11
H index
12
i10 index
368
Citations
Universitá della Svizzera Italiana (USI) | 11 H index 12 i10 index 368 Citations RESEARCH PRODUCTION: 20 Articles 28 Papers 1 Books RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Patrick Gagliardini. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 5 |
Journal of Financial Econometrics | 4 |
Econometrica | 2 |
Working Papers Series with more than one paper published | # docs |
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Swiss Finance Institute Research Paper Series / Swiss Finance Institute | 12 |
Working Papers / Center for Research in Economics and Statistics | 9 |
Year | Title of citing document |
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2021 | Are unobservables separable?. (2020). FLORENS, Jean-Pierre ; Babii, Andrii. In: Papers. RePEc:arx:papers:1705.01654. Full description at Econpapers || Download paper |
2020 | State-Varying Factor Models of Large Dimensions. (2019). Xiong, Ruoxuan ; Pelger, Markus. In: Papers. RePEc:arx:papers:1807.02248. Full description at Econpapers || Download paper |
2021 | The Incidental Parameters Problem in Testing for Remaining Cross-section Correlation. (2018). Reese, Simon ; Juodis, Arturas. In: Papers. RePEc:arx:papers:1810.03715. Full description at Econpapers || Download paper |
2022 | Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference. (2019). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1910.08273. Full description at Econpapers || Download paper |
2020 | High-dimensional mixed-frequency IV regression. (2020). Babii, Andrii. In: Papers. RePEc:arx:papers:2003.13478. Full description at Econpapers || Download paper |
2020 | Inference in Unbalanced Panel Data Models with Interactive Fixed Effects. (2020). Stammann, Amrei ; Czarnowske, Daniel. In: Papers. RePEc:arx:papers:2004.03414. Full description at Econpapers || Download paper |
2020 | Instrumental Variable Quantile Regression. (2020). Wuthrich, Kaspar ; Hansen, Christian ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:2009.00436. Full description at Econpapers || Download paper |
2020 | Recent Developments on Factor Models and its Applications in Econometric Learning. (2020). Fan, Jianqing ; Liao, Yuan. In: Papers. RePEc:arx:papers:2009.10103. Full description at Econpapers || Download paper |
2022 | Identification of multi-valued treatment effects with unobserved heterogeneity. (2020). Fusejima, Koki. In: Papers. RePEc:arx:papers:2010.04385. Full description at Econpapers || Download paper |
2021 | Bridging factor and sparse models. (2021). Medeiros, Marcelo C ; Masini, Ricardo ; Fan, Jianqing. In: Papers. RePEc:arx:papers:2102.11341. Full description at Econpapers || Download paper |
2021 | Inference for multi-valued heterogeneous treatment effects when the number of treated units is small. (2021). Pouzo, Demian ; Dias, Marina. In: Papers. RePEc:arx:papers:2105.10965. Full description at Econpapers || Download paper |
2021 | Inference for Low-Rank Models. (2021). Zhu, Yinchu ; Liao, Yuan ; Hansen, Christian ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:2107.02602. Full description at Econpapers || Download paper |
2021 | Composite Likelihood for Stochastic Migration Model with Unobserved Factor. (2021). Djogbenou, Antoine ; Gouri, Christian ; Bandehali, Maygol ; Jasiak, Joann. In: Papers. RePEc:arx:papers:2109.09043. Full description at Econpapers || Download paper |
2022 | Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567. Full description at Econpapers || Download paper |
2022 | Standard errors for two-way clustering with serially correlated time effects. (2022). Sasaki, Yuya ; Hansen, Bruce E ; Chiang, Harold D. In: Papers. RePEc:arx:papers:2201.11304. Full description at Econpapers || Download paper |
2020 | Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields. (2020). Zhao, Guihai. In: Staff Working Papers. RePEc:bca:bocawp:20-14. Full description at Econpapers || Download paper |
2021 | Volatility Bursts: A discrete-time option model with multiple volatility components. (2021). Lilla, Francesca. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1336_21. Full description at Econpapers || Download paper |
2020 | Robust Identification of Investor Beliefs. (2020). Hansen, Peter G ; Chen, Xiaohong. In: Working Papers. RePEc:bfi:wpaper:2020-69. Full description at Econpapers || Download paper |
2020 | Taming the Factor Zoo: A Test of New Factors. (2020). Xiu, Dacheng ; Giglio, Stefano ; Feng, Guanhao. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1327-1370. Full description at Econpapers || Download paper |
