Details about Lorenzo Camponovo

Access statistics for papers by Lorenzo Camponovo.

Last updated 2023-08-05. Update your information in the RePEc Author Service.

Short-id: pca1318

Working Papers

2017

1. Empirical likelihood for high frequency data
   STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
2. Relative error accurate statistic based on nonparametric likelihood
   STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

2016

3. A wild bootstrap algorithm for propensity score matching estimators
   FSES Working Papers, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland View citations (6)
4. Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   See also Journal Article Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy, Journal of Financial Econometrics, Oxford University Press (2017) View citations (1) (2017)
5. Predictability Hidden by Anomalous Observations
   Papers, arXiv.org View citations (9)
6. The Finite Sample Performance of Inference Methods for Propensity Score Matching and Weighting Estimators
   IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (17)
   Also in Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science (2016) View citations (18)
   FSES Working Papers, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland (2016) View citations (29)

2015

7. Nonparametric likelihood for volatility under high frequency data
   STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
8. Robustness of bootstrap in instrumental variable regression
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
   Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2011) View citations (2)
   STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2014)
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2014)
   See also Journal Article Robustness of Bootstrap in Instrumental Variable Regression, Econometric Reviews, Taylor & Francis Journals (2015) (2015)
9. Testing the lag structure of assets’ realized volatility dynamics
   Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science View citations (4)

2014

10. On Bartlett correctability of empirical likelihood in generalized power divergence family
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (4)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2011)
    See also Journal Article On Bartlett correctability of empirical likelihood in generalized power divergence family, Statistics & Probability Letters, Elsevier (2014) View citations (4) (2014)

2013

11. Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models
    Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science View citations (5)
    Also in Papers, arXiv.org (2013) View citations (5)

2011

12. Breakdown Point Theory for Implied Probability Bootstrap
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article Breakdown point theory for implied probability bootstrap, Econometrics Journal, Royal Economic Society (2012) View citations (7) (2012)

2009

13. Robust Resampling Methods for Time Series
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (4)

2006

14. Robust Subsampling
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
    See also Journal Article Robust subsampling, Journal of Econometrics, Elsevier (2012) View citations (8) (2012)

Journal Articles

2017

1. Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
   Journal of Financial Econometrics, 2017, 15, (3), 377-387 View citations (1)
   See also Working Paper Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy, Swiss Finance Institute Research Paper Series (2016) (2016)
2. Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
   Journal of Financial Econometrics, 2017, 15, (3), 505-505 View citations (1)

2016

3. Asymptotic refinements of nonparametric bootstrap for quasi‐likelihood ratio tests for classes of extremum estimators
   Econometrics Journal, 2016, 19, (1), 33-54 View citations (2)

2015

4. DIFFERENCING TRANSFORMATIONS AND INFERENCE IN PREDICTIVE REGRESSION MODELS
   Econometric Theory, 2015, 31, (6), 1331-1358 View citations (4)
5. On the validity of the pairs bootstrap for lasso estimators
   Biometrika, 2015, 102, (4), 981-987 View citations (5)
6. Robust heart rate variability analysis by generalized entropy minimization
   Computational Statistics & Data Analysis, 2015, 82, (C), 137-151 View citations (2)
7. Robustness of Bootstrap in Instrumental Variable Regression
   Econometric Reviews, 2015, 34, (3), 352-393
   See also Working Paper Robustness of bootstrap in instrumental variable regression, LSE Research Online Documents on Economics (2015) (2015)

2014

8. On Bartlett correctability of empirical likelihood in generalized power divergence family
   Statistics & Probability Letters, 2014, 86, (C), 38-43 View citations (4)
   See also Working Paper On Bartlett correctability of empirical likelihood in generalized power divergence family, LSE Research Online Documents on Economics (2014) View citations (4) (2014)

2012

9. Breakdown point theory for implied probability bootstrap
   Econometrics Journal, 2012, 15, (1), 32-55 View citations (7)
   See also Working Paper Breakdown Point Theory for Implied Probability Bootstrap, Cowles Foundation Discussion Papers (2011) (2011)
10. Robust subsampling
    Journal of Econometrics, 2012, 167, (1), 197-210 View citations (8)
    See also Working Paper Robust Subsampling, Swiss Finance Institute Research Paper Series (2006) (2006)