Nikolay Gospodinov : Citation Profile

Federal Reserve Bank of Atlanta

18

H index

25

i10 index

766

Citations

RESEARCH PRODUCTION:

46

Articles

47

Papers

2

Chapters

RESEARCH ACTIVITY:

   26 years (1999 - 2025). See details.
   Cites by year: 29
   Journals where Nikolay Gospodinov has often published
   Relations with other researchers
   Recent citing documents: 56.    Total self citations: 32 (4.01 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pgo5
   Updated: 2026-05-02    RAS profile: 2025-05-30    
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Relations with other researchers

Works with:

Crump, Richard (7)

Dovonon, Prosper (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 (20)

GUPTA, RANGAN (17)

Khalaf, Lynda (11)

Sévi, Benoît (9)

Rossi, Barbara (8)

Smeekes, Stephan (8)

Zhang, Xiang (7)

Balcilar, Mehmet (7)

Moench, Emanuel (7)

Fève, Patrick (7)

Crump, Richard (7)

Cites to:

Campbell, John (39)

Hansen, Lars (27)

Phillips, Peter (26)

Jagannathan, Ravi (26)

Shanken, Jay (24)

Robotti, Cesare (24)

Ng, Serena (23)

Diebold, Francis (22)

Bollerslev, Tim (18)

Engle, Robert (17)

Maasoumi, Esfandiar (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
Journal of Financial Econometrics2
Journal of Financial Economics2
The Review of Financial Studies2

Working Papers Series with more than one paper published# docs
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta24
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
Liberty Street Economics / Federal Reserve Bank of New York2
Working Papers / New Economic School (NES)2
Working Papers / Center for Economic and Financial Research (CEFIR)2

Recent works citing Nikolay Gospodinov (2026 and 2025)

YearTitle of citing document
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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2025Inference 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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2025Testing 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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2025Latent 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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2025Robust Functional Data Analysis for Stochastic Evolution Equations in Infinite Dimensions. (2024). Schroers, Dennis. In: Papers. RePEc:arx:papers:2401.16286.

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2025Extracting Mechanisms from Heterogeneous Effects: An Identification Strategy for Mediation Analysis. (2024). Fu, Jiawei. In: Papers. RePEc:arx:papers:2403.04131.

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2025On 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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2025A 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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2026Robust Social Planning. (2025). Mudekereza, Florian. In: Papers. RePEc:arx:papers:2504.07401.

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2026An Improved Inference for IV Regressions. (2025). Dou, Liyu ; Zhang, Yichong ; Min, Pengjin ; Wang, Wenjie. In: Papers. RePEc:arx:papers:2506.23816.

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2025Robust Inference with High-Dimensional Instruments. (2025). Jaidee, Sombut ; Feng, QU ; Wang, Wenjie. In: Papers. RePEc:arx:papers:2506.23834.

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2026Inference under First-Order Degeneracy. (2026). Navjeevan, Manu ; Bei, Xinyue. In: Papers. RePEc:arx:papers:2602.07377.

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2026Double Machine Learning for Static Panel Data with Instrumental Variables: New Method and Applications. (2026). Polselli, Annalivia ; Naghi, Andrea A ; Clarke, Paul S ; Baiardi, Anna. In: Papers. RePEc:arx:papers:2603.20464.

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2026The Co-Pricing Factor Zoo. (2026). Mueller, Philippe ; Julliard, Christian ; Dickerson, Alexander. In: Papers. RePEc:arx:papers:2604.04430.

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2026Priced risk in corporate bonds. (2026). Mueller, Philippe ; Robotti, Cesare ; Dickerson, Alexander. In: Papers. RePEc:arx:papers:2604.05699.

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2025Inflation and the joint bond-FX spanning puzzle. (2025). Mehrotra, Aaron ; Gambacorta, Leonardo ; Sihvonen, Markus ; Schrimpf, Andreas. In: BIS Working Papers. RePEc:bis:biswps:1320.

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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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2025Inference with many instruments: When is Anderson–Rubin test still useful?. (2025). Doko Tchatoka, Firmin ; Ma, Yuguo. In: Economics Letters. RePEc:eee:ecolet:v:257:y:2025:i:c:s0165176525005397.

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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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2025Identification robust inference for the risk premium in term structure models. (2025). Kong, Lingwei ; Kleibergen, Frank. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624000745.

