Nikolay Gospodinov : Citation Profile


Are you Nikolay Gospodinov?

Federal Reserve Bank of Atlanta

13

H index

19

i10 index

515

Citations

RESEARCH PRODUCTION:

42

Articles

40

Papers

RESEARCH ACTIVITY:

   22 years (1999 - 2021). See details.
   Cites by year: 23
   Journals where Nikolay Gospodinov has often published
   Relations with other researchers
   Recent citing documents: 89.    Total self citations: 27 (4.98 %)

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   Permalink: http://citec.repec.org/pgo5
   Updated: 2022-01-23    RAS profile: 2021-06-08    
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Relations with other researchers


Works with:

Crump, Richard (2)

Anatolyev, Stanislav (2)

Maasoumi, Esfandiar (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Nikolay Gospodinov.

Is cited by:

Anatolyev, Stanislav (18)

GUPTA, RANGAN (11)

Smeekes, Stephan (8)

Sévi, Benoît (8)

Fève, Patrick (7)

Liu, Xiaochun (6)

Lieb, Lenard (6)

Rossi, Barbara (6)

Toda, Alexis Akira (5)

Nyberg, Henri (5)

Balcilar, Mehmet (5)

Cites to:

Shanken, Jay (24)

Robotti, Cesare (24)

Jagannathan, Ravi (22)

Hansen, Lars (19)

Campbell, John (19)

Ng, Serena (18)

Diebold, Francis (17)

Jouini, Elyès (16)

Sarno, Lucio (16)

Phillips, Peter (16)

Bollerslev, Tim (16)

Main data


Where Nikolay Gospodinov has published?


Journals with more than one article published# docs
Journal of Econometrics6
Journal of Empirical Finance4
Econometric Reviews4
Journal of Business & Economic Statistics4
Journal of Business & Economic Statistics3
Journal of Financial Economics2
Journal of Financial Econometrics2

Working Papers Series with more than one paper published# docs
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta22
Working Papers / Concordia University, Department of Economics5
Working Papers / New Economic School (NES)2
Computing in Economics and Finance 2001 / Society for Computational Economics2
Working Papers / Center for Economic and Financial Research (CEFIR)2

Recent works citing Nikolay Gospodinov (2021 and 2020)


YearTitle of citing document
2021Estimating the Variance of a Combined Forecast: Bootstrap-Based Approach. (2021). Lahiri, Kajal ; Hounyo, Ulrich. In: CREATES Research Papers. RePEc:aah:create:2021-14.

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2020A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2021Detecting Identification Failure in Moment Condition Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1907.13093.

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2020Quantifying horizon dependence of asset prices: a cluster entropy approach. (2019). Carbone, A ; Ponta, L. In: Papers. RePEc:arx:papers:1908.00257.

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2021Inference with Many Weak Instruments. (2020). Sun, Liyang ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:2004.12445.

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2021Inference on the New Keynesian Phillips Curve with Very Many Instrumental Variables. (2021). Dovi, Max-Sebastian. In: Papers. RePEc:arx:papers:2101.09543.

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2020Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or HiddenMarkov Models?. (2020). Pedio, Manuela ; Guidolin, Massimo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20140.

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2020Effects of Passive Smoking on Prenatal and Infant Development: Lessons from the Past. (2020). Vuri, Daniela ; de Fraja, Gianni ; Ciccareli, Carlo. In: CHILD Working Papers Series. RePEc:cca:wchild:78.

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2020Arbitrage Pricing, Weak Beta, Strong Beta: Identification-Robust and Simultaneous Inference. (2020). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-30.

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2020Effects of Passive Smoking on Prenatal and Infant Development: Lessons from the Past. (2020). Ciccarelli, Carlo ; de Fraja, Gianni ; Vuri, Daniela. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14471.

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2021Euro area equity risk premia and monetary policy: a longer-term perspective. (2021). Kristiansen, Kristian ; Kapp, Daniel. In: Working Paper Series. RePEc:ecb:ecbwps:20212535.

