Nikolay Gospodinov
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Nikolay |
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Gospodinov |
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Federal Reserve Bank of Atlanta
/ Economic Research Department
Research profile
author of:
- Modeling Financial Return Dynamics by Decomposition (RePEc:abo:neswpt:w0095)
by Stanislav Anatolyev & Nikolay Gospodinov - Specification Testing in Models with Many Instruments (RePEc:abo:neswpt:w0124)
by Stanislav Anatolyev & Nikolay Gospodinov - Bootstrap-Based Inference in Models with a Nearly Noninvertible Moving Average Component (RePEc:bes:jnlbes:v:20:y:2002:i:2:p:254-68)
by Gospodinov, Nikolay - Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions (RePEc:bes:jnlbes:v:28:i:1:y:2010:p:1-12)
by Gospodinov, Nikolay - Modeling Financial Return Dynamics via Decomposition (RePEc:bes:jnlbes:v:28:i:2:y:2010:p:232-245)
by Anatolyev, Stanislav & Gospodinov, Nikolay - Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks (RePEc:bes:jnlbes:v:29:i:4:y:2011:p:455-467)
by Gospodinov, Nikolay & Maynard, Alex & Pesavento, Elena - Monetary policy uncertainty, positions of traders and changes in commodity futures prices (RePEc:bla:eufman:v:24:y:2018:i:2:p:239-260)
by Nikolay Gospodinov & Ibrahim Jamali - Global Health Warnings on Tobacco Packaging: Evidence from the Canadian Experiment (RePEc:bpj:bejeap:v:topics.4:y:2004:i:1:n:30)
by Gospodinov Nikolay & Irvine Ian J. - Long-Term Health Effects of Vietnam War's Herbicide Exposure on the Vietnamese Population (RePEc:cch:wpaper:150019)
by Nikolay Gospodinov & Hai V. Nguyen - Modeling Financial Return Dynamics by Decomposition (RePEc:cfr:cefirw:w0095)
by Stanislav Anatolyev & Nikolay Gospodinov - Specification Testing in Models with Many Instruments (RePEc:cfr:cefirw:w0124)
by Stanislav Anatolyev & Nikolay Gospodinov - A `long march' perspective on tobacco use in Canada (RePEc:cje:issued:v:38:y:2005:i:2:p:366-393)
by Nikolay Gospodinov & Ian Irvine - A New Look at the Forward Premium Puzzle (RePEc:crd:wpaper:08009)
by Nikolay Gospodinov - Local GMM Estimation of Time Series Models with Conditional Moment Restrictions (RePEc:crd:wpaper:08010)
by Nikolay Gospodinov & Taisuke Otsu - Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels (RePEc:crd:wpaper:08011)
by Nikolay Gospodinov & Masayuki Hirukawa - Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors (RePEc:crd:wpaper:09001)
by Nikolay Gospodinov & Ye Tao - A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains (RePEc:crd:wpaper:11005)
by Nikolay Gospodinov & Damba Lkhagvasuren - Specification Testing In Models With Many Instruments (RePEc:cup:etheor:v:27:y:2011:i:02:p:427-441_00)
by Anatolyev, Stanislav & Gospodinov, Nikolay - Asymptotic confidence intervals for impulse responses of near-integrated processes (RePEc:ect:emjrnl:v:7:y:2004:i:2:p:505-527)
by Nikolay Gospodinov - Median unbiased forecasts for highly persistent autoregressive processes (RePEc:eee:econom:v:111:y:2002:i:1:p:85-101)
by Gospodinov, Nikolay - Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root (RePEc:eee:econom:v:146:y:2008:i:1:p:146-161)
by Gospodinov, Nikolay - Local GMM estimation of time series models with conditional moment restrictions (RePEc:eee:econom:v:170:y:2012:i:2:p:476-490)
by Gospodinov, Nikolay & Otsu, Taisuke - Chi-squared tests for evaluation and comparison of asset pricing models (RePEc:eee:econom:v:173:y:2013:i:1:p:108-125)
by Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare - Simulated minimum distance estimation of dynamic models with errors-in-variables (RePEc:eee:econom:v:200:y:2017:i:2:p:181-193)
by Gospodinov, Nikolay & Komunjer, Ivana & Ng, Serena - Generalized aggregation of misspecified models: With an application to asset pricing (RePEc:eee:econom:v:222:y:2021:i:1:p:451-467)
by Gospodinov, Nikolay & Maasoumi, Esfandiar - The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium (RePEc:eee:empfin:v:19:y:2012:i:4:p:497-510)
by Gospodinov, Nikolay & Jamali, Ibrahim - Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels (RePEc:eee:empfin:v:19:y:2012:i:4:p:595-609)
by Gospodinov, Nikolay & Hirukawa, Masayuki - On the properties of the constrained Hansen–Jagannathan distance (RePEc:eee:empfin:v:36:y:2016:i:c:p:121-150)
by Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare - Foreign exchange predictability and the carry trade: A decomposition approach (RePEc:eee:empfin:v:42:y:2017:i:c:p:199-211)
by Anatolyev, Stanislav & Gospodinov, Nikolay & Jamali, Ibrahim & Liu, Xiaochun - Long-horizon stock valuation and return forecasts based on demographic projections (RePEc:eee:empfin:v:68:y:2022:i:c:p:190-215)
by Chen, Chaoyi & Gospodinov, Nikolay & Maynard, Alex & Pesavento, Elena - Too good to be true? Fallacies in evaluating risk factor models (RePEc:eee:jfinec:v:132:y:2019:i:2:p:451-471)
by Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare - Common pricing across asset classes: Empirical evidence revisited (RePEc:eee:jfinec:v:140:y:2021:i:1:p:292-324)
by Gospodinov, Nikolay & Robotti, Cesare - Tobacco taxes and regressivity (RePEc:eee:jhecon:v:28:y:2009:i:2:p:375-384)
by Gospodinov, Nikolay & Irvine, Ian - The response of stock market volatility to futures-based measures of monetary policy shocks (RePEc:eee:reveco:v:37:y:2015:i:c:p:42-54)
by Gospodinov, Nikolay & Jamali, Ibrahim - Unknown item RePEc:eme:aeco11:s0731-9053(2013)0000031003 (chapter)
- 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 (RePEc:eme:aecozz:s0731-9053(2013)0000031003)
by Nikolay Gospodinov & Ana María Herrera & Elena Pesavento - Inference in Conditional Vector Error Correction Models With a Small Signal-to-Noise Ratio (RePEc:eme:aecozz:s0731-90532023000045a010)
by Nikolay Gospodinov & Alex Maynard & Elena Pesavento - On the Hansen-Jagannathan distance with a no-arbitrage constraint (RePEc:fip:fedawp:2010-04)
by Nikolay Gospodinov & Raymond Kan & Cesare Robotti - Further results on the limiting distribution of GMM sample moment conditions (RePEc:fip:fedawp:2010-11)
by Nikolay Gospodinov & Raymond Kan & Cesare Robotti - Chi-squared tests for evaluation and comparison of asset pricing models (RePEc:fip:fedawp:2011-08)
by Nikolay Gospodinov & Raymond Kan & Cesare Robotti - Robust inference in linear asset pricing models (RePEc:fip:fedawp:2012-17)
by Nikolay Gospodinov & Raymond Kan & Cesare Robotti - Analytical solution for the constrained Hansen-Jagannathan distance under multivariate ellipticity (RePEc:fip:fedawp:2012-18)
by Nikolay Gospodinov & Raymond Kan & Cesare Robotti - A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains (RePEc:fip:fedawp:2013-05)
by Nikolay Gospodinov & Damba Lkhagvasuren - A staggered pricing approach to modeling speculative storage: implications for commodity price dynamics (RePEc:fip:fedawp:2013-08)
by Hirbod Assa & Amal Dabbous & Nikolay Gospodinov - Misspecification-robust inference in linear asset pricing models with irrelevant risk factors (RePEc:fip:fedawp:2013-09)
