Details about Nikolay Gospodinov

Access statistics for papers by Nikolay Gospodinov.

Last updated 2023-04-12. Update your information in the RePEc Author Service.

Short-id: pgo5

Working Papers

2023

1. Sparse Trend Estimation
   Staff Reports, Federal Reserve Bank of New York

2021

2. The Persistent Compression of the Breakeven Inflation Curve
   Liberty Street Economics, Federal Reserve Bank of New York

2019

3. Deconstructing the yield curve
   Staff Reports, Federal Reserve Bank of New York View citations (1)

2017

4. Asset Co-movements: Features and Challenges
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (1)
5. General Aggregation of Misspecified Asset Pricing Models
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (4)
6. Too Good to Be True? Fallacies in Evaluating Risk Factor Models
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (1)
   See also Journal Article in Journal of Financial Economics (2019)

2016

7. Forecasts of inflation and interest rates in no-arbitrage affine models
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (3)
8. The role of commodity prices in forecasting U.S. core inflation
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (2)

2015

9. Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (1)
   See also Journal Article in Econometric Reviews (2018)
10. Foreign exchange predictability during the financial crisis: implications for carry trade profitability
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta
11. Long-Term Health Effects of Vietnam War's Herbicide Exposure on the Vietnamese Population
    Working Papers, Canadian Centre for Health Economics View citations (1)
12. Multivariate return decomposition: theory and implications
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (2)
    See also Journal Article in Econometric Reviews (2019)

2014

13. Hedging and Pricing in Imperfect Markets under Non-Convexity
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (1)
14. Minimum Distance Estimation of Dynamic Models with Errors-In-Variables
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (3)
15. Spurious Inference in Unidentified Asset-Pricing Models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (13)
16. The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (2)
    See also Journal Article in International Review of Economics & Finance (2015)

2013

17. A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (2)
    Also in Working Papers, Concordia University, Department of Economics (2011) View citations (6)
    See also Journal Article in Journal of Applied Econometrics (2014)
18. A staggered pricing approach to modeling speculative storage: implications for commodity price dynamics
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta
19. Minimum distance estimation of possibly non-invertible moving average models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (1)
    See also Journal Article in Journal of Business & Economic Statistics (2015)
20. Misspecification-robust inference in linear asset pricing models with irrelevant risk factors
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (12)
    See also Journal Article in Review of Financial Studies (2014)
21. Monetary policy surprises, positions of traders, and changes in commodity futures prices
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (2)

2012

22. Analytical solution for the constrained Hansen-Jagannathan distance under multivariate ellipticity
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta
23. Robust inference in linear asset pricing models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (12)

2011

24. A new method for approximating vector autoregressive processes by finite-state Markov chains
    MPRA Paper, University Library of Munich, Germany View citations (1)
25. Chi-squared tests for evaluation and comparison of asset pricing models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (9)
    See also Journal Article in Journal of Econometrics (2013)

2010

26. Further results on the limiting distribution of GMM sample moment conditions
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta
    See also Journal Article in Journal of Business & Economic Statistics (2012)
27. On the Hansen-Jagannathan distance with a no-arbitrage constraint
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (9)

2009

28. Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors
    Working Papers, Concordia University, Department of Economics View citations (1)
    See also Journal Article in Econometric Reviews (2011)
29. 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 View citations (10)
    See also Journal Article in Journal of Business & Economic Statistics (2011)

2008

30. A New Look at the Forward Premium Puzzle
    Working Papers, Concordia University, Department of Economics
    See also Journal Article in The Journal of Financial Econometrics (2009)
31. Local GMM Estimation of Time Series Models with Conditional Moment Restrictions
    Working Papers, Concordia University, Department of Economics View citations (2)
    See also Journal Article in Journal of Econometrics (2012)
32. Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels
    Working Papers, Concordia University, Department of Economics View citations (1)
33. Specification Testing in Models with Many Instruments
    Working Papers, New Economic School (NES)
    Also in Working Papers, Center for Economic and Financial Research (CEFIR) (2008) View citations (6)
    See also Journal Article in Econometric Theory (2011)
34. 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 View citations (2)

2007

35. Modeling Financial Return Dynamics by Decomposition
    Working Papers, New Economic School (NES) View citations (1)
    Also in Working Papers, Center for Economic and Financial Research (CEFIR) (2007) View citations (3)

2001

36. 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)
37. 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

38. 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

2022

1. Long-horizon stock valuation and return forecasts based on demographic projections
   Journal of Empirical Finance, 2022, 68, (C), 190-215
2. On the Factor Structure of Bond Returns
   Econometrica, 2022, 90, (1), 295-314 View citations (3)

2021

3. Common pricing across asset classes: Empirical evidence revisited
   Journal of Financial Economics, 2021, 140, (1), 292-324 View citations (4)
4. Generalized aggregation of misspecified models: With an application to asset pricing
   Journal of Econometrics, 2021, 222, (1), 451-467 View citations (1)

2019

5. Multivariate Return Decomposition: Theory and Implications
   Econometric Reviews, 2019, 38, (5), 487-508 View citations (1)
   See also Working Paper (2015)
6. Too good to be true? Fallacies in evaluating risk factor models
   Journal of Financial Economics, 2019, 132, (2), 451-471 View citations (7)
   See also Working Paper (2017)

