15
H index
21
i10 index
643
Citations
Nikolay Gospodinov : Citation Profile
Federal Reserve Bank of Atlanta | RESEARCH PRODUCTION: 44 Articles 41 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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24 years (1999 - 2023). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Nikolay Gospodinov. | Is cited by:
| Cites to:
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Main data
Where Nikolay Gospodinov has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Econometrics | 6 |
| Journal of Empirical Finance | 5 |
| Journal of Business & Economic Statistics | 4 |
| Econometric Reviews | 4 |
| Journal of Business & Economic Statistics | 3 |
| Econometrica | 2 |
| Journal of Financial Economics | 2 |
| The Journal of Financial Econometrics | 2 |
Recent works citing Nikolay Gospodinov (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456. Full description at Econpapers || Download paper |
| 2023 | Detecting Identification Failure in Moment Condition Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1907.13093. Full description at Econpapers || Download paper |
| 2023 | Testing Overidentifying Restrictions with High-Dimensional Data and Heteroskedasticity. (2022). Mei, Ziwei ; Guo, Zijian ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2205.00171. Full description at Econpapers || Download paper |
| 2023 | A Conditional Linear Combination Test with Many Weak Instruments. (2022). Zhang, Yichong ; Wang, Wenjie ; Lim, Dennis. In: Papers. RePEc:arx:papers:2207.11137. Full description at Econpapers || Download paper |
| 2023 | Analyzing Linear DSGE models: the Method of Undetermined Markov States. (2022). Roulleau-Pasdeloup, Jordan. In: Papers. RePEc:arx:papers:2209.05081. Full description at Econpapers || Download paper |
| 2023 | A specification test for the strength of instrumental variables. (2023). Yao, Jianfeng ; Wang, Chen ; Huang, Zhenhong. In: Papers. RePEc:arx:papers:2302.14396. Full description at Econpapers || Download paper |
| 2023 | Assessing the strength of many instruments with the first-stage F and Cragg-Donald statistics. (2023). Yao, Jianfeng ; Wang, Chen ; Huang, Zhenhong. In: Papers. RePEc:arx:papers:2302.14423. Full description at Econpapers || Download paper |
| 2023 | Identification- and many instrument-robust inference via invariant moment conditions. (2023). Ligtenberg, Johannes W ; Boot, Tom. In: Papers. RePEc:arx:papers:2303.07822. Full description at Econpapers || Download paper |
| 2023 | Inference in IV models with clustered dependence, many instruments and weak identification. (2023). Ligtenberg, Johannes W. In: Papers. RePEc:arx:papers:2306.08559. Full description at Econpapers || Download paper |
| 2023 | Testing for Peer Effects without Specifying the Network Structure. (2023). Liu, Xiaodong ; Jung, Hyunseok. In: Papers. RePEc:arx:papers:2306.09806. Full description at Econpapers || Download paper |
| 2023 | Latent Factor Analysis in Short Panels. (2023). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004. Full description at Econpapers || Download paper |
| 2023 | Weak (Proxy) Factors Robust Hansen-Jagannathan Distance For Linear Asset Pricing Models. (2023). Kong, Lingwei. In: Papers. RePEc:arx:papers:2307.14499. Full description at Econpapers || Download paper |
| 2023 | The Local Projection Residual Bootstrap for AR(1) Models. (2023). Velez, Amilcar. In: Papers. RePEc:arx:papers:2309.01889. Full description at Econpapers || Download paper |
| 2023 | Spectral identification and estimation of mixed causal-noncausal invertible-noninvertible models. (2023). Hecq, Alain ; Velasquez-Gaviria, Daniel. In: Papers. RePEc:arx:papers:2310.19543. Full description at Econpapers || Download paper |
| 2023 | Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models. (2023). Julliard, Christian ; Huang, Jiantao ; Bryzgalova, Svetlana. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:487-557. Full description at Econpapers || Download paper |
| 2023 | Aggregate Insider Trading and Stock Market Volatility in the UK. (2023). Spagnolo, Nicola ; Kyriacou, Kyriacos ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10511. Full description at Econpapers || Download paper |
| 2023 | Flexible inflation targeting and stock market volatility: Evidence from emerging market economies. (2023). Boughrara, Adel ; Dridi, Ichrak. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002328. Full description at Econpapers || Download paper |
| 2023 | The risk spillover between China’s economic policy uncertainty and commodity markets: Evidence from frequency spillover and quantile connectedness approaches. (2023). Mo, Bin ; Ao, Zhiming ; Jiang, Yonghong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000281. Full description at Econpapers || Download paper |
| 2023 | Indirect inference estimation of dynamic panel data models. (2023). Yu, Xuewen ; Bao, Yong. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1027-1053. Full description at Econpapers || Download paper |
| 2023 | Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds. (2023). Melin, Olena ; Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001586. Full description at Econpapers || Download paper |
