Nikolay Gospodinov : Citation Profile


Are you Nikolay Gospodinov?

Federal Reserve Bank of Atlanta

11

H index

14

i10 index

352

Citations

RESEARCH PRODUCTION:

39

Articles

39

Papers

RESEARCH ACTIVITY:

   20 years (1999 - 2019). See details.
   Cites by year: 17
   Journals where Nikolay Gospodinov has often published
   Relations with other researchers
   Recent citing documents: 68.    Total self citations: 24 (6.38 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pgo5
   Updated: 2019-10-15    RAS profile: 2019-08-11    
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Relations with other researchers


Works with:

Anatolyev, Stanislav (4)

Ng, Serena (3)

Robotti, Cesare (3)

Lkhagvasuren, Damba (2)

Komunjer, Ivana (2)

Liu, Xiaochun (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 (14)

Smeekes, Stephan (8)

Sévi, Benoît (8)

Fève, Patrick (7)

Lieb, Lenard (6)

Liu, Xiaochun (6)

Rossi, Barbara (6)

Kim, Jae (5)

GUPTA, RANGAN (5)

Nyberg, Henri (5)

Huang, Lin (5)

Cites to:

Campbell, John (19)

Ng, Serena (18)

Jagannathan, Ravi (17)

Diebold, Francis (17)

Sarno, Lucio (17)

Bollerslev, Tim (16)

Robotti, Cesare (16)

Shanken, Jay (15)

Phillips, Peter (15)

Hansen, Lars (14)

Rogoff, Kenneth (12)

Main data


Where Nikolay Gospodinov has published?


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

Recent works citing Nikolay Gospodinov (2019 and 2018)


YearTitle of citing document
2018Inference for Impulse Responses under Model Uncertainty. (2018). Smeekes, Stephan ; Lieb, Lenard. In: Papers. RePEc:arx:papers:1709.09583.

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2019A Justification of Conditional Confidence Intervals. (2017). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1710.00643.

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2019Forecasting dynamic return distributions based on ordered binary choice. (2019). Baruník, Jozef ; Anatolyev, Stanislav. In: Papers. RePEc:arx:papers:1711.05681.

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2018Structural Estimation of Behavioral Heterogeneity. (2018). Shi, Zhentao ; Zheng, Huanhuan. In: Papers. RePEc:arx:papers:1802.03735.

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2019Factor models with many assets: strong factors, weak factors, and the two-pass procedure. (2018). Anatolyev, Stanislav ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:1807.04094.

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2019Characteristic-Sorted Portfolios: Estimation and Inference. (2018). Crump, Richard ; Schaumburg, Ernst ; Farrell, Max H ; Cattaneo, Matias D. In: Papers. RePEc:arx:papers:1809.03584.

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

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2019Quantifying 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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2018Estimating Non-Linear DSGEs with the Approximate Bayesian Computation: an application to the Zero Lower Bound. (2018). Scalone, Valerio . In: Working papers. RePEc:bfr:banfra:688.

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2018Identifying oil price shocks and their consequences: the role of expectations in the crude oil market. (2018). Fueki, Takuji ; Tamanyu, Yoichiro ; Ohyama, Shinsuke ; Nakajima, Jouchi ; Higashio, Naoto. In: BIS Working Papers. RePEc:bis:biswps:725.

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2019QUANTITATIVE EASING AND THE UK STOCK MARKET: DOES THE BANK OF ENGLAND INFORMATION DISSEMINATION STRATEGY MATTER?. (2019). Chortareas, Georgios ; Noikokyris, Emmanouil ; Karanasos, Menelaos. In: Economic Inquiry. RePEc:bla:ecinqu:v:57:y:2019:i:1:p:569-583.

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2018FACTOR MODELS AND TIME†VARYING PARAMETER FRAMEWORK FOR FORECASTING EXCHANGE RATES AND INFLATION: A SURVEY. (2018). Mokhtari, Manouchehr ; Kavtaradze, Lasha. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:302-334.

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2018UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES. (2018). Veiga, Helena ; Ruiz, Esther ; Gonalves, Joo Henrique . In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:388-419.

