Nikolay Gospodinov

发表

Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels

Nikolay Gospodinov, Masayuki Hirukawa, 2012 .

Time Series Nonparametric Regression Using Asymmetric Kernels with an Application to Estimation of Scalar Diffusion Processes

Nikolay Gospodinov, Masayuki Hirukawa, 2008 .

Testing For Threshold Nonlinearity in Short-Term Interest Rates

Nikolay Gospodinov, 2005 .

Bootstrap-Based Inference in Models With a Nearly Noninvertible Moving Average Component

Nikolay Gospodinov, 2002 .

Median Unbiased Forecasts for Highly Persistent Autoregressive Processes

Nikolay Gospodinov, 2002 .

Chi-Squared Tests for Evaluation and Comparison of Asset Pricing Models

Nikolay Gospodinov, Raymond Kan, Cesare Robotti, 2012 .

Asymptotics Under Drifting Parameter Sequences

Stanislav Anatolyev, Nikolay Gospodinov, 2011 .

Common pricing across asset classes: Empirical evidence revisited

Nikolay Gospodinov, Cesare Robotti, 2020, Journal of Financial Economics.

Minimum Distance Estimation of Possibly Noninvertible Moving Average Models

Serena Ng, Nikolay Gospodinov, 2015 .

Two-Stage Late Jurassic to Early Cretaceous Hydrothermal Activity in the Sakar Unit of Southeastern Bulgaria

Ewa Deput, Nikolay Gospodinov, K. Szopa, 2020, Minerals.

Minimum Distance Estimation of Dynamic Models with Errors-in-Variables

Serena Ng, Nikolay Gospodinov, Ivana Komunjer, 2014 .

A Robust Approach to Hedging and Pricing in Imperfect Markets

Nikolay Gospodinov, H. Assa, 2017 .

A new method for approximating vector autoregressive processes by finite-state Markov chains

D. Lkhagvasuren, Nikolay Gospodinov, 2011 .

Long-horizon stock valuation and return forecasts based on demographic projections

E. Pesavento, Chaoyi Chen, Nikolay Gospodinov, 2022, Journal of Empirical Finance.

Market Consistent and Sub-Consistent Valuations in Incomplete Markets

Nikolay Gospodinov, H. Assa, 2015 .

Hedging and Pricing in Imperfect Markets Under Non-Convexity

Nikolay Gospodinov, H. Assa, 2014 .

Analytical Solution for the Constrained Hansen-Jagannathan Distance Under Multivariate Ellipticity

Raymond Kan, Nikolay Gospodinov, Cesare Robotti, 2012 .

Asymptotics Under Drifting Parameter Sequences

Nikolay Gospodinov, 2011 .

Specification Testing for Conditional Moment Restrictions under Local Identification Failure∗

Nikolay Gospodinov, P. Dovonon, 2022 .

A Note on Extracting In ation Expectations from Market Prices of TIPS and In ation Derivatives

Nikolay Gospodinov, Bin Wei, 2015 .

Misspecification-Robust Inference in Linear Asset Pricing Models with Irrelevant Risk Factors

Raymond Kan, Nikolay Gospodinov, Cesare Robotti, 2013 .

Minimum Distance Estimation of Possibly Non-Invertible Moving Average Models

Serena Ng, Nikolay Gospodinov, 2013 .

SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS

Stanislav Anatolyev, Nikolay Gospodinov, 2008, Econometric Theory.

Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks

Nikolay Gospodinov, Elena Pesavento, Alex Maynard, 2011 .

A Staggered Pricing Approach to Modeling Speculative Storage: Implications for Commodity Price Dynamics

Nikolay Gospodinov, Amal Dabbous, H. Assa, 2013 .

Tobacco taxes and regressivity.

Nikolay Gospodinov, I. Irvine, 2009, Journal of health economics.

A 'Long March' Perspective on Tobacco Use in Canada

Nikolay Gospodinov, I. Irvine, 2005 .

On the Hansen-Jagannathan Distance with a No-Arbitrage Constraint

Raymond Kan, Nikolay Gospodinov, Cesare Robotti, 2012 .

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.

E. Pesavento, Nikolay Gospodinov, Ana María Herrera, 2013 .

UNIT ROOTS, COINTEGRATION, AND PRETESTING IN VAR MODELS $

E. Pesavento, Nikolay Gospodinov, 2013 .

Long-Term Health Effects of Vietnam War's Herbicide Exposure on the Vietnamese Population

H. V. Nguyen, Nikolay Gospodinov, 2015 .

The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium☆

Nikolay Gospodinov, I. Jamali, 2012 .

ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS

Nikolay Gospodinov, 2005 .

IMPROVED FINITE-SAMPLE INFERENCE IN OVERIDENTIFIED MODELS WITH WEAK INSTRUMENTS

Nikolay Gospodinov, 2002 .

