Nikolay Gospodinov
Associate Professor of Economics
Department
of Economics
Concordia University
1455 de Maisonneuve Blvd. West
Montreal, Quebec, H3G 1M8, Canada
tel: (514) 848-2424 (ext. 3935)
fax: (514) 848-4536
e-mail: nikolay.gospodinov [at] concordia.ca
Curriculum
Vitae
Refereed
Publications
Further
Results on the Limiting Distribution of GMM Sample Moment Conditions
(with R. Kan
and C. Robotti), Journal of Business
& Economic Statistics (2012),
forthcoming Online
Appendix
The
Effects of Federal Funds Rate Surprises on S&P500 Volatility and
Volatility Risk Premium (with I.
Jamali), Journal
of Empirical Finance (2012),
forthcoming
Nonparametric
Estimation of Scalar Diffusion Models of Interest Rates Using
Asymmetric Kernels (with M. Hirukawa), Journal
of Empirical Finance
(2012),
forthcoming
Commodity
Prices, Convenience Yields, and Inflation (with S. Ng), Review of Economics
and Statistics (2012),
forthcoming Accepted
Version Data
and MATLAB Codes Online
Appendix
Local
GMM Estimation of Time Series Models with Conditional Moment
Restrictions (with T. Otsu), Journal
of Econometrics (2012),
forthcoming
Sensitivity
of Impulse Responses to Small Low Frequency
Co-movements: Reconciling the Evidence on the Effects of Technology
Shocks (with A. Maynard and E. Pesavento), Journal of Business
& Economic Statistics (2011),
29, 455-467 Online
Appendix
Bootstrap
Unit Root Tests in Models with GARCH(1,1) Errors (with Y. Tao), Econometric
Reviews (2011), 30, 379-405
Risk
Premiums and Predictive Ability of BAX Futures (with I. Jamali), Journal
of Futures Markets (2011),
31, 534-561
Specification
Testing in Models with Many
Instruments (with S. Anatolyev), Econometric
Theory (2011), 27,
427-441 Additional
Simulation Results
Modeling
Financial Return Dynamics via Decomposition (with S.
Anatolyev), Journal of Business
& Economic Statistics (2010), 28, 232-245 Results
for Quarterly Data
Inference
in Nearly Nonstationary SVAR Models with Long-Run Identifying
Restrictions , Journal of Business
& Economic Statistics (2010), 28, 1-12
A
New Look at the Forward
Premium
Puzzle , Journal of Financial
Econometrics (2009), 7, 312-338
Tobacco
Taxes and Regressivity (with I. Irvine), Journal
of Health Economics (2009), 28, 375-384
Asymptotic
and Bootstrap Tests for Linearity in a TAR-GARCH(1,1)
Model with a Unit Root , Journal
of Econometrics (2008),
146, 146-161
Forecasting
Volatility (with A. Gavala and D. Jiang), Journal
of Forecasting (2006), 25, 381-400
Testing
for Threshold Nonlinearity in Short-Term Interest Rates , Journal
of Financial Econometrics (2005),
3, 344-371 Data
and GAUSS Codes
A
'Long March' Perspective on Tobacco Use in Canada (with I.
Irvine), Canadian
Journal of Economics (2005),
38, 366-393
Robust
Asymptotic Inference in Autoregressive Models with Martingale
Difference
Errors , Econometric
Reviews (2005),
24,
59-81
Selected as Best
Paper published in Econometric
Reviews in 2004 and 2005
Asymptotic
Confidence Intervals for Impulse Responses of Near-Integrated Processes ,
Econometrics
Journal (2004), 7, 505-527 GAUSS
Codes
Global
Health Warnings on Tobacco Packaging: Evidence from the Canadian
Experiment
(with I. Irvine), Topics in Economic
Analysis & Policy (2004),
4, Issue 1, Article 30
Median
Unbiased Forecasts for Highly Persistent Autoregressive Processes , Journal
of Econometrics (2002),
111, 85-101 Data and
GAUSS Codes
Improved
Finite-Sample Inference in Overidentified Models with Weak Instruments ,
Recent
Advances in Statistical Methods (2002), Y.P. Chaubey
(ed.),
Imperial College Press, London, 132-146
Bootstrap-Based
Inference in Models with a Nearly Noninvertible Moving Average Component ,
Journal of Business
& Economic Statistics
(2002), 20,
254-268 Data
and GAUSS Codes
An
Empirical Likelihood Ratio Test for a Unit Root: Solution to Problem
99.2.1
(with V. Zinde-Walsh), Econometric
Theory (2000),
16, 143-146
Books/Monographs
Methods
for
Estimation and Inference
in Modern Econometrics (with S.
Anatolyev), Chapman and
Hall/CRC Press (2011)
Book Chapters
Asset
Pricing Theories, Models, and Tests (with C. Robotti), Chapter 3 in
Portfolio Theory and Management (H. K. Baker and M. G. Filbeck,
eds.), Oxford University Press (2012), forthcoming.
Unpublished
Manuscripts
Chi-Squared
Tests for Evaluation and Comparison of Asset Pricing Models
(with R. Kan
and C. Robotti), March 2012 Online
Appendix
On
the Hansen-Jagannathan Distance with a No-Arbitrage Constraint
(with R. Kan and C. Robotti), March 2012
Time
Series Nonparametric Regression Using Asymmetric Kernels (with M.
Hirukawa), December 2007
The
Response of Stock Market Volatility to Monetary Policy Shocks
(with I.
Jamali), October 2011
Long-Term
Health Effects of Vietnam War's Herbicide
Exposure on the Vietnamese Population (with V.H. Nguyen), July
2011
A Moment-Matching Method for
Approximating Vector Autoregressive Processes by Finite-State Markov
Chains (with D.
Lkhagvasuren), December 2011
Teaching
Econ
643: Financial Economics II
Econ
681: Econometric Theory II
Econ
682: Time Series Econometrics
Econ
421/521: Econometrics I