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Details about Nikolay Gospodinov

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

Access statistics for papers by Nikolay Gospodinov.

Last updated 2024-12-06. Update your information in the RePEc Author Service.

Short-id: pgo5


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Working Papers

2024

  1. A Jackknife Variance Estimator for Panel Regressions
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (1)
  2. A Simple Diagnostic for Time-Series and Panel-Data Regressions
    Staff Reports, Federal Reserve Bank of New York Downloads

2023

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

2021

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

2019

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

2017

  1. Asset Co-movements: Features and Challenges
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (1)
  2. General Aggregation of Misspecified Asset Pricing Models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (4)
  3. Too Good to Be True? Fallacies in Evaluating Risk Factor Models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (1)
    See also Journal Article Too good to be true? Fallacies in evaluating risk factor models, Journal of Financial Economics, Elsevier (2019) Downloads View citations (15) (2019)

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 (3)
  2. The role of commodity prices in forecasting U.S. core inflation
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (2)

2015

  1. Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (1)
    See also Journal Article Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models, Econometric Reviews, Taylor & Francis Journals (2018) Downloads View citations (2) (2018)
  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 View citations (1)
  4. Multivariate return decomposition: theory and implications
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (2)
    See also Journal Article Multivariate Return Decomposition: Theory and Implications, Econometric Reviews, Taylor & Francis Journals (2019) Downloads View citations (1) (2019)

2014

  1. Hedging and Pricing in Imperfect Markets under Non-Convexity
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (1)
  2. Minimum Distance Estimation of Dynamic Models with Errors-In-Variables
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (3)
  3. Spurious Inference in Unidentified Asset-Pricing Models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (13)
  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 (4)
    See also Journal Article The response of stock market volatility to futures-based measures of monetary policy shocks, International Review of Economics & Finance, Elsevier (2015) Downloads View citations (22) (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 (5)
    Also in Working Papers, Concordia University, Department of Economics (2011) View citations (6)

    See also Journal Article A MOMENT‐MATCHING METHOD FOR APPROXIMATING VECTOR AUTOREGRESSIVE PROCESSES BY FINITE‐STATE MARKOV CHAINS, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2014) Downloads View citations (11) (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 Minimum Distance Estimation of Possibly Noninvertible Moving Average Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2015) Downloads View citations (11) (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 (13)
    See also Journal Article Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors, The Review of Financial Studies, Society for Financial Studies (2014) Downloads View citations (54) (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 (4)

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 View citations (14)

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 View citations (9)
    See also Journal Article Chi-squared tests for evaluation and comparison of asset pricing models, Journal of Econometrics, Elsevier (2013) Downloads View citations (29) (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 Further Results on the Limiting Distribution of GMM Sample Moment Conditions, Journal of Business & Economic Statistics, Taylor & Francis Journals (2012) Downloads View citations (3) (2012)
  2. On the Hansen-Jagannathan distance with a no-arbitrage constraint
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (9)

2009

  1. 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 Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors, Econometric Reviews, Taylor & Francis Journals (2011) Downloads View citations (2) (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 (10)
    See also Journal Article Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks, Journal of Business & Economic Statistics, Taylor & Francis Journals (2011) Downloads View citations (15) (2011)

2008

  1. A New Look at the Forward Premium Puzzle
    Working Papers, Concordia University, Department of Economics
    See also Journal Article A New Look at the Forward Premium Puzzle, Journal of Financial Econometrics, Oxford University Press (2009) Downloads View citations (20) (2009)
  2. 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 Local GMM estimation of time series models with conditional moment restrictions, Journal of Econometrics, Elsevier (2012) Downloads View citations (7) (2012)
  3. Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels
    Working Papers, Concordia University, Department of Economics View citations (1)
  4. Specification Testing in Models with Many Instruments
    Working Papers, New Economic School (NES) Downloads
    Also in Working Papers, Center for Economic and Financial Research (CEFIR) (2008) Downloads View citations (6)

    See also Journal Article SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS, Econometric Theory, Cambridge University Press (2011) Downloads View citations (33) (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 (3)
    Also in Working Papers, New Economic School (NES) (2007) Downloads View citations (1)

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 Median unbiased forecasts for highly persistent autoregressive processes, Journal of Econometrics, Elsevier (2002) Downloads View citations (21) (2002)

Journal Articles

2024

  1. Specification testing for conditional moment restrictions under local identification failure
    Quantitative Economics, 2024, 15, (3), 849-891 Downloads

2022

  1. Long-horizon stock valuation and return forecasts based on demographic projections
    Journal of Empirical Finance, 2022, 68, (C), 190-215 Downloads
  2. On the Factor Structure of Bond Returns
    Econometrica, 2022, 90, (1), 295-314 Downloads View citations (5)

2021

  1. Common pricing across asset classes: Empirical evidence revisited
    Journal of Financial Economics, 2021, 140, (1), 292-324 Downloads View citations (9)
  2. Generalized aggregation of misspecified models: With an application to asset pricing
    Journal of Econometrics, 2021, 222, (1), 451-467 Downloads View citations (1)

2019

  1. Multivariate Return Decomposition: Theory and Implications
    Econometric Reviews, 2019, 38, (5), 487-508 Downloads View citations (1)
    See also Working Paper Multivariate return decomposition: theory and implications, FRB Atlanta Working Paper (2015) Downloads View citations (2) (2015)
  2. Too good to be true? Fallacies in evaluating risk factor models
    Journal of Financial Economics, 2019, 132, (2), 451-471 Downloads View citations (15)
    See also Working Paper Too Good to Be True? Fallacies in Evaluating Risk Factor Models, FRB Atlanta Working Paper (2017) Downloads View citations (1) (2017)

