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 3 9 12 331
A New Jackknife Variance Estimator for Time-Series and Panel Regressions 0 0 2 9 1 5 16 22
A New Look at the Forward Premium Puzzle 0 0 0 105 5 11 14 253
A Simple Diagnostic for Time-Series and Panel-Data Regressions 0 0 1 20 2 7 15 24
A Uniformly Valid Test for Instrument Exogeneity 1 1 8 8 1 8 14 14
A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains 0 0 0 46 2 9 11 101
A new method for approximating vector autoregressive processes by finite-state Markov chains 0 0 0 62 4 11 11 129
A staggered pricing approach to modeling speculative storage: implications for commodity price dynamics 0 0 0 14 6 12 16 163
Analytical solution for the constrained Hansen-Jagannathan distance under multivariate ellipticity 0 0 0 12 1 4 5 58
Asset Co-movements: Features and Challenges 0 0 0 27 1 6 11 70
Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes: An Application to Purchasing Power Parity 0 0 0 0 4 6 8 408
Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models 0 0 0 25 8 9 10 73
Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors 0 0 0 156 4 10 12 437
Chi-squared tests for evaluation and comparison of asset pricing models 0 0 0 21 7 14 18 132
Deconstructing the yield curve 0 0 1 54 4 17 19 140
Forecasts of inflation and interest rates in no-arbitrage affine models 0 0 0 31 0 6 9 70
Foreign exchange predictability during the financial crisis: implications for carry trade profitability 0 0 0 162 2 4 8 395
Further results on the limiting distribution of GMM sample moment conditions 0 0 0 34 1 8 13 103
General Aggregation of Misspecified Asset Pricing Models 0 0 0 33 1 3 8 125
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 0 14 14 3 12 32 32
Local GMM Estimation of Time Series Models with Conditional Moment Restrictions 0 0 0 269 3 5 9 773
Long-Term Health Effects of Vietnam War's Herbicide Exposure on the Vietnamese Population 0 0 0 42 4 18 26 248
Median Unbiased Forecasts for Highly Persistent Autoregressive Processes 0 0 0 69 4 7 9 609
Minimum Distance Estimation of Dynamic Models with Errors-In-Variables 0 0 0 22 1 8 10 111
Minimum distance estimation of possibly non-invertible moving average models 0 0 0 42 6 8 8 99
Misspecification-robust inference in linear asset pricing models with irrelevant risk factors 0 0 0 36 1 7 14 120
Modeling Financial Return Dynamics by Decomposition 0 0 1 195 1 8 14 719
Modeling Financial Return Dynamics by Decomposition 0 0 2 5 2 5 9 70
Monetary policy surprises, positions of traders, and changes in commodity futures prices 0 0 0 42 5 13 16 176
Multivariate return decomposition: theory and implications 0 0 0 44 0 8 9 147
Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels 0 0 0 54 3 10 13 231
Nonparametric Likelihood Methods for Estimation and Inference in Moment Condition Models with Weak Instruments 0 0 0 0 3 8 9 792
On Model Aggregation and Forecast Combination 1 1 22 22 3 9 18 18
On the Hansen-Jagannathan distance with a no-arbitrage constraint 0 0 0 33 1 7 10 165
Robust inference in linear asset pricing models 0 0 0 35 0 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 2 12 13 206
Sparse Trend Estimation 0 0 1 34 10 17 23 44
Specification Testing in Models with Many Instruments 0 0 0 82 17 46 55 365
Specification Testing in Models with Many Instruments 0 0 2 2 5 16 25 45
Spurious Inference in Unidentified Asset-Pricing Models 0 0 0 0 0 2 5 71
The Economic Impact of Low- and High-Frequency Temperature Changes 0 0 8 8 1 10 28 28
The Persistent Compression of the Breakeven Inflation Curve 1 3 7 44 3 18 27 90
The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks 0 0 1 48 3 11 15 129
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 1 5 9 221
Too Good to Be True? Fallacies in Evaluating Risk Factor Models 0 0 0 21 1 7 13 75
Total Working Papers 3 5 71 2,310 140 445 661 8,801

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 5 10 20 108
