Cesare Robotti : Citation Profile

Are you Cesare Robotti?

Federal Reserve Bank of Atlanta

9

H index

9

i10 index

445

Citations

RESEARCH PRODUCTION:

6

Articles

21

Papers

RESEARCH ACTIVITY:

   18 years (1999 - 2017). See details.
   Cites by year: 24
   Journals where Cesare Robotti has often published
   Relations with other researchers
   Recent citing documents: 41.    Total self citations: 14 (3.05 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pro442
   Updated: 2023-03-25    RAS profile: 2009-04-12    
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Relations with other researchers

Works with:

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 (34)

Marmer, Vadim (10)

Hammami, Yacine (9)

Giglio, Stefano (9)

Antoine, Bertille (8)

Scaillet, Olivier (8)

Shanken, Jay (8)

Xiu, Dacheng (7)

Otsu, Taisuke (7)

Ossola, Elisa (6)

Sentana, Enrique (6)

Cites to:

Hansen, Lars (35)

Jagannathan, Ravi (35)

Shanken, Jay (28)

Harvey, Campbell (18)

Ferson, Wayne (17)

Campbell, John (17)

Wang, Zhenyu (12)

Zhou, Guofu (12)

Fama, Eugene (12)

French, Kenneth (10)

Ludvigson, Sydney (10)

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 (2022 and 2021)

YearTitle of citing document
2021Uncertainty Network Risk and Currency Returns. (2021). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2101.09738.

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2021Double robust inference for continuous updating GMM. (2021). Zhan, Zhaoguo ; Kleibergen, Frank. In: Papers. RePEc:arx:papers:2105.08345.

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2022Misspecification and Weak Identification in Asset Pricing. (2022). Zhan, Zhaoguo ; Kleibergen, Frank. In: Papers. RePEc:arx:papers:2206.13600.

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2022A penalized two-pass regression to predict stock returns with time-varying risk premia. (2022). Scaillet, Olivier ; Guerrier, St'Ephane ; Bakalli, Gaetan. In: Papers. RePEc:arx:papers:2208.00972.

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2022Eigenvalue tests for the number of latent factors in short panels. (2022). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2210.16042.

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2021Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia in portfolios. (2021). Pesaran, M ; Smith, Run. In: BCAM Working Papers. RePEc:bbk:bbkcam:2108.

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2021A nonrandom walk down Hollywood boulevard: Celebrity deaths and investor sentiment. (2021). Lepori, Gabriele M. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:3:p:591-613.

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2022Misspecified semiparametric model selection with weakly dependent observations. (2022). Bravo, Francesco. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:4:p:558-586.

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2021Uncertainty Network Risk and Currency Returns. (2021). Barunik, Jozef ; Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp687.

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2021Factor Strengths, Pricing Errors, and Estimation of Risk Premia. (2021). Smith, Ronald ; Pesaran, M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8947.

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2021Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios. (2021). Smith, Ron P ; Pesaran, Hashem M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9001.

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2021National air pollution and the cross-section of stock returns in China. (2021). Zhang, Jin E ; Ruan, Xinfeng ; Gehricke, Sebastian A ; Kirk-Reeve, Samuel. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001167.

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2021Further tests of asset pricing models: Liquidity risk matters. (2021). Liu, Weimin ; Zhang, Xindong ; Ma, Xiuli. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:255-273.

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2021Cross-sectional tests of asset pricing models with full-rank mimicking portfolios. (2021). Kim, Jin Yong ; Lee, Jeong Hwan ; Ho, Kun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000802.

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2021Generalized aggregation of misspecified models: With an application to asset pricing. (2021). Maasoumi, Esfandiar ; Gospodinov, Nikolay. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:451-467.

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2021Robust estimation with exponentially tilted Hellinger distance. (2021). Antoine, Bertille ; Dovonon, Prosper. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:2:p:330-344.

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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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2022New evidence on Bayesian tests of global factor pricing models. (2022). , Keith ; Wang, Yan ; Qiao, Zhuo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:68:y:2022:i:c:p:160-172.

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2022Economic evaluation of asset pricing models under predictability. (2022). Hansen, Erwin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:68:y:2022:i:c:p:50-66.

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2022The reduced-rank beta in linear stochastic discount factor models. (2022). Zhang, Zhekai ; Sun, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922003714.

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2022Which uncertainty measures matter for the cross-section of corporate bond returns? Evidence from the U.S. during 1973–2020. (2022). Lee, Kiryoung. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001842.

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2022Asset pricing with data revisions. (2022). Montes, Erik Christian ; Borup, Daniel. In: Journal of Financial Markets. RePEc:eee:finmar:v:59:y:2022:i:pb:s1386418121000021.

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2021Liquidity and short-run predictability: Evidence from international stock markets. (2021). Newaz, Mohammad Khaleq ; Park, Jin Suk. In: Global Finance Journal. RePEc:eee:glofin:v:50:y:2021:i:c:s1044028321000715.

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2022Understanding idiosyncratic momentum in the Chinese stock market. (2022). Lin, QI. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:76:y:2022:i:c:s104244312100175x.

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2021The q5 model and its consistency with the intertemporal CAPM. (2021). Lin, QI. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:127:y:2021:i:c:s0378426621000546.

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2022Chasing the ESG factor. (2022). Tarelli, Andrea ; Lioui, Abraham. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:139:y:2022:i:c:s0378426622000929.

