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Local GMM estimation of time series models with conditional moment restrictions

Gospodinov, Nikolay; Otsu, Taisuke - In: Journal of Econometrics 170 (2012) 2, pp. 476-490

This paper investigates statistical properties of the local generalized method of moments (LGMM) estimator for some time series models defined by conditional moment restrictions. First, we consider Markov processes with possible conditional heteroskedasticity of unknown forms and establish the...

Persistent link: https://www.econbiz.de/10010594972

The response of stock market volatility to futures-based measures of monetary policy shocks

Gospodinov, Nikolaj; Jamali, Ibrahim - In: International review of economics & finance : IREF 37 (2015), pp. 42-54

Persistent link: https://www.econbiz.de/10011538240

Global health warnings on tobacco packaging : evidence from the Canadian experiment

Gospodinov, Nikolaj (contributor); … - In: Topics in economic analysis & policy 4 (2004) 1

Persistent link: https://www.econbiz.de/10002458353

On the factor structure of bond returns

Crump, Richard K.; Gospodinov, Nikolaj - In: Econometrica : journal of the Econometric Society, an … 90 (2022) 1, pp. 295-314

Persistent link: https://www.econbiz.de/10012821679

Generalized aggregation of misspecified models : with an application to asset pricing

Gospodinov, Nikolaj; Maasoumi, Esfandiar - In: Journal of econometrics 222 (2021) 1,2, pp. 451-467

Persistent link: https://www.econbiz.de/10012619705

Common pricing across asset classes : empirical evidence revisited

Gospodinov, Nikolaj; Robotti, Cesare - In: Journal of financial economics 140 (2021) 1, pp. 292-324

Persistent link: https://www.econbiz.de/10013188701

On the properties of the constrained Hansen-Jagannathan distance

Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: Journal of empirical finance 36 (2016), pp. 121-150

Persistent link: https://www.econbiz.de/10011662813

Foreign exchange predictability and the carry trade : a decomposition approach

Anatolyev, Stanislav; Gospodinov, Nikolaj; Jamali, Ibrahim - In: Journal of empirical finance 42 (2017), pp. 199-211

Persistent link: https://www.econbiz.de/10011808567

Simulated minimum distance estimation of dynamic models with errors-in-variables

Gospodinov, Nikolaj; Komunjer, Ivana; Ng, Serena - In: Journal of econometrics 200 (2017) 2, pp. 181-193

Persistent link: https://www.econbiz.de/10011917176

Multivariate return decomposition : theory and implications

Anatolyev, Stanislav; Gospodinov, Nikolaj - In: Econometric reviews 38 (2019) 5, pp. 487-508

Persistent link: https://www.econbiz.de/10012181325

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