Details about Cesare Robotti

Access statistics for papers by Cesare Robotti.

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

Short-id: pro442

Working Papers

2017

1. Too Good to Be True? Fallacies in Evaluating Risk Factor Models
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (1)

2015

2. Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (1)

2014

3. Spurious Inference in Unidentified Asset-Pricing Models
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (13)

2013

4. Misspecification-robust inference in linear asset pricing models with irrelevant risk factors
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (13)

2012

5. Analytical solution for the constrained Hansen-Jagannathan distance under multivariate ellipticity
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta
6. Robust inference in linear asset pricing models
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (14)

2011

7. Chi-squared tests for evaluation and comparison of asset pricing models
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (9)

2010

8. Further results on the limiting distribution of GMM sample moment conditions
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta
9. On the Hansen-Jagannathan distance with a no-arbitrage constraint
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (9)

2009

10. A note on the estimation of asset pricing models using simple regression betas
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (3)
11. Pricing model performance and the two-pass cross-sectional regression methodology
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (73)

2008

12. The exact distribution of the Hansen-Jagannathan bound
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (4)

2007

13. Model comparison using the Hansen-Jagannathan distance
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (16)
    See also Journal Article Model Comparison Using the Hansen-Jagannathan Distance, The Review of Financial Studies, Society for Financial Studies (2009) View citations (48) (2009)

2006

14. Specification tests of asset pricing models using excess returns
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (2)
    See also Journal Article Specification tests of asset pricing models using excess returns, Journal of Empirical Finance, Elsevier (2008) View citations (44) (2008)

2005

15. Asset-pricing models and economic risk premia: a decomposition
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (4)
16. Mimicking portfolios, economic risk premia, and tests of multi-beta models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (9)
    See also Journal Article Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models, Journal of Business & Economic Statistics, American Statistical Association (2008) View citations (25) (2008)

2003

17. Dynamic strategies, asset pricing models, and the out-of-sample performance of the tangency portfolio
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta
18. Playing the field: Geomagnetic storms and international stock markets
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (23)

2001

19. Minimum-variance kernels, economic risk premia, and tests of multi-beta models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (7)
20. The price of inflation and foreign exchange risk in international equity markets
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (2)

1999

21. Minimum-Variance Kernels and Economic Risk Premia
    Computing in Economics and Finance 1999, Society for Computational Economics View citations (4)

Journal Articles

2009

1. Model Comparison Using the Hansen-Jagannathan Distance
   The Review of Financial Studies, 2009, 22, (9), 3449-3490 View citations (48)
   See also Working Paper Model comparison using the Hansen-Jagannathan distance, FRB Atlanta Working Paper (2007) View citations (16) (2007)

2008

2. Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models
   Journal of Business & Economic Statistics, 2008, 26, 354-368 View citations (25)
   See also Working Paper Mimicking portfolios, economic risk premia, and tests of multi-beta models, FRB Atlanta Working Paper (2005) View citations (9) (2005)
3. Specification tests of asset pricing models using excess returns
   Journal of Empirical Finance, 2008, 15, (5), 816-838 View citations (44)
   See also Working Paper Specification tests of asset pricing models using excess returns, FRB Atlanta Working Paper (2006) View citations (2) (2006)

2007

4. Financial market frictions
   Economic Review, 2007, 92, (Q 3), 1-16 View citations (5)

2004

5. The news in financial asset returns
   Economic Review, 2004, 89, (Q 1), 1 - 23 View citations (2)

2002

6. Asset returns and economic risk
   Economic Review, 2002, 87, (Q2), 13-25 View citations (4)