Details about Patrick Gagliardini

Access statistics for papers by Patrick Gagliardini.

Last updated 2018-11-09. Update your information in the RePEc Author Service.

Short-id: pga823

Working Papers

2017

1. A diagnostic criterion for approximate factor structure
   Papers, arXiv.org View citations (1)
   Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2016) View citations (1)
2. Is Industrial Production Still the Dominant Factor for the US Economy?
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
   Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2016) View citations (1)

2016

3. Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models Using MIDAS Regressions and ARCH Models
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   See also Journal Article Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models using MIDAS Regressions and ARCH Models, Journal of Financial Econometrics, Oxford University Press (2017) View citations (6) (2017)

2013

4. Survival of Hedge Funds: Frailty vs Contagion
   Post-Print, HAL View citations (2)
   Also in Working Papers, Center for Research in Economics and Statistics (2012) View citations (3)

2012

5. Correlated Risks vs Contagion in Stochastic Transition Models
   Working Papers, Center for Research in Economics and Statistics View citations (1)
   See also Journal Article Correlated risks vs contagion in stochastic transition models, Journal of Economic Dynamics and Control, Elsevier (2013) View citations (4) (2013)

2011

6. Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (26)
   Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2011) View citations (2)
   See also Journal Article Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets, Econometrica, Econometric Society (2016) View citations (77) (2016)

2010

7. Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk
   Working Papers, Center for Research in Economics and Statistics View citations (1)
   See also Journal Article Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk, Journal of Financial Econometrics, Oxford University Press (2011) View citations (5) (2011)
8. Efficiency in Large Dynamic Panel Models with Common Factor
   Working Papers, Center for Research in Economics and Statistics View citations (2)
   Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2009) View citations (4)
   See also Journal Article EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS, Econometric Theory, Cambridge University Press (2014) View citations (15) (2014)
9. Efficient Derivative Pricing By The Extended Method of Moments
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
   Also in Working Papers, Center for Research in Economics and Statistics (2005) View citations (2)
   University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen (2005)
   Working Papers, Center for Research in Economics and Statistics (2004) View citations (2)
   See also Journal Article Efficient Derivative Pricing by the Extended Method of Moments, Econometrica, Econometric Society (2011) View citations (33) (2011)
10. Microinformation, Nonlinear Filtering and Granularity
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (3)
    See also Journal Article Microinformation, Nonlinear Filtering, and Granularity, Journal of Financial Econometrics, Oxford University Press (2010) View citations (1) (2010)

2009

11. Nonparametric Instrumental Variable Estimators of Structural Quantile Effects
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (8)

2008

12. Ambiguity Aversion and the Term Structure of Interest Rates
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (3)
    Also in University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen (2007)
    See also Journal Article Ambiguity Aversion and the Term Structure of Interest Rates, The Review of Financial Studies, Society for Financial Studies (2009) View citations (35) (2009)

2007

13. A Specification Test For Nonparametric Instrumental Variable Regression
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (7)
    See also Journal Article A Specification Test for Nonparametric Instrumental Variable Regression, Annals of Economics and Statistics, GENES (2017) View citations (1) (2017)

2006

14. Tikhonov Regularization for Functional Minimum Distance Estimators
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (7)

2004

15. Stochastic Migration Models with Application to Corporate Risk
    Working Papers, Center for Research in Economics and Statistics View citations (5)
    See also Journal Article Stochastic Migration Models with Application to Corporate Risk, Journal of Financial Econometrics, Oxford University Press (2005) View citations (23) (2005)
16. Testing Asset Pricing Model with Coskweness
    Econometric Society 2004 North American Winter Meetings, Econometric Society

2002

17. Constrained Nonparametric Copulas
    Working Papers, Center for Research in Economics and Statistics View citations (3)
18. Duration Time Series Models with Proportional Hazard
    Working Papers, Center for Research in Economics and Statistics View citations (4)
    See also Journal Article Duration time‐series models with proportional hazard, Journal of Time Series Analysis, Wiley Blackwell (2008) View citations (8) (2008)

2000

19. On the Informational Content of Changing Risk for Dynamic Asset Allocation
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering

