Nikolay Gospodinov : Citation Profile

Are you Nikolay Gospodinov?

Federal Reserve Bank of Atlanta

15

H index

20

i10 index

663

Citations

RESEARCH PRODUCTION:

42

Articles

41

Papers

2

Chapters

RESEARCH ACTIVITY:

   24 years (1999 - 2023). See details.
   Cites by year: 27
   Journals where Nikolay Gospodinov has often published
   Relations with other researchers
   Recent citing documents: 68.    Total self citations: 28 (4.05 %)

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   Permalink: http://citec.repec.org/pgo5
   Updated: 2024-12-03    RAS profile: 2024-08-15    
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Relations with other researchers

Works with:

Crump, Richard (4)

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 (19)

GUPTA, RANGAN (15)

Khalaf, Lynda (10)

Sévi, Benoît (9)

Smeekes, Stephan (8)

Fève, Patrick (7)

Balcilar, Mehmet (7)

Moench, Emanuel (7)

Rossi, Barbara (7)

Lieb, Lenard (6)

Scaillet, Olivier (6)

Cites to:

Campbell, John (37)

Jagannathan, Ravi (26)

Hansen, Lars (25)

Robotti, Cesare (24)

Shanken, Jay (24)

Ng, Serena (22)

Diebold, Francis (20)

Phillips, Peter (18)

Bollerslev, Tim (18)

French, Kenneth (16)

Sarno, Lucio (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
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
Working Papers / Center for Economic and Financial Research (CEFIR)2
Computing in Economics and Finance 2001 / Society for Computational Economics2
Staff Reports / Federal Reserve Bank of New York2
Working Papers / New Economic School (NES)2

Recent works citing Nikolay Gospodinov (2024 and 2023)

YearTitle of citing document
2023A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2023Detecting Identification Failure in Moment Condition Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1907.13093.

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2024Testing Overidentifying Restrictions with High-Dimensional Data and Heteroskedasticity. (2022). Mei, Ziwei ; Guo, Zijian ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2205.00171.

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2023A Conditional Linear Combination Test with Many Weak Instruments. (2022). Zhang, Yichong ; Wang, Wenjie ; Lim, Dennis. In: Papers. RePEc:arx:papers:2207.11137.

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2023A specification test for the strength of instrumental variables. (2023). Yao, Jianfeng ; Wang, Chen ; Huang, Zhenhong. In: Papers. RePEc:arx:papers:2302.14396.

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2024Assessing 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.

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2023Identification- and many instrument-robust inference via invariant moment conditions. (2023). Ligtenberg, Johannes W ; Boot, Tom. In: Papers. RePEc:arx:papers:2303.07822.

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2024Inference in IV models with clustered dependence, many instruments and weak identification. (2023). Ligtenberg, Johannes W. In: Papers. RePEc:arx:papers:2306.08559.

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2024Testing for Peer Effects without Specifying the Network Structure. (2023). Liu, Xiaodong ; Jung, Hyunseok. In: Papers. RePEc:arx:papers:2306.09806.

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2024Latent Factor Analysis in Short Panels. (2023). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004.

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2024The Local Projection Residual Bootstrap for AR(1) Models. (2023). Velez, Amilcar. In: Papers. RePEc:arx:papers:2309.01889.

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2023Spectral identification and estimation of mixed causal-noncausal invertible-noninvertible models. (2023). Hecq, Alain ; Velasquez-Gaviria, Daniel. In: Papers. RePEc:arx:papers:2310.19543.

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

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2023Bayesian 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.

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2023Aggregate 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.

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2023Flexible 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.

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2023On the role of interest rate differentials in the dynamic asymmetry of exchange rates. (2023). Ulm, M ; Hambuckers, J. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003668.

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2023The 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.

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2023Indirect 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.

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2023Identification-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.

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2023Testing many restrictions under heteroskedasticity. (2023). Anatolyev, Stanislav ; Solvsten, Mikkel. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001677.

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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). Song, Rui ; Lu, Wenbin ; Li, Yingying ; Wan, Runzhe. 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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2023Forecasting 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.

