Nikolay Gospodinov

Federal Reserve Bank of Atlanta

SCHOLARLY PAPERS

31

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CITATIONS
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Top 13,360

in Total Papers Citations

55

Scholarly Papers (31)

1.

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

FRB Atlanta Working Paper No. 2015-6
Number of pages: 30 Posted: 07 Sep 2017
New Economic School, Federal Reserve Bank of Atlanta, American University of Beirut and University of Central Arkansas
Downloads 377 (77,358)

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

2.

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 191 (157,376)

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

3.

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 Last Revised: 30 Aug 2017
Nikolay Gospodinov
Federal Reserve Bank of Atlanta
Downloads 140 (205,458)

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core inflation, commodity futures, convenience yields, forecasting

4.

Too Good to Be True? Fallacies in Evaluating Risk Factor Models

FRB Atlanta Working Paper No. 2017-9
Number of pages: 70 Posted: 03 Jan 2018
Nikolay Gospodinov, Raymond Kan and Cesare Robot
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and University of Georgia
Downloads 104 (256,522)

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asset pricing, spurious risk factors, unidentified models, model misspecification, continuously updated GMM, maximum likelihood, goodness-of-fit, rank test

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 63 (350,551)

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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 33 (461,759)

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

6.

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, Warwick Business School and University of Toronto - Rotman School of Management
Downloads 95 (272,451)
Citation 9

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

7.

Asset Co-Movements: Features and Challenges

FRB Atlanta Working Paper No. 2017-11
Number of pages: 27 Posted: 03 Jan 2018
Nikolay Gospodinov
Federal Reserve Bank of Atlanta
Downloads 90 (282,008)

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cross-asset, within-asset and international asset co-movements, rolling correlation, time-variability, persistence, higher moments, risk factors, sampling frequency

8.

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 Last Revised: 30 Aug 2017
Nikolay Gospodinov and Bin Wei
Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 88 (286,024)

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

9.

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 83 (296,620)

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

10.

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 81 (301,025)

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11.

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 80 (303,247)
Citation 3

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

12.

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 Warwick Business School
Downloads 73 (319,801)
Citation 2

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

13.

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 Warwick Business School
Downloads 68 (332,525)

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

14.

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 63 (346,009)
Citation 6

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

15.

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 Warwick Business School
Downloads 58 (360,445)
Citation 3

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GMM

16.

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 54 (372,997)

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

17.

Multivariate Return Decomposition: Theory and Implications

FRB Atlanta Working Paper No. 2015-7
Number of pages: 31 Posted: 07 Sep 2017
Stanislav Anatolyev and Nikolay Gospodinov
New Economic School and Federal Reserve Bank of Atlanta
Downloads 52 (379,356)

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

18.

Deconstructing the Yield Curve

FRB of New York Staff Report No. 884
Number of pages: 67 Posted: 10 Apr 2019 Last Revised: 16 May 2019
Richard K. Crump and Nikolay Gospodinov
Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of Atlanta
Downloads 47 (396,214)

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term structure of interest rates, factor models, principal components, bond risk premiums, resampling-based inference

19.

General Aggregation of Misspecified Asset Pricing Models

FRB Atlanta Working Paper No. 2017-10
Number of pages: 33 Posted: 03 Jan 2018
Nikolay Gospodinov and Esfandiar Maasoumi
Federal Reserve Bank of Atlanta and Emory University
Downloads 34 (446,408)

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entropy, model aggregation, asset pricing, misspecified models, oracle inequality, Hellinger distance

20.

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 31 (459,856)
Citation 1

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measurement error, minimum distance, simulation estimation, dynamic panel

21.

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 27 (479,515)
Citation 1

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

22.

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 25 (490,292)

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

23.

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 (518,734)
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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 Last Revised: 30 Aug 2017
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 19 (524,609)

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

25.

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 Warwick Business School
Downloads 18 (530,411)

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

26.

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 17 (536,240)
Citation 2

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

27.

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 17 (536,240)

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

28.

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 (553,952)
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29.

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

European Financial Management, Vol. 24, Issue 2, pp. 239-260, 2018
Number of pages: 22 Posted: 07 Mar 2018
Nikolay Gospodinov and Ibrahim Jamali
Federal Reserve Bank of Atlanta and American University of Beirut
Downloads 0 (666,167)
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commodity prices, monetary policy uncertainty, futures data, Fama‐Macbeth regression, asset pricing model, futures basis, positions of traders, speculators

30.

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

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

31.

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

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bootstrap, GARCH, persistence, threshold nonlinearity