2020 | A Comparison of Two Quantile Models With Endogeneity. (2020). Wuthrich, Kaspar. In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt0q43931f. Full description at Econpapers || Download paper |
2020 | Arbitrage Pricing, Weak Beta, Strong Beta: Identification-Robust and Simultaneous Inference. (2020). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-30. Full description at Econpapers || Download paper |
2020 | Robust Identification of Investor Beliefs. (2020). Hansen, Peter G ; Chen, Xiaohong. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2236. Full description at Econpapers || Download paper |
2020 | Mixed data sampling expectile regression with applications to measuring financial risk. (2020). Yu, Keming ; Jiang, Cuixia ; Chen, LU ; Xu, Qifa. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:469-486. Full description at Econpapers || Download paper |
2021 | Robust consumption and portfolio choices with habit formation. (2021). Wang, Shibo ; Li, Tongtong ; Yang, Jinqiang. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:227-246. Full description at Econpapers || Download paper |
2020 | Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness. (2020). Jang, Hyun Jin ; Choi, So Eun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818302973. Full description at Econpapers || Download paper |
2020 | The leverage effect puzzle revisited: Identification in discrete time. (2020). Khrapov, Stanislav ; Han, Hyojin ; Renault, Eric. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:230-258. Full description at Econpapers || Download paper |
2020 | Incorporating overnight and intraday returns into multivariate GARCH volatility models. (2020). Wu, Jianbin ; Dhaene, Geert. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:471-495. Full description at Econpapers || Download paper |
2020 | Bootstrapping factor models with cross sectional dependence. (2020). Perron, Benoit ; Gonalves, Silvia. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:476-495. Full description at Econpapers || Download paper |
2020 | Inference of local regression in the presence of nuisance parameters. (2020). Xu, Ke-Li. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:532-560. Full description at Econpapers || Download paper |
2020 | Score tests in GMM: Why use implied probabilities?. (2020). Renault, Eric ; Chaudhuri, Saraswata. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:260-280. Full description at Econpapers || Download paper |
2021 | Optimal Linear Instrumental Variables Approximations. (2021). Escanciano, Juan Carlos ; Li, Wei. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:223-246. Full description at Econpapers || Download paper |
2021 | Autoencoder asset pricing models. (2021). Xiu, Dacheng ; Kelly, Bryan ; Gu, Shihao. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:429-450. Full description at Econpapers || Download paper |
2021 | Solving Euler equations via two-stage nonparametric penalized splines. (2021). Hong, Yongmiao ; Cui, Liyuan ; Li, Yingxing. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:2:p:1024-1056. Full description at Econpapers || Download paper |
2021 | Nonparametric Instrumental Variable Estimation of Binary Response Models with Continuous Endogenous Regressors. (2021). Centorrino, Samuele ; FLORENS, Jean-Pierre. In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:35-63. Full description at Econpapers || Download paper |
2021 | A data-driven framework for consistent financial valuation and risk measurement. (2021). Kirkby, Lars J ; Cui, Zhenyu ; Nguyen, Duy. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:1:p:381-398. Full description at Econpapers || Download paper |
2021 | Modeling the cross-section of stock returns using sensible models in a model pool. (2021). Zhou, Qing ; Liao, Yin ; Chiang, I-Hsuan Ethan ; I-Hsuan Ethan Chiang, . In: Journal of Empirical Finance. RePEc:eee:empfin:v:60:y:2021:i:c:p:56-73. Full description at Econpapers || Download paper |
2021 | Improved inference for fund alphas using high-dimensional cross-sectional tests. (2021). Yan, Yayi ; Cheng, Tingting. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:57-81. Full description at Econpapers || Download paper |
2021 | The pricing of the illiquidity factor’s conditional risk with time-varying premium. (2021). Noh, Joonki ; Amihud, Yakov. In: Journal of Financial Markets. RePEc:eee:finmar:v:56:y:2021:i:c:s1386418120300744. Full description at Econpapers || Download paper |
2022 | Financial integration in the EU28 equity markets: Measures and drivers. (2022). Ossola, Elisa ; Papanagiotou, E ; Nardo, M. In: Journal of Financial Markets. RePEc:eee:finmar:v:57:y:2022:i:c:s138641812100015x. Full description at Econpapers || Download paper |