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2025Long-run risk in stationary vector autoregressive models. (2025). Jasiak, Joann ; Gourieroux, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624002562.

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2025Identification-robust and simultaneous inference in multifactor asset pricing models. (2025). Beaulieu, Marie-Claude ; Dufour, Jean-Marie ; Khalaf, Lynda. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624002665.

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2025Misspecification-robust bootstrap t-test for irrelevant factor in linear stochastic discount factor models. (2025). Hounyo, Ulrich ; Djogbenou, Antoine A. In: Journal of Econometrics. RePEc:eee:econom:v:252:y:2025:i:pa:s0304407625001514.

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2025GMM estimation with Brownian kernels applied to income inequality measurement. (2025). Phillips, Peter ; Cho, Jin Seo. In: Journal of Econometrics. RePEc:eee:econom:v:252:y:2025:i:pa:s0304407625001642.

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2025Identification- and many moment-robust inference via invariant moment conditions. (2025). Boot, Tom ; Ligtenberg, Johannes W. In: Journal of Econometrics. RePEc:eee:econom:v:252:y:2025:i:pa:s030440762500168x.

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2025Why does the Cochrane–Piazzesi model predict treasury returns?. (2025). Rebonato, Riccardo ; Nyholm, Ken. In: Journal of Empirical Finance. RePEc:eee:empfin:v:84:y:2025:i:c:s0927539825000726.

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2025Economic aggregation of return signals in global markets. (2025). Dong, Mengmeng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:84:y:2025:i:c:s0927539825000854.

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2025Advanced time series forecasting for commodities: Insights from the FEDformer model. (2025). Ge, Lei ; Huang, Qiwei ; Zhu, Fengshuang ; Chen, Shun. In: Energy Economics. RePEc:eee:eneeco:v:147:y:2025:i:c:s0140988325003378.

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2025Climate risk impact on Treasury securities pricing: A global perspective of short-term and long-term period. (2025). Marchewka-Bartkowiak, Kamilla ; Boitan, Iustina Alina ; Anghel, Dan Gabriel. In: International Review of Financial Analysis. RePEc:eee:finana:v:103:y:2025:i:c:s1057521925002546.

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2025Adaptively aggregated forecast for exponential family panel model. (2025). Shi, Yang ; Tang, Nian-Sheng ; Yu, Dalei. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:2:p:733-747.

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2025Media tone is a priced risk factor in currency markets. (2025). Pukthuanthong, Kuntara ; Heimonen, Kari ; Lehkonen, Heikki. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:180:y:2025:i:c:s0378426625001621.

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2025Constrained liquidity provision in currency markets. (2025). Schrimpf, Andreas ; Ranaldo, Angelo ; Somogyi, Fabricius ; Huang, Wenqian. In: Journal of Financial Economics. RePEc:eee:jfinec:v:167:y:2025:i:c:s0304405x25000364.

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2025Commodity correlation risk. (2025). Sakemoto, Ryuta ; Byrne, Joseph P. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000170.

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2025Corporate bond market distress. (2025). Crump, Richard ; Shachar, OR ; Kovner, Anna ; Boyarchenko, Nina. In: Journal of Monetary Economics. RePEc:eee:moneco:v:152:y:2025:i:c:s0304393225000364.

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2025Forecasting the unforecastable: An independent component analysis for majority game-like global cryptocurrencies. (2025). Sssmuth, Bernd ; Kirsten, Oliver. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:665:y:2025:i:c:s0378437125001244.

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2025Central bank announcements and monitoring portfolio risks. (2025). Wang, Shu ; Herwartz, Helmut ; Duy, Huynh Tuan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:103:y:2025:i:c:s1059056025005908.

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2025Information loss from perception alignment. (2025). Dalko, Viktoria ; Ardakani, Omid M ; Shim, Hyeeun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:97:y:2025:i:c:s1059056024008220.

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2025Short-run and long-run volatility spillovers from China to countries of the Belt and Road Initiative. (2025). Winkelried, Diego ; Bazn-Palomino, Walter. In: Research in International Business and Finance. RePEc:eee:riibaf:v:80:y:2025:i:c:s0275531925003629.

