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Nikolay Gospodinov

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Personal Details

First Name:Nikolay
Middle Name:
Last Name:Gospodinov
Suffix:
RePEc Short-ID:pgo5
Atlanta, Georgia (United States)
http://www.frbatlanta.org/research/

: 404-521-8500

1000 Peachtree St., N.E., Atlanta, Georgia 30309
RePEc:edi:efrbaus (more details at EDIRC)

This author is featured on the following reading lists, publication compilations or Wikipedia entries:

  1. Items authored by Boston College Economics alumni
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  1. Gospodinov, Nikolay, 2016. "The role of commodity prices in forecasting U.S. core inflation," FRB Atlanta Working Paper 2016-5, Federal Reserve Bank of Atlanta.
  2. Gospodinov, Nikolay & Wei, Bin, 2016. "Forecasts of inflation and interest rates in no-arbitrage affine models," FRB Atlanta Working Paper 2016-3, Federal Reserve Bank of Atlanta.
  3. Nikolay Gospodinov & Hai V. Nguyen, 2015. "Long-Term Health Effects of Vietnam War's Herbicide Exposure on the Vietnamese Population," Working Papers 150019, Canadian Centre for Health Economics.
  4. Anatolyev, Stanislav & Gospodinov, Nikolay, 2015. "Multivariate return decomposition: theory and implications," FRB Atlanta Working Paper 2015-7, Federal Reserve Bank of Atlanta.
  5. Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2015. "Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models," FRB Atlanta Working Paper 2015-9, Federal Reserve Bank of Atlanta.
  6. Anatolyev, Stanislav & Gospodinov, Nikolay & Jamali, Ibrahim & Liu, Xiaochun, 2015. "Foreign exchange predictability during the financial crisis: implications for carry trade profitability," FRB Atlanta Working Paper 2015-6, Federal Reserve Bank of Atlanta.
  7. Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2014. "Spurious Inference in Unidentified Asset-Pricing Models," FRB Atlanta Working Paper 2014-12, Federal Reserve Bank of Atlanta.
  8. Gospodinov, Nikolay & Jamali, Ibrahim, 2014. "The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks," FRB Atlanta Working Paper 2014-14, Federal Reserve Bank of Atlanta.
  9. Gospodinov, Nikolay & Komunjer, Ivana & Ng, Serena, 2014. "Minimum Distance Estimation of Dynamic Models with Errors-In-Variables," FRB Atlanta Working Paper 2014-11, Federal Reserve Bank of Atlanta.
  10. Assa, Hirbod & Gospodinov, Nikolay, 2014. "Hedging and Pricing in Imperfect Markets under Non-Convexity," FRB Atlanta Working Paper 2014-13, Federal Reserve Bank of Atlanta.
  11. Gospodinov, Nikolay & Ng, Serena, 2013. "Minimum distance estimation of possibly non-invertible moving average models," FRB Atlanta Working Paper 2013-11, Federal Reserve Bank of Atlanta.
  12. Assa, Hirbod & Dabbous, Amal & Gospodinov, Nikolay, 2013. "A staggered pricing approach to modeling speculative storage: implications for commodity price dynamics," FRB Atlanta Working Paper 2013-08, Federal Reserve Bank of Atlanta.
  13. Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2013. "Misspecification-robust inference in linear asset pricing models with irrelevant risk factors," FRB Atlanta Working Paper 2013-09, Federal Reserve Bank of Atlanta.
  14. Gospodinov, Nikolay & Jamali, Ibrahim, 2013. "Monetary policy surprises, positions of traders, and changes in commodity futures prices," FRB Atlanta Working Paper 2013-12, Federal Reserve Bank of Atlanta.
  15. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2012. "Analytical solution for the constrained Hansen-Jagannathan distance under multivariate ellipticity," FRB Atlanta Working Paper 2012-18, Federal Reserve Bank of Atlanta.
  16. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2012. "Robust inference in linear asset pricing models," FRB Atlanta Working Paper 2012-17, Federal Reserve Bank of Atlanta.
  17. Nikolay Gospodinov & Damba Lkhagvasuren, 2011. "A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains," Working Papers 11005, Concordia University, Department of Economics, revised 16 Dec 2011.
  18. Gospodinov, Nikolay & Lkhagvasuren, Damba, 2011. "A new method for approximating vector autoregressive processes by finite-state Markov chains," MPRA Paper 33827, University Library of Munich, Germany.
  19. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2011. "Chi-squared tests for evaluation and comparison of asset pricing models," FRB Atlanta Working Paper 2011-08, Federal Reserve Bank of Atlanta.