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2018Testing Over- and Underidentification in Linear Models, with Applications to Dynamic Panel Data and Asset-Pricing Models. (2018). Windmeijer, Frank. In: Bristol Economics Discussion Papers. RePEc:bri:uobdis:18/696.

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2018Robust Estimation with Exponentially Tilted Hellinger Distance. (2018). Antoine, Bertille ; Dovonon, Prosper. In: CIRANO Working Papers. RePEc:cir:cirwor:2018s-38.

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2018Common Factors of Commodity Prices. (2018). Giannone, Domenico ; Ferrara, Laurent ; delle Chiaie, Simona. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12767.

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2017FUTURES-BASED MEASURES OF MONETARY POLICY AND JUMP RISK. (2017). Inekwe, John ; Nkwoma, Inekwe John . In: Macroeconomic Dynamics. RePEc:cup:macdyn:v:21:y:2017:i:02:p:384-405_00.

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2018Dealing with endogeneity in threshold models using copulas: an illustration to the foreign trade multiplier. (2018). Tzavalis, Elias ; McAdam, Peter ; Christopoulos, Dimitris. In: Working Paper Series. RePEc:ecb:ecbwps:20182136.

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2018Bias-corrected estimation for speculative bubbles in stock prices. (2018). Kruse, Robinson ; Wegener, Christoph ; Kaufmann, Hendrik. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:354-364.

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2017Robustness of binary choice models to conditional heteroscedasticity. (2017). Ginker, Tim ; Lieberman, Offer. In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:130-134.

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2017On bootstrap validity for specification testing with many weak instruments. (2017). Kaffo, Maximilien ; Wang, Wenjie. In: Economics Letters. RePEc:eee:ecolet:v:157:y:2017:i:c:p:107-111.

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2018Revisiting Pastor–Stambaugh liquidity factor. (2018). Mohammad, . In: Economics Letters. RePEc:eee:ecolet:v:163:y:2018:i:c:p:190-192.

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2018Minimum distance approach to inference with many instruments. (2018). Kolesar, Michal. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:86-100.

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2018Ex-post risk premia estimation and asset pricing tests using large cross sections: The regression-calibration approach. (2018). Kim, Soohun ; Skoulakis, Georgios . In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:159-188.

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2019Nearly weighted risk minimal unbiased estimation. (2019). Wang, Yulong ; Muller, Ulrich K. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:1:p:18-34.

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2019Nonparametric estimation and testing on discontinuity of positive supported densities: a kernel truncation approach. (2019). Funke, Benedikt ; Hirukawa, Masayuki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:156-170.

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2017When no news is good news – The decrease in investor fear after the FOMC announcement. (2017). Frijns, Bart ; Tourani-Rad, Alireza ; Fernandez-Perez, Adrian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:187-199.

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2018Bayesian tests of global factor models. (2018). Fletcher, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:279-289.

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2017Stochastic convergence in per capita energy use in world. (2017). Fallahi, Firouz. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:228-239.

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2018Gold and crude oil prices after the great moderation. (2018). Sephton, Peter ; Mann, Janelle. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:273-281.

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2019Model comparison tests of linear factor models in U.K. stock returns. (2019). Fletcher, Jonathan. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:281-291.

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2019Modelling the volatility of international visitor arrivals to New Zealand. (2019). Balli, Hatice ; Kan, Wai Hong. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:75:y:2019:i:c:p:204-214.

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2017Unfolded risk-return trade-offs and links to Macroeconomic Dynamics. (2017). Liu, Xiaochun. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:82:y:2017:i:c:p:1-19.

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2017Investigating market efficiency through a forecasting model based on differential equations. (2017). de Resende, Charlene C ; Bosco, A R. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:474:y:2017:i:c:p:199-212.

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2018Information measure for financial time series: Quantifying short-term market heterogeneity. (2018). Ponta, Linda ; Carbone, Anna. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:510:y:2018:i:c:p:132-144.

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2017Can macroeconomic dynamics explain the time variation of risk–return trade-offs in the U.S. financial market?. (2017). Liu, Xiaochun. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:275-293.