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2020Long Run Association of Oil Prices and Stock Prices: A Case of Indonesia. (2020). Alqahtani, Hassan Ali ; Srinivasa, Venkata Sai. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-05-70.

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2020Factor Investing for the Long Run. (2020). Tarelli, Andrea ; Lioui, Abraham. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301287.

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2020Dynamic impacts of SME stock market development and innovation on macroeconomic indicators: A Post-Keynesian approach. (2020). Chaiechi, Taha ; Nguyen, Trang ; Low, David ; Eagle, Lynne. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:68:y:2020:i:c:p:327-347.

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2021Further tests of asset pricing models: Liquidity risk matters. (2021). Liu, Weimin ; Zhang, Xindong ; Ma, Xiuli. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:255-273.

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2020A much robust and updated evidences of the alternative real-estate based asset pricing. (2020). Shi, QI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818303978.

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2020Leisure and long-run risks: An empirical evaluation on value premium puzzle. (2020). Zhang, Xiang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301200.

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2021Cross-sectional tests of asset pricing models with full-rank mimicking portfolios. (2021). Kim, Jin Yong ; Lee, Jeong Hwan ; Ho, Kun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000802.

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2021Efficient VAR discretization. (2021). Gordon, Grey. In: Economics Letters. RePEc:eee:ecolet:v:204:y:2021:i:c:s016517652100149x.

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2020The uniform validity of impulse response inference in autoregressions. (2020). Kilian, Lutz ; Inoue, Atsushi. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:450-472.

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2020Bootstrapping factor models with cross sectional dependence. (2020). Perron, Benoit ; Gonalves, Silvia. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:476-495.

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2021Empirical asset pricing with multi-period disaster risk: A simulation-based approach. (2021). Grammig, Joachim ; Sonksen, Jantje. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:805-832.

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2021Robust estimation with exponentially tilted Hellinger distance. (2021). Antoine, Bertille ; Dovonon, Prosper. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:2:p:330-344.

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2021Identification of structural vector autoregressions through higher unconditional moments. (2021). Guay, Alain. In: Journal of Econometrics. RePEc:eee:econom:v:225:y:2021:i:1:p:27-46.

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2021Bias correction for local linear regression estimation using asymmetric kernels via the skewing method. (2021). Hirukawa, Masayuki ; Funke, Benedikt. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:109-130.

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2021Effects of passive smoking on prenatal and infant development: Lessons from the past. (2021). de Fraja, Gianni ; Ciccarelli, Carlo ; Vuri, Daniela. In: Economics & Human Biology. RePEc:eee:ehbiol:v:42:y:2021:i:c:s1570677x21000265.

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2020Can commodity prices forecast exchange rates?. (2020). Wang, Yudong ; Tan, Siming ; Liu, LI. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s014098832030058x.

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2020Coal taxation reform in China and its distributional effects on residential consumers. (2020). Xie, Lunyu ; Zhang, Xiao-Bing ; Chen, Peilin ; Qin, Ping. In: Energy Policy. RePEc:eee:enepol:v:139:y:2020:i:c:s0301421520301221.

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2020Optimal concession contracts for oil exploitation. (2020). Ventura, Marco ; Cerqueti, Roy. In: Energy Policy. RePEc:eee:enepol:v:147:y:2020:i:c:s0301421520306133.

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2020Monetary policy and commodity markets: Unconventional versus conventional impact and the role of economic uncertainty. (2020). Cooray, Arusha ; Chatziantoniou, Ioannis ; Apergis, Nicholas. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301800.

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2021Direction-of-change forecasting in commodity futures markets. (2021). Quinn, Barry ; Papailias, Fotis ; Liu, Jiadong. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s105752192100020x.

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2021Asymmetric volatility spillover between oil-importing and oil-exporting countries economic policy uncertainty and Chinas energy sector. (2021). Yang, Bohan ; Wang, Ziwei ; Ma, Feng ; He, Feng. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s105752192100082x.

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2021The impact of geopolitical uncertainty on energy volatility. (2021). Xu, Yang ; Han, Liyan ; Liu, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000855.

