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Patrick Gagliardini
Patrick Gagliardini
Professor of Econometrics, Università della Svizzera Italiana
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Time‐varying risk premium in large cross‐sectional equity data sets
P Gagliardini, E Ossola, O Scaillet
Econometrica 84 (3), 985-1046, 2016
2912016
Testing asset pricing models with coskewness
G Barone Adesi, P Gagliardini, G Urga
Journal of Business & Economic Statistics 22 (4), 474-485, 2004
1452004
Stochastic migration models with application to corporate risk
P Gagliardini, C Gouriéroux
Journal of Financial Econometrics 3 (2), 188-226, 2005
1022005
Ambiguity aversion and the term structure of interest rates
P Gagliardini, P Porchia, F Trojani
The review of financial studies 22 (10), 4157-4188, 2008
992008
Efficient derivative pricing by the extended method of moments
P Gagliardini, C Gourieroux, E Renault
Econometrica 79 (4), 1181-1232, 2011
932011
A diagnostic criterion for approximate factor structure
P Gagliardini, E Ossola, O Scaillet
Journal of Econometrics 212 (2), 503-521, 2019
742019
Inference in group factor models with an application to mixed‐frequency data
E Andreou, P Gagliardini, E Ghysels, M Rubin
Econometrica 87 (4), 1267-1305, 2019
602019
Skill, scale, and value creation in the mutual fund industry
L Barras, P Gagliardini, O Scaillet
The Journal of Finance 77 (1), 601-638, 2022
592022
Nonparametric instrumental variable estimation of structural quantile effects
P Gagliardini, O Scaillet
Econometrica 80 (4), 1533-1562, 2012
502012
Migration correlation: Definition and efficient estimation
P Gagliardini, C Gouriéroux
Journal of Banking & Finance 29 (4), 865-894, 2005
462005
Robust GMM tests for structural breaks
P Gagliardini, F Trojani, G Urga
Journal of Econometrics 129 (1-2), 139-182, 2005
452005
An efficient nonparametric estimator for models with nonlinear dependence
P Gagliardini, C Gouriéroux
Journal of Econometrics 137 (1), 189-229, 2007
372007
Tikhonov regularization for nonparametric instrumental variable estimators
P Gagliardini, O Scaillet
Journal of Econometrics 167 (1), 61-75, 2012
352012
Estimation of large dimensional conditional factor models in finance
P Gagliardini, E Ossola, O Scaillet
Handbook of econometrics 7, 219-282, 2020
342020
Efficiency in large dynamic panel models with common factors
P Gagliardini, C Gourieroux
Econometric Theory 30 (5), 961-1020, 2014
302014
Comparing asset pricing models by the conditional Hansen-Jagannathan distance
P Gagliardini, D Ronchetti
Journal of Financial Econometrics 18 (2), 333-394, 2020
292020
Generalization of the Luttinger theorem for fermionic ladder systems
P Gagliardini, S Haas, TM Rice
Physical Review B 58 (15), 9603, 1998
261998
Granularity Theory with Applications to Finance and Insurance
P Gagliardini, C Gouriéroux
Cambridge University Press, 2014
182014
Microinformation, Nonlinear Filtering, and Granularity
P Gagliardini, C Gouriéroux, A Monfort
Journal of Financial Econometrics 10 (1), 1-53, 2012
182012
A specification test for nonparametric instrumental variable regression
P Gagliardini, O Scaillet
Swiss Finance Institute Research Paper, 2008
18*2008
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