Nikolay Gospodinov : Citation Profile

Federal Reserve Bank of Atlanta

16

H index

24

i10 index

708

Citations

RESEARCH PRODUCTION:

46

Articles

43

Papers

2

Chapters

RESEARCH ACTIVITY:

   26 years (1999 - 2025). See details.
   Cites by year: 27
   Journals where Nikolay Gospodinov has often published
   Relations with other researchers
   Recent citing documents: 48.    Total self citations: 30 (4.07 %)

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   Permalink: http://citec.repec.org/pgo5
   Updated: 2025-05-17    RAS profile: 2024-12-06    
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Relations with other researchers

Works with:

Crump, Richard (6)

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 (20)

GUPTA, RANGAN (15)

Khalaf, Lynda (11)

Sévi, Benoît (9)

Smeekes, Stephan (8)

Fève, Patrick (7)

Balcilar, Mehmet (7)

Zhang, Xiang (7)

Moench, Emanuel (7)

Rossi, Barbara (7)

Liu, Xiaochun (6)

Cites to:

Campbell, John (39)

Hansen, Lars (27)

Jagannathan, Ravi (26)

Robotti, Cesare (24)

Shanken, Jay (24)

Phillips, Peter (22)

Ng, Serena (22)

Diebold, Francis (22)

Bollerslev, Tim (18)

Engle, Robert (17)

Jouini, Elyès (16)

Main data

Where Nikolay Gospodinov has published?

Journals with more than one article published# docs
Journal of Econometrics6
Journal of Empirical Finance5
Econometric Reviews4
Journal of Business & Economic Statistics4
Journal of Business & Economic Statistics3
Econometrica2
The Review of Financial Studies2
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
Staff Reports / Federal Reserve Bank of New York4
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 (2025 and 2024)

YearTitle of citing document
2024The Ends of 27 Big Depressions. (2024). O'Rourke, Kevin ; Lee, Sang Seok ; Ellison, Martin. In: American Economic Review. RePEc:aea:aecrev:v:114:y:2024:i:1:p:134-68.

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2024A Heteroskedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates. (2024). Mei, Ziwei ; Guo, Zijian ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2205.00171.

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2024The First-stage F Test with Many Weak Instruments. (2024). Huang, Zhenhong ; Yao, Jianfeng ; Wang, Chen. In: Papers. RePEc:arx:papers:2302.14423.

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2025Identification- and many instrument-robust inference via invariant moment conditions. (2025). Boot, Tom ; Ligtenberg, Johannes W. In: Papers. RePEc:arx:papers:2303.07822.

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2024Inference in IV models with clustered dependence, many instruments and weak identification. (2024). Ligtenberg, Johannes W. In: Papers. RePEc:arx:papers:2306.08559.

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2024Testing for Peer Effects without Specifying the Network Structure. (2024). Liu, Xiaodong ; Jung, Hyun Seok. In: Papers. RePEc:arx:papers:2306.09806.

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2024Latent Factor Analysis in Short Panels. (2024). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004.

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2025The Local Projection Residual Bootstrap for AR(1) Models. (2025). Velez, Amilcar. In: Papers. RePEc:arx:papers:2309.01889.

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2024Robust Functional Data Analysis for Stochastic Evolution Equations in Infinite Dimensions. (2024). Schroers, Dennis. In: Papers. RePEc:arx:papers:2401.16286.

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2024Extracting Mechanisms from Heterogeneous Effects: An Identification Strategy for Mediation Analysis. (2024). Fu, Jiawei. In: Papers. RePEc:arx:papers:2403.04131.

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2024On Quantum Ambiguity and Potential Exponential Computational Speed-Ups to Solving Dynamic Asset Pricing Models. (2024). Morgan, Jack ; Ghysels, Eric. In: Papers. RePEc:arx:papers:2405.01479.

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2024Dynamically Consistent Analysis of Realized Covariations in Term Structure Models. (2024). Schroers, Dennis. In: Papers. RePEc:arx:papers:2406.19412.

