Patrick Gagliardini : Citation Profile


Are you Patrick Gagliardini?

Universitá della Svizzera Italiana (USI)

11

H index

12

i10 index

273

Citations

RESEARCH PRODUCTION:

20

Articles

28

Papers

2

Books

RESEARCH ACTIVITY:

   17 years (2000 - 2017). See details.
   Cites by year: 16
   Journals where Patrick Gagliardini has often published
   Relations with other researchers
   Recent citing documents: 48.    Total self citations: 7 (2.5 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pga823
   Updated: 2019-10-15    RAS profile: 2018-11-09    
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Relations with other researchers


Works with:

gourieroux, christian (4)

Scaillet, Olivier (4)

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 (31)

gourieroux, christian (8)

Beare, Brendan (7)

Otsu, Taisuke (6)

Guidolin, Massimo (5)

FEVE, Frédérique (5)

Monfort, Alain (5)

Renault, Eric (5)

Urga, Giovanni (5)

Andersen, Torben (5)

Cassese, Gianluca (4)

Cites to:

gourieroux, christian (32)

Jasiak, Joann (17)

Monfort, Alain (12)

Duffie, Darrell (11)

Chen, Xiaohong (10)

Ng, Serena (10)

Bai, Jushan (8)

Hansen, Lars (7)

Ghysels, Eric (7)

darolles, serge (7)

Singleton, Kenneth (6)

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 (2018 and 2017)


YearTitle of citing document
2018Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span. (2018). Andersen, Torben ; Varneskov, Rasmus T ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-03.

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2018The dynamics of factor loadings in the cross-section of returns. (2018). Urga, Giovanni ; Mikkelsen, Jakob ; Hillebrand, Eric ; Borghi, Riccardo. In: CREATES Research Papers. RePEc:aah:create:2018-38.

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2018Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia. (2018). Fan, Jianqing ; Liao, Yuan ; Ke, Yuan. In: Papers. RePEc:arx:papers:1603.07041.

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2018Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models. (2018). Yang, Xiye ; Liao, Yuan. In: Papers. RePEc:arx:papers:1711.04392.

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2018Structural Estimation of Behavioral Heterogeneity. (2018). Shi, Zhentao ; Zheng, Huanhuan. In: Papers. RePEc:arx:papers:1802.03735.

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2019State-Varying Factor Models of Large Dimensions. (2018). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1807.02248.

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2019Factor models with many assets: strong factors, weak factors, and the two-pass procedure. (2018). Anatolyev, Stanislav ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:1807.04094.

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

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2019Penalized Sieve GEL for Weighted Average Derivatives of Nonparametric Quantile IV Regressions. (2019). Powell, James L ; Pouzo, Demian ; Chen, Xiaohong. In: Papers. RePEc:arx:papers:1902.10100.

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2017Variance Premium, Downside Risk and Expected Stock Returns. (2017). Feunou, Bruno ; Tedongap, Romeo ; Aliouchkin, Ricardo Lopez. In: Staff Working Papers. RePEc:bca:bocawp:17-58.

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2019Labor Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects. (2019). Tuzcuoglu, Kerem. In: Staff Working Papers. RePEc:bca:bocawp:19-16.

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2018DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS. (2018). Prigent, Jean-Luc ; Karaa, Adel ; ben Ayed, Myriam. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:3:p:1870-1886.

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2018Dissecting Characteristics Nonparametrically. (2018). Weber, Michael ; Neuhierl, Andreas ; Freyberger, Joachim. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7187.

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2017Composite Indirect Inference with Application. (2017). Monfort, Alain ; gourieroux, christian. In: Working Papers. RePEc:crs:wpaper:2017-07.

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2018Betas V characteristics: Do stock characteristics enhance the investment opportunity set in U.K. stock returns?. (2018). Fletcher, Jonathan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:114-129.

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2019Regime switching panel data models with interactive fixed effects. (2019). GAO, Jiti ; Yan, Yayi ; Cheng, Tingting. In: Economics Letters. RePEc:eee:ecolet:v:177:y:2019:i:c:p:47-51.

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2017Direct instrumental nonparametric estimation of inverse regression functions. (2017). Krief, Jerome M. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:95-107.

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2018Ex-post risk premia estimation and asset pricing tests using large cross sections: The regression-calibration approach. (2018). Kim, Soohun ; Skoulakis, Georgios . In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:159-188.