| 2023 | Testing many restrictions under heteroskedasticity. (2023). Anatolyev, Stanislav ; Solvsten, Mikkel. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001677. Full description at Econpapers || Download paper |
| 2023 | Forecasting commodity prices returns: The role of partial least squares approach. (2023). Dai, Zhifeng ; Zhu, Haoyang ; Wen, Chufu. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003237. Full description at Econpapers || Download paper |
| 2023 | Commodity prices and global economic activity. (2023). Matsumoto, Akito ; Wang, Xueliang ; Pescatori, Andrea. In: Japan and the World Economy. RePEc:eee:japwor:v:66:y:2023:i:c:s0922142523000038. Full description at Econpapers || Download paper |
| 2023 | Empirical evaluation of overspecified asset pricing models. (2023). Sentana, Enrique ; Pearanda, Francisco ; Manresa, Elena. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:2:p:338-351. Full description at Econpapers || Download paper |
| 2023 | An investment-based explanation of currency excess returns. (2023). Smallwood, Aaron D ; Yamani, Ehab ; Jamali, Ibrahim. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000311. Full description at Econpapers || Download paper |
| 2023 | Which factor model? A systematic return covariation perspective. (2023). Tsvetanov, Daniel ; Symeonidis, Lazaros ; Bu, Ziwen ; Ahmed, Shamim. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:136:y:2023:i:c:s0261560623000669. Full description at Econpapers || Download paper |
| 2023 | Taxation and anti-smoking campaigns: Complementary policies in tobacco control. (2023). Galmarini, Umberto ; Colombo, Luca. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:45:y:2023:i:1:p:31-57. Full description at Econpapers || Download paper |
| 2023 | Business Cycles and Low-Frequency Fluctuations in the US Unemployment Rate. (2023). Lunsford, Kurt Graden. In: Working Papers. RePEc:fip:fedcwq:96582. Full description at Econpapers || Download paper |
| 2023 | Financial and Macroeconomic Data Through the Lens of a Nonlinear Dynamic Factor Model. (2023). Zhong, Molin ; Khazanov, Alexey ; Guerron-Quintana, Pablo. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-27. Full description at Econpapers || Download paper |
| 2023 | Finite-State Markov-Chain Approximations: A Hidden Markov Approach. (2023). McCrary, Sean ; Janssens, Eva F. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:96642. Full description at Econpapers || Download paper |
| 2023 | An Exploratory Study on the Development of a Crisis Index: Focusing on South Korea’s Petroleum Industry. (2023). Cha, Jeonghwa ; Kim, Hangook ; Park, Kyungbo. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:14:p:5346-:d:1192956. Full description at Econpapers || Download paper |
| 2023 | Unemployment persistence with an evolutionary perspective: job creation or destruction (or both)?. (2023). Liu, De-Chih. In: Evolutionary and Institutional Economics Review. RePEc:spr:eaiere:v:20:y:2023:i:1:d:10.1007_s40844-022-00246-4. Full description at Econpapers || Download paper |
| 2023 | Return direction forecasting: a conditional autoregressive shape model with beta density. (2023). Fan, Pengying ; Sun, Yuying ; Xie, Haibin. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00489-z. Full description at Econpapers || Download paper |
| 2023 | Global food price volatility and inflationary pressures among developing economies. (2023). Agyapong, Elvis Kwame ; Abaidoo, Rexford. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:10:d:10.1007_s43546-023-00569-3. Full description at Econpapers || Download paper |
| 2023 | A Sieve?SMM Estimator for Dynamic Models. (2023). Forneron, Jeanjacques. In: Econometrica. RePEc:wly:emetrp:v:91:y:2023:i:3:p:943-977. Full description at Econpapers || Download paper |
| 2023 | The problem of annual inflation rate indicator. (2023). Arlt, Josef. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:3:p:2772-2788. Full description at Econpapers || Download paper |
| 2023 | Trading volume and realized volatility forecasting: Evidence from the China stock market. (2023). Lee, Chien-Chiang ; Choo, Weichong ; Liu, Min. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:1:p:76-100. Full description at Econpapers || Download paper |
Works by Nikolay Gospodinov:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2007 | Modeling Financial Return Dynamics by Decomposition In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2007 | Modeling Financial Return Dynamics by Decomposition.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2008 | Specification Testing in Models with Many Instruments In: Working Papers. [Full Text][Citation analysis] | paper | 36 |
| 2008 | Specification Testing in Models with Many Instruments.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
| 2011 | SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS.(2011) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | article | |
| 2002 | Bootstrap-Based Inference in Models with a Nearly Noninvertible Moving Average Component. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 6 |
| 2010 | Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 24 |
| 2010 | Modeling Financial Return Dynamics via Decomposition In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 39 |
| 2011 | Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 20 |