Journal Articles

2017

1. A Specification Test for Nonparametric Instrumental Variable Regression
   Annals of Economics and Statistics, 2017, (128), 151-202 View citations (1)
   See also Working Paper A Specification Test For Nonparametric Instrumental Variable Regression, Swiss Finance Institute Research Paper Series (2007) View citations (7) (2007)
2. Double instrumental variable estimation of interaction models with big data
   Journal of Econometrics, 2017, 201, (2), 176-197 View citations (2)
3. Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models using MIDAS Regressions and ARCH Models
   Journal of Financial Econometrics, 2017, 15, (4), 509-560 View citations (6)
   See also Working Paper Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models Using MIDAS Regressions and ARCH Models, Swiss Finance Institute Research Paper Series (2016) (2016)

2016

4. Spread Term Structure and Default Correlation
   Annals of Economics and Statistics, 2016, (123-124), 175-223
5. Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets
   Econometrica, 2016, 84, 985-1046 View citations (77)
   See also Working Paper Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets, Swiss Finance Institute Research Paper Series (2011) View citations (26) (2011)

2014

6. EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS
   Econometric Theory, 2014, 30, (5), 961-1020 View citations (15)
   See also Working Paper Efficiency in Large Dynamic Panel Models with Common Factor, Working Papers (2010) View citations (2) (2010)

2013

7. Correlated risks vs contagion in stochastic transition models
   Journal of Economic Dynamics and Control, 2013, 37, (11), 2241-2269 View citations (4)
   See also Working Paper Correlated Risks vs Contagion in Stochastic Transition Models, Working Papers (2012) View citations (1) (2012)
8. Semi-parametric estimation of American option prices
   Journal of Econometrics, 2013, 173, (1), 57-82 View citations (3)

2012

9. Nonparametric Instrumental Variable Estimation of Structural Quantile Effects
   Econometrica, 2012, 80, (4), 1533-1562 View citations (53)
10. Tikhonov regularization for nonparametric instrumental variable estimators
    Journal of Econometrics, 2012, 167, (1), 61-75 View citations (48)

2011

11. Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk
    Journal of Financial Econometrics, 2011, 9, (2), 237-280 View citations (5)
    See also Working Paper Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk, Working Papers (2010) View citations (1) (2010)
12. Efficient Derivative Pricing by the Extended Method of Moments
    Econometrica, 2011, 79, (4), 1181-1232 View citations (33)
    See also Working Paper Efficient Derivative Pricing By The Extended Method of Moments, Swiss Finance Institute Research Paper Series (2010) View citations (1) (2010)

2010

13. Microinformation, Nonlinear Filtering, and Granularity
    Journal of Financial Econometrics, 2010, 10, (1), 1-53 View citations (1)
    See also Working Paper Microinformation, Nonlinear Filtering and Granularity, Swiss Finance Institute Research Paper Series (2010) View citations (3) (2010)

2009

14. Ambiguity Aversion and the Term Structure of Interest Rates
    The Review of Financial Studies, 2009, 22, (10), 4157-4188 View citations (35)
    See also Working Paper Ambiguity Aversion and the Term Structure of Interest Rates, Swiss Finance Institute Research Paper Series (2008) View citations (3) (2008)

2008

15. Duration time‐series models with proportional hazard
    Journal of Time Series Analysis, 2008, 29, (1), 74-124 View citations (8)
    See also Working Paper Duration Time Series Models with Proportional Hazard, Working Papers (2002) View citations (4) (2002)

2007

16. An efficient nonparametric estimator for models with nonlinear dependence
    Journal of Econometrics, 2007, 137, (1), 189-229 View citations (7)
17. Challenges in the teaching of econometrics: the lesson of Pietro Balestra
    Revue d'économie politique, 2007, 117, (3), 431-439

2005

18. Migration correlation: Definition and efficient estimation
    Journal of Banking & Finance, 2005, 29, (4), 865-894 View citations (12)
19. Robust GMM tests for structural breaks
    Journal of Econometrics, 2005, 129, (1-2), 139-182 View citations (15)
20. Stochastic Migration Models with Application to Corporate Risk
    Journal of Financial Econometrics, 2005, 3, (2), 188-226 View citations (23)
    See also Working Paper Stochastic Migration Models with Application to Corporate Risk, Working Papers (2004) View citations (5) (2004)

2004

21. Testing Asset Pricing Models With Coskewness
    Journal of Business & Economic Statistics, 2004, 22, 474-485 View citations (42)

Books

2014

1. Granularity Theory with Applications to Finance and Insurance
   Cambridge Books, Cambridge University Press View citations (2)