Patrick Gagliardini
http://usi.to/dtj
Pubblicazioni
Pubblicazioni principali (5)
- Andreou E., Gagliardini P., Ghysels E., Rubin M. (2019) Inference in Group Factor Models with an Application to Mixed Frequency Data
- Gagliardini P., Gourieroux C. (2014) Efficiency in Large Dynamic Panel Models with Common Factors
- Gagliardini P., Scaillet O. (2012) Nonparametric Instrumental Variable Estimation of Quantile Effects
- Gagliardini P., Gourieroux C., Renault E. (2011) Efficient Derivative Pricing by the Extended Method of Moments
- Gagliardini P., Porchia P., Trojani F. (2008) Ambiguity Aversion and the Term Structure of Interest Rates
Articolo pubblicato in rivista scientifica (24)
- Vecchi E., Berra G., Albrecht S., Gagliardini P., Horenko I. (2023) Entropic approximate learning for financial decision-making in the small data regime, Research in International Business and Finance, 65:101958. ISSN 0275-5319
- Horenko I., Vecchi E., Kardoš J., Schenk O., Waechter A., O’Kane T. ., Gagliardini P., Gerber S. (2022) On cheap entropy-sparsified regression learning, Proceedings of the National Academy of Sciences:1-12
- Gagliardini P., Ronchetti D. (2019) Comparing Asset Pricing Models with the Conditional Hansen Jagannathan Distance, Journal of Financial Econometrics
- Gagliardini P., Ronchetti D. (2019) Discussion of: Pseudo-True SDFs in Conditional Asset Pricing Models by B. Antoine, K. Proulx and E., Journal of Financial Econometrics
- Andreou E., Gagliardini P., Ghysels E., Rubin M. (2019) Inference in Group Factor Models with an Application to Mixed Frequency Data, Econometrica
- Gagliardini P., Gourieroux C., Rubin M. (2019) Positional Portfolio Management, Journal of Financial Econometrics
- Gagliardini P., Ossola E., Scaillet O. (2015) Time-varying Risk Premium in Large Cross-sectional Equity Datasets, Econometrica:---
- Gagliardini P., Gourieroux C. (2014) Efficiency in Large Dynamic Panel Models with Common Factors, Econometric Theory:961-1020
- Gagliardini P., Gourieroux C. (2013) Correlated Risks vs Contagion in Stochastic Transition Models, Journal of Economic Dynamics and Control:2241-2269
- Gagliardini P., Ronchetti D. (2013) Semi-parametric Estimation of American Option Prices, Journal of Econometrics:57-82
- Gagliardini P., Gourieroux C., Monfort A. (2012) Microinformation, Nonlinear Filtering and Granularity, Journal of Financial Econometrics:1-53
- Gagliardini P., Scaillet O. (2012) Nonparametric Instrumental Variable Estimation of Quantile Effects, Econometrica:1533-1562
- Gagliardini P., Scaillet O. (2012) Tikhonov Regularisation for Nonparametric Instrumental Variable Estimators, Journal of Econometrics:61-75
- Gagliardini P., Gourieroux C. (2011) Approximate Derivative Pricing for Large Classes of Homogeneous Assets with systematic Risks, Journal of Financial Econometrics:237-280
- Gagliardini P., Gourieroux C., Renault E. (2011) Efficient Derivative Pricing by the Extended Method of Moments, Econometrica:1181-1232
- Gagliardini P., Porchia P., Trojani F. (2008) Ambiguity Aversion and the Term Structure of Interest Rates, Review of Financial Studies
- Gagliardini P., Gourieroux C. (2008) Duration Time Series Models with Proportional Hazard, Journal of Time Series Analysis
- Gagliardini P., Gourieroux C. (2007) An Efficient Nonparametric Estimator for Models with Nonlinear Dependence, Journal of Econometrics, 137, 189-229
- Gagliardini P., Gourieroux C. (2005) Migration Correlation: Definition and Efficient Estimation, Journal of Banking and Finance, 29, 865-894
- Gagliardini P., Trojani F., Urga G. (2005) Robust GMM Tests for Structural Breaks, Journal of Econometrics, 129, 139-182
- Gagliardini P., Gourieroux C. (2005) Stochastic Migration Models with Application to Corporate Risk, Journal of Financial Econometrics, 3, 188-226
- Barone Adesi G., Gagliardini P., Urga G. (2004) Testing Asset Pricing Models with Coskewness, Journal of Business and Economic Statistics, 22, 474-485
- Barone Adesi G., Gagliardini P., Trojani F. (2001) Short-Term Volatility Timing Reduces Downside Risk, International Journal of Finance, 13, Nr. 2, 1794-1825
- Gagliardini P., Haas S., Rice T. (1998) Generalization of the Luttinger Theorem for Fermionic Ladder Systems, Phys. Rev. B 58
Libro (1)
- Gagliardini P., Gourieroux C. (2015) Granularity Theory with Applications to Finance and Insurance. Cambridge University Press
Contributo in libro (1)
- Barone Adesi G., Gagliardini P., Urga G. (2006) A Test of the Homogeneity of Asset Pricing Models. inMulti-moment Asset Allocation and Pricing Models