2018

  1. Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
    Econometric Reviews, 2018, 37, (7), 695-718 Downloads View citations (2)
    See also Working Paper Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models, FRB Atlanta Working Paper (2015) Downloads View citations (1) (2015)
  2. Market consistent valuations with financial imperfection
    Decisions in Economics and Finance, 2018, 41, (1), 65-90 Downloads
  3. Monetary policy uncertainty, positions of traders and changes in commodity futures prices
    European Financial Management, 2018, 24, (2), 239-260 Downloads View citations (23)

2017

  1. A Robust Approach to Hedging and Pricing in Imperfect Markets
    Risks, 2017, 5, (3), 1-20 Downloads
  2. Foreign exchange predictability and the carry trade: A decomposition approach
    Journal of Empirical Finance, 2017, 42, (C), 199-211 Downloads View citations (6)
  3. Simulated minimum distance estimation of dynamic models with errors-in-variables
    Journal of Econometrics, 2017, 200, (2), 181-193 Downloads View citations (10)
  4. Spurious Inference in Reduced‐Rank Asset‐Pricing Models
    Econometrica, 2017, 85, 1613-1628 Downloads View citations (18)

2016

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

2015

  1. Minimum Distance Estimation of Possibly Noninvertible Moving Average Models
    Journal of Business & Economic Statistics, 2015, 33, (3), 403-417 Downloads View citations (11)
    See also Working Paper Minimum distance estimation of possibly non-invertible moving average models, FRB Atlanta Working Paper (2013) Downloads View citations (1) (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 (22)
    See also Working Paper The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks, FRB Atlanta Working Paper (2014) Downloads View citations (4) (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 (11)
    See also Working Paper A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains, FRB Atlanta Working Paper (2013) Downloads View citations (5) (2013)
  2. Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors
    The Review of Financial Studies, 2014, 27, (7), 2139-2170 Downloads View citations (54)
    See also Working Paper Misspecification-robust inference in linear asset pricing models with irrelevant risk factors, FRB Atlanta Working Paper (2013) Downloads View citations (13) (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 (29)
    See also Working Paper Chi-squared tests for evaluation and comparison of asset pricing models, FRB Atlanta Working Paper (2011) Downloads View citations (9) (2011)
  2. Commodity Prices, Convenience Yields, and Inflation
    The Review of Economics and Statistics, 2013, 95, (1), 206-219 Downloads View citations (102)

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 Further results on the limiting distribution of GMM sample moment conditions, FRB Atlanta Working Paper (2010) Downloads (2010)
  3. Local GMM estimation of time series models with conditional moment restrictions
    Journal of Econometrics, 2012, 170, (2), 476-490 Downloads View citations (7)
    See also Working Paper Local GMM Estimation of Time Series Models with Conditional Moment Restrictions, Working Papers (2008) View citations (2) (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 (7)
  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 (28)

2011

  1. Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors
    Econometric Reviews, 2011, 30, (4), 379-405 Downloads View citations (2)
    See also Working Paper Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors, Working Papers (2009) View citations (1) (2009)
  2. Risk premiums and predictive ability of BAX futures
    Journal of Futures Markets, 2011, 31, (6), 534-561 Downloads View citations (6)
  3. SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS
    Econometric Theory, 2011, 27, (2), 427-441 Downloads View citations (33)
    See also Working Paper Specification Testing in Models with Many Instruments, Working Papers (2008) Downloads (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 (15)
    Also in Journal of Business & Economic Statistics, 2011, 29, (4), 455-467 (2011) Downloads View citations (15)

    See also Working Paper Sensitivity of Impulse Responses to Small Low Frequency Co-Movements: Reconciling the Evidence on the Effects of Technology Shocks, Cahiers de recherche (2009) Downloads View citations (10) (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 (25)
  2. Modeling Financial Return Dynamics via Decomposition
    Journal of Business & Economic Statistics, 2010, 28, (2), 232-245 Downloads View citations (44)

2009

  1. A New Look at the Forward Premium Puzzle
    Journal of Financial Econometrics, 2009, 7, (3), 312-338 Downloads View citations (20)
    See also Working Paper A New Look at the Forward Premium Puzzle, Working Papers (2008) (2008)
  2. Tobacco taxes and regressivity
    Journal of Health Economics, 2009, 28, (2), 375-384 Downloads View citations (20)

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 (8)

2006

  1. Forecasting volatility
    Journal of Forecasting, 2006, 25, (6), 381-400 Downloads View citations (17)

2005

  1. A `long march' perspective on tobacco use in Canada
    Canadian Journal of Economics, 2005, 38, (2), 366-393 Downloads View citations (5)
    Also in Canadian Journal of Economics/Revue canadienne d'économique, 2005, 38, (2), 366-393 (2005) Downloads
  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 (15)

2004

  1. Asymptotic confidence intervals for impulse responses of near-integrated processes
    Econometrics Journal, 2004, 7, (2), 505-527 View citations (36)
  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 (8)

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 (7)
  2. Median unbiased forecasts for highly persistent autoregressive processes
    Journal of Econometrics, 2002, 111, (1), 85-101 Downloads View citations (21)
    See also Working Paper Median Unbiased Forecasts for Highly Persistent Autoregressive Processes, Computing in Economics and Finance 1999 (1999) (1999)

Chapters

2023

  1. Inference in Conditional Vector Error Correction Models With a Small Signal-to-Noise Ratio*
    A chapter in Essays in Honor of Joon Y. Park: Econometric Theory, 2023, vol. 45A, pp 295-318 Downloads

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 Downloads
 
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