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Details about Nikolay Gospodinov

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Workplace:Economic Research Department, Federal Reserve Bank of Atlanta, (more information at EDIRC)

Access statistics for papers by Nikolay Gospodinov.

Last updated 2016-07-09. Update your information in the RePEc Author Service.

Short-id: pgo5


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Working Papers

2016

  1. Forecasts of inflation and interest rates in no-arbitrage affine models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (2)
  2. The role of commodity prices in forecasting U.S. core inflation
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads

2015

  1. Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads
  2. Foreign exchange predictability during the financial crisis: implications for carry trade profitability
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads
  3. Long-Term Health Effects of Vietnam War's Herbicide Exposure on the Vietnamese Population
    Working Papers, Canadian Centre for Health Economics Downloads
  4. Multivariate return decomposition: theory and implications
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads

2014

  1. Hedging and Pricing in Imperfect Markets under Non-Convexity
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads
  2. Minimum Distance Estimation of Dynamic Models with Errors-In-Variables
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (1)
  3. Spurious Inference in Unidentified Asset-Pricing Models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (2)
  4. The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (1)
    See also Journal Article in International Review of Economics & Finance (2015)

2013

  1. A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (2)
    Also in Working Papers, Concordia University, Department of Economics (2011) Downloads View citations (4)

    See also Journal Article in Journal of Applied Econometrics (2014)
  2. A staggered pricing approach to modeling speculative storage: implications for commodity price dynamics
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads
  3. Minimum distance estimation of possibly non-invertible moving average models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (1)
    See also Journal Article in Journal of Business & Economic Statistics (2015)
  4. Misspecification-robust inference in linear asset pricing models with irrelevant risk factors
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (1)
    See also Journal Article in Review of Financial Studies (2014)
  5. Monetary policy surprises, positions of traders, and changes in commodity futures prices
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (1)

2012

  1. Analytical solution for the constrained Hansen-Jagannathan distance under multivariate ellipticity
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads
  2. Robust inference in linear asset pricing models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads

2011

  1. A new method for approximating vector autoregressive processes by finite-state Markov chains
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  2. Chi-squared tests for evaluation and comparison of asset pricing models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads
    See also Journal Article in Journal of Econometrics (2013)

2010

  1. Further results on the limiting distribution of GMM sample moment conditions
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads
    See also Journal Article in Journal of Business & Economic Statistics (2012)
  2. On the Hansen-Jagannathan distance with a no-arbitrage constraint
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (7)

2009

  1. Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors
    Working Papers, Concordia University, Department of Economics Downloads
    See also Journal Article in Econometric Reviews (2011)
  2. Sensitivity of Impulse Responses to Small Low Frequency Co-Movements: Reconciling the Evidence on the Effects of Technology Shocks
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ Downloads View citations (9)
    See also Journal Article in Journal of Business & Economic Statistics (2011)

2008

  1. A New Look at the Forward Premium Puzzle
    Working Papers, Concordia University, Department of Economics Downloads
    See also Journal Article in Journal of Financial Econometrics (2009)
  2. Local GMM Estimation of Time Series Models with Conditional Moment Restrictions
    Working Papers, Concordia University, Department of Economics Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2012)
  3. Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels
    Working Papers, Concordia University, Department of Economics Downloads View citations (1)
  4. Specification Testing in Models with Many Instruments
    Working Papers, Center for Economic and Financial Research (CEFIR) Downloads View citations (5)
    See also Journal Article in Econometric Theory (2011)
  5. Time Series Nonparametric Regression Using Asymmetric Kernels with an Application to Estimation of Scalar Diffusion Processes
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (2)

2007

  1. Modeling Financial Return Dynamics by Decomposition
    Working Papers, Center for Economic and Financial Research (CEFIR) Downloads View citations (2)

2001

  1. Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes: An Application to Purchasing Power Parity
    Computing in Economics and Finance 2001, Society for Computational Economics View citations (2)
  2. Nonparametric Likelihood Methods for Estimation and Inference in Moment Condition Models with Weak Instruments
    Computing in Economics and Finance 2001, Society for Computational Economics

1999

  1. Median Unbiased Forecasts for Highly Persistent Autoregressive Processes
    Computing in Economics and Finance 1999, Society for Computational Economics
    See also Journal Article in Journal of Econometrics (2002)

Journal Articles

2016

  1. On the properties of the constrained Hansen–Jagannathan distance
    Journal of Empirical Finance, 2016, 36, (C), 121-150 Downloads View citations (1)