2020 | Sovereign bonds, coskewness, and monetary policy regimes. (2020). Wald, John K ; Li, Yulin ; Wang, Zijun. In: Journal of Financial Stability. RePEc:eee:finsta:v:50:y:2020:i:c:s1572308920300826. Full description at Econpapers || Download paper |
2021 | What greenium matters in the stock market? The role of greenhouse gas emissions and environmental disclosures. (2021). Ossola, Elisa ; Panzica, Roberto ; Alessi, Lucia. In: Journal of Financial Stability. RePEc:eee:finsta:v:54:y:2021:i:c:s1572308921000280. Full description at Econpapers || Download paper |
2021 | Who should be afraid of infections? Pandemic exposure and the cross-section of stock returns. (2021). Zaremba, Adam ; Cakici, Nusret. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000524. Full description at Econpapers || Download paper |
2021 | The conditional volatility premium on currency portfolios. (2021). Sakemoto, Ryuta ; Byrne, Joseph P. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s104244312100130x. Full description at Econpapers || Download paper |
2021 | Ambiguity, asset illiquidity, and price variability. (2021). Zhou, Tong. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:191:y:2021:i:c:p:280-292. Full description at Econpapers || Download paper |
2021 | Factors and risk premia in individual international stock returns. (2021). Scaillet, Olivier ; Chaieb, Ines ; Langlois, Hugues. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:2:p:669-692. Full description at Econpapers || Download paper |
2022 | The cross section of the monetary policy announcement premium. (2022). Xu, Lai ; Pan, Xuhui Nick ; Han, Leyla Jianyu ; Ai, Hengjie. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:1:p:247-276. Full description at Econpapers || Download paper |
2020 | Risk, asset pricing and monetary policy transmission in Europe: Evidence from a threshold-VAR approach. (2020). Schmidt, Jorg. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:109:y:2020:i:c:s0261560620301911. Full description at Econpapers || Download paper |
2021 | Trade policy uncertainty and stock returns. (2021). Sammon, Marco ; Esposito, Federico ; Bianconi, Marcelo. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:119:y:2021:i:c:s0261560621001431. Full description at Econpapers || Download paper |
2020 | A new mechanism for anticipating price exuberance. (2020). Moreira, Afonso M ; Martins, Luis F. In: International Review of Economics & Finance. RePEc:eee:reveco:v:65:y:2020:i:c:p:199-221. Full description at Econpapers || Download paper |
2020 | Governance by depositors, bank runs and ambiguity aversion. (2020). Guillemin, François. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919304878. Full description at Econpapers || Download paper |
2020 | What is Certain about Uncertainty?. (2020). Sarisoy, Cisil ; Rodriguez, Marius ; Rogers, John ; Ma, Sai ; Jahan-Parvar, Mohammad ; Grishchenko, Olesya ; Datta, Deepa ; Cascaldi-Garcia, Danilo ; del Giudice, Marius ; Loria, Francesca ; Londono, Juan M ; Revil, Thiago ; Zer, Ilknur. In: International Finance Discussion Papers. RePEc:fip:fedgif:1294. Full description at Econpapers || Download paper |
2020 | Factor and factor loading augmented estimators for panel regression. (2020). Gautier, Eric ; Beyhum, Jad. In: Working Papers. RePEc:hal:wpaper:hal-02957008. Full description at Econpapers || Download paper |
2022 | Rating transitions forecasting: a filtering approach. (2021). Lelong, Jerome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Working Papers. RePEc:hal:wpaper:hal-03347521. Full description at Econpapers || Download paper |
2020 | The Greenium matters: evidence on the pricing of climate risk. (2019). Panzica, Roberto ; Ossola, Elisa ; Alessi, Lucia. In: Working Papers. RePEc:jrs:wpaper:201912. Full description at Econpapers || Download paper |
2020 | Financial integration in the EU28 equity markets: measures and drivers. (2020). Papanagiotou, Evangalia ; Ossola, Elisa ; Nardo, Michela. In: Working Papers. RePEc:jrs:wpaper:202009. Full description at Econpapers || Download paper |
2021 | When do investors go green? Evidence from a time-varying asset-pricing model. (2021). Ossola, Elisa ; Alessi, Lucia ; Panzica, Roberto. In: Working Papers. RePEc:jrs:wpaper:202113. Full description at Econpapers || Download paper |
2021 | A literature review of new methods in empirical asset pricing: omitted-variable and errors-in-variable bias. (2021). Hemauer, Tobias ; Collot, Solene. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:35:y:2021:i:1:d:10.1007_s11408-020-00358-0. Full description at Econpapers || Download paper |