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2017Further evidence on bear market predictability: The role of the external finance premium. (2017). Chen, Shiu-Sheng ; Chou, Yu-Hsi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:50:y:2017:i:c:p:106-121.

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2017Intraday analysis of macroeconomic news surprises and asymmetries in mini-futures markets. (2017). Vortelinos, Dimitrios I ; Tsagkanos, Athanasios ; Koulakiotis, Athanasios . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:150-168.

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2017Stock return predictability in emerging markets: Does the choice of predictors and models matter across countries?. (2017). Ftiti, Zied ; Hadhri, Sinda. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:39-60.

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2018Predicting daily oil prices: Linear and non-linear models. (2018). Dbouk, Wassim ; Jamali, Ibrahim. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:149-165.

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2019Impacts of lagged returns on the risk-return relationship of Chinese aggregate stock market: Evidence from different data frequencies. (2019). Liu, Jingzhen. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:243-257.

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2018Are Graphic Warning Labels Stopping Millions of Smokers? A Comment on Huang, Chaloupka, and Fong. (2018). Beleche, Trinidad ; Kirby, Laron J ; Summers, Rosemarie L ; Lew, Nellie. In: Econ Journal Watch. RePEc:ejw:journl:v:15:y:2018:i:2:p:129-157.

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2019Can Central Banking Policies Make a Difference in Financial Market Performance in Emerging Economies? The Case of India. (2019). Srivastava, Mrinalini ; Mahendru, Mandeep ; Sharma, Gagan Deep. In: Economies. RePEc:gam:jecomi:v:7:y:2019:i:2:p:49-:d:232721.

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2019Analysing monetary policy statements of the Reserve Bank of India. (2019). Sengupta, Rajeswari ; Mathur, Aakriti. In: IHEID Working Papers. RePEc:gii:giihei:heidwp08-2019.

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2019A TEST OF THE EFFICIENCY OF THE FOREIGN EXCHANGE MARKET IN INDONESIA. (2019). Iyke, Bernard Njindan. In: Bulletin of Monetary Economics and Banking. RePEc:idn:journl:v:1:y:2019:i:sp1:p:1-26.

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2019Analysing monetary policy statements of the Reserve Bank of India. (2019). Sengupta, Rajeswari ; Mathur, Aakriti. In: Indira Gandhi Institute of Development Research, Mumbai Working Papers. RePEc:ind:igiwpp:2019-012.

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2018Population-level intervention and information collection in dynamic healthcare policy. (2018). Weber, Thomas ; Cipriano, Lauren E. In: Health Care Management Science. RePEc:kap:hcarem:v:21:y:2018:i:4:d:10.1007_s10729-017-9415-5.

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2018Rate Optimal Specification Test When the Number of Instruments is Large. (2018). Hitomi, Kohtaro ; Nishiyama, Yoshihiko ; Iwasawa, Masamune . In: KIER Working Papers. RePEc:kyo:wpaper:986.

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2019Semi-strong factors in asset returns. (2019). Korajczyk, Robert A ; Connor, Gregory . In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n294-19.pdf.

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2018Bootstrapping factor models with cross sectional dependence. (2018). Gonalves, Silvia ; Perron, Benoit. In: Cahiers de recherche. RePEc:mtl:montde:2018-07.

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2018Bootstrapping Factor Models With Cross Sectional Dependence. (2018). Gonalves, Silvia ; Perron, Benoit. In: Cahiers de recherche. RePEc:mtl:montec:10-2018.

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2017Inference on Risk Premia in the Presence of Omitted Factors. (2017). Giglio, Stefano ; Xiu, Dacheng. In: NBER Working Papers. RePEc:nbr:nberwo:23527.

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2018The Impact of Uncertainty Shocks on the Volatility of Commodity Prices.. (2018). Bakas, Dimitrios ; Triantafyllou, Athanasios. In: Working Papers. RePEc:nbs:wpaper:2018/02.

