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Robotti, Cesare's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
3,190 |
Total
Citations
85 |
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1.
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Robotti, Cesare
Federal Reserve Bank of Atlanta Krivelyova, Anya
Boston College - Department of Economics
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888
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9
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Stock returns, geomagnetic storms, seasonal affective disorders, misattribution of mood, behavioral finance
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2.
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Asset-pricing Models and Economic Risk Premia: A Decomposition
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Versions (4)
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Balduzzi, Pierluigi
Boston College - Carroll School of Management Robotti, Cesare
Federal Reserve Bank of Atlanta
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Posted:
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17 Aug 05
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Last Revised:
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10 Sep 09
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364
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5
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Balduzzi, Pierluigi
Boston College - Carroll School of Management Robotti, Cesare
Federal Reserve Bank of Atlanta
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06 Mar 08
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Last Revised:
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10 Sep 09
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107
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5
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economic factors, risk premia, pricing kernel, maximum-correlation portfolio
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Balduzzi, Pierluigi
Boston College - Carroll School of Management Robotti, Cesare
Federal Reserve Bank of Atlanta
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116
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5
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economic factors, risk premia, pricing kernel, maximum-correlation portfolio
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Balduzzi, Pierluigi
Boston College - Carroll School of Management Robotti, Cesare
Federal Reserve Bank of Atlanta
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49
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5
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economic risk premia, non-traded factors, maximum-correlation portfolios
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Robotti, Cesare
Federal Reserve Bank of Atlanta Balduzzi, Pierluigi
Boston College - Carroll School of Management
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92
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5
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economic risk premia, non-traded factors, maximum-correlation portfolios
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3.
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Robotti, Cesare
Federal Reserve Bank of Atlanta
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341
(41,914)
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2
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international intertemporal capital asset pricing model, purchasing power parity, hedging demands
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4.
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Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-beta Models
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Versions (2)
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Robotti, Cesare
Federal Reserve Bank of Atlanta Balduzzi, Pierluigi
Boston College - Carroll School of Management
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Posted:
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15 Jun 05
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Last Revised:
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08 Dec 07
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313
(46,414)
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12
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Balduzzi, Pierluigi
Boston College - Carroll School of Management Robotti, Cesare
Federal Reserve Bank of Atlanta
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168
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12
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Robotti, Cesare
Federal Reserve Bank of Atlanta Balduzzi, Pierluigi
Boston College - Carroll School of Management
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145
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12
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mimicking portfolios, economic risk premia, multi-beta models
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5.
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Robotti, Cesare
Federal Reserve Bank of Atlanta
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308
(47,243)
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asset allocation, conditioning information, dynamic strategies, tangency portfolio
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6.
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Robotti, Cesare
Federal Reserve Bank of Atlanta Kan, Raymond
University of Toronto - Rotman School of Management
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204
(74,155)
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3
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Hansen-Jagannathan Bound, No Arbitrage, Positivity, Exact Distribution
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7.
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Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology
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Versions (2)
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Kan, Raymond
University of Toronto - Rotman School of Management Robotti, Cesare
Federal Reserve Bank of Atlanta Shanken, Jay A.
Emory University - Goizueta Business School
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Posted:
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08 Jun 09
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Last Revised:
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09 May 12
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200
(75,587)
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13
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Kan, Raymond
University of Toronto - Rotman School of Management Robotti, Cesare
Federal Reserve Bank of Atlanta Shanken, Jay A.
Emory University - Goizueta Business School
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23
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13
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Kan, Raymond
University of Toronto - Rotman School of Management Robotti, Cesare
Federal Reserve Bank of Atlanta Shanken, Jay A.
Emory University - Goizueta Business School
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22 Apr 12
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Last Revised:
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09 May 12
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177
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13
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8.
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Robotti, Cesare
Federal Reserve Bank of Atlanta Kan, Raymond
University of Toronto - Rotman School of Management
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01 Aug 06
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Last Revised:
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17 Apr 08
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187
(80,757)
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18
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Hansen-Jagannathan distance, excess returns, stochastic discount factors
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9.
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Model Comparison Using the Hansen-Jagannathan Distance
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Versions (2)
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hide multiple versions |
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Kan, Raymond
University of Toronto - Rotman School of Management Robotti, Cesare
Federal Reserve Bank of Atlanta
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Posted:
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31 Jan 07
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Last Revised:
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29 Jul 10
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118
(120,903)
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13
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Kan, Raymond
University of Toronto - Rotman School of Management Robotti, Cesare
Federal Reserve Bank of Atlanta
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0
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G12
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Kan, Raymond
University of Toronto - Rotman School of Management Robotti, Cesare
Federal Reserve Bank of Atlanta
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| Posted: |
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31 Jan 07
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Last Revised:
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14 Sep 08
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118
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13
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Hansen-Jagannathan Distance, Asset-pricing Models, Model Misspecification, Risk Premia
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10.
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Kan, Raymond
University of Toronto - Rotman School of Management Robotti, Cesare
Federal Reserve Bank of Atlanta
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22 Jan 09
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Last Revised:
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25 Jul 10
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85
(152,155)
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3
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Asset Pricing Models, Cross-Sectional Regressions, Simple Regression Betas, Model Misspecification
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11.
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Gospodinov, Nikolay
Concordia University, Quebec - Department of Economics Robotti, Cesare
Federal Reserve Bank of Atlanta Kan, Raymond
University of Toronto - Rotman School of Management
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13 Jan 10
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Last Revised:
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02 Apr 12
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62
(182,646)
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4
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Hansen-Jagannthan distrance, no-arbitrage constraint, model comparison
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12.
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Gospodinov, Nikolay
Concordia University, Quebec - Department of Economics Kan, Raymond
University of Toronto - Rotman School of Management Robotti, Cesare
Federal Reserve Bank of Atlanta
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| Posted: |
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02 Apr 11
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Last Revised:
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26 Mar 12
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46
(210,021)
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1
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asset pricing models, Hansen-Jagannathan distance, model selection, model misspecification
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13.
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Gospodinov, Nikolay
Concordia University, Quebec - Department of Economics Kan, Raymond
University of Toronto - Rotman School of Management Robotti, Cesare
Federal Reserve Bank of Atlanta
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| Posted: |
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15 Jul 10
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Last Revised:
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09 May 12
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39
(224,293)
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2
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GMM
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14.
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Gospodinov, Nikolay
Concordia University, Quebec - Department of Economics Kan, Raymond
University of Toronto - Rotman School of Management Robotti, Cesare
Federal Reserve Bank of Atlanta
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| Posted: |
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23 Nov 12
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Last Revised:
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23 Mar 13
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35
(233,221)
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Asset Pricing Models, Model Misspecification, Weak Identification, Useless Factor
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