2015

  1. Minimum Distance Estimation of Possibly Noninvertible Moving Average Models
    Journal of Business & Economic Statistics, 2015, 33, (3), 403-417 Downloads
    See also Working Paper (2013)
  2. The response of stock market volatility to futures-based measures of monetary policy shocks
    International Review of Economics & Finance, 2015, 37, (C), 42-54 Downloads View citations (2)
    See also Working Paper (2014)

2014

  1. A MOMENT‐MATCHING METHOD FOR APPROXIMATING VECTOR AUTOREGRESSIVE PROCESSES BY FINITE‐STATE MARKOV CHAINS
    Journal of Applied Econometrics, 2014, 29, (5), 843-859 Downloads View citations (2)
    See also Working Paper (2013)
  2. Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors
    Review of Financial Studies, 2014, 27, (7), 2139-2170 Downloads View citations (9)
    See also Working Paper (2013)

2013

  1. Chi-squared tests for evaluation and comparison of asset pricing models
    Journal of Econometrics, 2013, 173, (1), 108-125 Downloads View citations (9)
    See also Working Paper (2011)
  2. Commodity Prices, Convenience Yields, and Inflation
    The Review of Economics and Statistics, 2013, 95, (1), 206-219 Downloads View citations (39)

2012

  1. Asymptotics of near unit roots (in Russian)
    Quantile, 2012, (10), 57-71 Downloads
  2. Further Results on the Limiting Distribution of GMM Sample Moment Conditions
    Journal of Business & Economic Statistics, 2012, 30, (4), 494-504 Downloads View citations (3)
    See also Working Paper (2010)
  3. Local GMM estimation of time series models with conditional moment restrictions
    Journal of Econometrics, 2012, 170, (2), 476-490 Downloads
    See also Working Paper (2008)
  4. Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels
    Journal of Empirical Finance, 2012, 19, (4), 595-609 Downloads View citations (2)
  5. The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium
    Journal of Empirical Finance, 2012, 19, (4), 497-510 Downloads View citations (8)

2011

  1. Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors
    Econometric Reviews, 2011, 30, (4), 379-405 Downloads View citations (1)
    See also Working Paper (2009)
  2. Risk premiums and predictive ability of BAX futures
    Journal of Futures Markets, 2011, 31, (6), 534-561 Downloads View citations (2)
  3. SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS
    Econometric Theory, 2011, 27, (02), 427-441 Downloads View citations (5)
    See also Working Paper (2008)
  4. Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks
    Journal of Business & Economic Statistics, 2011, 29, (4), 455-467 Downloads View citations (1)
    Also in Journal of Business & Economic Statistics, 2011, 29, (4), 455-467 (2011) Downloads View citations (4)

    See also Working Paper (2009)

2010

  1. Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions
    Journal of Business & Economic Statistics, 2010, 28, (1), 1-12 Downloads View citations (13)
  2. Modeling Financial Return Dynamics via Decomposition
    Journal of Business & Economic Statistics, 2010, 28, (2), 232-245 Downloads View citations (20)

2009

  1. A New Look at the Forward Premium Puzzle
    Journal of Financial Econometrics, 2009, 7, (3), 312-338 Downloads View citations (11)
    See also Working Paper (2008)
  2. Tobacco taxes and regressivity
    Journal of Health Economics, 2009, 28, (2), 375-384 Downloads View citations (10)

2008

  1. Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root
    Journal of Econometrics, 2008, 146, (1), 146-161 Downloads View citations (6)

2006

  1. Forecasting volatility
    Journal of Forecasting, 2006, 25, (6), 381-400 Downloads View citations (6)

2005

  1. A `long march' perspective on tobacco use in Canada
    Canadian Journal of Economics, 2005, 38, (2), 366-393 Downloads View citations (4)
  2. ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS
    Econometric Reviews, 2005, 24, (1), 59-81 Downloads
  3. Testing For Threshold Nonlinearity in Short-Term Interest Rates
    Journal of Financial Econometrics, 2005, 3, (3), 344-371 Downloads View citations (8)

2004

  1. Asymptotic confidence intervals for impulse responses of near-integrated processes
    Econometrics Journal, 2004, 7, (2), 505-527 Downloads View citations (17)
  2. Global Health Warnings on Tobacco Packaging: Evidence from the Canadian Experiment
    The B.E. Journal of Economic Analysis & Policy, 2004, 4, (1), 1-23 Downloads View citations (2)

2002

  1. Bootstrap-Based Inference in Models with a Nearly Noninvertible Moving Average Component
    Journal of Business & Economic Statistics, 2002, 20, (2), 254-68 View citations (3)
  2. Median unbiased forecasts for highly persistent autoregressive processes
    Journal of Econometrics, 2002, 111, (1), 85-101 Downloads View citations (11)
    See also Working Paper (1999)
 
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