by Nikolay Gospodinov & Raymond Kan & Cesare Robotti - Minimum distance estimation of possibly non-invertible moving average models (RePEc:fip:fedawp:2013-11)
by Nikolay Gospodinov & Serena Ng - Monetary policy surprises, positions of traders, and changes in commodity futures prices (RePEc:fip:fedawp:2013-12)
by Nikolay Gospodinov & Ibrahim Jamali - Minimum Distance Estimation of Dynamic Models with Errors-In-Variables (RePEc:fip:fedawp:2014-11)
by Nikolay Gospodinov & Ivana Komunjer & Serena Ng - Spurious Inference in Unidentified Asset-Pricing Models (RePEc:fip:fedawp:2014-12)
by Nikolay Gospodinov & Raymond Kan & Cesare Robotti - Hedging and Pricing in Imperfect Markets under Non-Convexity (RePEc:fip:fedawp:2014-13)
by Hirbod Assa & Nikolay Gospodinov - The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks (RePEc:fip:fedawp:2014-14)
by Nikolay Gospodinov & Ibrahim Jamali - Foreign exchange predictability during the financial crisis: implications for carry trade profitability (RePEc:fip:fedawp:2015-06)
by Stanislav Anatolyev & Nikolay Gospodinov & Ibrahim Jamali & Xiaochun Liu - Multivariate return decomposition: theory and implications (RePEc:fip:fedawp:2015-07)
by Stanislav Anatolyev & Nikolay Gospodinov - Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models (RePEc:fip:fedawp:2015-09)
by Nikolay Gospodinov & Raymond Kan & Cesare Robotti - Forecasts of inflation and interest rates in no-arbitrage affine models (RePEc:fip:fedawp:2016-03)
by Nikolay Gospodinov & Bin Wei - The role of commodity prices in forecasting U.S. core inflation (RePEc:fip:fedawp:2016-05)
by Nikolay Gospodinov - Too Good to Be True? Fallacies in Evaluating Risk Factor Models (RePEc:fip:fedawp:2017-09)
by Nikolay Gospodinov & Raymond Kan & Cesare Robotti - General Aggregation of Misspecified Asset Pricing Models (RePEc:fip:fedawp:2017-10)
by Nikolay Gospodinov & Esfandiar Maasoumi - Asset Co-movements: Features and Challenges (RePEc:fip:fedawp:2017-11)
by Nikolay Gospodinov - The Persistent Compression of the Breakeven Inflation Curve (RePEc:fip:fednls:90351)
by Richard K. Crump & Nikolay Gospodinov & Desi Volker - Deconstructing the yield curve (RePEc:fip:fednsr:884)
by Richard K. Crump & Nikolay Gospodinov - Sparse Trend Estimation (RePEc:fip:fednsr:95589)
by Richard K. Crump & Nikolay Gospodinov & Hunter Wieman - A Simple Diagnostic for Time-Series and Panel-Data Regressions (RePEc:fip:fednsr:99063)
by Richard K. Crump & Nikolay Gospodinov & Ignacio Lopez Gaffney - A Jackknife Variance Estimator for Panel Regressions (RePEc:fip:fednsr:99064)
by Richard K. Crump & Nikolay Gospodinov & Ignacio Lopez Gaffney - A Robust Approach to Hedging and Pricing in Imperfect Markets (RePEc:gam:jrisks:v:5:y:2017:i:3:p:36-:d:105112)
by Hirbod Assa & Nikolay Gospodinov - Forecasting volatility (RePEc:jof:jforec:v:25:y:2006:i:6:p:381-400)
by Athanasia Gavala & Nikolay Gospodinov & Deming Jiang - Sensitivity of Impulse Responses to Small Low Frequency Co-Movements : Reconciling the Evidence on the Effects of Technology Shocks (RePEc:mtl:montec:03-2009)
by GOSPODINOV, Nikolay & MAYNARD, Alex & PESAVENTO, Elena - Testing For Threshold Nonlinearity in Short-Term Interest Rates (RePEc:oup:jfinec:v:3:y:2005:i:3:p:344-371)
by Nikolay Gospodinov - A New Look at the Forward Premium Puzzle (RePEc:oup:jfinec:v:7:y:2009:i:3:p:312-338)
by Nikolay Gospodinov - Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors (RePEc:oup:rfinst:v:27:y:2014:i:7:p:2139-2170.)
