Nikolay Gospodinov : Citation Profile


Are you Nikolay Gospodinov?

Federal Reserve Bank of Atlanta

12

H index

17

i10 index

447

Citations

RESEARCH PRODUCTION:

39

Articles

39

Papers

RESEARCH ACTIVITY:

   20 years (1999 - 2019). See details.
   Cites by year: 22
   Journals where Nikolay Gospodinov has often published
   Relations with other researchers
   Recent citing documents: 43.    Total self citations: 25 (5.3 %)

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   Permalink: http://citec.repec.org/pgo5
   Updated: 2021-02-20    RAS profile: 2020-07-06    
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Relations with other researchers


Works with:

Anatolyev, Stanislav (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 (15)

Sévi, Benoît (8)

GUPTA, RANGAN (8)

Smeekes, Stephan (8)

Fève, Patrick (7)

Lieb, Lenard (6)

Liu, Xiaochun (6)

Toda, Alexis Akira (6)

Alquist, Ron (5)

Kim, Jae (5)

Rossi, Barbara (5)

Cites to:

Robotti, Cesare (22)

Campbell, John (19)

Ng, Serena (18)

Diebold, Francis (17)

Jagannathan, Ravi (17)

Jouini, Elyès (16)

Bollerslev, Tim (16)

Sarno, Lucio (16)

Shanken, Jay (16)

Phillips, Peter (15)

Hansen, Lars (14)

Main data


Where Nikolay Gospodinov has published?


Journals with more than one article published# docs
Journal of Econometrics5
Journal of Empirical Finance4
Journal of Business & Economic Statistics4
Econometric Reviews4
Journal of Business & Economic Statistics3
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
Computing in Economics and Finance 2001 / Society for Computational Economics2
Working Papers / New Economic School (NES)2
Working Papers / Center for Economic and Financial Research (CEFIR)2

Recent works citing Nikolay Gospodinov (2021 and 2020)


