Nikolay Gospodinov

Federal Reserve Bank of Atlanta

SCHOLARLY PAPERS

26

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1,194

CITATIONS
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17

Scholarly Papers (26)

1.

Modeling Financial Return Dynamics via Decomposition

Journal of Business and Economic Statistics, Forthcoming
Number of pages: 35 Posted: 19 Sep 2008 Last Revised: 12 Aug 2009
Stanislav Anatolyev and Nikolay Gospodinov
New Economic School and Federal Reserve Bank of Atlanta
Downloads 146 (139,291)
Citation 2

Abstract:

Stock returns predictability, Directional forecasting, Absolute returns, Joint predictive distribution, Copulas

2.

On the Hansen-Jagannathan Distance with a No-Arbitrage Constraint

Number of pages: 53 Posted: 13 Jan 2010 Last Revised: 05 Jul 2014
Nikolay Gospodinov, Cesare Robotti and Raymond Kan
Federal Reserve Bank of Atlanta, Imperial College Business School and University of Toronto - Rotman School of Management
Downloads 84 (237,014)
Citation 4

Abstract:

Hansen-Jagannthan distrance, no-arbitrage constraint, model comparison

Hedging and Pricing in Imperfect Markets Under Non-Convexity

Number of pages: 33 Posted: 15 Apr 2013 Last Revised: 11 Jun 2014
Hirbod Assa and Nikolay Gospodinov
University of Liverpool and Federal Reserve Bank of Atlanta
Downloads 57 (297,716)

Abstract:

Projection Hedging, Good Deals, Quantile Regression

Hedging and Pricing in Imperfect Markets Under Non-Convexity

FRB Atlanta Working Paper No. 2014-13
Number of pages: 33 Posted: 04 Apr 2015
Hirbod Assa and Nikolay Gospodinov
University of Liverpool and Federal Reserve Bank of Atlanta
Downloads 24 (417,194)

Abstract:

imperfect markets, risk measures, hedging, pricing rule, quantile regression

4.

Chi-Squared Tests for Evaluation and Comparison of Asset Pricing Models

Federal Reserve Bank of Atlanta Working Paper No. 2011-08
Number of pages: 48 Posted: 02 Apr 2011 Last Revised: 04 Jul 2014
Nikolay Gospodinov, Raymond Kan and Cesare Robotti
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Imperial College Business School
Downloads 55 (272,526)
Citation 1

Abstract:

asset pricing models, Hansen-Jagannathan distance, model selection, model misspecification

5.

Robust Inference in Linear Asset Pricing Models

Rotman School of Management Working Paper No. 2179620
Number of pages: 90 Posted: 23 Nov 2012 Last Revised: 07 Jun 2016
Nikolay Gospodinov, Raymond Kan and Cesare Robotti
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Imperial College Business School
Downloads 52 (291,121)
Citation 1

Abstract:

Asset Pricing Models, Model Misspecification, Weak Identification, Useless Factor

6.

Further Results on the Limiting Distribution of GMM Sample Moment Conditions

Journal of Business and Economic Statistics, Forthcoming
Number of pages: 31 Posted: 15 Jul 2010 Last Revised: 05 Jul 2014
Nikolay Gospodinov, Raymond Kan and Cesare Robotti
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Imperial College Business School
Downloads 46 (312,150)
Citation 2

Abstract:

GMM

7.

Spurious Inference in Unidentified Asset-Pricing Models

FRB Atlanta Working Paper No. 2014-12, Rotman School of Management Working Paper No. 2580391
Number of pages: 62 Posted: 04 Apr 2015
Nikolay Gospodinov, Raymond Kan and Cesare Robotti
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Imperial College Business School
Downloads 31 (277,056)

Abstract:

asset pricing, irrelevant risk factors, unidentified models, model misspecification, continuously updated GMM, maximum likelihood, rank test, test for overidentifying restrictions

8.

