Browsing All of EconStor by Author Gospodinov, Nikolay


Showing results 1 to 20 of 20
Year of PublicationTitleAuthor(s)
2010On the Hansen-Jagannathan distance with a no-arbitrage constraintGospodinov, Nikolay; Kan, Raymond; Robotti, Cesare
2010Further results on the limiting distribution of GMM sample moment conditionsGospodinov, Nikolay; Kan, Raymond; Robotti, Cesare
2011Chi-squared tests for evaluation and comparison of asset pricing modelsGospodinov, Nikolay; Kan, Raymond; Robotti, Cesare
2012Analytical solution for the constrained Hansen-Jagannathan distance under multivariate ellipticityGospodinov, Nikolay; Kan, Raymond; Robotti, Cesare
2012Robust iInference in linear asset pricing modelsGospodinov, Nikolay; Kan, Raymond; Robotti, Cesare
2013Minimum distance estimation of possibly non-invertible moving average modelsGospodinov, Nikolay; Ng, Serena
2013A moment-matching method for approximating vector autoregressive processes by finite-state Markov chainsGospodinov, Nikolay; Lkhagvasuren, Damba
2013Misspecification-robust inference in linear asset pricing models with irrelevant risk factorsGospodinov, Nikolay; Kan, Raymond; Robotti, Cesare
2013Monetary policy surprises, positions of traders, and changes in commodity futures pricesGospodinov, Nikolay; Jamali, Ibrahim
2013A staggered pricing approach to modeling speculative storage: Implications for commodity price dynamicsAssa, Hirbod; Dabbous, Amal; Gospodinov, Nikolay
2014Spurious inference in unidentified asset-pricing modelsGospodinov, Nikolay; Kan, Raymond; Robotti, Cesare
2014The response of stock market volatility to futures-based measures of monetary policy shocksGospodinov, Nikolay; Jamali, Ibrahim
2014Minimum distance estimation of dynamic models with errors-in-variablesGospodinov, Nikolay; Komunjer, Ivana; Ng, Serena
2014Hedging and pricing in imperfect markets under non-convexityAssa, Hirbod; Gospodinov, Nikolay
2015Foreign exchange predictability during the financial crisis: Implications for carry trade profitabilityAnatolyev, Stanislav; Gospodinov, Nikolay; Jamali, Ibrahim; Liu, Xiaochun
2015Multivariate return decomposition: Theory and implicationsAnatolyev, Stanislav; Gospodinov, Nikolay
2015Asymptotic variance approximations for invariant estimators in uncertain asset-pricing modelsGospodinov, Nikolay; Kan, Raymond; Robotti, Cesare
2016The role of commodity prices in forecasting U.S. core inflationGospodinov, Nikolay
2016Forecasts of inflation and interest rates in no-arbitrage affine modelsGospodinov, Nikolay; Wei, Bin
2017A robust approach to hedging and pricing in imperfect marketsAssa, Hirbod; Gospodinov, Nikolay