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2020Asset pricing with long-run durable expenditure risk. (2020). Li, Huan. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318306597.

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2020The other side of forward guidance: Are central banks constrained by financial markets?. (2020). Raffestin, Louis ; Picault, Matthieu. In: Finance Research Letters. RePEc:eee:finlet:v:36:y:2020:i:c:s1544612319301321.

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2021Effects of cigarette price increase on fresh food expenditures of low-income South Korean households that spend relatively more on cigarettes. (2021). Cho, Sungmin ; Jin, Hyunjoung. In: Health Policy. RePEc:eee:hepoli:v:125:y:2021:i:1:p:75-82.

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2020Fundamental and behavioural determinants of stock return volatility in ASEAN-5 countries. (2020). Wu, JunJie ; Nasir, Muhammad Ali ; Liu, Jia ; Thampanya, Natthinee. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:65:y:2020:i:c:s1042443120300779.

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2020Forecasting commodity prices out-of-sample: Can technical indicators help?. (2020). Wang, Yudong ; Wu, Chongfeng ; Liu, LI. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:666-683.

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2021Machine learning model for Bitcoin exchange rate prediction using economic and technology determinants. (2021). Gao, Ying ; Jia, Lifen ; Xu, Huilin ; Chen, Wei. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:28-43.

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2021The q5 model and its consistency with the intertemporal CAPM. (2021). Lin, QI. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:127:y:2021:i:c:s0378426621000546.

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2020Fiscal policy driven bond risk premia. (2020). Tamoni, Andrea ; Hsu, Alex ; Bretscher, Lorenzo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:138:y:2020:i:1:p:53-73.

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2021Speculation and informational efficiency in commodity futures markets. (2021). Bonnier, Jean-Baptiste. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:117:y:2021:i:c:s026156062100108x.

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2020The predictive power of convenience yields. (2020). Fernandez, Viviana. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719305252.

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2021The lead–lag relationship between spot and futures prices: Empirical evidence from the Indian commodity market. (2021). du Toit, Elda ; Hall, John H ; Pradhan, Rudra P. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309648.

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2020Commodity-price comovement and global economic activity. (2020). Coibion, Olivier ; Bhattarai, Saroj ; Alquist, Ron. In: Journal of Monetary Economics. RePEc:eee:moneco:v:112:y:2020:i:c:p:41-56.

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2020The risks of old capital age: Asset pricing implications of technology adoption. (2020). Lin, Xiaoji ; Palazzo, Berardino ; Yang, Fan. In: Journal of Monetary Economics. RePEc:eee:moneco:v:115:y:2020:i:c:p:145-161.

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2021Dynamic impact of the U.S. monetary policy on oil market returns and volatility. (2021). GUPTA, RANGAN ; Cakan, Esin ; Marfatia, Hardik A. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:159-169.

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2020125 ?Years of time-varying effects of fiscal policy on financial markets. (2020). GUPTA, RANGAN ; Marfatia, Hardik A ; Miller, Stephen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:70:y:2020:i:c:p:303-320.

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2021Tradable or nontradable factors—what does the Hansen–Jagannathan distance tell us?. (2021). Maillet, Bertrand ; Wu, Kun ; Liu, Yangyi ; Zhang, Xiang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:853-879.

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2021Commodity futures returns and policy uncertainty. (2021). Bannigidadmath, Deepa ; Narayan, Paresh Kumar. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:364-383.

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2020Forecasting financial time-series using data mining models: A simulation study. (2020). Bou-Hamad, Imad ; Jamali, Ibrahim. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s027553191830761x.

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2020Asymmetric network connectedness of fears. (2020). Baruník, Jozef ; Tunaru, Radu ; Bevilacqua, Mattia ; Barunik, Jozef. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:108199.

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2020Simultaneous Indirect Inference, Impulse Responses and ARMA Models. (2020). Lopez, Beatriz Peraza ; Khalaf, Lynda. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:2:p:12-:d:340306.

