← All authors Patrick Gagliardini Università della Svizzera italiana (from arXiv:2306.14004, 2023) · OpenAlex
43 papers in scope · 43 published · 2 on the econ.EM arXiv · 1,217 citations · h-index 15 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Donggyu Kim Sung Hoon Choi Philipp Gersing Minseog Oh Alain-Philippe Fortin Dong-Gyu Kim Matteo Barigozzi Olivier Scaillet Jushan Bai Marc Hallin Serena Ng Matteo Luciani Diego Fresoli Pilar Poncela Guillaume Coqueret Martial Laguerre Christoph Alexander Rüst Manfred Deistler Esther Ruiz Yuan Liao Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (2 of 43)
Three Common Factors
published 2025 · Journal of Financial and Quantitative Analysis · 2 citations · first circulated 2022
Identification, inference and risk
published 2024 · Journal of Econometrics
Spanning latent and observable factors
published 2024 · Journal of Econometrics · 7 citations · first circulated 2023
Is it alpha or beta? Decomposing hedge fund returns when models are misspecified
published 2024 · Journal of Financial Economics · 11 citations
published 2023 · Journal of Financial Econometrics · 10 citations · first circulated 2022
Entropic approximate learning for financial decision-making in the small data regime
published 2023 · Research in International Business and Finance · 9 citations
with Edoardo Vecchi, Gabriele Berra, Steffen Albrecht, Illia Horenko
published 2023 · Journal of Econometrics · 8 citations
INSTRUMENTAL VARIABLES INFERENCE IN A SMALL-DIMENSIONAL VAR MODEL WITH DYNAMIC LATENT FACTORS
published 2022 · Econometric Theory · 1 citations
with Federico Carlini
Skill, Scale, and Value Creation in the Mutual Fund Industry
published 2021 · The Journal of Finance · 82 citations
Mixed-Frequency Macro–Finance Factor Models: Theory and Applications*
published 2020 · Journal of Financial Econometrics · 7 citations
Hedge Fund Performance under Misspecified Models
published 2020 · Swiss Finance Institute Research Paper Series
Positional Portfolio Management
published 2019 · Journal of Financial Econometrics · 3 citations · first circulated 2014
A diagnostic criterion for approximate factor structure
published 2019 · Journal of Econometrics · 94 citations · first circulated 2016
Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance*
published 2019 · Journal of Financial Econometrics · 18 citations · first circulated 2015
with Diego Ronchetti
Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models. Comparing Fixed-versus Vanishing-Bandwidth Estimators of Pseudo-True SDFs*
published 2019 · Journal of Financial Econometrics
with Diego Ronchetti
Inference in Group Factor Models With an Application to Mixed‐Frequency Data
published 2019 · Econometrica · 70 citations
Extracting Statistical Factors When Betas are Time-Varying
published 2019 · Swiss Finance Institute Research Paper Series · 1 citations
with Hao Ma
no link
Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects
published 2018 · Journal of Econometrics · 8 citations · first circulated 2014
Towards a Computationally Tractable Maximum Entropy Principle for Nonstationary Financial Time Series
published 2018 · SIAM Journal on Financial Mathematics · 7 citations
with Ganna Marchenko, Illia Horenko
Double instrumental variable estimation of interaction models with big data
published 2017 · Journal of Econometrics · 8 citations
Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models using MIDAS Regressions and ARCH Models
published 2017 · Journal of Financial Econometrics · 7 citations · first circulated 2016
A Specification Test for Nonparametric Instrumental Variable Regression
published 2017 · Annals of Economics and Statistics · 10 citations · first circulated 2007
Is Industrial Production Still the Dominant Factor for the US Economy
published 2016 · Swiss Finance Institute Research Paper Series · 12 citations
Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
published 2016 · Econometrica · 285 citations · first circulated 2011
Spread Term Structure and Default Correlation
published 2016 · Annals of Economics and Statistics · 10 citations · first circulated 2003
EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS
published 2014 · Econometric Theory · 22 citations · first circulated 2008
Correlated risks vs contagion in stochastic transition models
published 2013 · Journal of Economic Dynamics and Control · 11 citations · first circulated 2012
Granularity adjustment for risk measures: Systematic vs unsystematic risks
published 2013 · International Journal of Approximate Reasoning · 13 citations
Semi-parametric estimation of American option prices
published 2012 · Journal of Econometrics · 10 citations · first circulated 2010
with Diego Ronchetti
Nonparametric Instrumental Variable Estimation of Structural Quantile Effects
published 2012 · Econometrica · 51 citations · first circulated 2009
Microinformation, Nonlinear Filtering, and Granularity
published 2011 · Journal of Financial Econometrics · 6 citations · first circulated 2010
Tikhonov regularization for nonparametric instrumental variable estimators
published 2011 · Journal of Econometrics · 36 citations
Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk
published 2011 · Journal of Financial Econometrics · 12 citations · first circulated 2010
Efficient Derivative Pricing by the Extended Method of Moments
published 2011 · Econometrica · 71 citations · first circulated 2005
Discussion: Nonparametric estimation of noisy integral equations of the second kind
published 2009 · Journal of the Korean Statistical Society
Ambiguity Aversion and the Term Structure of Interest Rates
published 2008 · Review of Financial Studies · 79 citations · first circulated 2007
with Paolo Porchia, Fabio Trojani
Duration time‐series models with proportional hazard
published 2007 · Journal of Time Series Analysis · 15 citations
Challenges in the teaching of econometrics : the lesson of Pietro Balestra
published 2007 · Revue d économie politique · 4 citations
An efficient nonparametric estimator for models with nonlinear dependence
published 2006 · Journal of Econometrics · 18 citations
Stochastic Migration Models with Application to Corporate Risk
published 2005 · Journal of Financial Econometrics · 12 citations · first circulated 2004
Robust GMM tests for structural breaks
published 2004 · Journal of Econometrics · 40 citations · first circulated 2003
Testing Asset Pricing Models With Coskewness
published 2004 · Journal of Business and Economic Statistics · 114 citations
Migration correlation: Definition and efficient estimation
published 2004 · Journal of Banking & Finance · 33 citations
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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