| 2009 | Sensitivity of Impulse Responses to Small Low Frequency Co-Movements : Reconciling the Evidence on the Effects of Technology Shocks.(2009) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
| 2011 | Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks.(2011) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | article | |
| 2018 | Monetary policy uncertainty, positions of traders and changes in commodity futures prices In: European Financial Management. [Full Text][Citation analysis] | article | 19 |
| 2004 | Global Health Warnings on Tobacco Packaging: Evidence from the Canadian Experiment In: The B.E. Journal of Economic Analysis & Policy. [Full Text][Citation analysis] | article | 5 |
| 2015 | Long-Term Health Effects of Vietnam Wars Herbicide Exposure on the Vietnamese Population In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2005 | A `long march perspective on tobacco use in Canada In: Canadian Journal of Economics. [Full Text][Citation analysis] | article | 5 |
| 2005 | A ‘long march’ perspective on tobacco use in Canada.(2005) In: Canadian Journal of Economics/Revue canadienne d'économique. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2008 | A New Look at the Forward Premium Puzzle In: Working Papers. [Citation analysis] | paper | 17 |
| 2009 | A New Look at the Forward Premium Puzzle.(2009) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | article | |
| 2008 | Local GMM Estimation of Time Series Models with Conditional Moment Restrictions In: Working Papers. [Citation analysis] | paper | 7 |
| 2012 | Local GMM estimation of time series models with conditional moment restrictions.(2012) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2008 | Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels In: Working Papers. [Citation analysis] | paper | 1 |
| 2009 | Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors In: Working Papers. [Citation analysis] | paper | 2 |
| 2011 | Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors.(2011) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2011 | A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains In: Working Papers. [Citation analysis] | paper | 19 |
| 2013 | A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains.(2013) In: FRB Atlanta Working Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
| 2014 | A MOMENT?MATCHING METHOD FOR APPROXIMATING VECTOR AUTOREGRESSIVE PROCESSES BY FINITE?STATE MARKOV CHAINS.(2014) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | article | |
| 2004 | Asymptotic confidence intervals for impulse responses of near-integrated processes In: Econometrics Journal. [Full Text][Citation analysis] | article | 36 |
| 2002 | Median unbiased forecasts for highly persistent autoregressive processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 19 |
| 1999 | Median Unbiased Forecasts for Highly Persistent Autoregressive Processes.(1999) In: Computing in Economics and Finance 1999. [Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
| 2008 | Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root In: Journal of Econometrics. [Full Text][Citation analysis] | article | 7 |
| 2013 | Chi-squared tests for evaluation and comparison of asset pricing models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 23 |
| 2011 | Chi-squared tests for evaluation and comparison of asset pricing models.(2011) In: FRB Atlanta Working Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
| 2017 | Simulated minimum distance estimation of dynamic models with errors-in-variables In: Journal of Econometrics. [Full Text][Citation analysis] | article | 9 |
| 2021 | Generalized aggregation of misspecified models: With an application to asset pricing In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2012 | The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 24 |
| 2012 | Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 7 |
| 2016 | On the properties of the constrained Hansen–Jagannathan distance In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 3 |
| 2017 | Foreign exchange predictability and the carry trade: A decomposition approach In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 5 |
| 2022 | Long-horizon stock valuation and return forecasts based on demographic projections In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 0 |
| 2019 | Too good to be true? Fallacies in evaluating risk factor models In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 10 |
| 2017 | Too Good to Be True? Fallacies in Evaluating Risk Factor Models.(2017) In: FRB Atlanta Working Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2021 | Common pricing across asset classes: Empirical evidence revisited In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 6 |
| 2009 | Tobacco taxes and regressivity In: Journal of Health Economics. [Full Text][Citation analysis] | article | 19 |
| 2015 | The response of stock market volatility to futures-based measures of monetary policy shocks In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 22 |
| 2014 | The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks.(2014) In: FRB Atlanta Working Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
| 2013 | 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. In: Advances in Econometrics. [Full Text][Citation analysis] | chapter | 0 |
| 2010 | On the Hansen-Jagannathan distance with a no-arbitrage constraint In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 9 |