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2018Exchange rate volatility: Traders beliefs and the role of news. (2018). Roy Trivedi, Smita. In: MPRA Paper. RePEc:pra:mprapa:89330.

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2019Dynamic Impact of the U.S. Monetary Policy on Oil Market Returns and Volatility. (2019). GUPTA, RANGAN ; Cakan, Esin ; Marfatia, Hardik A. In: Working Papers. RePEc:pre:wpaper:201916.

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2019125 Years of Time-Varying Effects of Fiscal Policy on Financial Markets. (2019). GUPTA, RANGAN ; Miller, Stephen M ; Marfatia, Hardik A. In: Working Papers. RePEc:pre:wpaper:201956.

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2018Estimation of structural impulse responses: short-run versus long-run identifying restrictions. (2018). Winker, Peter ; Staszewska-Bystrova, Anna ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:102:y:2018:i:2:d:10.1007_s10182-017-0300-9.

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2017Predicting the direction of US stock markets using industry returns. (2017). Pönkä, Harri. In: Empirical Economics. RePEc:spr:empeco:v:52:y:2017:i:4:d:10.1007_s00181-016-1098-0.

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2017Timing in the presence of directional predictability: optimal stopping of skew Brownian motion. (2017). Luis , ; Salminen, Paavo. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:86:y:2017:i:2:d:10.1007_s00186-017-0602-4.

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2018Tobacco Regulation and Cost-Benefit Analysis: How Should We Value Foregone Consumer Surplus?. (2018). Smith, Jeffrey ; Norton, Edward ; Levy, Helen G. In: American Journal of Health Economics. RePEc:tpr:amjhec:v:4:y:2018:i:1:p:1-25.

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2019Increasing Cigarette Taxes is Unfair to the Poor? Evidence from Argentina. (2019). Gonzalez-Rozada, Martin. In: Department of Economics Working Papers. RePEc:udt:wpecon:2019_01.

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2017Inference for Impulse Responses under Model Uncertainty. (2017). Smeekes, Stephan ; Lieb, Lenard. In: Research Memorandum. RePEc:unm:umagsb:2017022.

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2017A Justification of Conditional Confidence Intervals. (2017). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Research Memorandum. RePEc:unm:umagsb:2017023.

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2017Inference in instrumental variables models with heteroskedasticity and many instruments. (2017). Mellace, Giovanni ; Crudu, Federico ; Sandor, Zsolt. In: Department of Economics University of Siena. RePEc:usi:wpaper:761.

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2018Structural estimation of behavioral heterogeneity. (2018). Zheng, Huanhuan ; Shi, Zhentao. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:33:y:2018:i:5:p:690-707.

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2017Prediction intervals for inflation and unemployment rate in Romania. A Bayesian approach. (2017). Simionescu, Mihaela. In: GLO Discussion Paper Series. RePEc:zbw:glodps:82.

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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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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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2011SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS.(2011) In: Econometric Theory.
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2002Bootstrap-Based Inference in Models with a Nearly Noninvertible Moving Average Component. In: Journal of Business & Economic Statistics.
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2010Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions In: Journal of Business & Economic Statistics.
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2010Modeling Financial Return Dynamics via Decomposition In: Journal of Business & Economic Statistics.
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article29
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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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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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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2018Monetary policy uncertainty, positions of traders and changes in commodity futures prices In: European Financial Management.
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article2
2004Global Health Warnings on Tobacco Packaging: Evidence from the Canadian Experiment In: The B.E. Journal of Economic Analysis & Policy.
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2015Long-Term Health Effects of Vietnam Wars Herbicide Exposure on the Vietnamese Population In: Working Papers.
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2005A `long march perspective on tobacco use in Canada In: Canadian Journal of Economics.
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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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2008Local GMM Estimation of Time Series Models with Conditional Moment Restrictions In: Working Papers.
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2012Local GMM estimation of time series models with conditional moment restrictions.(2012) In: Journal of Econometrics.
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2008Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels In: Working Papers.
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2009Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors In: Working Papers.
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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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2002Median unbiased forecasts for highly persistent autoregressive processes In: Journal of Econometrics.
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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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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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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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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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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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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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