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2022Testing Factor Models in the Cross-Section. (2022). Prokopczuk, Marcel ; Hollstein, Fabian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:145:y:2022:i:c:s0378426622002060.

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2021Common pricing across asset classes: Empirical evidence revisited. (2021). Gospodinov, Nikolay ; Robotti, Cesare. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:1:p:292-324.

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2021Lucky factors. (2021). Harvey, Campbell R ; Liu, Yan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:2:p:413-435.

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2021Spectral factor models. (2021). Tamoni, Andrea ; Lo, Andrew W ; Chaudhuri, Shomesh E ; Bandi, Federico M. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:1:p:214-238.

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2023Empirical evaluation of overspecified asset pricing models. (2023). Pearanda, Francisco ; Manresa, Elena. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:2:p:338-351.

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2021Expectations and aggregate risk. (2021). Tamoni, Andrea ; Malkhozov, Aytek ; Bretscher, Lorenzo. In: Journal of Monetary Economics. RePEc:eee:moneco:v:123:y:2021:i:c:p:91-108.

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2021Evaluating the performance of U.S. international equity closed-end funds. (2021). Fletcher, Jonathan. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:60:y:2021:i:c:s1042444x21000165.

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2021Trade integration and research and development investment as a proxy for idiosyncratic risk in the cross-section of stock returns. (2021). Lopez-Perez, Victoria M ; Alonso-Conde, Ana B ; Rojo-Suarez, Javier ; Galicia-Sanguino, Lucia. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x2100130x.

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2021Measuring the stocks factor beta and identifying risk factors under market inefficiency. (2021). Semenov, Andrei . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:635-649.

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2021Tradable or nontradable factors—what does the Hansen–Jagannathan distance tell us?. (2021). Maillet, Bertrand ; Wu, Kun ; Liu, Yangyi ; Zhang, Xiang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:853-879.

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2021Determination of drivers for investing in cryptocurrencies through a fuzzy full consistency method-Bonferroni (FUCOM-F’B) framework. (2021). Ecer, Fatih ; Boyukaslan, Adem. In: Technology in Society. RePEc:eee:teinso:v:67:y:2021:i:c:s0160791x21002207.

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2021Tradable or nontradable factors : what does the Hansen–Jagannathan distance tell us?. (2021). Maillet, Bertrand ; Wu, Kun ; Liu, Yangyi ; Zhang, Xiang. In: Post-Print. RePEc:hal:journl:hal-03287946.

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2021Efficient Mimicking Portfolios in Asset Pricing Tests. (2021). Lee, Jeonghwan ; Ho, Kun ; Kim, Jinyong. In: Korean Economic Review. RePEc:kea:keappr:ker-20210701-37-2-07.

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2021Green innovations and patenting renewable energy technologies. (2021). Maasoumi, Esfandiar ; Heshmati, Almas ; Lee, Inhee. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:1:d:10.1007_s00181-020-01986-1.

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2021The reliability of geometric Brownian motion forecasts of S&P500 index values. (2021). Sinha, Amit K. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:8:p:1444-1462.

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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.
[Full Text][Citation analysis]		article30
2005Mimicking portfolios, economic risk premia, and tests of multi-beta models.(2005) In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 30		paper
2008Specification tests of asset pricing models using excess returns In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article41
2006Specification tests of asset pricing models using excess returns.(2006) In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41		paper
2002Asset returns and economic risk In: Economic Review.
[Full Text][Citation analysis]		article4
2004The news in financial asset returns In: Economic Review.
[Citation analysis]		article2
2007Financial market frictions In: Economic Review.
[Full Text][Citation analysis]		article5
2001Minimum-variance kernels, economic risk premia, and tests of multi-beta models In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper4
2001The price of inflation and foreign exchange risk in international equity markets In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper0
2003Playing the field: Geomagnetic storms and international stock markets In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper22
2003Dynamic strategies, asset pricing models, and the out-of-sample performance of the tangency portfolio In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper0
2005Asset-pricing models and economic risk premia: a decomposition In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper7
2007Model comparison using the Hansen-Jagannathan distance In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper54
2009Model Comparison Using the Hansen-Jagannathan Distance.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 54		article
2008The exact distribution of the Hansen-Jagannathan bound In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper2
2009Pricing model performance and the two-pass cross-sectional regression methodology In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper152
2009A note on the estimation of asset pricing models using simple regression betas In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper2
2010On the Hansen-Jagannathan distance with a no-arbitrage constraint In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper9
2010Further results on the limiting distribution of GMM sample moment conditions In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper3
2011Chi-squared tests for evaluation and comparison of asset pricing models In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper27
2012Robust inference in linear asset pricing models In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper11
2012Analytical solution for the constrained Hansen-Jagannathan distance under multivariate ellipticity In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper0
2013Misspecification-robust inference in linear asset pricing models with irrelevant risk factors In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper45
2014Spurious Inference in Unidentified Asset-Pricing Models In: FRB Atlanta Working Paper.
[Citation analysis]		paper12
2015Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper2
2017Too Good to Be True? Fallacies in Evaluating Risk Factor Models In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper8
1999Minimum-Variance Kernels and Economic Risk Premia In: Computing in Economics and Finance 1999.
[Full Text][Citation analysis]		paper3

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