| 2010 | Further results on the limiting distribution of GMM sample moment conditions In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 2 |
| 2012 | Further Results on the Limiting Distribution of GMM Sample Moment Conditions.(2012) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2012 | Robust inference in linear asset pricing models In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 12 |
| 2012 | Analytical solution for the constrained Hansen-Jagannathan distance under multivariate ellipticity In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 0 |
| 2013 | A staggered pricing approach to modeling speculative storage: implications for commodity price dynamics In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Misspecification-robust inference in linear asset pricing models with irrelevant risk factors In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 44 |
| 2014 | Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors.(2014) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 44 | article | |
| 2013 | Minimum distance estimation of possibly non-invertible moving average models In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 9 |
| 2015 | Minimum Distance Estimation of Possibly Noninvertible Moving Average Models.(2015) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2013 | Monetary policy surprises, positions of traders, and changes in commodity futures prices In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 3 |
| 2014 | Minimum Distance Estimation of Dynamic Models with Errors-In-Variables In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 2 |
| 2014 | Spurious Inference in Unidentified Asset-Pricing Models In: FRB Atlanta Working Paper. [Citation analysis] | paper | 11 |
| 2014 | Hedging and Pricing in Imperfect Markets under Non-Convexity In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Foreign exchange predictability during the financial crisis: implications for carry trade profitability In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Multivariate return decomposition: theory and implications In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 2 |
| 2019 | Multivariate Return Decomposition: Theory and Implications.(2019) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2015 | Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models.(2018) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2016 | Forecasts of inflation and interest rates in no-arbitrage affine models In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 2 |
| 2016 | The role of commodity prices in forecasting U.S. core inflation In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 1 |
| 2017 | General Aggregation of Misspecified Asset Pricing Models In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 3 |
| 2017 | Asset Co-movements: Features and Challenges In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 1 |
| 2021 | The Persistent Compression of the Breakeven Inflation Curve In: Liberty Street Economics. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Deconstructing the yield curve In: Staff Reports. [Full Text][Citation analysis] | paper | 1 |
| 2023 | Sparse Trend Estimation In: Staff Reports. [Full Text][Citation analysis] | paper | 0 |
| 2017 | A Robust Approach to Hedging and Pricing in Imperfect Markets In: Risks. [Full Text][Citation analysis] | article | 0 |
| 2006 | Forecasting volatility In: Journal of Forecasting. [Full Text][Citation analysis] | article | 15 |
| 2005 | Testing For Threshold Nonlinearity in Short-Term Interest Rates In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 13 |
| 2011 | A new method for approximating vector autoregressive processes by finite-state Markov chains In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
| 2012 | Asymptotics of near unit roots (in Russian) In: Quantile. [Full Text][Citation analysis] | article | 0 |
| 2001 | Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes: An Application to Purchasing Power Parity In: Computing in Economics and Finance 2001. [Citation analysis] | paper | 2 |
| 2001 | Nonparametric Likelihood Methods for Estimation and Inference in Moment Condition Models with Weak Instruments In: Computing in Economics and Finance 2001. [Citation analysis] | paper | 0 |
| 2018 | Market consistent valuations with financial imperfection In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2005 | ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS In: Econometric Reviews. [Full Text][Citation analysis] | article | 0 |
| 2008 | Time Series Nonparametric Regression Using Asymmetric Kernels with an Application to Estimation of Scalar Diffusion Processes In: CIRJE F-Series. [Full Text][Citation analysis] | paper | 2 |
| 2013 | Commodity Prices, Convenience Yields, and Inflation In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 93 |
| 2017 | Spurious Inference in Reduced?Rank Asset?Pricing Models In: Econometrica. [Full Text][Citation analysis] | article | 12 |
| 2022 | On the Factor Structure of Bond Returns In: Econometrica. [Full Text][Citation analysis] | article | 3 |
| 2011 | Risk premiums and predictive ability of BAX futures In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 6 |
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