Nikolay Gospodinov : Citation Profile

Federal Reserve Bank of Atlanta

17

H index

25

i10 index

741

Citations

RESEARCH PRODUCTION:

46

Articles

47

Papers

2

Chapters

RESEARCH ACTIVITY:

   26 years (1999 - 2025). See details.
   Cites by year: 28
   Journals where Nikolay Gospodinov has often published
   Relations with other researchers
   Recent citing documents: 74.    Total self citations: 32 (4.14 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgo5
   Updated: 2025-12-27    RAS profile: 2025-05-30    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Crump, Richard (7)

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)

Rossi, Barbara (8)

Moench, Emanuel (7)

Zhang, Xiang (7)

Balcilar, Mehmet (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)

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
Journal of Financial Economics2
The Review of Financial Studies2
Journal of Financial Econometrics2

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
Working Papers / Center for Economic and Financial Research (CEFIR)2
Working Papers / New Economic School (NES)2
Liberty Street Economics / Federal Reserve Bank of New York2

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2025Inference in IV models with clustered dependence, many instruments and weak identification. (2024). Ligtenberg, Johannes W. In: Papers. RePEc:arx:papers:2306.08559.

Full description at Econpapers || Download paper

2025Testing for Peer Effects without Specifying the Network Structure. (2024). Liu, Xiaodong ; Jung, Hyun Seok. In: Papers. RePEc:arx:papers:2306.09806.