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2019Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects. (2019). Gagliardini, Patrick ; Gourieroux, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:613-637.

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2019A closed-form estimator for quantile treatment effects with endogeneity. (2019). Wuthrich, Kaspar. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:2:p:219-235.

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2018Composite indirect inference with application to corporate risks. (2018). Gourieroux, C ; Monfort, A. In: Econometrics and Statistics. RePEc:eee:ecosta:v:7:y:2018:i:c:p:30-45.

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2018Incorporating heterogeneity and macroeconomic variables into multi-state delinquency models for credit cards. (2018). Djeundje, Viani Biatat ; Crook, Jonathan. In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:2:p:697-709.

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2018CAPM, components of beta and the cross section of expected returns. (2018). Cenesizoglu, Tolga ; Reeves, Jonathan J. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:223-246.

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2017Hedge fund return, volatility asymmetry, and systemic effects: A higher-moment factor-EGARCH model. (2017). Elyasiani, Elyas ; Mansur, Iqbal. In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:49-65.

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2018Multi-dimensional portfolio risk and its diversification: A note. (2018). Kim, Tae-Hwan ; Bang, Seungbeom . In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:147-156.

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2019Robust consumption and portfolio policies when asset prices can jump. (2019). Ait-Sahalia, Yacine ; Matthys, Felix. In: Journal of Economic Theory. RePEc:eee:jetheo:v:179:y:2019:i:c:p:1-56.

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2018Downside risks and the cross-section of asset returns. (2018). Farago, Adam ; Tedongap, Romeo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:1:p:69-86.

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2018Non-myopic betas. (2018). Vilkov, Grigory ; Malamud, Semyon. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:2:p:357-381.

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2018Risk contagion under regular variation and asymptotic tail independence. (2018). Das, Bikramjit ; Fasen-Hartmann, Vicky. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:165:y:2018:i:c:p:194-215.

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2018Anomalies and market (dis)integration. (2018). Choi, Jae Won ; Kim, Yong Jun. In: Journal of Monetary Economics. RePEc:eee:moneco:v:100:y:2018:i:c:p:16-34.

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2019Dynamic supply adjustment and banking under uncertainty in an Emission Trading Scheme: the Market Stability Reserve. (2019). Taschini, Luca ; Kollenberg, Sascha . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:100857.

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2018Nonparametric instrumental regression with errors in variables. (2018). Otsu, Taisuke ; Adusumilli, Karun. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:85871.

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2019The 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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2019Developing a Risk-Based Approach for American Basket Option Pricing. (2019). Hajizadeh, Ehsan ; Mahootchi, Masoud. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:4:d:10.1007_s10614-018-9826-5.

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2019Semi-strong factors in asset returns. (2019). Korajczyk, Robert A ; Connor, Gregory . In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n294-19.pdf.

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2018Bootstrapping factor models with cross sectional dependence. (2018). Gonalves, Silvia ; Perron, Benoit. In: Cahiers de recherche. RePEc:mtl:montde:2018-07.

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2018Bootstrapping Factor Models With Cross Sectional Dependence. (2018). Gonalves, Silvia ; Perron, Benoit. In: Cahiers de recherche. RePEc:mtl:montec:10-2018.

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2017Inference on Risk Premia in the Presence of Omitted Factors. (2017). Giglio, Stefano ; Xiu, Dacheng. In: NBER Working Papers. RePEc:nbr:nberwo:23527.

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2019State-dependent size and value premium: evidence from a regime-switching asset pricing model. (2019). Piqueira, Natalia ; Li, Bingxin. In: Journal of Asset Management. RePEc:pal:assmgt:v:20:y:2019:i:3:d:10.1057_s41260-019-00113-9.

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2018Higher co-moments and asset pricing on emerging stock markets by quantile regression approach. (2018). Luu, Toan Huynh ; Nguyen, Sang Phu. In: Business and Economic Horizons (BEH). RePEc:pdc:jrnbeh:v:14:y:2018:i:1:p:132-142.

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2017On the effects of static and autoregressive conditional higher order moments on dynamic optimal hedging. (2017). Hou, Yang ; Holmes, Mark. In: MPRA Paper. RePEc:pra:mprapa:82000.

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2019Hierarchical Time Varying Estimation of a Multi Factor Asset Pricing Model. (2019). Baillie, Richard T ; Kapetanios, George ; Calonaci, Fabio. In: Working Papers. RePEc:qmw:qmwecw:879.

