Cesare Robotti : Citation Profile


Are you Cesare Robotti?

Federal Reserve Bank of Atlanta

8

H index

7

i10 index

293

Citations

RESEARCH PRODUCTION:

6

Articles

21

Papers

RESEARCH ACTIVITY:

   18 years (1999 - 2017). See details.
   Cites by year: 16
   Journals where Cesare Robotti has often published
   Relations with other researchers
   Recent citing documents: 63.    Total self citations: 14 (4.56 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pro442
   Updated: 2020-07-04    RAS profile: 2009-04-12    
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Relations with other researchers


Works with:

Gospodinov, Nikolay (4)

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

Is cited by:

Gospodinov, Nikolay (20)

Marmer, Vadim (10)

Giglio, Stefano (9)

Shanken, Jay (8)

Hammami, Yacine (8)

Otsu, Taisuke (7)

Li, Youwei (6)

He, Xuezhong (6)

Crump, Richard (6)

Balduzzi, Pierluigi (5)

Sentana, Enrique (5)

Cites to:

Hansen, Lars (32)

Jagannathan, Ravi (30)

Shanken, Jay (26)

Harvey, Campbell (17)

Campbell, John (16)

Ferson, Wayne (16)

Zhou, Guofu (11)

Fama, Eugene (11)

Wang, Zhenyu (10)

French, Kenneth (9)

Ludvigson, Sydney (8)

Main data


Where Cesare Robotti has published?


Journals with more than one article published# docs
Economic Review3

Working Papers Series with more than one paper published# docs
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta20

Recent works citing Cesare Robotti (2018 and 2017)


YearTitle of citing document
2017A diagnostic criterion for approximate factor structure. (2017). Scaillet, Olivier ; Gagliardini, Patrick ; Ossola, Elisa . In: Papers. RePEc:arx:papers:1612.04990.

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

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2019Characteristic-Sorted Portfolios: Estimation and Inference. (2019). Crump, Richard ; Cattaneo, Matias ; Schaumburg, Ernst ; Farrell, Max H. In: Papers. RePEc:arx:papers:1809.03584.

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2018Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment. (2018). Hansen, Erwin ; Guidolin, Massimo ; Lozano-Banda, Martin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1885.

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2018Monetary policy uncertainty, positions of traders and changes in commodity futures prices. (2018). Gospodinov, Nikolay ; Jamali, Ibrahim. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:2:p:239-260.

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2017Asset Pricing Model Uncertainty: A Tradeoff between Bias and Variance. (2017). Tian, Weidong ; Zhou, Qing. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:2:p:289-324.

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2017Fat tails and spurious estimation of consumption-based asset pricing models. (2017). Toda, Alexis Akira ; Walsh, Kieran James. In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt8df3x7gw.

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2017Dissecting Characteristics Nonparametrically. (2017). Weber, Michael ; Neuhierl, Andreas ; Freyberger, Joachim. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6391.

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2019The Role of Factor Strength and Pricing Errors for Estimation and Inference in Asset Pricing Models. (2019). Smith, Ronald ; Pesaran, M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7919.

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2017The Macroeconomic Shock with the Highest Price of Risk. (2017). Pinter, Gabor. In: Discussion Papers. RePEc:cfm:wpaper:1623.

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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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2017Empirical Evaluation of Overspecified Asset Pricing Models. (2017). Sentana, Enrique ; Pearanda, Francisco ; Manresa, Elena. In: Working Papers. RePEc:cmf:wpaper:wp2017_1711.

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2017Empirical Evaluation of Overspecified Asset Pricing Models. (2017). Sentana, Enrique ; Pearanda, Francisco ; Manresa, Elena. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12085.

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2018The Lost Capital Asset Pricing Model. (2018). Andrei, Daniel ; Wilson, Mungo ; Cujean, Julien. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12607.

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2019Hedging Climate Change News. (2019). Engle, Robert ; Strobel, Johannes ; Lee, Heebum ; Kelly, Bryan ; Giglio, Stefano W. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13730.

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2018Revisiting the momentum factor in the U.K. stock market. (2018). Mohammad, . In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00110.

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2017Asset prices and economic fluctuations: The implications of stochastic volatility. (2017). Chen, Junping ; Zhu, Xiaoneng ; Xiong, Xiong. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:128-140.

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2019Which is the best: A comparison of asset pricing factor models in Chinese mutual fund industry. (2019). Gao, Ran ; Sha, Yezhou. In: Economic Modelling. RePEc:eee:ecmode:v:83:y:2019:i:c:p:8-16.

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2017Firm size, economic risks, and the cross-section of international stock returns. (2017). Nitschka, Thomas ; Atanasov, Victoria . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:110-126.

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2019Complex analytic wavelets in the measurement of macroeconomic risks. (2019). Bruzda, Joanna. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818302493.

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2020A much robust and updated evidences of the alternative real-estate based asset pricing. (2020). Shi, QI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818303978.