2020 | The Greenium matters: evidence on the pricing of climate risk. (2019). Roberto, Panzica ; Elisa, Ossola ; Lucia, Alessi. In: Working Papers. RePEc:mib:wpaper:418. Full description at Econpapers || Download paper |
2020 | Arbitrage Pricing, Weak Beta, Strong Beta: Identification-Robust and Simultaneous Inference. (2020). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude. In: Cahiers de recherche. RePEc:mtl:montec:15-2020. Full description at Econpapers || Download paper |
2020 | Robust Identification of Investor Beliefs. (2020). Hansen, Lars ; Chen, Xiaohong. In: NBER Working Papers. RePEc:nbr:nberwo:27257. Full description at Econpapers || Download paper |
2020 | The Conditional Risk and Return Trade-Off on Currency Portfolios. (2020). Sakemoto, Ryuta ; Byrne, Joseph ; Joseph, Byrne. In: MPRA Paper. RePEc:pra:mprapa:99497. Full description at Econpapers || Download paper |
2020 | Trade Policy Uncertainty and Stock Returns. (2020). Esposito, Federico ; Sammon, Marco ; Bianconi, Marcelo. In: MPRA Paper. RePEc:pra:mprapa:99874. Full description at Econpapers || Download paper |
2021 | Non-random sampling and association tests on realized returns and risk proxies. (2021). Schipper, Katherine ; Olsson, Per ; Francis, Jennifer ; Ecker, Frank. In: Review of Accounting Studies. RePEc:spr:reaccs:v:26:y:2021:i:2:d:10.1007_s11142-021-09581-0. Full description at Econpapers || Download paper |
2021 | Time-varying state correlations in state space models and their estimation via indirect inference. (2021). van den Brakel, Jan ; Smeekes, Stephan ; Palm, Franz ; Koopman, Siem Jan ; Schiavoni, Caterina. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210020. Full description at Econpapers || Download paper |
2020 | Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models. (2020). Umlandt, Dennis. In: Working Paper Series. RePEc:trr:qfrawp:202006. Full description at Econpapers || Download paper |
2021 | A Functional Estimation Approach to the First-Price Auction Models. (2021). Sbai, Erwann ; Enache, Andreea ; FLORENS, Jean-Pierre. In: TSE Working Papers. RePEc:tse:wpaper:126172. Full description at Econpapers || Download paper |
2020 | Trade Policy Uncertainty and Stock Returns. (2020). Sammon, Marco ; Bianconi, Marcelo ; Esposito, Federico. In: Discussion Papers Series, Department of Economics, Tufts University. RePEc:tuf:tuftec:0834. Full description at Econpapers || Download paper |
2021 | Decentralization estimators for instrumental variable quantile regression models. (2021). Wüthrich, Kaspar ; Kaido, Hiroaki ; Wuthrich, Kaspar. In: Quantitative Economics. RePEc:wly:quante:v:12:y:2021:i:2:p:443-475. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2017 | A Specification Test for Nonparametric Instrumental Variable Regression In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 5 |
2007 | A Specification Test For Nonparametric Instrumental Variable Regression.(2007) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2017 | A diagnostic criterion for approximate factor structure In: Papers. [Full Text][Citation analysis] | paper | 14 |
2016 | A Diagnostic Criterion for Approximate Factor Structure.(2016) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
2004 | Testing Asset Pricing Models With Coskewness In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 36 |
2008 | Duration time?series models with proportional hazard In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 11 |
2002 | Duration Time Series Models with Proportional Hazard.(2002) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2007 | Challenges in the teaching of econometrics : the lesson of Pietro Balestra In: Revue d'économie politique. [Full Text][Citation analysis] | article | 0 |
2006 | Tikhonov Regularization for Functional Minimum Distance Estimators In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 6 |
2009 | Nonparametric Instrumental Variable Estimators of Structural Quantile Effects In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 8 |
2008 | Ambiguity Aversion and the Term Structure of Interest Rates In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 32 |
2009 | Ambiguity Aversion and the Term Structure of Interest Rates.(2009) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 32 | article | |
2007 | Ambiguity Aversion and the Term Structure of Interest Rates.(2007) In: University of St. Gallen Department of Economics working paper series 2007. [Full Text][Citation analysis] This paper has another version. Agregated cites: 32 | paper | |
2009 | Efficiency in Large Dynamic Panel Models with Common Factor In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 13 |