The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks

FRB Atlanta Working Paper No. 2014-14
Number of pages: 33 Posted: 04 Apr 2015
Nikolay Gospodinov and Ibrahim Jamali
Federal Reserve Bank of Atlanta and American University of Beirut
Downloads 28 (332,679)

Abstract:

stock market volatility, federal funds futures, monetary policy, variance risk premium, vector autoregression, bivariate GARCH, leverage effect, volatility feedback effect

9.

Misspecification-Robust Inference in Linear Asset Pricing Models with Irrelevant Risk Factors

FRB Atlanta Working Paper No. 2013-9, Rotman School of Management Working Paper No. 2579821
Number of pages: 87 Posted: 22 Mar 2015
Nikolay Gospodinov, Raymond Kan and Cesare Robotti
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Imperial College Business School
Downloads 23 (345,279)
Citation 1

Abstract:

asset pricing models, lack of identification, model misspecification, GMM estimation

10.

Monetary Policy Surprises, Positions of Traders, and Changes in Commodity Futures Prices

FRB Atlanta Working Paper 2013-12
Number of pages: 39 Posted: 22 Mar 2015
Nikolay Gospodinov and Ibrahim Jamali
Federal Reserve Bank of Atlanta and American University of Beirut
Downloads 23 (345,279)

Abstract:

commodity prices, monetary policy shocks, futures data, convenience yields, positions of traders, speculators, hedgers

11.

Specification Testing in Models with Many Instruments

Econometric Theory, Forthcoming
Number of pages: 16 Posted: 16 Aug 2009
Stanislav Anatolyev and Nikolay Gospodinov
New Economic School and Federal Reserve Bank of Atlanta
Downloads 22 (409,745)
Citation 2

Abstract:

Instrumental variables, many instruments, Bekker's asymptotics, Anderson-Rubin test, test for overidentifying restrictions

12.

A 'Long March' Perspective on Tobacco Use in Canada

Canadian Journal of Economics, Vol. 38, No. 2, pp. 366-393, May 2005
Number of pages: 28 Posted: 01 Apr 2005
Nikolay Gospodinov and Ian Irvine
Federal Reserve Bank of Atlanta and Concordia University, Quebec - Department of Economics
Downloads 20 (424,945)

Abstract:

13.

Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes

Econometrics Journal, Vol. 7, No. 2, pp. 505-527, December 2004
Number of pages: 23 Posted: 28 Dec 2004
Nikolay Gospodinov
Federal Reserve Bank of Atlanta
Downloads 14 (455,434)
Citation 4

Abstract:

14.

Minimum Distance Estimation of Dynamic Models with Errors-in-Variables

FRB Atlanta Working Paper No. 2014-11
Number of pages: 37 Posted: 04 Apr 2015 Last Revised: 25 Aug 2015
Nikolay Gospodinov, Ivana Komunjer and Serena Ng
Federal Reserve Bank of Atlanta, University of California, San Diego (UCSD) - Department of Economics and Columbia Business School - Economics Department
Downloads 13 (414,750)

Abstract:

measurement error, minimum distance, simulation estimation, dynamic panel

15.

A Staggered Pricing Approach to Modeling Speculative Storage: Implications for Commodity Price Dynamics

FRB Atlanta Working Paper No. 2013-8
Number of pages: 30 Posted: 22 Mar 2015
Hirbod Assa, Amal Dabbous and Nikolay Gospodinov
University of Liverpool, Concordia University, Quebec - Department of Economics and Federal Reserve Bank of Atlanta
Downloads 10 (430,072)

Abstract:

commodity price determination, staggered pricing, high persistence, conditional heteroskedasticity, simulated method of moments

16.

Market Consistent and Sub-Consistent Valuations in Incomplete Markets

Number of pages: 41 Posted: 14 Sep 2015 Last Revised: 15 Sep 2015
Hirbod Assa and Nikolay Gospodinov
University of Liverpool and Federal Reserve Bank of Atlanta
Downloads 8 (261,832)

Abstract:

17.