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2024Probabilistic Predictions of Option Prices Using Multiple Sources of Data. (2024). Martin, Gael M ; Frazier, David T ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:2412.00658.

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2024A Dimension-Agnostic Bootstrap Anderson-Rubin Test For Instrumental Variable Regressions. (2024). Wang, Wenjie ; Zhang, Yichong ; Lim, Dennis. In: Papers. RePEc:arx:papers:2412.01603.

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2025Robust Social Planning. (2025). Mudekereza, Florian. In: Papers. RePEc:arx:papers:2504.07401.

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2025Liquidity, monetary policy and the commodity futures market. (2025). Banti, Chiara ; Kellard, Neil ; Ivan, Miruna-Daniela. In: Bank of England working papers. RePEc:boe:boeewp:1114.

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2024A conditional linear combination test with many weak instruments. (2024). Zhang, Yichong ; Wang, Wenjie ; Lim, Dennis. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003184.

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2024Mining the factor zoo: Estimation of latent factor models with sufficient proxies. (2024). Li, Yingying ; Lu, Wenbin ; Wan, Runzhe ; Song, Rui. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000179.

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2024Testing underidentification in linear models, with applications to dynamic panel and asset pricing models. (2024). Windmeijer, Frank. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s030440762100097x.

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2024Identifiability and estimation of possibly non-invertible SVARMA Models: The normalised canonical WHF parametrisation. (2024). Funovits, Bernd. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s030440762400112x.

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2024Factor correlation and the cross section of asset returns: A correlation-robust machine learning approach. (2024). Sun, Chuanping. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s092753982400032x.

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2024Time-varying relationship between international monetary policy and energy markets. (2024). Tiwari, Aviral ; Abakah, Emmanuel ; Sahay, Vinita S ; Abdullah, Mohammad ; Aikins, Emmanuel Joel ; Adeabah, David. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324000471.

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2024Untangling the entanglement of US monetary policy uncertainty and European natural gas and carbon prices. (2024). Zhang, Xuewen ; Dai, Peng-Fei ; Wang, Jiqiang. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324001944.

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2024Monetary policy uncertainty and the price bubbles in energy markets. (2024). Cao, Yang ; Yang, Jinyu ; Dong, Dayong ; Liang, Chao. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002111.

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2024Heterogeneity in carbon intensity patterns: A subsampling approach. (2024). Hounyo, Ulrich ; Lu, LI ; Kakeu, Johnson. In: Energy Economics. RePEc:eee:eneeco:v:138:y:2024:i:c:s0140988324005279.

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2024Trading activity of VIX futures and options around FOMC announcements. (2024). Tsai, Wei-Che ; Yang, Jimmy J ; Huang, Hong-Gia. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002539.

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2024GMM weighting matrices in cross-sectional asset pricing tests. (2024). Laurinaityte, Nora ; Thimme, Julian ; Meinerding, Christoph ; Schlag, Christian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:162:y:2024:i:c:s0378426624000438.

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2024On the transmission mechanism between the inventory arbitrage activity, speculative activity and the commodity price under the US QE policy: Evidence from a TVP-VAR model. (2024). Alexiou, Constantinos ; Yao, Wei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1054-1072.

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2024The impact of macroeconomic announcements on risk, preference, and risk premium. (2024). Kiriu, Takuya ; Hibiki, Norio. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:842-857.

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2024US inflation and global commodity prices: Asymmetric interdependence. (2024). Wang, Zhufeng ; Bai, Zhihong ; Pan, Zhigang ; Xing, Xiaochao. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000370.

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2024Monetary policy and currency variance risk premia. (2024). Dossani, Asad. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000813.

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2024Linear Factor Models and the Estimation of Expected Returns. (2024). Werker, Bas ; Sarisoy, Cisil. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2024-14.

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2024Quantum Majorization in Market Crash Prediction. (2024). Oosterlee, Cornelis W ; Cirillo, Pasquale ; Souto, Luis A ; Montana, Rhet J. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:12:p:204-:d:1545469.