2010 | Efficiency in Large Dynamic Panel Models with Common Factor.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2014 | EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS.(2014) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | article | |
2010 | Efficient Derivative Pricing By The Extended Method of Moments In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 34 |
2004 | Efficient Derivative Pricing by Extended Method of Moments.(2004) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
2005 | Efficient Derivative Pricing by Extended Method of Moments.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
2011 | Efficient Derivative Pricing by the Extended Method of Moments.(2011) In: Econometrica. [Citation analysis] This paper has another version. Agregated cites: 34 | article | |
2005 | Efficient Derivative Pricing by Extended Method of Moments.(2005) In: University of St. Gallen Department of Economics working paper series 2005. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
2010 | Microinformation, Nonlinear Filtering and Granularity In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
2010 | Microinformation, Nonlinear Filtering, and Granularity.(2010) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2011 | Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 64 |
2011 | Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets.(2011) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 64 | paper | |
2016 | Time?Varying Risk Premium in Large Cross?Sectional Equity Data Sets.(2016) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 64 | article | |
2016 | Is Industrial Production Still the Dominant Factor for the US Economy? In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
2017 | Is Industrial Production Still the Dominant Factor for the US Economy?.(2017) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2016 | Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models Using MIDAS Regressions and ARCH Models In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
2017 | Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models using MIDAS Regressions and ARCH Models.(2017) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2002 | Constrained Nonparametric Copulas In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2004 | Stochastic Migration Models with Application to Corporate Risk In: Working Papers. [Full Text][Citation analysis] | paper | 19 |
2005 | Stochastic Migration Models with Application to Corporate Risk.(2005) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | article | |
2010 | Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
2011 | Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk.(2011) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
2012 | Correlated Risks vs Contagion in Stochastic Transition Models In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2013 | Correlated risks vs contagion in stochastic transition models.(2013) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2012 | Survival of Hedge Funds : Frailty vs Contagion In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
2013 | Survival of Hedge Funds: Frailty vs Contagion.(2013) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2014 | Granularity Theory with Applications to Finance and Insurance In: Cambridge Books. [Citation analysis] | book | 0 |
2012 | Nonparametric Instrumental Variable Estimation of Structural Quantile Effects In: Econometrica. [Full Text][Citation analysis] | article | 38 |
2004 | Testing Asset Pricing Model with Coskweness In: Econometric Society 2004 North American Winter Meetings. [Citation analysis] | paper | 0 |
2005 | Robust GMM tests for structural breaks In: Journal of Econometrics. [Full Text][Citation analysis] | article | 13 |
2007 | An efficient nonparametric estimator for models with nonlinear dependence In: Journal of Econometrics. [Full Text][Citation analysis] | article | 5 |
2012 | Tikhonov regularization for nonparametric instrumental variable estimators In: Journal of Econometrics. [Full Text][Citation analysis] | article | 33 |
2013 | Semi-parametric estimation of American option prices In: Journal of Econometrics. [Full Text][Citation analysis] | article | 3 |
2017 | Double instrumental variable estimation of interaction models with big data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
2005 | Migration correlation: Definition and efficient estimation In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 12 |
2000 | On the Informational Content of Changing Risk for Dynamic Asset Allocation In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
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