Nikolay Gospodinov: CV and Research Contributions

Curriculum Vitae (CV)

 Link to Atlanta Fed Working Papers and Other Work

  Recent Working Papers and Notes
  1. 2019: Long-Horizon Stock Valuation and Return Forecasts Conditional on Demographic Projections (with C. Chen, A. Maynard and E. Pesavento)
  2. 2019: Deconstructing the Yield Curve (with R. Crump), FRBNY Staff Report No. 884
  3. 2018: Generalized Aggregation of Misspecified Models (with E. Maasoumi)
  4. 2018: Forecasts of Inflation and Interest Rates in No-Arbitrage Affine Models (with B. Wei)
  5. 2017: Asset Co-Movements: Features and Challenges
  6. 2016: The Role of Commodity Prices in Forecasting U.S. Core Inflation

    1. 2011: Methods for Estimation and Inference in Modern Econometrics (with S. Anatolyev), Chapman and Hall/CRC Press

    Journal Articles and Book Chapters
    1. 2019: Too Good to Be True? Fallacies in Evaluating Risk Factor Models (with R. Kan and C. Robotti), Journal of Financial Economics, 132, 451–471
      MATLAB Codes
    2. 2019: Multivariate Return Decomposition: Theory and Implications (with S. Anatolyev), Econometric Reviews, 38, 487–508
    3. 2018: Market Consistent Valuations with Financial Imperfection (with H. Assa), Decisions in Economics and Finance, 41, 65–90
    4. 2018: Asymptotic Variance Approximations for Invariant Estimators in Uncertain Asset-Pricing Models (with R. Kan and C. Robotti), Econometric Reviews, 37, 695–718
      Online Appendix
    5. 2018: Monetary Policy Uncertainty, Positions of Traders and Changes in Commodity Futures Prices (with I. Jamali), European Financial Management, 24, 239–260
    6. 2017: Spurious Inference in Reduced-Rank Asset-Pricing Models (with R. Kan and C. Robotti), Econometrica, 85, 1613--1628
       PDF file of the paper
       Supplementary Material
       MATLAB Codes
    7. 2017: Foreign Exchange Predictability and the Carry Trade: A Decomposition Approach (with S. Anatolyev, I. Jamali and X. Liu), Journal of Empirical Finance, 42, 199–211
    8. 2017: A Robust Approach to Hedging and Pricing in Imperfect Markets (with H. Assa), Risks, Volume 5, Issue 3 (special issue on Quantile Regression for Risk Assessment)
    9. 2017: Simulated Minimum Distance Estimation of Dynamic Models with Errors-in-Variables (with I. Komunjer and S. Ng), Journalof Econometrics, 200, 181–193
       MATLAB Codes
    10. 2016: On the Properties of the Constrained Hansen-Jagannathan Distance (with R. Kan and C. Robotti), Journal of Empirical Finance, 36, 121150
       MATLAB Codes
    11. 2015: Minimum Distance Estimation of Possibly Non-Invertible Moving Average Models (with S. Ng), Journal of Business & Economic Statistics, 33, 403417
    12. 2015: The Response of Stock Market Volatility to Futures-Based Measures of Monetary Shocks (with I. Jamali), International Review of Economics and Finance, 37, 4254
    13. 2014: A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains (with D. Lkhagvasuren), Journal of Applied Econometrics, 29, 843–859
       Online Appendix MATLAB Codes
    14. 2014: Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors (with R. Kan and C. Robotti), Review of Financial Studies, 27, 2139–2170
       Online Appendix MATLAB Codes
    15. 2013: Unit Roots, Cointegration and Pretesting in VAR Models (with A. M. Herrera and E. Pesavento), Advances in Econometrics, 32,  81–115
    16. 2013: Commodity Prices, Convenience Yields, and Inflation (with S. Ng), Review of Economics and Statistics, 95, 206–219 
       PDF file of the paper with Online Appendix Data and MATLAB Codes
    17. 2013: Chi-Squared Tests for Evaluation and Comparison of Asset Pricing Models (with R. Kan and C. Robotti),  Journalof Econometrics, 173, 108–125 
       Online Appendix MATLAB Codes
    18. 2013: Asset Pricing Theories, Models, and Tests (with C. Robotti), in Portfolio Theory and Management, H. K. Baker and M. G. Filbeck (eds.), Oxford University Press