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2024Carry Trade Dynamics Under Capital Controls: The Case of China. (2024). Tarzia, Domenico ; Gregoriou, Andros ; Balding, Christopher ; Zhang, Xiao. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:31:y:2024:i:4:d:10.1007_s10690-023-09441-8.

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2024Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis. (2024). Nadarajah, Saralees ; Okorie, Idika E ; Nzeribe, Geraldine E ; Afuecheta, Emmanuel. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:1:d:10.1007_s10614-022-10340-9.

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2025The Art of Temporal Approximation: An Investigation into Numerical Solutions to Discrete- and Continuous-Time Problems in Economics. (2025). Eslami, Keyvan ; Phelan, Thomas. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:3:d:10.1007_s10614-024-10596-3.

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2024A simple test of misspecification for linear asset pricing models. (2024). Giannetti, Antoine. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:38:y:2024:i:3:d:10.1007_s11408-024-00445-6.

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2024Consumer Responses to Vaping Regulation in Canada. (2024). Irvine, I ; Harris, C ; Hampsher-Monk, S C. In: Journal of Consumer Policy. RePEc:kap:jcopol:v:47:y:2024:i:4:d:10.1007_s10603-024-09576-9.

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2025Does Fed communication affect uncertainty and risk aversion?. (2025). Chau, Frankie ; Deesomsak, Rataporn ; Shaikh, Raja. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:64:y:2025:i:2:d:10.1007_s11156-024-01318-9.

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2024Optimal combination of requirement and reward in financial incentive programs for weight loss. (2024). Crainich, David ; Boukari, Fahariat ; Arrighi, Yves. In: Theory and Decision. RePEc:kap:theord:v:97:y:2024:i:4:d:10.1007_s11238-024-09988-6.

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2024The Macroeconomic Impact of Agricultural Input Subsidies. (2024). Tetenyi, Laszlo ; Mazur, Karol. In: Working Papers. RePEc:ptu:wpaper:w202422.

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2025Testing overidentifying restrictions on high-dimensional instruments and covariates. (2025). Guo, XU ; Zhang, Xinyu ; Wang, Chenyang ; He, Baihua ; Shi, Hongwei. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:77:y:2025:i:2:d:10.1007_s10463-024-00918-5.

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2024Forecasting commodity prices: empirical evidence using deep learning tools. (2024). Ftiti, Zied ; Louhichi, Wael ; Boubaker, Sahbi ; Tissaoui, Kais ; ben Ameur, Hachmi. In: Annals of Operations Research. RePEc:spr:annopr:v:339:y:2024:i:1:d:10.1007_s10479-022-05076-6.

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2024Evidence of non-fundamentalness in OECD capital stocks. (2024). Lobato, Ignacio N ; Aguirre, Antonio. In: Empirical Economics. RePEc:spr:empeco:v:67:y:2024:i:2:d:10.1007_s00181-024-02564-5.

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2024REGULARIZED GMM FOR TIME‐VARYING MODELS WITH APPLICATIONS TO ASSET PRICING. (2024). Hong, Yongmiao ; Feng, Guanhao ; Cui, Liyuan. In: International Economic Review. RePEc:wly:iecrev:v:65:y:2024:i:2:p:851-883.

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2024Inventory information arrival and the crude oil futures market. (2024). Hmedat, Waleed ; Chebbi, Tarek. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:1513-1533.

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2024A forecasting model for oil prices using a large set of economic indicators. (2024). Hejase, Ale ; Jamali, Ibrahim ; el Hokayem, Jihad. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:5:p:1615-1624.

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2025Double robust inference for continuous updating GMM. (2025). Zhan, Zhaoguo ; Kleibergen, Frank. In: Quantitative Economics. RePEc:wly:quante:v:16:y:2025:i:1:p:295-327.

