Patrick Gagliardini : Citation Profile


Are you Patrick Gagliardini?

Universitá della Svizzera Italiana (USI)

11

H index

12

i10 index

352

Citations

RESEARCH PRODUCTION:

20

Articles

28

Papers

1

Books

RESEARCH ACTIVITY:

   17 years (2000 - 2017). See details.
   Cites by year: 20
   Journals where Patrick Gagliardini has often published
   Relations with other researchers
   Recent citing documents: 61.    Total self citations: 7 (1.95 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pga823
   Updated: 2022-01-23    RAS profile: 2018-11-09    
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Relations with other researchers


Works with:

Scaillet, Olivier (4)

Ossola, Elisa (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Patrick Gagliardini.

Is cited by:

Chen, Xiaohong (32)

Ossola, Elisa (9)

gourieroux, christian (8)

Andersen, Torben (8)

Wüthrich, Kaspar (7)

Monfort, Alain (7)

Beare, Brendan (7)

Jasiak, Joann (6)

Otsu, Taisuke (6)

Guidolin, Massimo (5)

FEVE, Frédérique (5)

Cites to:

gourieroux, christian (30)

Jasiak, Joann (17)

Monfort, Alain (12)

Duffie, Darrell (11)

Chen, Xiaohong (10)

Ng, Serena (10)

Bai, Jushan (8)

Ghysels, Eric (7)

Hansen, Lars (7)

Singleton, Kenneth (6)

Forni, Mario (5)

Main data


Where Patrick Gagliardini has published?


Journals with more than one article published# docs
Journal of Econometrics5
Journal of Financial Econometrics4
Econometrica2

Working Papers Series with more than one paper published# docs
Swiss Finance Institute Research Paper Series / Swiss Finance Institute12
Working Papers / Center for Research in Economics and Statistics9

Recent works citing Patrick Gagliardini (2021 and 2020)


YearTitle of citing document
2020State-Varying Factor Models of Large Dimensions. (2019). Xiong, Ruoxuan ; Pelger, Markus. In: Papers. RePEc:arx:papers:1807.02248.

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2021The Incidental Parameters Problem in Testing for Remaining Cross-section Correlation. (2018). Reese, Simon ; Juodis, Arturas. In: Papers. RePEc:arx:papers:1810.03715.

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2020Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference. (2019). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1910.08273.

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2020High-dimensional mixed-frequency IV regression. (2020). Babii, Andrii. In: Papers. RePEc:arx:papers:2003.13478.

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2020Inference in Unbalanced Panel Data Models with Interactive Fixed Effects. (2020). Stammann, Amrei ; Czarnowske, Daniel. In: Papers. RePEc:arx:papers:2004.03414.

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2020Instrumental Variable Quantile Regression. (2020). Wuthrich, Kaspar ; Hansen, Christian ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:2009.00436.

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2020Recent Developments on Factor Models and its Applications in Econometric Learning. (2020). Fan, Jianqing ; Liao, Yuan. In: Papers. RePEc:arx:papers:2009.10103.

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2021Identification of multi-valued treatment effects with unobserved heterogeneity. (2020). Fusejima, Koki. In: Papers. RePEc:arx:papers:2010.04385.

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2021Bridging factor and sparse models. (2021). Medeiros, Marcelo C ; Masini, Ricardo ; Fan, Jianqing. In: Papers. RePEc:arx:papers:2102.11341.

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2021Inference 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.

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2021Inference for Low-Rank Models. (2021). Zhu, Yinchu ; Liao, Yuan ; Hansen, Christian ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:2107.02602.

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2021Composite Likelihood for Stochastic Migration Model with Unobserved Factor. (2021). Djogbenou, Antoine ; Gouri, Christian ; Bandehali, Maygol ; Jasiak, Joann. In: Papers. RePEc:arx:papers:2109.09043.

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2021Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567.

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2020Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields. (2020). Zhao, Guihai. In: Staff Working Papers. RePEc:bca:bocawp:20-14.

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2021Volatility 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.