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2020CARL and His POT: Measuring Risks in Commodity Markets. (2020). Algieri, Bernardina ; Leccadito, Arturo. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:27-:d:332245.

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2021Investor Activity in Chinese Financial Institutions: A Precursor to Economic Sustainability. (2021). Marjerison, Rob Kim ; Li, Shitong ; Chae, Chungil. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:21:p:12267-:d:673640.

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2021Tradable or nontradable factors : what does the Hansen–Jagannathan distance tell us?. (2021). Maillet, Bertrand ; Wu, Kun ; Liu, Yangyi ; Zhang, Xiang. In: Post-Print. RePEc:hal:journl:hal-03287946.

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2021The Impacts of Interest Rate Changes on US Midwest Farmland Values. (2021). Zhang, Wendong ; Hart, Chad ; Basha, Albulena. In: Center for Agricultural and Rural Development (CARD) Publications. RePEc:ias:cpaper:21-wp614.

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2020Optimal Minimax Rates against Non-smooth Alternatives. (2020). Nishiyama, Yoshihiko ; Iwasawa, Masamune ; Hitomi, Kohtaro . In: KIER Working Papers. RePEc:kyo:wpaper:1051.

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2021What Moves Treasury Yields?. (2021). Moench, Emanuel ; Soofi-Siavash, Soroosh. In: Bank of Lithuania Working Paper Series. RePEc:lie:wpaper:88.

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2020Arbitrage Pricing, Weak Beta, Strong Beta: Identification-Robust and Simultaneous Inference. (2020). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude. In: Cahiers de recherche. RePEc:mtl:montec:15-2020.

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2020Intended and Unintended Effects of Banning Menthol Cigarettes. (2020). Carpenter, Christopher ; Nguyen, Hai V. In: NBER Working Papers. RePEc:nbr:nberwo:26811.

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2020Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance*. (2020). Ronchetti, Diego ; Gagliardini, Patrick. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:18:y:2020:i:2:p:333-394..

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2020Predicting firm-level volatility in the United States: the role of monetary policy uncertainty. (2020). Kyei, Clement ; GUPTA, RANGAN ; Demirer, Riza ; Clance, Matthew. In: Economics and Business Letters. RePEc:ove:journl:aid:14497.

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2020On Bootstrap Validity for the Test of Overidentifying Restrictions with Many Instruments and Heteroskedasticity. (2020). Wang, Wenjie. In: MPRA Paper. RePEc:pra:mprapa:104858.

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2021Evolving United States Stock Market Volatility: The Role of Conventional and Unconventional Monetary Policies. (2021). Plakandaras, Vasilios ; Balcilar, Mehmet ; Ji, Qiang ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:202113.

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2020Survey on structural breaks and unit root tests. (2020). Skrobotov, Anton. In: Applied Econometrics. RePEc:ris:apltrx:0396.

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2020.

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2020.

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2021What drives inflation and how? Evidence from additive mixed models selected by cAIC. (2021). Rossi, Enzo ; Volkmann, Alexander. In: Working Papers. RePEc:snb:snbwpa:2021-12.

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2021What Does Really Drive Consumer Confidence?. (2021). Malovana, Simona ; Hodula, Martin ; Frait, Jan. In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:155:y:2021:i:3:d:10.1007_s11205-021-02626-6.

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2020Does money supply shape corporate capital structure? International evidence from a panel data analysis. (2020). Pindado, Julio ; Rivera, Juan C ; Requejo, Ignacio. In: The European Journal of Finance. RePEc:taf:eurjfi:v:26:y:2020:i:6:p:554-584.

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2020Characteristic-Sorted Portfolios: Estimation and Inference. (2020). Crump, Richard ; Cattaneo, Matias ; Schaumburg, Ernst ; Farrell, Max H. In: The Review of Economics and Statistics. RePEc:tpr:restat:v:102:y:2020:i:3:p:531-551.

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2021Density Forecast of Financial Returns Using Decomposition and Maximum Entropy. (2021). Zhang, RU ; Wang, HE ; Lee, Tae-Hwy. In: Working Papers. RePEc:ucr:wpaper:202115.