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Works by Nikolay Gospodinov:

YearTitleTypeCited
2007Modeling Financial Return Dynamics by Decomposition In: Working Papers.
[Full Text][Citation analysis]		paper3
2007Modeling Financial Return Dynamics by Decomposition.(2007) In: Working Papers.
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This paper has nother version. Agregated cites: 3		paper
2008Specification Testing in Models with Many Instruments In: Working Papers.
[Full Text][Citation analysis]		paper40
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.
[Citation analysis]		article6
2010Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article24
2010Modeling Financial Return Dynamics via Decomposition In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article40
2011Sensitivity 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]		article20
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 nother version. Agregated cites: 20		paper
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.
[Full Text][Citation analysis]		article23
2004Global Health Warnings on Tobacco Packaging: Evidence from the Canadian Experiment In: The B.E. Journal of Economic Analysis & Policy.
[Full Text][Citation analysis]		article6
2015Long-Term Health Effects of Vietnam Wars Herbicide Exposure on the Vietnamese Population In: Working Papers.
[Full Text][Citation analysis]		paper1
2005A `long march perspective on tobacco use in Canada In: Canadian Journal of Economics.
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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.
[Citation analysis]		paper18
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.
[Citation analysis]		paper9
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.
[Citation analysis]		paper1
2009Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors In: Working Papers.
[Citation analysis]		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.
[Citation analysis]		paper22
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.
[Full Text][Citation analysis]		article36
2002Median unbiased forecasts for highly persistent autoregressive processes In: Journal of Econometrics.
[Full Text][Citation analysis]		article20
1999Median Unbiased Forecasts for Highly Persistent Autoregressive Processes.(1999) In: Computing in Economics and Finance 1999.
[Citation analysis]
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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.
[Full Text][Citation analysis]		article23
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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2021Generalized aggregation of misspecified models: With an application to asset pricing 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.
[Full Text][Citation analysis]		article29
2012Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article7
2016On the properties of the constrained Hansen–Jagannathan distance In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article3
2017Foreign exchange predictability and the carry trade: A decomposition approach In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article6
2022Long-horizon stock valuation and return forecasts based on demographic projections In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article0
2019Too good to be true? Fallacies in evaluating risk factor models In: Journal of Financial Economics.
[Full Text][Citation analysis]		article15
2017Too Good to Be True? Fallacies in Evaluating Risk Factor Models.(2017) In: FRB Atlanta Working Paper.
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2021Common pricing across asset classes: Empirical evidence revisited In: Journal of Financial Economics.
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2009Tobacco taxes and regressivity In: Journal of Health Economics.
[Full Text][Citation analysis]		article20
2015The response of stock market volatility to futures-based measures of monetary policy shocks In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article26
2014The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks.(2014) In: FRB Atlanta Working Paper.
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2013Unit 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.
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2023Inference in Conditional Vector Error Correction Models With a Small Signal-to-Noise Ratio* In: Advances in Econometrics.
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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.
[Full Text][Citation analysis]		paper51
2014Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors.(2014) In: The 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.
[Full Text][Citation analysis]		paper4
2014Minimum Distance Estimation of Dynamic Models with Errors-In-Variables In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper2
2014Spurious Inference in Unidentified Asset-Pricing Models In: FRB Atlanta Working Paper.
[Citation analysis]		paper11
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 nother version. Agregated cites: 2		article
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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2021The Persistent Compression of the Breakeven Inflation Curve In: Liberty Street Economics.
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2019Deconstructing the yield curve In: Staff Reports.
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2025Deconstructing the Yield Curve.(2025) In: The Review of Financial Studies.
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2023Sparse Trend Estimation In: Staff Reports.
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2024A Simple Diagnostic for Time-Series and Panel-Data Regressions In: Staff Reports.
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2024A Jackknife Variance Estimator for Panel Regressions 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.
[Full Text][Citation analysis]		article16
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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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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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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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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2017Spurious Inference in Reduced‐Rank Asset‐Pricing Models In: Econometrica.
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2022On the Factor Structure of Bond Returns In: Econometrica.
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2011Risk premiums and predictive ability of BAX futures In: Journal of Futures Markets.
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2024Specification testing for conditional moment restrictions under local identification failure In: Quantitative Economics.
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