Nikolay Gospodinov
Associate Professor of Economics
Department of Economics
Concordia University
1455 de Maisonneuve Blvd. West
Montreal, Quebec, H3G 1M8
tel: (514) 848-2424 (ext. 3935) fax: (514) 848-4536
e-mail: nikolay.gospodinov [at] concordia.ca
Curriculum Vitae

Refereed Publications
  1. Commodity Prices, Convenience Yields, and Inflation (with S. Ng), REVIEW OF ECONOMICS AND STATISTICS, forthcoming  Accepted Version  Data and MATLAB Codes  Online Appendix
  2. Local GMM Estimation of Time Series Models with Conditional Moment Restrictions (with T. Otsu), JOURNAL OF ECONOMETRICS, forthcoming
  3. 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 AND ECONOMIC STATISTICS (2011), 29, 455-467  Online Appendix
  4. Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors (with Y. Tao), ECONOMETRIC REVIEWS (2011), 30, 379-405
  5. Risk Premiums and Predictive Ability of BAX Futures (with I. Jamali), JOURNAL OF FUTURES MARKETS (2011), 31, 534-561
  6. Specification Testing in Models with Many Instruments (with S. Anatolyev), ECONOMETRIC THEORY (2011), 27, 427-441  Additional Simulation Results
  7. Modeling Financial Return Dynamics via Decomposition (with S. Anatolyev), JOURNAL OF BUSINESS AND ECONOMIC STATISTICS (2010), 28, 232-245  Results for Quarterly Data
  8. Inference in Nearly Nonstationary SVAR Models with Long-Run Identifying Restrictions, JOURNAL OF BUSINESS AND ECONOMIC STATISTICS (2010), 28, 1-12
  9. A New Look at the Forward Premium Puzzle, JOURNAL OF FINANCIAL ECONOMETRICS (2009), 7, 312-338
  10. Tobacco Taxes and Regressivity (with I. Irvine), JOURNAL OF HEALTH ECONOMICS (2009), 28, 375-384
  11. Asymptotic and Bootstrap Tests for Linearity in a TAR-GARCH(1,1) Model with a Unit Root, JOURNAL OF ECONOMETRICS (2008), 146, 146-161
  12. Forecasting Volatility (with A. Gavala and D. Jiang), JOURNAL OF FORECASTING (2006), 25, 381-400
  13. Testing for Threshold Nonlinearity in Short-Term Interest RatesJOURNAL OF FINANCIAL ECONOMETRICS (2005), 3, 344-371   Data and GAUSS Codes
  14. A 'Long March' Perspective on Tobacco Use in Canada (with I. Irvine), CANADIAN JOURNAL OF ECONOMICS (2005), 38, 366-393
  15. 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
  16. Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes, ECONOMETRICS JOURNAL (2004), 7, 505-527   GAUSS Codes
  17. 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
  18. Median Unbiased Forecasts for Highly Persistent Autoregressive Processes, JOURNAL OF ECONOMETRICS (2002), 111, 85-101   Data and GAUSS Codes
  19. 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
  20. Bootstrap-Based Inference in Models with a Nearly Noninvertible Moving Average Component, JOURNAL OF BUSINESS AND ECONOMIC STATISTICS (2002), 20, 254-268   Data and GAUSS Codes
  21. 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
Book/Monograph: Methods for Estimation and Inference in Modern Econometrics (with S. Anatolyev), Chapman and Hall/CRC Press (2011)

Book Chapters

  1. 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
  1. Chi-Squared Tests for Evaluation and Comparison of Asset Pricing Models (with R. Kan and C. Robotti), June 2011  Online Appendix
  2. Further Results on the Limiting Distribution of GMM Sample Moment Conditions (with R. Kan and C. Robotti), January 2012  Online Appendix
  3. On the Hansen-Jagannathan Distance with a No-Arbitrage Constraint (with R. Kan and C. Robotti), December 2011
  4. Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels (with M. Hirukawa), January 2012
  5. Time Series Nonparametric Regression Using Asymmetric Kernels (with M. Hirukawa), December 2007
  6. Stock Market Volatility and Federal Funds Rate Surprises (with I. Jamali), October 2011
  7. The Response of Stock Market Volatility to Monetary Policy Shocks (with I. Jamali), October 2011
  8. Long-Term Health Effects of Vietnam War's Herbicide Exposure on the Vietnamese Population (with V.H. Nguyen), July 2011
  9. 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