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

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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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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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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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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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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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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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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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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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2020Fundamental and behavioural determinants of stock return volatility in ASEAN-5 countries. (2020). Liu, Jia ; Nasir, Muhammad Ali ; Wu, Junjie ; 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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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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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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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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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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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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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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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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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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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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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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paper2
2007Modeling Financial Return Dynamics by Decomposition.(2007) In: Working Papers.
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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: 5
paper
2002Bootstrap-Based Inference in Models with a Nearly Noninvertible Moving Average Component. In: Journal of Business & Economic Statistics.
[Citation analysis]
article4
2010Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions In: Journal of Business & Economic Statistics.
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article21
2010Modeling Financial Return Dynamics via Decomposition In: Journal of Business & Economic Statistics.
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article36
2011Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks In: Journal of Business & Economic Statistics.
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article18
2009Sensitivity of Impulse Responses to Small Low Frequency Co-Movements : Reconciling the Evidence on the Effects of Technology Shocks.(2009) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 18
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2011Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks.(2011) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 18
article
2018Monetary policy uncertainty, positions of traders and changes in commodity futures prices In: European Financial Management.
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article7
2004Global Health Warnings on Tobacco Packaging: Evidence from the Canadian Experiment In: The B.E. Journal of Economic Analysis & Policy.
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article4
2015Long-Term Health Effects of Vietnam Wars Herbicide Exposure on the Vietnamese Population In: Working Papers.
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paper0
2005A `long march perspective on tobacco use in Canada In: Canadian Journal of Economics.
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article4
2005A ‘long march’ perspective on tobacco use in Canada.(2005) In: Canadian Journal of Economics/Revue canadienne d'économique.
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2008A New Look at the Forward Premium Puzzle In: Working Papers.
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2009A New Look at the Forward Premium Puzzle.(2009) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 13
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2008Local GMM Estimation of Time Series Models with Conditional Moment Restrictions In: Working Papers.
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paper7
2012Local GMM estimation of time series models with conditional moment restrictions.(2012) In: Journal of Econometrics.
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article
2008Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels In: Working Papers.
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paper1
2009Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors In: Working Papers.
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paper2
2011Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors.(2011) In: Econometric Reviews.
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2011A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains In: Working Papers.
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2013A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains.(2013) In: FRB Atlanta Working Paper.
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2014A MOMENT‐MATCHING METHOD FOR APPROXIMATING VECTOR AUTOREGRESSIVE PROCESSES BY FINITE‐STATE MARKOV CHAINS.(2014) In: Journal of Applied Econometrics.
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2004Asymptotic confidence intervals for impulse responses of near-integrated processes In: Econometrics Journal.
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article27
2002Median unbiased forecasts for highly persistent autoregressive processes In: Journal of Econometrics.
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article18
1999Median Unbiased Forecasts for Highly Persistent Autoregressive Processes.(1999) In: Computing in Economics and Finance 1999.
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2008Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root In: Journal of Econometrics.
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article7
2013Chi-squared tests for evaluation and comparison of asset pricing models In: Journal of Econometrics.
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2011Chi-squared tests for evaluation and comparison of asset pricing models.(2011) In: FRB Atlanta Working Paper.
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2017Simulated minimum distance estimation of dynamic models with errors-in-variables In: Journal of Econometrics.
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article1
2012The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium In: Journal of Empirical Finance.
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article14
2012Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels In: Journal of Empirical Finance.
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2016On the properties of the constrained Hansen–Jagannathan distance In: Journal of Empirical Finance.
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2017Foreign exchange predictability and the carry trade: A decomposition approach In: Journal of Empirical Finance.
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article3
2019Too good to be true? Fallacies in evaluating risk factor models In: Journal of Financial Economics.
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2017Too Good to Be True? Fallacies in Evaluating Risk Factor Models.(2017) In: FRB Atlanta Working Paper.
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2009Tobacco taxes and regressivity In: Journal of Health Economics.
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article15
2015The response of stock market volatility to futures-based measures of monetary policy shocks In: International Review of Economics & Finance.
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2014The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks.(2014) In: FRB Atlanta Working Paper.
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2010On the Hansen-Jagannathan distance with a no-arbitrage constraint In: FRB Atlanta Working Paper.
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2010Further results on the limiting distribution of GMM sample moment conditions In: FRB Atlanta Working Paper.
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2012Further Results on the Limiting Distribution of GMM Sample Moment Conditions.(2012) In: Journal of Business & Economic Statistics.
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2012Robust inference in linear asset pricing models In: FRB Atlanta Working Paper.
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2012Analytical solution for the constrained Hansen-Jagannathan distance under multivariate ellipticity In: FRB Atlanta Working Paper.
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2013A staggered pricing approach to modeling speculative storage: implications for commodity price dynamics In: FRB Atlanta Working Paper.
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2013Misspecification-robust inference in linear asset pricing models with irrelevant risk factors In: FRB Atlanta Working Paper.
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2014Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors.(2014) In: Review of Financial Studies.
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2013Minimum distance estimation of possibly non-invertible moving average models In: FRB Atlanta Working Paper.
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2015Minimum Distance Estimation of Possibly Noninvertible Moving Average Models.(2015) In: Journal of Business & Economic Statistics.
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2013Monetary policy surprises, positions of traders, and changes in commodity futures prices In: FRB Atlanta Working Paper.
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2014Minimum Distance Estimation of Dynamic Models with Errors-In-Variables In: FRB Atlanta Working Paper.
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2014Spurious Inference in Unidentified Asset-Pricing Models In: FRB Atlanta Working Paper.
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2014Hedging and Pricing in Imperfect Markets under Non-Convexity In: FRB Atlanta Working Paper.
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2015Foreign exchange predictability during the financial crisis: implications for carry trade profitability In: FRB Atlanta Working Paper.
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2015Multivariate return decomposition: theory and implications In: FRB Atlanta Working Paper.
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2019Multivariate Return Decomposition: Theory and Implications.(2019) In: Econometric Reviews.
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This paper has another version. Agregated cites: 2
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2015Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models In: FRB Atlanta Working Paper.
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2018Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models.(2018) In: Econometric Reviews.
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2016Forecasts of inflation and interest rates in no-arbitrage affine models In: FRB Atlanta Working Paper.
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2016The role of commodity prices in forecasting U.S. core inflation In: FRB Atlanta Working Paper.
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2017General Aggregation of Misspecified Asset Pricing Models In: FRB Atlanta Working Paper.
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2017Asset Co-movements: Features and Challenges In: FRB Atlanta Working Paper.
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2019Deconstructing the yield curve In: Staff Reports.
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2017A Robust Approach to Hedging and Pricing in Imperfect Markets In: Risks.
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2006Forecasting volatility In: Journal of Forecasting.
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2005Testing For Threshold Nonlinearity in Short-Term Interest Rates In: Journal of Financial Econometrics.
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2011A new method for approximating vector autoregressive processes by finite-state Markov chains In: MPRA Paper.
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paper1
2012Asymptotics of near unit roots (in Russian) In: Quantile.
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2001Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes: An Application to Purchasing Power Parity In: Computing in Economics and Finance 2001.
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paper2
2001Nonparametric Likelihood Methods for Estimation and Inference in Moment Condition Models with Weak Instruments In: Computing in Economics and Finance 2001.
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paper0
2018Market consistent valuations with financial imperfection In: Decisions in Economics and Finance.
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2005ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS In: Econometric Reviews.
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2008Time Series Nonparametric Regression Using Asymmetric Kernels with an Application to Estimation of Scalar Diffusion Processes In: CIRJE F-Series.
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2013Commodity Prices, Convenience Yields, and Inflation In: The Review of Economics and Statistics.
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article72
2017Spurious Inference in Reduced‐Rank Asset‐Pricing Models In: Econometrica.
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2011Risk premiums and predictive ability of BAX futures In: Journal of Futures Markets.
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