  20. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2010. "On the Hansen-Jagannathan distance with a no-arbitrage constraint," FRB Atlanta Working Paper 2010-04, Federal Reserve Bank of Atlanta.
  21. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2010. "Further results on the limiting distribution of GMM sample moment conditions," FRB Atlanta Working Paper 2010-11, Federal Reserve Bank of Atlanta.
  22. GOSPODINOV, Nikolay & MAYNARD, Alex & PESAVENTO, Elena, 2009. "Sensitivity of Impulse Responses to Small Low Frequency Co-Movements : Reconciling the Evidence on the Effects of Technology Shocks," Cahiers de recherche 03-2009, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  23. Nikolay Gospodinov & Ye Tao, 2009. "Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors," Working Papers 09001, Concordia University, Department of Economics.
  24. Nikolay Gospodinov & Masayuki Hirukawa, 2008. "Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels," Working Papers 08011, Concordia University, Department of Economics, revised Dec 2008.
  25. Nikolay Gospodinov & Masayuki Hirukawa, 2008. "Time Series Nonparametric Regression Using Asymmetric Kernels with an Application to Estimation of Scalar Diffusion Processes," CIRJE F-Series CIRJE-F-573, CIRJE, Faculty of Economics, University of Tokyo.
  26. Stanislav Anatolyev & Nikolay Gospodinov, 2008. "Specification Testing in Models with Many Instruments," Working Papers w0124, Center for Economic and Financial Research (CEFIR).
  27. Nikolay Gospodinov & Taisuke Otsu, 2008. "Local GMM Estimation of Time Series Models with Conditional Moment Restrictions," Working Papers 08010, Concordia University, Department of Economics.
  28. Stanislav Anatolyev & Nikolay Gospodinov, 2007. "Modeling Financial Return Dynamics by Decomposition," Working Papers w0095, Center for Economic and Financial Research (CEFIR).
  29. Nikolay Gospodinov, 2006. "A New Look at the Forward Premium Puzzle," Working Papers 08009, Concordia University, Department of Economics, revised Dec 2008.
  30. Nikolay Gospodinov, 2001. "Nonparametric Likelihood Methods for Estimation and Inference in Moment Condition Models with Weak Instruments," Computing in Economics and Finance 2001 150, Society for Computational Economics.
  31. Nikolay Gospodinov, 2001. "Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes: An Application to Purchasing Power Parity," Computing in Economics and Finance 2001 136, Society for Computational Economics.
  32. Nikolay Gospodinov, 1999. "Median Unbiased Forecasts for Highly Persistent Autoregressive Processes," Computing in Economics and Finance 1999 533, Society for Computational Economics.
  1. Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2016. "On the properties of the constrained Hansen–Jagannathan distance," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 121-150.
  2. Nikolay Gospodinov & Serena Ng, 2015. "Minimum Distance Estimation of Possibly Noninvertible Moving Average Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 403-417, July.
  3. Gospodinov, Nikolay & Jamali, Ibrahim, 2015. "The response of stock market volatility to futures-based measures of monetary policy shocks," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 42-54.
  4. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2014. "Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors," Review of Financial Studies, Society for Financial Studies, vol. 27(7), pages 2139-2170.
  5. Nikolay Gospodinov & Damba Lkhagvasuren, 2014. "A Moment‐Matching Method For Approximating Vector Autoregressive Processes By Finite‐State Markov Chains," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(5), pages 843-859, 08.
  6. Nikolay Gospodinov & Serena Ng, 2013. "Commodity Prices, Convenience Yields, and Inflation," The Review of Economics and Statistics, MIT Press, vol. 95(1), pages 206-219, March.
  7. Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2013. "Chi-squared tests for evaluation and comparison of asset pricing models," Journal of Econometrics, Elsevier, vol. 173(1), pages 108-125.
  8. Gospodinov, Nikolay & Hirukawa, Masayuki, 2012. "Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 595-609.
  9. Gospodinov, Nikolay & Otsu, Taisuke, 2012. "Local GMM estimation of time series models with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 170(2), pages 476-490.
  10. Gospodinov, Nikolay & Jamali, Ibrahim, 2012. "The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 497-510.
