16
H index
23
i10 index
703
Citations
Nikolay Gospodinov : Citation Profile
Federal Reserve Bank of Atlanta | RESEARCH PRODUCTION: 45 Articles 43 Papers 2 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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25 years (1999 - 2024). 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 |
| Econometric Reviews | 4 |
| Journal of Business & Economic Statistics | 4 |
| Journal of Business & Economic Statistics | 3 |
| Journal of Financial Econometrics | 2 |
| Journal of Financial Economics | 2 |
| Econometrica | 2 |
Recent works citing Nikolay Gospodinov (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2024 | 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 |
| 2024 | 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 |
| 2025 | 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 |
| 2024 | 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 |
| 2024 | 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 |
| 2024 | 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 |
| 2025 | 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 |
| 2024 | Extract Mechanisms from Heterogeneous Effects: Identification Strategy for Mediation Analysis. (2024). Fu, Jiawei. In: Papers. RePEc:arx:papers:2403.04131. Full description at Econpapers || Download paper |
| 2024 | On 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. Full description at Econpapers || Download paper |
| 2024 | Probabilistic 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. Full description at Econpapers || Download paper |
| 2024 | A Dimension-Agnostic Bootstrap Anderson-Rubin Test For Instrumental Variable Regressions. (2024). Zhang, Yichong ; Wang, Wenjie ; Lim, Dennis. In: Papers. RePEc:arx:papers:2412.01603. Full description at Econpapers || Download paper |
| 2025 | Liquidity, monetary policy and the commodity futures market. (2025). Kellard, Neil ; Ivan, Miruna-Daniela ; Banti, Chiara. In: Bank of England working papers. RePEc:boe:boeewp:1114. Full description at Econpapers || Download paper |
| 2024 | A 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. Full description at Econpapers || Download paper |
| 2024 | Mining the factor zoo: Estimation of latent factor models with sufficient proxies. (2024). Song, Rui ; Lu, Wenbin ; Li, Yingying ; Wan, Runzhe. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000179. Full description at Econpapers || Download paper |
| 2024 | Testing 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. Full description at Econpapers || Download paper |
| 2024 | Time-varying relationship between international monetary policy and energy markets. (2024). Sahay, Vinita S ; Adeabah, David ; Abdullah, Mohammad ; Aikins, Emmanuel Joel ; Tiwari, Aviral Kumar. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324000471. Full description at Econpapers || Download paper |
| 2024 | Untangling 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. Full description at Econpapers || Download paper |
| 2024 | Monetary policy uncertainty and the price bubbles in energy markets. (2024). Cao, Yang ; Liang, Chao ; Dong, Dayong ; Yang, Jinyu. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002111. Full description at Econpapers || Download paper |
| 2024 | Heterogeneity 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. Full description at Econpapers || Download paper |
| 2024 | Trading activity of VIX futures and options around FOMC announcements. (2024). Yang, Jimmy J ; Tsai, Wei-Che ; Huang, Hong-Gia. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002539. Full description at Econpapers || Download paper |
| 2024 | GMM weighting matrices in cross-sectional asset pricing tests. (2024). Thimme, Julian ; Schlag, Christian ; Meinerding, Christoph ; Laurinaityte, Nora. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:162:y:2024:i:c:s0378426624000438. Full description at Econpapers || Download paper |
| 2024 | On 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. Full description at Econpapers || Download paper |
| 2024 | US inflation and global commodity prices: Asymmetric interdependence. (2024). Wang, Zhufeng ; Xing, Xiaochao ; Bai, Zhihong ; Pan, Zhigang. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000370. Full description at Econpapers || Download paper |
| 2024 | Monetary 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. Full description at Econpapers || Download paper |
| 2024 | Linear Factor Models and the Estimation of Expected Returns. (2024). , Bas ; Sarisoy, Cisil. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2024-14. Full description at Econpapers || Download paper |
| 2024 | Quantum Majorization in Market Crash Prediction. (2024). Souto, Luis A ; Montana, Rhet J ; Oosterlee, Cornelis W ; Cirillo, Pasquale. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:12:p:204-:d:1545469. Full description at Econpapers || Download paper |
| 2024 | Consumer 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. Full description at Econpapers || Download paper |
| 2025 | Does 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. Full description at Econpapers || Download paper |
| 2024 | The Macroeconomic Impact of Agricultural Input Subsidies. (2024). Tetenyi, Laszlo ; Mazur, Karol. In: Working Papers. RePEc:ptu:wpaper:w202422. Full description at Econpapers || Download paper |
| 2025 | Testing 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. Full description at Econpapers || Download paper |
| 2024 | Inventory 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. 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 | 40 |
| 2008 | Specification Testing in Models with Many Instruments.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 40 | paper | |
| 2011 | SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS.(2011) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 40 | 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 | 40 |
| 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 | 23 |
| 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 | 6 |
| 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 | 18 |
| 2009 | A New Look at the Forward Premium Puzzle.(2009) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | article | |
| 2008 | Local GMM Estimation of Time Series Models with Conditional Moment Restrictions In: Working Papers. [Citation analysis] | paper | 9 |
| 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: 9 | 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 | 21 |
| 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: 21 | 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: 21 | 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 | 20 |
| 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: 20 | 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 | 10 |
| 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 | 29 |
| 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 | 6 |
| 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 | 15 |
| 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: 15 | paper | |
| 2021 | Common pricing across asset classes: Empirical evidence revisited In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 9 |
| 2009 | Tobacco taxes and regressivity In: Journal of Health Economics. [Full Text][Citation analysis] | article | 20 |
| 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 | 26 |
| 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: 26 | 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 |
| 2023 | Inference in Conditional Vector Error Correction Models With a Small Signal-to-Noise Ratio* 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 | 51 |
| 2014 | Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors.(2014) In: The Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 51 | article | |
| 2013 | Minimum distance estimation of possibly non-invertible moving average models In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 11 |
| 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: 11 | article | |
| 2013 | Monetary policy surprises, positions of traders, and changes in commodity futures prices In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 4 |
| 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 |
| 2024 | A Simple Diagnostic for Time-Series and Panel-Data Regressions In: Staff Reports. [Full Text][Citation analysis] | paper | 0 |
| 2024 | A Jackknife Variance Estimator for Panel Regressions 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 | 16 |
| 2005 | Testing For Threshold Nonlinearity in Short-Term Interest Rates In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 14 |
| 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 | 100 |
| 2017 | Spurious Inference in Reduced‐Rank Asset‐Pricing Models In: Econometrica. [Full Text][Citation analysis] | article | 15 |
| 2022 | On the Factor Structure of Bond Returns In: Econometrica. [Full Text][Citation analysis] | article | 5 |
| 2011 | Risk premiums and predictive ability of BAX futures In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 6 |
| 2024 | Specification testing for conditional moment restrictions under local identification failure In: Quantitative Economics. [Full Text][Citation analysis] | article | 0 |
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