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2020Robust Identification of Investor Beliefs. (2020). Hansen, Peter G ; Chen, Xiaohong. In: Working Papers. RePEc:bfi:wpaper:2020-69.

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2020Taming 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.

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2020A 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.

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2020Arbitrage 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.

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2020Robust Identification of Investor Beliefs. (2020). Hansen, Peter G ; Chen, Xiaohong. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2236.

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2020Mixed 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.

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2021Robust 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.

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2020Assessment 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.

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2020The 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.

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2020Incorporating 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.

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2020Bootstrapping 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.

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2020Inference 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.

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2020Score 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.

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2021Optimal 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.

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2021Autoencoder 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.

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2021Solving 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.

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2021Nonparametric 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.

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2021A 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.

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2021Modeling 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.

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2021Improved 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.

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2021The 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.

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2020Sovereign 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.

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2021What 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.

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2021Who 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.

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2021The 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.

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2021Factors 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.

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2020Risk, 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.

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2021Trade 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.

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2020A 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.

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2020Governance 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.

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2020What 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.

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2020Factor and factor loading augmented estimators for panel regression. (2020). Gautier, Eric ; Beyhum, Jad. In: Working Papers. RePEc:hal:wpaper:hal-02957008.

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2021Rating transitions forecasting: a filtering approach. (2021). Lelong, Jerome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Working Papers. RePEc:hal:wpaper:hal-03347521.

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2020The Greenium matters: evidence on the pricing of climate risk. (2019). Panzica, Roberto ; Ossola, Elisa ; Alessi, Lucia. In: Working Papers. RePEc:jrs:wpaper:201912.

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2020Financial integration in the EU28 equity markets: measures and drivers. (2020). Papanagiotou, Evangalia ; Ossola, Elisa ; Nardo, Michela. In: Working Papers. RePEc:jrs:wpaper:202009.

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2021A 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.

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2020The Greenium matters: evidence on the pricing of climate risk. (2019). Roberto, Panzica ; Elisa, Ossola ; Lucia, Alessi. In: Working Papers. RePEc:mib:wpaper:418.

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2020Arbitrage 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.

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2020Robust Identification of Investor Beliefs. (2020). Hansen, Lars ; Chen, Xiaohong. In: NBER Working Papers. RePEc:nbr:nberwo:27257.

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2020The Conditional Risk and Return Trade-Off on Currency Portfolios. (2020). Sakemoto, Ryuta ; Byrne, Joseph ; Joseph, Byrne. In: MPRA Paper. RePEc:pra:mprapa:99497.

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2020Trade Policy Uncertainty and Stock Returns. (2020). Esposito, Federico ; Sammon, Marco ; Bianconi, Marcelo. In: MPRA Paper. RePEc:pra:mprapa:99874.

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2021Non-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.

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2021Time-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.

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2020Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models. (2020). Umlandt, Dennis. In: Working Paper Series. RePEc:trr:qfrawp:202006.

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2021A 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.

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2020Trade 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.

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Works by Patrick Gagliardini:


YearTitleTypeCited
2017A Specification Test for Nonparametric Instrumental Variable Regression In: Annals of Economics and Statistics.
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article5
2007A Specification Test For Nonparametric Instrumental Variable Regression.(2007) In: Swiss Finance Institute Research Paper Series.
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This paper has another version. Agregated cites: 5
paper
2017A diagnostic criterion for approximate factor structure In: Papers.
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paper12
2016A Diagnostic Criterion for Approximate Factor Structure.(2016) In: Swiss Finance Institute Research Paper Series.
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This paper has another version. Agregated cites: 12
paper
2004Testing Asset Pricing Models With Coskewness In: Journal of Business & Economic Statistics.
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article36
2008Duration time?series models with proportional hazard In: Journal of Time Series Analysis.
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article11
2002Duration Time Series Models with Proportional Hazard.(2002) In: Working Papers.
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This paper has another version. Agregated cites: 11
paper
2007Challenges in the teaching of econometrics : the lesson of Pietro Balestra In: Revue d'économie politique.
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article0
2006Tikhonov Regularization for Functional Minimum Distance Estimators In: Swiss Finance Institute Research Paper Series.
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paper6
2009Nonparametric Instrumental Variable Estimators of Structural Quantile Effects In: Swiss Finance Institute Research Paper Series.
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paper7
2008Ambiguity Aversion and the Term Structure of Interest Rates In: Swiss Finance Institute Research Paper Series.
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paper31
2009Ambiguity Aversion and the Term Structure of Interest Rates.(2009) In: Review of Financial Studies.
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article
2007Ambiguity Aversion and the Term Structure of Interest Rates.(2007) In: University of St. Gallen Department of Economics working paper series 2007.
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paper
2009Efficiency in Large Dynamic Panel Models with Common Factor In: Swiss Finance Institute Research Paper Series.
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paper13
2010Efficiency in Large Dynamic Panel Models with Common Factor.(2010) In: Working Papers.
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2014EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS.(2014) In: Econometric Theory.
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2010Efficient Derivative Pricing By The Extended Method of Moments In: Swiss Finance Institute Research Paper Series.
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paper34
2004Efficient Derivative Pricing by Extended Method of Moments.(2004) In: Working Papers.
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2005Efficient Derivative Pricing by Extended Method of Moments.(2005) In: Working Papers.
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2011Efficient Derivative Pricing by the Extended Method of Moments.(2011) In: Econometrica.
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article
2005Efficient Derivative Pricing by Extended Method of Moments.(2005) In: University of St. Gallen Department of Economics working paper series 2005.
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2010Microinformation, Nonlinear Filtering and Granularity In: Swiss Finance Institute Research Paper Series.
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2010Microinformation, Nonlinear Filtering, and Granularity.(2010) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 1
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2011Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets In: Swiss Finance Institute Research Paper Series.
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paper60
2011Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets.(2011) In: Swiss Finance Institute Research Paper Series.
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2016Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets.(2016) In: Econometrica.
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This paper has another version. Agregated cites: 60
article
2016Is Industrial Production Still the Dominant Factor for the US Economy? In: Swiss Finance Institute Research Paper Series.
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2017Is Industrial Production Still the Dominant Factor for the US Economy?.(2017) In: CEPR Discussion Papers.
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2016Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models Using MIDAS Regressions and ARCH Models In: Swiss Finance Institute Research Paper Series.
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2017Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models using MIDAS Regressions and ARCH Models.(2017) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 3
article
2002Constrained Nonparametric Copulas In: Working Papers.
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2004Stochastic Migration Models with Application to Corporate Risk In: Working Papers.
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2005Stochastic Migration Models with Application to Corporate Risk.(2005) In: Journal of Financial Econometrics.
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2010Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk In: Working Papers.
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2011Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk.(2011) In: Journal of Financial Econometrics.
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2012Correlated Risks vs Contagion in Stochastic Transition Models In: Working Papers.
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2013Correlated risks vs contagion in stochastic transition models.(2013) In: Journal of Economic Dynamics and Control.
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2012Survival of Hedge Funds : Frailty vs Contagion In: Working Papers.
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2013Survival of Hedge Funds: Frailty vs Contagion.(2013) In: Post-Print.
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2014Granularity Theory with Applications to Finance and Insurance In: Cambridge Books.
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2012Nonparametric Instrumental Variable Estimation of Structural Quantile Effects In: Econometrica.
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article34
2004Testing Asset Pricing Model with Coskweness In: Econometric Society 2004 North American Winter Meetings.
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paper0
2005Robust GMM tests for structural breaks In: Journal of Econometrics.
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article12
2007An efficient nonparametric estimator for models with nonlinear dependence In: Journal of Econometrics.
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article5
2012Tikhonov regularization for nonparametric instrumental variable estimators In: Journal of Econometrics.
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article30
2013Semi-parametric estimation of American option prices In: Journal of Econometrics.
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article3
2017Double instrumental variable estimation of interaction models with big data In: Journal of Econometrics.
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article1
2005Migration correlation: Definition and efficient estimation In: Journal of Banking & Finance.
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article12
2000On the Informational Content of Changing Risk for Dynamic Asset Allocation In: FAME Research Paper Series.
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paper0

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