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2025Intensity Matters: Heterogeneous impact of cigarette tax reform on drinking behaviors by smoking intensity. (2025). Park, Mingyeong ; Son, Hyelim. In: Social Science & Medicine. RePEc:eee:socmed:v:375:y:2025:i:c:s0277953624011080.

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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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2025The Effects of Conventional and Unconventional Monetary Policy Shocks on US REITs Moments: Evidence from VARs with Functional Shocks. (2025). GUPTA, RANGAN ; Cepni, Oguzhan ; Wang, Shixuan ; Bonato, Matteo. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:71:y:2025:i:4:d:10.1007_s11146-024-09978-z.

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2025Boosting Carry with Equilibrium Exchange Rate Estimates. (2025). Rubaszek, Michał ; Beckmann, Joscha ; Kwas, Marek ; Ca, Michele. In: Open Economies Review. RePEc:kap:openec:v:36:y:2025:i:4:d:10.1007_s11079-024-09795-0.

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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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2025The Macroeconomic Fragility of Critical Mineral Markets. (2025). Vespignani, Joaquin ; Smyth, Russell ; Kang, Wilson. In: Monash Economics Working Papers. RePEc:mos:moswps:2025-09.

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2025The Macroeconomic Fragility of Critical Mineral Markets. (2025). Smyth, Russell ; Vespignani, Joaquin Vespignani ; Kang, Wilson. In: MPRA Paper. RePEc:pra:mprapa:125351.

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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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2026Weather fluctuations and the (German) industrial sector. (2026). Schreiber, Sven. In: Computational Statistics. RePEc:spr:compst:v:41:y:2026:i:2:d:10.1007_s00180-025-01682-7.

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2025Analyzing Volatility Patterns of Bitcoin Using the GARCH Family Models. (2025). Oliveira, Benilde ; Leal, Cristiana Cerqueira ; Muneer, Saqib. In: SN Operations Research Forum. RePEc:spr:snopef:v:6:y:2025:i:2:d:10.1007_s43069-025-00482-5.

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2025The US Quantitative Easing Monetary Policy and Commodities’ Prices. (2025). Yao, Wei. In: Other publications TiSEM. RePEc:tiu:tiutis:185d14d3-9dc2-4276-82ec-e2d59b3d693f.

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2025Sieve Bootstrap Approach to Robust Term Premia Analysis. (2025). Hwang, Jungbin. In: Working papers. RePEc:uct:uconnp:2025-10.

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2025Fundamentals Models Versus Random Walk: Evidence From an Emerging Economy. (2025). de Mendonça, Helder ; Vereda, Luciano ; Matos, Luan Mateus ; de Mendona, Helder Ferreira. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:6:p:1884-1906.

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2026Threshold MIDAS Forecasting of Canadian Inflation Rate. (2026). Chen, Chaoyi ; Rao, Yao ; Sun, Yiguo. In: Journal of Forecasting. RePEc:wly:jforec:v:45:y:2026:i:2:p:749-769.

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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.
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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]		paper45
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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This paper has nother version. Agregated cites: 45		article
2026The Economic Impact of Low- and High-Frequency Temperature Changes In: Papers.
[Full Text][Citation analysis]		paper1
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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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 nother version. Agregated cites: 20		article
2018Monetary policy uncertainty, positions of traders and changes in commodity futures prices In: European Financial Management.
[Full Text][Citation analysis]		article25
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]		paper19
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]		paper11
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]		article38
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.
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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.
[Full Text][Citation analysis]		article7
2013Chi-squared tests for evaluation and comparison of asset pricing models In: Journal of Econometrics.
[Full Text][Citation analysis]		article24
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.
[Full Text][Citation analysis]		article10
2021Generalized aggregation of misspecified models: With an application to asset pricing In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
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]		article30
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]		article9
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]		article18
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]		article21
2015The response of stock market volatility to futures-based measures of monetary policy shocks In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article27
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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2025A Uniformly Valid Test for Instrument Exogeneity In: FRB Atlanta Working Paper.
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2025On Model Aggregation and Forecast Combination 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.
[Full Text][Citation analysis]		paper55
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.
[Full Text][Citation analysis]		paper11
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]		paper5
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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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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2025How Uncertain Is the Estimated Probability of a Future Recession? In: Liberty Street Economics.
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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 New Jackknife Variance Estimator for Time-Series and 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.
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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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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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