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2018Revisiting Pastor–Stambaugh liquidity factor. (2018). Mohammad, . In: Economics Letters. RePEc:eee:ecolet:v:163:y:2018:i:c:p:190-192.

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2019Expected profitability and the cross-section of stock returns. (2019). Lin, XI. In: Economics Letters. RePEc:eee:ecolet:v:183:y:2019:i:c:4.

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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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2019Bayesian inference for partially identified smooth convex models. (2019). Simoni, Anna ; Liao, Yuan. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:2:p:338-360.

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2019A diagnostic criterion for approximate factor structure. (2019). Scaillet, Olivier ; Ossola, Elisa ; Gagliardini, Patrick. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:503-521.

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2017Business-cycle variation in macroeconomic uncertainty and the cross-section of expected returns: Evidence for scale-dependent risks. (2017). Xyngis, Georgios. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:43-65.

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2018A labor news hedge portfolio and the cross-section of expected stock returns. (2018). Stotz, Olaf. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:123-139.

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2018Bayesian tests of global factor models. (2018). Fletcher, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:279-289.

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2019Asset pricing model uncertainty. (2019). Borup, Daniel. In: Journal of Empirical Finance. RePEc:eee:empfin:v:54:y:2019:i:c:p:166-189.

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2018A conditional regime switching CAPM. (2018). Vendrame, Vasco ; Tucker, Jon ; Guermat, Cherif. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:1-11.

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2019Model comparison tests of linear factor models in U.K. stock returns. (2019). Fletcher, Jonathan. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:281-291.

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2019Evaluating alternative methods of asset pricing based on the overall magnitude of pricing errors. (2019). Li, Bin ; Shi, QI. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:125-128.

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2019Tail risk and the consumption CAPM. (2019). Ho, JI. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:69-75.

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2020Asset pricing with long-run durable expenditure risk. (2020). Li, Huan. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318306597.

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2018Common information in carry trade risk factors. (2018). Sakemoto, Ryuta ; Byrne, Joseph ; Ibrahim, Boulis Maher. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:37-47.

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2020Curve momentum. (2020). Prokopczuk, Marcel ; Simen, Chardin Wese ; Paschke, Raphael . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:113:y:2020:i:c:s0378426619302912.

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2017The joint cross-sectional variation of equity returns and volatilities. (2017). Gonzalez-Urteaga, Ana ; Rubio, Gonzalo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:75:y:2017:i:c:p:17-34.

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2018Economic activity and momentum profits: Further evidence. (2018). Maio, Paulo ; Philip, Dennis. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:466-482.

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2018The cross-section of expected stock returns in the property/liability insurance industry. (2018). ben Ammar, Semir ; Milidonis, Andreas ; Eling, Martin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:292-321.

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2019Too good to be true? Fallacies in evaluating risk factor models. (2019). Gospodinov, Nikolay ; Robotti, Cesare ; Kan, Raymond. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:2:p:451-471.

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2019A large-scale approach for evaluating asset pricing models. (2019). Barras, Laurent. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:3:p:549-569.

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2020Measuring skewness premia. (2020). Langlois, Hugues. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:2:p:399-424.

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2020European equity markets: Who is the truly representative investor?. (2020). Pozo, Ricardo Ferrero ; Alonso, Ana Belen ; Suarez, Javier Rojo. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:75:y:2020:i:c:p:325-346.

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2018Financial liberalization and cross-border market integration: Evidence from Chinas stock market. (2018). Yao, Shujie ; Ou, Jinghua ; Chen, Shou. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:220-245.

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2020The fair value of a token: How do markets price cryptocurrencies?. (2020). Guo, Yike ; Nadler, Philip. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919300601.

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2020The forecasting ability of solar and space weather data on NASDAQ’s finance sector price index volatility. (2020). Michaelides, Panayotis ; Konstantakis, Konstantinos ; Daglis, Theodoros ; Papadakis, Theodoulos Eleftherios. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919307639.

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2017General Aggregation of Misspecified Asset Pricing Models. (2017). Maasoumi, Esfandiar ; Gospodinov, Nikolay. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2017-10.

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2017A Robust Approach to Hedging and Pricing in Imperfect Markets. (2017). Gospodinov, Nikolay ; Assa, Hirbod. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:3:p:36-:d:105112.

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2019ASSET PRICING MODEL ESTIMATION ERRORS DURING RATIONAL AND IRRATIONAL INVESTOR BEHAVIOR PERIODS. (2019). Muchnick, Marc ; Marsh, Michael G. In: The International Journal of Business and Finance Research. RePEc:ibf:ijbfre:v:13:y:2019:i:2:p:45-69.

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2018Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment. (2018). Hansen, Erwin ; Guidolin, Massimo ; Lozano-Banda, Martin. In: Working Papers. RePEc:igi:igierp:627.

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2018Portfolio Selection using New Factors based on Firm Characteristics. (2018). Suh, Sangwon. In: Journal of Economic Development. RePEc:jed:journl:v:43:y:2018:i:1:p:77-99.

