0 0 269 0 2 5 768
Long-Term Health Effects of Vietnam War's Herbicide Exposure on the Vietnamese Population 0 0 0 42 2 7 11 232
Median Unbiased Forecasts for Highly Persistent Autoregressive Processes 0 0 0 69 0 0 3 602
Minimum Distance Estimation of Dynamic Models with Errors-In-Variables 0 0 0 22 3 4 6 106
Minimum distance estimation of possibly non-invertible moving average models 0 0 0 42 1 1 1 92
Misspecification-robust inference in linear asset pricing models with irrelevant risk factors 0 0 1 36 3 9 12 116
Modeling Financial Return Dynamics by Decomposition 0 0 2 5 2 3 6 67
Modeling Financial Return Dynamics by Decomposition 0 0 1 195 1 5 8 712
Monetary policy surprises, positions of traders, and changes in commodity futures prices 0 0 0 42 2 3 8 165
Multivariate return decomposition: theory and implications 0 0 0 44 3 3 4 142
Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels 0 0 0 54 3 3 6 224
Nonparametric Likelihood Methods for Estimation and Inference in Moment Condition Models with Weak Instruments 0 0 0 0 1 2 3 785
On Model Aggregation and Forecast Combination 0 21 21 21 2 11 11 11
On the Hansen-Jagannathan distance with a no-arbitrage constraint 0 0 0 33 1 3 5 159
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 1 1 194
Sparse Trend Estimation 0 0 1 34 1 4 8 28
Specification Testing in Models with Many Instruments 0 0 0 82 13 21 22 332
Specification Testing in Models with Many Instruments 0 0 2 2 0 6 9 29
Spurious Inference in Unidentified Asset-Pricing Models 0 0 0 0 1 3 4 70
The Economic Impact of Low- and High-Frequency Temperature Changes 0 0 8 8 2 5 20 20
The Persistent Compression of the Breakeven Inflation Curve 2 3 6 43 7 10 16 79
The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks 0 0 1 48 5 8 10 123
The role of commodity prices in forecasting U.S. core inflation 0 0 0 51 1 2 3 64
Time Series Nonparametric Regression Using Asymmetric Kernels with an Application to Estimation of Scalar Diffusion Processes 0 0 1 87 0 1 4 216
Too Good to Be True? Fallacies in Evaluating Risk Factor Models 0 0 0 21 1 5 7 69
Total Working Papers 2 33 82 2,307 94 210 343 8,450

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 1 3 11 99
A New Look at the Forward Premium Puzzle 0 0 0 17 0 0 2 90
A Robust Approach to Hedging and Pricing in Imperfect Markets 0 0 0 3 1 1 1 30
A `long march' perspective on tobacco use in Canada 0 0 0 52 0 0 2 278
A ‘long march’ perspective on tobacco use in Canada 0 0 0 0 1 6 11 15
Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root 0 1 1 63 2 4 8 172
Asymptotic confidence intervals for impulse responses of near-integrated processes 0 0 0 44 2 3 6 266
Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models 0 0 0 4 0 4 6 27
Asymptotics of near unit roots (in Russian) 0 0 1 21 4 5 7 64
Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors 0 0 0 36 0 1 4 118
Bootstrap-Based Inference in Models with a Nearly Noninvertible Moving Average Component 0 0 0 0 2 3 3 172
Chi-squared tests for evaluation and comparison of asset pricing models 0 0 0 54 1 3 6 253
Commodity Prices, Convenience Yields, and Inflation 0 1 2 120 6 7 21 452
Common pricing across asset classes: Empirical evidence revisited 0 1 4 19 4 7 18 67
Deconstructing the Yield Curve 0 2 11 11 6 12 31 31
Forecasting volatility 0 0 1 96 1 3 5 355
Foreign exchange predictability and the carry trade: A decomposition approach 0 0 0 24 0 2 6 146
Further Results on the Limiting Distribution of GMM Sample Moment Conditions 0 0 0 8 1 3 3 53
Generalized aggregation of misspecified models: With an application to asset pricing 0 0 0 4 0 4 7 26
Global Health Warnings on Tobacco Packaging: Evidence from the Canadian Experiment 0 0 0 106 2 4 5 595
Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions 0 0 0 85 2 4 4 205
Local GMM estimation of time series models with conditional moment restrictions 0 0 0 93 1 1 5 321
Long-horizon stock valuation and return forecasts based on demographic projections 0 0 1 4 1 3 4 24
Market consistent valuations with financial imperfection 0 0 0 2 1 2 4 26
Median unbiased forecasts for highly persistent autoregressive processes 0 0 1 43 3 5 8 168
Minimum Distance Estimation of Possibly Noninvertible Moving Average Models 0 0 0 4 0 3 3 33
Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors 0 0 2 22 2 4 9 81
Modeling Financial Return Dynamics via Decomposition 0 1 2 101 4 7 12 294
Monetary policy uncertainty, positions of traders and changes in commodity futures prices 0 0 4 15 3 6 17 65
Multivariate Return Decomposition: Theory and Implications 0 0 0 1 1 5 7 34
Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels 0 0 0 7 4 6 6 49
On the Factor Structure of Bond Returns 1 5 11 58 6 10 26 124
On the properties of the constrained Hansen–Jagannathan distance 0 0 0 14 2 2 2 68
ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS 0 0 0 17 1 1 1 100
Risk premiums and predictive ability of BAX futures 0 0 0 5 3 3 6 26
SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS 0 0 3 43 5 10 15 161
Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks 0 0 0 16 2 3 5 85
Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks 0 0 2 111 2 4 10 425
Simulated minimum distance estimation of dynamic models with errors-in-variables 0 0 0 16 2 6 10 155
Specification testing for conditional moment restrictions under local identification failure 0 0 0 0 5 11 13 15
Spurious Inference in Reduced‐Rank Asset‐Pricing Models 0 0 0 7 1 5 7 54
Testing For Threshold Nonlinearity in Short-Term Interest Rates 0 0 0 54 1 1 2 146
The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium 1 2 3 46 3 9 19 166
The response of stock market volatility to futures-based measures of monetary policy shocks 0 1 2 24 2 4 10 113
Tobacco taxes and regressivity 0 0 0 60 0 1 4 201
Too good to be true? Fallacies in evaluating risk factor models 0 1 1 29 0 7 11 144
Total Journal Articles 2 15 55 1,585 91 198 383 6,592

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 3 4 14
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 1 2 10 0 1 4 24
Total Chapters 0 1 2 13 0 4 8 38
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