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2024Time-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.

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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 ; Liang, Chao ; Dong, Dayong ; Yang, Jinyu. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002111.

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2024Trading 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.

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2023Supervised kernel principal component analysis for forecasting. (2023). Tsay, Ruey S ; Gao, Zhaoxing ; Fang, Puyi. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006645.

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2023Aggregate insider trading and stock market volatility in the UK. (2023). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Kyriacou, Kyriacos. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001294.

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2023Commodity 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.

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2024GMM 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.

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2023Empirical 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.

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2023Priced risk in corporate bonds. (2023). Mueller, Philippe ; Dickerson, Alexander ; Robotti, Cesare. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:2:s0304405x23001393.

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2023An 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.

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2023Which 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.

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2023Taxation 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.

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2023Effect of commodity prices on financial soundness; insight from adaptive market hypothesis in the Ghanaian setting. (2023). Owusu, Peterson Junior ; Cantah, William Godfred ; Kyei, Collins Baffour. In: Resources Policy. RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723007870.

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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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2024US 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.

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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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2023Business Cycles and Low-Frequency Fluctuations in the US Unemployment Rate. (2023). Lunsford, Kurt Graden. In: Working Papers. RePEc:fip:fedcwq:96582.

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2023Financial 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.

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

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2023An 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.

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2023Identifying Risk Factors and Their Premia: A Study on Electricity Prices*. (2023). Lunde, Asger ; Wei, Wei. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:5:p:1647-1679..

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2023Which Factors for Corporate Bond Returns?. (2023). He, Zhiguo ; Prokopczuk, Marcel ; Hollstein, Fabian ; Dang, Thuy Duong. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:13:y:2023:i:4:p:615-652..

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2023Unemployment 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.

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2023Return 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.

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2023Global 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.

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2023The 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.

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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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2023Trading 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.

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Works by Nikolay Gospodinov:

YearTitleTypeCited
2007Modeling Financial Return Dynamics by Decomposition In: Working Papers.
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2007Modeling Financial Return Dynamics by Decomposition.(2007) In: Working Papers.
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2008Specification Testing in Models with Many Instruments In: Working Papers.
[Full Text][Citation analysis]		paper38
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.
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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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2018Monetary policy uncertainty, positions of traders and changes in commodity futures prices In: European Financial Management.
[Full Text][Citation analysis]		article22
2004Global Health Warnings on Tobacco Packaging: Evidence from the Canadian Experiment In: The B.E. Journal of Economic Analysis & Policy.
[Full Text][Citation analysis]		article5
2015Long-Term Health Effects of Vietnam Wars Herbicide Exposure on the Vietnamese Population In: Working Papers.
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2005A `long march perspective on tobacco use in Canada In: Canadian Journal of Economics.
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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]		paper8
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]		paper9
2013A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains.(2013) In: FRB Atlanta Working Paper.
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2004Asymptotic confidence intervals for impulse responses of near-integrated processes In: Econometrics Journal.
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2002Median unbiased forecasts for highly persistent autoregressive processes In: Journal of Econometrics.
[Full Text][Citation analysis]		article19
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.
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2012Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels In: Journal of Empirical Finance.
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2016On the properties of the constrained Hansen–Jagannathan distance In: Journal of Empirical Finance.
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2017Foreign exchange predictability and the carry trade: A decomposition approach In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article6
2022Long-horizon stock valuation and return forecasts based on demographic projections In: Journal of Empirical Finance.
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2019Too good to be true? Fallacies in evaluating risk factor models In: Journal of Financial Economics.
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2017Too Good to Be True? Fallacies in Evaluating Risk Factor Models.(2017) In: FRB Atlanta Working Paper.
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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.
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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.
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2014Minimum Distance Estimation of Dynamic Models with Errors-In-Variables In: FRB Atlanta Working Paper.
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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.
[Full Text][Citation analysis]		paper2
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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2023Sparse Trend Estimation 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.
[Full Text][Citation analysis]		article13
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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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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