2018

7. Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
   Econometric Reviews, 2018, 37, (7), 695-718 View citations (2)
   See also Working Paper (2015)
8. Market consistent valuations with financial imperfection
   Decisions in Economics and Finance, 2018, 41, (1), 65-90
9. Monetary policy uncertainty, positions of traders and changes in commodity futures prices
   European Financial Management, 2018, 24, (2), 239-260 View citations (19)

2017

10. A Robust Approach to Hedging and Pricing in Imperfect Markets
    Risks, 2017, 5, (3), 1-20
11. Foreign exchange predictability and the carry trade: A decomposition approach
    Journal of Empirical Finance, 2017, 42, (C), 199-211 View citations (5)
12. Simulated minimum distance estimation of dynamic models with errors-in-variables
    Journal of Econometrics, 2017, 200, (2), 181-193 View citations (8)
13. Spurious Inference in Reduced‐Rank Asset‐Pricing Models
    Econometrica, 2017, 85, 1613-1628 View citations (14)

2016

14. On the properties of the constrained Hansen–Jagannathan distance
    Journal of Empirical Finance, 2016, 36, (C), 121-150 View citations (4)

2015

15. Minimum Distance Estimation of Possibly Noninvertible Moving Average Models
    Journal of Business & Economic Statistics, 2015, 33, (3), 403-417 View citations (5)
    See also Working Paper (2013)
16. The response of stock market volatility to futures-based measures of monetary policy shocks
    International Review of Economics & Finance, 2015, 37, (C), 42-54 View citations (16)
    See also Working Paper (2014)

2014

17. A MOMENT‐MATCHING METHOD FOR APPROXIMATING VECTOR AUTOREGRESSIVE PROCESSES BY FINITE‐STATE MARKOV CHAINS
    Journal of Applied Econometrics, 2014, 29, (5), 843-859 View citations (9)
    See also Working Paper (2013)
18. Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors
    Review of Financial Studies, 2014, 27, (7), 2139-2170 View citations (43)
    See also Working Paper (2013)

2013

19. Chi-squared tests for evaluation and comparison of asset pricing models
    Journal of Econometrics, 2013, 173, (1), 108-125 View citations (26)
    See also Working Paper (2011)
20. Commodity Prices, Convenience Yields, and Inflation
    The Review of Economics and Statistics, 2013, 95, (1), 206-219 View citations (91)

2012

21. Asymptotics of near unit roots (in Russian)
    Quantile, 2012, (10), 57-71
22. Further Results on the Limiting Distribution of GMM Sample Moment Conditions
    Journal of Business & Economic Statistics, 2012, 30, (4), 494-504 View citations (3)
    See also Working Paper (2010)
23. Local GMM estimation of time series models with conditional moment restrictions
    Journal of Econometrics, 2012, 170, (2), 476-490 View citations (5)
    See also Working Paper (2008)
24. Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels
    Journal of Empirical Finance, 2012, 19, (4), 595-609 View citations (7)
25. 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 View citations (22)

2011

26. Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors
    Econometric Reviews, 2011, 30, (4), 379-405 View citations (2)
    See also Working Paper (2009)
27. Risk premiums and predictive ability of BAX futures
    Journal of Futures Markets, 2011, 31, (6), 534-561 View citations (6)
28. SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS
    Econometric Theory, 2011, 27, (2), 427-441 View citations (26)
    See also Working Paper (2008)
29. 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 View citations (12)
    Also in Journal of Business & Economic Statistics, 2011, 29, (4), 455-467 (2011) View citations (14)
    See also Working Paper (2009)

2010

30. Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions
    Journal of Business & Economic Statistics, 2010, 28, (1), 1-12 View citations (25)
31. Modeling Financial Return Dynamics via Decomposition
    Journal of Business & Economic Statistics, 2010, 28, (2), 232-245 View citations (43)

2009

32. A New Look at the Forward Premium Puzzle
    The Journal of Financial Econometrics, 2009, 7, (3), 312-338 View citations (19)
    See also Working Paper (2008)
33. Tobacco taxes and regressivity
    Journal of Health Economics, 2009, 28, (2), 375-384 View citations (18)

2008

34. 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 View citations (8)

2006

35. Forecasting volatility
    Journal of Forecasting, 2006, 25, (6), 381-400 View citations (16)

2005

36. A `long march' perspective on tobacco use in Canada
    Canadian Journal of Economics, 2005, 38, (2), 366-393 View citations (5)
    Also in Canadian Journal of Economics/Revue canadienne d'économique, 2005, 38, (2), 366-393 (2005)
37. ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS
    Econometric Reviews, 2005, 24, (1), 59-81
38. Testing For Threshold Nonlinearity in Short-Term Interest Rates
    The Journal of Financial Econometrics, 2005, 3, (3), 344-371 View citations (14)

2004

39. Asymptotic confidence intervals for impulse responses of near-integrated processes
    Econometrics Journal, 2004, 7, (2), 505-527 View citations (34)
40. Global Health Warnings on Tobacco Packaging: Evidence from the Canadian Experiment
    The B.E. Journal of Economic Analysis & Policy, 2004, 4, (1), 1-23 View citations (7)

2002

41. Bootstrap-Based Inference in Models with a Nearly Noninvertible Moving Average Component
    Journal of Business & Economic Statistics, 2002, 20, (2), 254-68 View citations (6)
42. Median unbiased forecasts for highly persistent autoregressive processes
    Journal of Econometrics, 2002, 111, (1), 85-101 View citations (20)
    See also Working Paper (1999)

Chapters

2013

1. 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
   A chapter in VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims, 2013, vol. 32, pp 81-115