FEDERAL RESERVE BANK o f ATLANTA WORKING PAPER SERIES Monetary Policy Surprises , Positions of Traders , and Changes in Commodity Futures Prices

Nikolay Gospodinov, I. Jamali, 2013 .

The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks

Nikolay Gospodinov, I. Jamali, 2014 .

A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains

D. Lkhagvasuren, Nikolay Gospodinov, 2013 .

Risk premiums and predictive ability of BAX futures

Nikolay Gospodinov, I. Jamali, 2011 .

Modeling Financial Return Dynamics via Decomposition

Stanislav Anatolyev, Nikolay Gospodinov, 2010 .

Chapter 3 Asset Pricing Theories , Models , and Tests

Nikolay Gospodinov, 2011 .

Foreign exchange predictability and the carry trade: A decomposition approach

Stanislav Anatolyev, Nikolay Gospodinov, I. Jamali, 2017 .

Foreign Exchange Predictability During the Financial Crisis: Implications for Carry Trade Profitability

Stanislav Anatolyev, Nikolay Gospodinov, I. Jamali, 2015 .

Global Health Warnings on Tobacco Packaging: Evidence from the Canadian Experiment

Nikolay Gospodinov, I. Irvine, 2004 .

Commodity Prices, Convenience Yields, and Inflation

Serena Ng, Nikolay Gospodinov, Serena Ng, 2013, Review of Economics and Statistics.

Too Good to Be True? Fallacies in Evaluating Risk Factor Models

Raymond Kan, Nikolay Gospodinov, Cesare Robot, 2017, Journal of Financial Economics.

Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes

Nikolay Gospodinov, Nikolay Gospodinov, 2001 .

A 'Long March' Perspective on Tobacco Use: The Rational Addiction Model Revisited ∗

Nikolay Gospodinov, I. Irvine, 2003 .

Spurious Inference in Reduced‐Rank Asset‐Pricing Models

Raymond Kan, Nikolay Gospodinov, Cesare Robotti, 2017 .

Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models

Raymond Kan, Nikolay Gospodinov, Cesare Robotti, 2015 .

Spurious Inference in Unidentified Asset-Pricing Models

Raymond Kan, Nikolay Gospodinov, Cesare Robotti, 2014 .

Continuously-Updated GMM Estimation of the Beta-Pricing Model

Nikolay Gospodinov, Raymond Kan, Cesare Robotti, 2016 .

Further Results on the Limiting Distribution of GMM Sample Moment Conditions

Raymond Kan, Nikolay Gospodinov, Cesare Robotti, 2012 .

FEDERAL RESERVE BANK of ATLANTA WORKING PAPER SERIES A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains

D. Lkhagvasuren, Nikolay Gospodinov, 2013 .

Monetary Policy Uncertainty, Positions of Traders and Changes in Commodity Futures Prices

Nikolay Gospodinov, I. Jamali, 2018 .

A New Look at the Forward Premium Puzzle

Nikolay Gospodinov, 2009 .

Generalized aggregation of misspecified models: With an application to asset pricing

Nikolay Gospodinov, Esfandiar Maasoumi, E. Maasoumi, 2020 .

General Aggregation of Misspecified Asset Pricing Models

Nikolay Gospodinov, Esfandiar Maasoumi, E. Maasoumi, 2017 .

Deconstructing the Yield Curve

Richard K. Crump, Nikolay Gospodinov, 2019, SSRN Electronic Journal.

On the properties of the constrained Hansen–Jagannathan distance

Raymond Kan, Nikolay Gospodinov, Cesare Robotti, 2016 .

Multivariate Return Decomposition: Theory and Implications

Stanislav Anatolyev, Nikolay Gospodinov, 2015 .

Entropy-Based Aggregation of Misspeci ed Asset Pricing Models

E. Maasoumi, Nikolay Gospodinov, 2016 .

Simulated minimum distance estimation of dynamic models with errors-in-variables

Nikolay Gospodinov, Serena Ng, Ivana Komunjer, 2017 .

The Role of Commodity Prices in Forecasting U.S. Core Inflation

Nikolay Gospodinov, 2016 .

FEDERAL RESERVE BANK o f ATLANTA WORKING PAPER SERIES Foreign Exchange Predictability during the Financial Crisis : Implications for Carry Trade Profitability

Stanislav Anatolyev, Nikolay Gospodinov, I. Jamali, 2015 .

Asset Co-Movements: Features and Challenges

Nikolay Gospodinov, 2017 .

Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors

Nikolay Gospodinov, Ye Tao, 2011 .

Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root

Nikolay Gospodinov, 2008 .

ASYMPTOTIC AND BOOTSTRAP TESTS FOR LINEARITY IN A NONSTATIONARY TAR-GARCH(1,1) MODEL

Nikolay Gospodinov, 2005 .