A New Look at the Forward Premium Puzzle 0 0 0 17 1 6 8 96
A Robust Approach to Hedging and Pricing in Imperfect Markets 0 0 0 3 1 7 7 36
A `long march' perspective on tobacco use in Canada 0 0 0 52 0 2 4 280
A ‘long march’ perspective on tobacco use in Canada 0 0 0 0 0 2 10 16
Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root 0 0 1 63 0 5 11 175
Asymptotic confidence intervals for impulse responses of near-integrated processes 0 0 0 44 3 7 10 271
Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models 0 0 0 4 1 4 9 31
Asymptotics of near unit roots (in Russian) 0 0 1 21 4 14 17 74
Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors 0 0 0 36 1 3 7 121
Bootstrap-Based Inference in Models with a Nearly Noninvertible Moving Average Component 0 0 0 0 0 3 4 173
Chi-squared tests for evaluation and comparison of asset pricing models 0 0 0 54 0 5 10 257
Commodity Prices, Convenience Yields, and Inflation 1 1 2 121 5 14 24 460
Common pricing across asset classes: Empirical evidence revisited 0 0 4 19 2 8 21 71
Deconstructing the Yield Curve 0 0 11 11 6 17 42 42
Forecasting volatility 0 0 1 96 6 10 14 364
Foreign exchange predictability and the carry trade: A decomposition approach 0 0 0 24 4 4 9 150
Further Results on the Limiting Distribution of GMM Sample Moment Conditions 0 0 0 8 0 6 8 58
Generalized aggregation of misspecified models: With an application to asset pricing 0 0 0 4 2 8 14 34
Global Health Warnings on Tobacco Packaging: Evidence from the Canadian Experiment 0 0 0 106 2 4 7 597
Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions 0 0 0 85 0 3 5 206
Local GMM estimation of time series models with conditional moment restrictions 0 0 0 93 2 8 10 328
Long-horizon stock valuation and return forecasts based on demographic projections 0 0 0 4 1 8 10 31
Market consistent valuations with financial imperfection 0 0 0 2 4 7 9 32
Median unbiased forecasts for highly persistent autoregressive processes 0 0 1 43 1 8 13 173
Minimum Distance Estimation of Possibly Noninvertible Moving Average Models 0 0 0 4 2 4 7 37
Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors 0 0 1 22 3 8 13 87
Modeling Financial Return Dynamics via Decomposition 0 0 1 101 1 10 15 300
Monetary policy uncertainty, positions of traders and changes in commodity futures prices 0 0 2 15 3 7 16 69
Multivariate Return Decomposition: Theory and Implications 0 0 0 1 1 5 10 38
Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels 0 0 0 7 2 9 11 54
On the Factor Structure of Bond Returns 0 2 11 59 5 18 33 136
On the properties of the constrained Hansen–Jagannathan distance 0 0 0 14 1 4 4 70
ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS 0 0 0 17 3 5 5 104
Risk premiums and predictive ability of BAX futures 0 0 0 5 2 7 8 30
SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS 0 0 3 43 12 30 40 186
Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks 0 0 2 111 2 21 25 444
Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks 0 0 0 16 0 8 10 91
Simulated minimum distance estimation of dynamic models with errors-in-variables 0 0 0 16 1 10 18 163
Specification testing for conditional moment restrictions under local identification failure 0 0 0 0 2 13 21 23
Spurious Inference in Reduced‐Rank Asset‐Pricing Models 1 1 1 8 2 5 11 58
Testing For Threshold Nonlinearity in Short-Term Interest Rates 0 0 0 54 2 5 5 150
The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium 0 1 3 46 18 41 57 204
The response of stock market volatility to futures-based measures of monetary policy shocks 0 0 2 24 2 5 10 116
Tobacco taxes and regressivity 0 1 1 61 1 5 8 206
Too good to be true? Fallacies in evaluating risk factor models 0 0 1 29 3 6 16 150
Total Journal Articles 2 6 52 1,589 119 399 646 6,900

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 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 0 1 3 11 4 8 12 32
Total Chapters 0 1 3 14 4 11 19 49
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