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Nikolay Gospodinov

17 works· latest 2020· 2 institutionscluster: provisionalORCID 0000-0003-4835-7239

h-index17

i1017

Citations925

Works here17

Most cited in this library

Commodity Prices, Convenience Yields, and Inflation2011 · 157 citations
Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors2014 · 118 citations
Modeling Financial Return Dynamics via Decomposition2010 · 71 citations
Chi-squared tests for evaluation and comparison of asset pricing models2012 · 62 citations
Unit Roots, Cointegration, and Pretesting in Var Models2013 · 61 citations

Works

17 shown

Common pricing across asset classes: Empirical evidence revisited

Journal of Financial Economics·2020·2 authors

39citations

Too good to be true? Fallacies in evaluating risk factor models

Journal of Financial Economics·2018·3 authors·Open access

38citations

Spurious Inference in Reduced-Rank Asset-Pricing Models

Econometrica·2017·3 authors

57citations

Minimum Distance Estimation of Possibly Noninvertible Moving Average Models

Journal of Business and Economic Statistics·2014·2 authors

29citations

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

Review of Financial Studies·2014·3 authors·Open access

118citations

Unit Roots, Cointegration, and Pretesting in Var Models

Advances in econometrics·2013·3 authors·chapter

Chi-squared tests for evaluation and comparison of asset pricing models

Journal of Econometrics·2012·3 authors·Open access

62citations

Commodity Prices, Convenience Yields, and Inflation

The Review of Economics and Statistics·2011·2 authors

157citations

Modeling Financial Return Dynamics via Decomposition

Journal of Business and Economic Statistics·2010·2 authors·Open access

71citations

Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions

Journal of Business and Economic Statistics·2009·1 author

30citations

A New Look at the Forward Premium Puzzle

Journal of Financial Econometrics·2009·1 author·Open access

30citations

Forecasting volatility

Journal of Forecasting·2006·3 authors·Open access

56citations

Testing For Threshold Nonlinearity in Short-Term Interest Rates

Journal of Financial Econometrics·2005·1 author·Open access

30citations

Asymptotic confidence intervals for impulse responses of near‐integrated processes

Econometrics Journal·2004·1 author·Open access

44citations