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2017Presidential Election and Portfolio Selections in the Nigeria Stock Exchange. (2017). Osamwonyi, Ifuero Osad ; Omorokunwa, Osazee G. In: International Journal of Financial Research. RePEc:jfr:ijfr11:v:8:y:2017:i:4:p:184-195.

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2019Asset Pricing Test Using Alternative Sets of Portfolios: Evidence from India. (2019). Das, Sudipta . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:26:y:2019:i:3:d:10.1007_s10690-018-09268-8.

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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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2017Dissecting Characteristics Nonparametrically. (2017). Weber, Michael ; Freyberger, Joachim ; Neuhierl, Andreas. In: NBER Working Papers. RePEc:nbr:nberwo:23227.

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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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2019Hedging Climate Change News. (2019). Giglio, Stefano ; Engle, Robert ; Lee, Heebum ; Kelly, Bryan T ; Stroebel, Johannes. In: NBER Working Papers. RePEc:nbr:nberwo:25734.

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2020Fear of Hazards in Commodity Futures Markets. (2020). Miffre, Joelle ; Gonzalez-Fernandez, Marcos ; Fuertes, Ana-Maria ; Fernandez-Perez, Adrian. In: MPRA Paper. RePEc:pra:mprapa:100528.

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

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2019News Shocks and Asset Prices. (2019). Malkhozov, Aytek ; Tamoni, Andrea ; Bretscher, Lorenzo. In: 2019 Meeting Papers. RePEc:red:sed019:100.

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2018The Pricing of Liquidity Risk in Buyout Funds – A Public Market Perspective. (2018). Huss, Matthias ; Zimmermann, Heinz. In: Schmalenbach Business Review. RePEc:spr:schmbr:v:70:y:2018:i:3:d:10.1007_s41464-018-0050-6.

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2018Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models. (2018). Gospodinov, Nikolay ; Robotti, Cesare ; Kan, Raymond. In: Econometric Reviews. RePEc:taf:emetrv:v:37:y:2018:i:7:p:695-718.

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Works by Cesare Robotti:


YearTitleTypeCited
2008Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models In: Journal of Business & Economic Statistics.
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article24
2005Mimicking portfolios, economic risk premia, and tests of multi-beta models.(2005) In: FRB Atlanta Working Paper.
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This paper has another version. Agregated cites: 24
paper
2008Specification tests of asset pricing models using excess returns In: Journal of Empirical Finance.
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article28
2006Specification tests of asset pricing models using excess returns.(2006) In: FRB Atlanta Working Paper.
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This paper has another version. Agregated cites: 28
paper
2002Asset returns and economic risk In: Economic Review.
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article3
2004The news in financial asset returns In: Economic Review.
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article1
2007Financial market frictions In: Economic Review.
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article2
2001Minimum-variance kernels, economic risk premia, and tests of multi-beta models In: FRB Atlanta Working Paper.
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paper4
2001The price of inflation and foreign exchange risk in international equity markets In: FRB Atlanta Working Paper.
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paper0
2003Playing the field: Geomagnetic storms and international stock markets In: FRB Atlanta Working Paper.
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paper17
2003Dynamic strategies, asset pricing models, and the out-of-sample performance of the tangency portfolio In: FRB Atlanta Working Paper.
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paper0
2005Asset-pricing models and economic risk premia: a decomposition In: FRB Atlanta Working Paper.
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paper4
2007Model comparison using the Hansen-Jagannathan distance In: FRB Atlanta Working Paper.
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paper45
2009Model Comparison Using the Hansen-Jagannathan Distance.(2009) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 45
article
2008The exact distribution of the Hansen-Jagannathan bound In: FRB Atlanta Working Paper.
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paper2
2009Pricing model performance and the two-pass cross-sectional regression methodology In: FRB Atlanta Working Paper.
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2009A note on the estimation of asset pricing models using simple regression betas In: FRB Atlanta Working Paper.
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paper1
2010On the Hansen-Jagannathan distance with a no-arbitrage constraint In: FRB Atlanta Working Paper.
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paper8
2010Further results on the limiting distribution of GMM sample moment conditions In: FRB Atlanta Working Paper.
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2011Chi-squared tests for evaluation and comparison of asset pricing models In: FRB Atlanta Working Paper.
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paper16
2012Robust inference in linear asset pricing models In: FRB Atlanta Working Paper.
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paper0
2012Analytical solution for the constrained Hansen-Jagannathan distance under multivariate ellipticity In: FRB Atlanta Working Paper.
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paper0
2013Misspecification-robust inference in linear asset pricing models with irrelevant risk factors In: FRB Atlanta Working Paper.
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2014Spurious Inference in Unidentified Asset-Pricing Models In: FRB Atlanta Working Paper.
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paper9
2015Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models In: FRB Atlanta Working Paper.
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paper1
2017Too Good to Be True? Fallacies in Evaluating Risk Factor Models In: FRB Atlanta Working Paper.
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paper0
1999Minimum-Variance Kernels and Economic Risk Premia In: Computing in Economics and Finance 1999.
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paper3

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