    19. 2012: Further Results on the Limiting Distribution of GMM Sample Moment Conditions (with R. Kan and C. Robotti), Journal of Business & Economic Statistics, 30, 494–504 
       Online Appendix
    20. 2012Local GMM Estimation of Time Series Models with Conditional Moment Restrictions (with T. Otsu), Journal of Econometrics, 170, 476–490
    21. 2012Nonparametric Estimation of Scalar Diffusion Models of Interest Rates Using Asymmetric Kernels (with M. Hirukawa), Journal of Empirical Finance, 19, 595–609 
       Data and GAUSS Codes
    22. 2012The Effects of Federal Funds Rate Surprises on S&P500 Volatility and Volatility Risk Premium (with I. Jamali), Journal of Empirical Finance, 19, 497–510
    23. 2012Asymptotics of Near Unit Roots (with S. Anatolyev), Quantile, 10, 57–71
    24. 2011Sensitivity of Impulse Responses to Small Low Frequency Co-movements: Reconciling the Evidence on the Effects of Technology Shocks (with A. Maynard and E. Pesavento), Journal of Business & Economic Statistics, 29, 455–467 
       Online Appendix
    25. 2011Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors (with Y. Tao), Econometric Reviews, 30, 379–405 
       Data and GAUSS Codes
    26. 2011Risk Premiums and Predictive Ability of BAX Futures (with I. Jamali), Journal of Futures Markets, 31, 534–561
    27. 2011Specification Testing in Models with Many Instruments (with S. Anatolyev),  Econometric Theory, 27, 427–441 
       Additional Simulation Results
    28. 2010Modeling Financial Return Dynamics via Decomposition (with S. Anatolyev), Journal of Business & Economic Statistics, 28, 232–245 
       Results for Quarterly Data
    29. 2010Inference in Nearly Nonstationary SVAR Models with Long-Run Identifying Restrictions, Journal of Business & Economic Statistics, 28, 1–12
    30. 2009A New Look at the Forward Premium Puzzle, Journal of Financial Econometrics, 7, 312–338
    31. 2009Tobacco Taxes and Regressivity (with I. Irvine), Journal of Health Economics, 28, 375–384
    32. 2008Asymptotic and Bootstrap Tests for Linearity in a TAR-GARCH(1,1) Model with a Unit Root, Journal of Econometrics, 146, 146–161 
       Data and GAUSS Codes
    33. 2006Forecasting Volatility (with A. Gavala and D. Jiang), Journal of Forecasting, 25, 381–400
    34. 2005Testing for Threshold Nonlinearity in Short-Term Interest Rates, Journal of Financial Econometrics, 3, 344–371 
       Data and GAUSS Codes
    35. 2005A 'Long March' Perspective on Tobacco Use in Canada (with I. Irvine),  Canadian Journal of Economics, 38, 366–393
    36. 2005Robust Asymptotic Inference in Autoregressive Models with Martingale Difference Errors, Econometric Reviews, 24, 59–81
       Selected as Best Paper published in Econometric Reviews in 2004 and 2005
    37. 2004Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes, Econometrics Journal, 7, 505–527 
       GAUSS Codes
    38. 2004Global Health Warnings on Tobacco Packaging: Evidence from the Canadian Experiment (with I. Irvine), Topics in Economic Analysis & Policy, 4, Issue 1, Article 30
    39. 2002Median Unbiased Forecasts for Highly Persistent Autoregressive Processes, Journal of Econometrics, 111, 85–101 
       Data and GAUSS Codes
    40. 2002Improved Finite-Sample Inference in Overidentified Models with Weak Instruments, Recent Advances in Statistical Methods, Y.P. Chaubey (ed.), Imperial College Press, London, 132–146
    41. 2002Bootstrap-Based Inference in Models with a Nearly Noninvertible Moving Average Component, Journal of Business & Economic Statistics, 20, 254–268 
       Data and GAUSS Codes
    42. 2000An Empirical Likelihood Ratio Test for a Unit Root: Solution to Problem 99.2.1 (with V. Zinde-Walsh), Econometric Theory, 16, 143–146

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