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2017Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas. (2017). Yang, Xiye ; Liao, Yuan. In: Departmental Working Papers. RePEc:rut:rutres:201711.

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2018Essays on model uncertainty in financial models. (2018). Li, Jing. In: Other publications TiSEM. RePEc:tiu:tiutis:202cd910-7ef1-4db4-94ae-de174ab85dc2.

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2017Essays on robust asset pricing. (2017). Horvath, Ferenc. In: Other publications TiSEM. RePEc:tiu:tiutis:e54d7b33-1f27-4b0e-9f84-f96636a04c1e.

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2017Distribution of residuals in the nonparametric IV model with application to separability testing. (2017). Babii, Andrii ; FLORENS, Jean-Pierre. In: TSE Working Papers. RePEc:tse:wpaper:31686.

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2017Honest confidence sets in nonparametric IV regression and other ill-posed models. (2017). Babii, Andrii . In: TSE Working Papers. RePEc:tse:wpaper:31687.

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2018Structural estimation of behavioral heterogeneity. (2018). Zheng, Huanhuan ; Shi, Zhentao. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:33:y:2018:i:5:p:690-707.

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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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article4
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: 4
paper
2017A diagnostic criterion for approximate factor structure In: Papers.
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paper1
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: 1
paper
2004Testing Asset Pricing Models With Coskewness In: Journal of Business & Economic Statistics.
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article32
2008Duration time-series models with proportional hazard In: Journal of Time Series Analysis.
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article12
2002Duration Time Series Models with Proportional Hazard.(2002) In: Working Papers.
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This paper has another version. Agregated cites: 12
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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paper24
2009Ambiguity Aversion and the Term Structure of Interest Rates.(2009) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 24
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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This paper has another version. Agregated cites: 24
paper
2009Efficiency in Large Dynamic Panel Models with Common Factor In: Swiss Finance Institute Research Paper Series.
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paper10
2010Efficiency in Large Dynamic Panel Models with Common Factor.(2010) In: Working Papers.
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paper
2014EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS.(2014) In: Econometric Theory.
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article
2010Efficient Derivative Pricing By The Extended Method of Moments In: Swiss Finance Institute Research Paper Series.
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paper16
2011Efficient Derivative Pricing by the Extended Method of Moments.(2011) In: Econometrica.
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article
2010Microinformation, Nonlinear Filtering and Granularity In: Swiss Finance Institute Research Paper Series.
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paper1
2010Microinformation, Nonlinear Filtering, and Granularity.(2010) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 1
article
2011Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets In: Swiss Finance Institute Research Paper Series.
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paper31
2011Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets.(2011) In: Swiss Finance Institute Research Paper Series.
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This paper has another version. Agregated cites: 31
paper
2016Is Industrial Production Still the Dominant Factor for the US Economy? In: Swiss Finance Institute Research Paper Series.
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paper1
2017Is Industrial Production Still the Dominant Factor for the US Economy?.(2017) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 1
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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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paper0
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: 0
article
2002Constrained Nonparametric Copulas In: Working Papers.
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paper2
2004Efficient Derivative Pricing by Extended Method of Moments In: Working Papers.
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paper3
2005Efficient Derivative Pricing by Extended Method of Moments.(2005) In: Working Papers.
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This paper has another version. Agregated cites: 3
paper
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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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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This paper has another version. Agregated cites: 15
article
2010Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk In: Working Papers.
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paper6
2011Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk.(2011) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 6
article
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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paper0
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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book0
2014Granularity Theory with Applications to Finance and Insurance.(2014) In: Cambridge Books.
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book
2012Nonparametric Instrumental Variable Estimation of Structural Quantile Effects In: Econometrica.
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article27
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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article13
2007An efficient nonparametric estimator for models with nonlinear dependence In: Journal of Econometrics.
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article6
2012Tikhonov regularization for nonparametric instrumental variable estimators In: Journal of Econometrics.
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article23
2013Semi-parametric estimation of American option prices In: Journal of Econometrics.
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article1
2017Double instrumental variable estimation of interaction models with big data In: Journal of Econometrics.
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article0
2005Migration correlation: Definition and efficient estimation In: Journal of Banking & Finance.
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article11
2000On the Informational Content of Changing Risk for Dynamic Asset Allocation In: FAME Research Paper Series.
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paper0
2016Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets In: Econometrica.
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article19

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