EconPapers    
Economics at your fingertips  
 

Details about Cesare Robotti

E-mail: This e-mail address is bad, please ask Cesare Robotti to update the entry in the RePEc Author Service or the correct address.
Workplace:Federal Reserve Bank of Atlanta, (more information at EDIRC)

Access statistics for papers by Cesare Robotti.

Last updated 2009-04-12. Update your information in the RePEc Author Service.

Short-id: pro442


Jump to Journal Articles

Working Papers

2015

  1. Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads

2014

  1. Spurious Inference in Unidentified Asset-Pricing Models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (2)

2013

  1. Misspecification-robust inference in linear asset pricing models with irrelevant risk factors
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (1)

2009

  1. A note on the estimation of asset pricing models using simple regression betas
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (2)
  2. Pricing model performance and the two-pass cross-sectional regression methodology
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (26)

2008

  1. The exact distribution of the Hansen-Jagannathan bound
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (2)

2007

  1. Model comparison using the Hansen-Jagannathan distance
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (13)
    See also Journal Article in Review of Financial Studies (2009)

2006

  1. Specification tests of asset pricing models using excess returns
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (2)
    See also Journal Article in Journal of Empirical Finance (2008)

2005

  1. Asset-pricing models and economic risk premia: a decomposition
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (4)
  2. Mimicking portfolios, economic risk premia, and tests of multi-beta models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (9)
    See also Journal Article in Journal of Business & Economic Statistics (2008)

2003

  1. Dynamic strategies, asset pricing models, and the out-of-sample performance of the tangency portfolio
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads
  2. Playing the field: Geomagnetic storms and international stock markets
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (12)

2001

  1. Minimum-variance kernels, economic risk premia, and tests of multi-beta models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (6)
  2. The price of inflation and foreign exchange risk in international equity markets
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (1)

1999

  1. Minimum-Variance Kernels and Economic Risk Premia
    Computing in Economics and Finance 1999, Society for Computational Economics Downloads View citations (3)

Journal Articles

2009

  1. Model Comparison Using the Hansen-Jagannathan Distance
    Review of Financial Studies, 2009, 22, (9), 3449-3490 Downloads View citations (24)
    See also Working Paper (2007)

2008

  1. Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models
    Journal of Business & Economic Statistics, 2008, 26, 354-368 Downloads View citations (11)
    See also Working Paper (2005)
  2. Specification tests of asset pricing models using excess returns
    Journal of Empirical Finance, 2008, 15, (5), 816-838 Downloads View citations (24)
    See also Working Paper (2006)

2007

  1. Financial market frictions
    Economic Review, 2007, (Q 3), 1-16 Downloads View citations (1)

2004

  1. The news in financial asset returns
    Economic Review, 2004, (Q 1), 1 - 23 View citations (1)

2002

  1. Asset returns and economic risk
    Economic Review, 2002, (Q2), 13-25 Downloads View citations (3)
 
Page updated 2017-06-21