by Nikolay Gospodinov & Raymond Kan & Cesare Robotti - A new method for approximating vector autoregressive processes by finite-state Markov chains (RePEc:pra:mprapa:33827)
by Gospodinov, Nikolay & Lkhagvasuren, Damba - Asymptotics of near unit roots (in Russian) (RePEc:qnt:quantl:y:2012:i:10:p:57-71)
by Stanislav Anatolyev & Nikolay Gospodinov - Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes: An Application to Purchasing Power Parity (RePEc:sce:scecf1:136)
by Nikolay Gospodinov - Nonparametric Likelihood Methods for Estimation and Inference in Moment Condition Models with Weak Instruments (RePEc:sce:scecf1:150)
by Nikolay Gospodinov - Median Unbiased Forecasts for Highly Persistent Autoregressive Processes (RePEc:sce:scecf9:533)
by Nikolay Gospodinov - Market consistent valuations with financial imperfection (RePEc:spr:decfin:v:41:y:2018:i:1:d:10.1007_s10203-018-0207-2)
by Hirbod Assa & Nikolay Gospodinov - Robust Asymptotic Inference In Autoregressive Models With Martingale Difference Errors (RePEc:taf:emetrv:v:24:y:2005:i:1:p:59-81)
by Nikolay Gospodinov - Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors (RePEc:taf:emetrv:v:30:y:2011:i:4:p:379-405)
by Nikolay Gospodinov & Ye Tao - Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models (RePEc:taf:emetrv:v:37:y:2018:i:7:p:695-718)
by Nikolay Gospodinov & Raymond Kan & Cesare Robotti - Multivariate Return Decomposition: Theory and Implications (RePEc:taf:emetrv:v:38:y:2019:i:5:p:487-508)
by Stanislav Anatolyev & Nikolay Gospodinov - Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks (RePEc:taf:jnlbes:v:29:y:2011:i:4:p:455-467)
by Nikolay Gospodinov & Alex Maynard & Elena Pesavento - Further Results on the Limiting Distribution of GMM Sample Moment Conditions (RePEc:taf:jnlbes:v:30:y:2012:i:4:p:494-504)
by Nikolay Gospodinov & Raymond Kan & Cesare Robotti - Minimum Distance Estimation of Possibly Noninvertible Moving Average Models (RePEc:taf:jnlbes:v:33:y:2015:i:3:p:403-417)
by Nikolay Gospodinov & Serena Ng - Time Series Nonparametric Regression Using Asymmetric Kernels with an Application to Estimation of Scalar Diffusion Processes (RePEc:tky:fseres:2008cf573)
by Nikolay Gospodinov & Masayuki Hirukawa - Commodity Prices, Convenience Yields, and Inflation (RePEc:tpr:restat:v:95:y:2013:i:1:p:206-219)
by Nikolay Gospodinov & Serena Ng - A ‘long march’ perspective on tobacco use in Canada (RePEc:wly:canjec:v:38:y:2005:i:2:p:366-393)
by Nikolay Gospodinov & Ian Irvine - Spurious Inference in Reduced‐Rank Asset‐Pricing Models (RePEc:wly:emetrp:v:85:y:2017:i::p:1613-1628)
by Nikolay Gospodinov & Raymond Kan & Cesare Robotti - On the Factor Structure of Bond Returns (RePEc:wly:emetrp:v:90:y:2022:i:1:p:295-314)
by Richard K. Crump & Nikolay Gospodinov - A Moment‐Matching Method For Approximating Vector Autoregressive Processes By Finite‐State Markov Chains (RePEc:wly:japmet:v:29:y:2014:i:5:p:843-859)
by Nikolay Gospodinov & Damba Lkhagvasuren - Risk premiums and predictive ability of BAX futures (RePEc:wly:jfutmk:v:31:y:2011:i:6:p:534-561)
by Nikolay Gospodinov & Ibrahim Jamali - Specification testing for conditional moment restrictions under local identification failure (RePEc:wly:quante:v:15:y:2024:i:3:p:849-891)
by Prosper Dovonon & Nikolay Gospodinov