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
  1. 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
  2. The Effects of Federal Funds Rate Surprises on S&P500 Volatility and Volatility Risk Premium (with I. Jamali), Journal of Empirical Finance (2012), forthcoming
  3. Nonparametric Estimation of Scalar Diffusion Models of Interest Rates Using Asymmetric Kernels (with M. Hirukawa), Journal of Empirical Finance (2012), forthcoming
  4. Commodity Prices, Convenience Yields, and Inflation (with S. Ng), Review of Economics and Statistics (2012), forthcoming  Accepted Version  Data and MATLAB Codes  Online Appendix
  5. Local GMM Estimation of Time Series Models with Conditional Moment Restrictions (with T. Otsu), Journal of Econometrics (2012), forthcoming
  6. 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
  7. Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors (with Y. Tao), Econometric Reviews (2011), 30, 379-405
  8. Risk Premiums and Predictive Ability of BAX Futures (with I. Jamali), Journal of Futures Markets (2011), 31, 534-561
  9. Specification Testing in Models with Many Instruments (with S. Anatolyev),  Econometric Theory (2011), 27, 427-441  Additional Simulation Results
  10. Modeling Financial Return Dynamics via Decomposition (with S. Anatolyev), Journal of Business & Economic Statistics (2010), 28, 232-245  Results for Quarterly Data
  11. Inference in Nearly Nonstationary SVAR Models with Long-Run Identifying Restrictions, Journal of Business & Economic Statistics (2010), 28, 1-12
  12. A New Look at the Forward Premium Puzzle, Journal of Financial Econometrics (2009), 7, 312-338
  13. Tobacco Taxes and Regressivity (with I. Irvine), Journal of Health Economics (2009), 28, 375-384
  14. Asymptotic and Bootstrap Tests for Linearity in a TAR-GARCH(1,1) Model with a Unit Root, Journal of Econometrics (2008), 146, 146-161
  15. Forecasting Volatility (with A. Gavala and D. Jiang), Journal of Forecasting (2006), 25, 381-400
  16. Testing for Threshold Nonlinearity in Short-Term Interest Rates, Journal of Financial Econometrics (2005), 3, 344-371  Data and GAUSS Codes
  17. A 'Long March' Perspective on Tobacco Use in Canada (with I. Irvine),  Canadian Journal of Economics (2005), 38, 366-393
  18. 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
  19. Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes, Econometrics Journal (2004), 7, 505-527  GAUSS Codes
  20. 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
  21. Median Unbiased Forecasts for Highly Persistent Autoregressive Processes, Journal of Econometrics (2002), 111, 85-101  Data and GAUSS Codes
  22. 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
  23. 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
  24. 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
  1. 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), March 2012  Online Appendix
  2. On the Hansen-Jagannathan Distance with a No-Arbitrage Constraint (with R. Kan and C. Robotti), March 2012
  3. Time Series Nonparametric Regression Using Asymmetric Kernels (with M. Hirukawa), December 2007
  4. The Response of Stock Market Volatility to Monetary Policy Shocks (with I. Jamali), October 2011
  5. Long-Term Health Effects of Vietnam War's Herbicide Exposure on the Vietnamese Population (with V.H. Nguyen), July 2011
  6. A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains (with D. Lkhagvasuren), December 2011
Teaching
  1. Econ 643: Financial Economics II
  2. Econ 681: Econometric Theory II
  3. Econ 682: Time Series Econometrics
  4. Econ 421/521: Econometrics I