  11. Stanislav Anatolyev & Nikolay Gospodinov, 2012. "Asymptotics of near unit roots (in Russian)," Quantile, Quantile, issue 10, pages 57-71, December.
  12. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2012. "Further Results on the Limiting Distribution of GMM Sample Moment Conditions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(4), pages 494-504, May.
  13. Nikolay Gospodinov & Ye Tao, 2011. "Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors," Econometric Reviews, Taylor & Francis Journals, vol. 30(4), pages 379-405, August.
  14. Gospodinov, Nikolay & Maynard, Alex & Pesavento, Elena, 2011. "Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(4), pages 455-467.
  15. Nikolay Gospodinov & Ibrahim Jamali, 2011. "Risk premiums and predictive ability of BAX futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(6), pages 534-561, 06.
  16. Anatolyev, Stanislav & Gospodinov, Nikolay, 2011. "Specification Testing In Models With Many Instruments," Econometric Theory, Cambridge University Press, vol. 27(02), pages 427-441, April.
  17. Anatolyev, Stanislav & Gospodinov, Nikolay, 2010. "Modeling Financial Return Dynamics via Decomposition," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(2), pages 232-245.
  18. Gospodinov, Nikolay, 2010. "Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 1-12.
  19. Gospodinov, Nikolay & Irvine, Ian, 2009. "Tobacco taxes and regressivity," Journal of Health Economics, Elsevier, vol. 28(2), pages 375-384, March.
  20. Nikolay Gospodinov, 2009. "A New Look at the Forward Premium Puzzle," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 7(3), pages 312-338, Summer.
  21. Gospodinov, Nikolay, 2008. "Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root," Journal of Econometrics, Elsevier, vol. 146(1), pages 146-161, September.
  22. Athanasia Gavala & Nikolay Gospodinov & Deming Jiang, 2006. "Forecasting volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(6), pages 381-400.
  23. Nikolay Gospodinov, 2005. "Robust Asymptotic Inference In Autoregressive Models With Martingale Difference Errors," Econometric Reviews, Taylor & Francis Journals, vol. 24(1), pages 59-81.
  24. Nikolay Gospodinov, 2005. "Testing For Threshold Nonlinearity in Short-Term Interest Rates," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(3), pages 344-371.
  25. Nikolay Gospodinov & Ian Irvine, 2005. "A `long march' perspective on tobacco use in Canada," Canadian Journal of Economics, Canadian Economics Association, vol. 38(2), pages 366-393, May.
  26. Gospodinov Nikolay & Irvine Ian J., 2004. "Global Health Warnings on Tobacco Packaging: Evidence from the Canadian Experiment," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 4(1), pages 1-23, November.
  27. Nikolay Gospodinov, 2004. "Asymptotic confidence intervals for impulse responses of near-integrated processes," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 505-527, December.
  28. Gospodinov, Nikolay, 2002. "Bootstrap-Based Inference in Models with a Nearly Noninvertible Moving Average Component," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 254-68, April.
  29. Gospodinov, Nikolay, 2002. "Median unbiased forecasts for highly persistent autoregressive processes," Journal of Econometrics, Elsevier, vol. 111(1), pages 85-101, November.
27 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (2) 2013-12-06 2016-02-23
  2. NEP-CFN: Corporate Finance (1) 2014-11-12
  3. NEP-ECM: Econometrics (15) 2007-01-28 2008-07-05 2008-11-18 2009-01-31 2009-01-31 2010-04-11 2010-07-31 2011-10-15 2012-02-01 2012-11-17 2013-11-09 2013-12-06 2014-11-22 2015-11-01 2015-11-07. Author is listed
  4. NEP-ETS: Econometric Time Series (7) 1999-07-12 2008-07-05 2009-01-31 2009-01-31 2011-10-15 2012-02-01 2013-11-09. Author is listed
  5. NEP-FMK: Financial Markets (1) 2007-01-28
  6. NEP-FOR: Forecasting (4) 2007-01-28 2015-11-01 2016-02-23 2016-02-23
  7. NEP-HEA: Health Economics (1) 2016-01-03
  8. NEP-IAS: Insurance Economics (1) 2016-02-23
  9. NEP-MAC: Macroeconomics (5) 2013-12-06 2014-11-12 2014-11-17 2016-02-23 2016-02-23. Author is listed
  10. NEP-MON: Monetary Economics (2) 2013-12-06 2014-11-12
  11. NEP-OPM: Open Economy Macroeconomics (1) 2015-11-01
  12. NEP-ORE: Operations Research (5) 2008-07-05 2009-01-31 2011-10-15 2012-02-01 2015-11-07. Author is listed
  13. NEP-RMG: Risk Management (2) 2014-11-12 2014-11-17
  14. NEP-SEA: South East Asia (1) 2016-01-03
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