Full description at Econpapers || Download paper

2025Latent Factor Analysis in Short Panels. (2024). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2025Robust Functional Data Analysis for Stochastic Evolution Equations in Infinite Dimensions. (2024). Schroers, Dennis. In: Papers. RePEc:arx:papers:2401.16286.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Inflationary dynamics of labour market activity: Evidence from the Czech Republic. (2024). unal, umut ; Maialeh, Robin ; Sirot, Guilhem. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:84:y:2024:i:c:p:1309-1327.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Estimating and testing for smooth structural changes in moment condition models. (2024). Li, Haiqi ; Zhou, Jin ; Hong, Yongmiao. In: Journal of Econometrics. RePEc:eee:econom:v:246:y:2024:i:1:s0304407624002471.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Interest rate dynamics and commodity prices. (2024). Ma, Qingyin ; Gouel, Christophe ; Stachurski, John. In: Journal of Economic Theory. RePEc:eee:jetheo:v:222:y:2024:i:c:s0022053124001212.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Oil jump tail risk as a driver of inflation dynamics. (2024). Karadimitropoulou, Aikaterini ; Ferrara, Laurent ; Triantafyllou, Athanasios. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000539.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Chinese consumption shocks and U.S. equity returns. (2024). Kim, Minki ; Lam, Sing-Sen ; Lee, Kiryoung. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pa:s1059056024005033.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2008Specification Testing in Models with Many Instruments In: Working Papers.
[Full Text][Citation analysis]		paper42
2008Specification Testing in Models with Many Instruments.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 42		paper
2011SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS.(2011) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 42		article
2025The Economic Impact of Low- and High-Frequency Temperature Changes In: Papers.
[Full Text][Citation analysis]		paper0
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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]		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.
[Full Text][Citation analysis]		article5
2005A ‘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
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		article
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		article
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		paper
2014A 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: 22		article
2004Asymptotic confidence intervals for impulse responses of near-integrated processes In: Econometrics Journal.
[Full Text][Citation analysis]		article37
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]
This paper has nother version. Agregated cites: 20		paper
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]		article23
2011Chi-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
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]		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]		article8
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]		article16
2017Too 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: 16		paper
2021Common pricing across asset classes: Empirical evidence revisited In: Journal of Financial Economics.
[Full Text][Citation analysis]		article12
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]		article26
2014The 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
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.
[Full Text][Citation analysis]		chapter0
2023Inference in Conditional Vector Error Correction Models With a Small Signal-to-Noise Ratio* In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter0
2025A Uniformly Valid Test for Instrument Exogeneity In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper0
2025On Model Aggregation and Forecast Combination In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper0
2010On the Hansen-Jagannathan distance with a no-arbitrage constraint In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper9
2010Further results on the limiting distribution of GMM sample moment conditions In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper2
2012Further 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
2012Robust inference in linear asset pricing models In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper12
2012Analytical solution for the constrained Hansen-Jagannathan distance under multivariate ellipticity In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper0
2013A staggered pricing approach to modeling speculative storage: implications for commodity price dynamics In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper0
2013Misspecification-robust inference in linear asset pricing models with irrelevant risk factors In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper53
2014Misspecification-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: 53		article
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		article
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.
[Full Text][Citation analysis]		paper0
2015Foreign exchange predictability during the financial crisis: implications for carry trade profitability In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper0
2015Multivariate return decomposition: theory and implications In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper2
2019Multivariate Return Decomposition: Theory and Implications.(2019) In: Econometric Reviews.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]		paper0
2018Asymptotic 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
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.
[Full Text][Citation analysis]		paper1
2017General Aggregation of Misspecified Asset Pricing Models In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper3
2017Asset Co-movements: Features and Challenges In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper1
2025How Uncertain Is the Estimated Probability of a Future Recession? In: Liberty Street Economics.
[Full Text][Citation analysis]		paper0
2021The Persistent Compression of the Breakeven Inflation Curve In: Liberty Street Economics.
[Full Text][Citation analysis]		paper0
2019Deconstructing the yield curve In: Staff Reports.
[Full Text][Citation analysis]		paper5
2025Deconstructing the Yield Curve.(2025) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
2023Sparse Trend Estimation In: Staff Reports.
[Full Text][Citation analysis]		paper0
2024A Simple Diagnostic for Time-Series and Panel-Data Regressions In: Staff Reports.
[Full Text][Citation analysis]		paper0
2024A Jackknife Variance Estimator for Panel Regressions In: Staff Reports.
[Full Text][Citation analysis]		paper0
2017A Robust Approach to Hedging and Pricing in Imperfect Markets In: Risks.
[Full Text][Citation analysis]		article0
2006Forecasting volatility In: Journal of Forecasting.
[Full Text][Citation analysis]		article17
2005Testing For Threshold Nonlinearity in Short-Term Interest Rates In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article14
2011A new method for approximating vector autoregressive processes by finite-state Markov chains In: MPRA Paper.
[Full Text][Citation analysis]		paper1
2012Asymptotics of near unit roots (in Russian) In: Quantile.
[Full Text][Citation analysis]		article0
2001Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes: An Application to Purchasing Power Parity In: Computing in Economics and Finance 2001.
[Citation analysis]		paper2
2001Nonparametric Likelihood Methods for Estimation and Inference in Moment Condition Models with Weak Instruments In: Computing in Economics and Finance 2001.
[Citation analysis]		paper0
2018Market consistent valuations with financial imperfection In: Decisions in Economics and Finance.
[Full Text][Citation analysis]		article0
2005ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS In: Econometric Reviews.
[Full Text][Citation analysis]		article0
2008Time Series Nonparametric Regression Using Asymmetric Kernels with an Application to Estimation of Scalar Diffusion Processes In: CIRJE F-Series.
[Full Text][Citation analysis]		paper2
2013Commodity Prices, Convenience Yields, and Inflation In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article108
2017Spurious Inference in Reduced‐Rank Asset‐Pricing Models In: Econometrica.
[Full Text][Citation analysis]		article17
2022On the Factor Structure of Bond Returns In: Econometrica.
[Full Text][Citation analysis]		article8
2011Risk premiums and predictive ability of BAX futures In: Journal of Futures Markets.
[Full Text][Citation analysis]		article6
2024Specification testing for conditional moment restrictions under local identification failure In: Quantitative Economics.
[Full Text][Citation analysis]		article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated December, 22 2025. Contact: CitEc Team