Analytical Solution for the Constrained Hansen-Jagannathan Distance Under Multivariate Ellipticity

FRB Atlanta Working Paper No. 2012-18, Rotman School of Management Working Paper No. 2479458
Number of pages: 34 Posted: 22 Mar 2015
Nikolay Gospodinov, Raymond Kan and Cesare Robotti
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Imperial College Business School
Downloads 7 (460,592)

Abstract:

Hansen-Jagannathan distance, no-arbitrage, model ranking, multivariate elliptical distributions

18.

A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains

FRB Atlanta Working Paper 2013-05
Number of pages: 31 Posted: 22 Mar 2015
Nikolay Gospodinov and Damba Lkhagvasuren
Federal Reserve Bank of Atlanta and Concordia University, Quebec
Downloads 4 (490,331)

Abstract:

Markov chain, vector autoregressive processes, numerical methods, moment matching, non-linear stochastic dynamic models state space discretization, stochastic growth model, fiscal policy

19.

Minimum Distance Estimation of Possibly Non-Invertible Moving Average Models

FRB Atlanta Working Paper No. 2013-11
Number of pages: 32 Posted: 22 Mar 2015
Nikolay Gospodinov and Serena Ng
Federal Reserve Bank of Atlanta and Columbia Business School - Economics Department
Downloads 2 (490,331)

Abstract:

GMM, simulation-based estimation, non-invertibility, identification, non-Gaussian errors, generalized lambda distribution

20.

The Role of Commodity Prices in Forecasting U.S. Core Inflation

FRB Atlanta Working Paper No. 2016-5
Number of pages: 10 Posted: 15 Feb 2016
Nikolay Gospodinov
Federal Reserve Bank of Atlanta
Downloads 0 (182,045)

Abstract:

core inflation, commodity futures, convenience yields, forecasting

21.

Forecasts of Inflation and Interest Rates in No-Arbitrage Affine Models

FRB Atlanta Working Paper No. 2016-3
Number of pages: 44 Posted: 10 Feb 2016
Nikolay Gospodinov and Bin Wei
Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 0 (303,940)

Abstract:

bond prices, TIPS, inflation derivatives, oil prices, no-arbitrage, affine models, out-of-sample forecasting

22.

Multivariate Return Decomposition: Theory and Implications

FRB Atlanta Working Paper 2015-7
Number of pages: 31 Posted: 20 Nov 2015
Stanislav Anatolyev and Nikolay Gospodinov
New Economic School and Federal Reserve Bank of Atlanta
Downloads 0 (373,888)

Abstract:

multivariate decomposition, multiplicative components, volatility and direction models, copula, dependence

23.

Foreign Exchange Predictability During the Financial Crisis: Implications for Carry Trade Profitability

FRB Atlanta Working Paper 2015-6
Number of pages: 30 Posted: 20 Nov 2015
New Economic School, Federal Reserve Bank of Atlanta, American University of Beirut and University of Central Arkansas
Downloads 0 (237,014)

Abstract:

exchange rate forecasting, carry trade, positions of traders, return decomposition, copula, joint predictive distribution

24.

Asymptotic Variance Approximations for Invariant Estimators in Uncertain Asset-Pricing Models

FRB Atlanta Working Paper No. 2015-9
Number of pages: 41 Posted: 02 Nov 2015
Nikolay Gospodinov, Raymond Kan and Cesare Robotti
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Imperial College Business School
Downloads 0 (460,592)

Abstract:

asset pricing, model misspecification, continuously updated GMM, maximum likelihood, asymptotic approximation, misspecification-robust tests

25.

A New Look at the Forward Premium Puzzle

Journal of Financial Econometrics, Vol. 7, Issue 3, pp. 312-338, 2009
Posted: 30 Jun 2009
Nikolay Gospodinov
Federal Reserve Bank of Atlanta

Abstract:

C13, C22, F31, forward premium anomaly, high persistence, local-to-unity asymptotics, low signal-to-noise ratio

26.

Testing For Threshold Nonlinearity in Short-Term Interest Rates

Journal of Financial Econometrics, Vol. 3, No. 3, pp. 344-371, 2005
Posted: 29 Feb 2008
Nikolay Gospodinov
Federal Reserve Bank of Atlanta

Abstract:

bootstrap, GARCH, persistence, threshold nonlinearity