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2020125 Years of Time-Varying Effects of Fiscal Policy on Financial Markets. (2020). Miller, Stephen ; Marfatia, Hardik ; GUPTA, RANGAN. In: Working papers. RePEc:uct:uconnp:2020-12.

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2020Inference in instrumental variables models with heteroskedasticity and many instruments. (2020). Mellace, Giovanni ; Crudu, Federico ; Sandor, Zsolt. In: Department of Economics University of Siena. RePEc:usi:wpaper:821.

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2021Local Projection Inference Is Simpler and More Robust Than You Think. (2021). Plagborgmoller, Mikkel ; Montiel, Jose Luis. In: Econometrica. RePEc:wly:emetrp:v:89:y:2021:i:4:p:1789-1823.

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2021Generalized Local?to?Unity Models. (2021). Muller, Ulrich K ; Dou, Liyu. In: Econometrica. RePEc:wly:emetrp:v:89:y:2021:i:4:p:1825-1854.

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2021Development of Vietnamese stock market: Influence of domestic macroeconomic environment and regional markets. (2021). Shahbaz, Muhammad ; Nasir, Muhammad Ali ; Shubita, Moade ; Mai, Trinh Thi. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:1435-1458.

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2021Does economic uncertainty matter in international commodity futures markets?. (2021). Kim, Sunyoung ; Kwon, Kyung Yoon. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:849-869.

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2021The response of precious metal futures markets to unconventional monetary surprises in the presence of uncertainty. (2021). Chebbi, Tarek. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:1897-1916.

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2021Large fluctuations of Chinas commodity prices: Main sources and heterogeneous effects. (2021). Lin, Boqiang ; Xu, Bin. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2074-2089.

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2021Reevaluating the prudence of economic forecasts in the EU: The role of instrument persistence. (2021). Demetrescu, Matei ; Titova, Anna ; Roling, Christoph. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:36:y:2021:i:1:p:151-161.

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2020Forecasting under model uncertainty: Non‐homogeneous hidden Markov models with Pòlya‐Gamma data augmentation. (2020). Koki, Constandina ; Vrontos, Ioannis ; Meligkotsidou, Loukia. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:4:p:580-598.

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2021Directional news impact curve. (2021). Anatolyev, Stanislav. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:1:p:94-107.

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2021Out?of?sample performance of bias?corrected estimators for diffusion processes. (2021). Guo, Ziyi. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:2:p:243-268.

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2021Shocks to the equity capital ratio of financial intermediaries and the predictability of stock return volatility. (2021). Yin, Libo ; He, Feng. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:6:p:945-962.

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2021Predicting stock market volatility based on textual sentiment: A nonlinear analysis. (2021). Zhang, Wei Guo ; Ye, Xin ; Wang, Chao ; Gong, Xue. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:8:p:1479-1500.

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2020Intermediary asset pricing in commodity futures returns. (2020). Han, Liyan ; Nie, Jing ; Yin, Libo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:11:p:1711-1730.

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2020GMM weighting matrices incross-sectional asset pricing tests. (2020). Meinerding, Christoph ; Laurinaityte, Nora ; Thimme, Julian ; Schlag, Christian. In: Discussion Papers. RePEc:zbw:bubdps:622020.

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Works by Nikolay Gospodinov:


YearTitleTypeCited
2007Modeling Financial Return Dynamics by Decomposition In: Working Papers.
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2007Modeling Financial Return Dynamics by Decomposition.(2007) In: Working Papers.
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This paper has another version. Agregated cites: 2
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2008Specification Testing in Models with Many Instruments In: Working Papers.
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2008Specification Testing in Models with Many Instruments.(2008) In: Working Papers.
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This paper has another version. Agregated cites: 24
paper
2011SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS.(2011) In: Econometric Theory.
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This paper has another version. Agregated cites: 24
article
2002Bootstrap-Based Inference in Models with a Nearly Noninvertible Moving Average Component. In: Journal of Business & Economic Statistics.
[Citation analysis]
article4
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