Cesare Robotti

Imperial College Business School

South Kensington Campus

Exhibition Road

London SW7 2AZ, SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

7

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CITATIONS
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33

Scholarly Papers (7)

1.

Model Comparison with Sharpe Ratios

Rotman School of Management Working Paper No. 3013149
Number of pages: 51 Posted: 04 Aug 2017 Last Revised: 13 Mar 2019
University of New South Wales, University of Toronto - Rotman School of Management, Imperial College Business School and Emory University - Goizueta Business School
Downloads 486 (56,648)
Citation 6

Abstract:

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2.

Testing Beta-Pricing Models Using Large Cross-Sections

Number of pages: 58 Posted: 28 Feb 2017
Valentina Raponi, Cesare Robotti and Paolo Zaffaroni
Imperial College Business School, Imperial College Business School and Imperial College Business School
Downloads 200 (149,870)
Citation 6

Abstract:

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beta-pricing models, ex-post risk premia, two-pass cross-sectional regression, large $N$ asymptotics, specification test; unbalanced panel

3.

On Moments of Folded and Truncated Multivariate Normal Distributions

Number of pages: 22 Posted: 18 Mar 2016 Last Revised: 28 Mar 2016
Raymond Kan and Cesare Robotti
University of Toronto - Rotman School of Management and Imperial College Business School
Downloads 104 (254,992)

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Moments, Multivariate Normal Distribution, Folded Normal Distribution, Truncated Normal Distribution

4.

Spurious Inference in Unidentified Asset-Pricing Models

FRB Atlanta Working Paper No. 2014-12, Rotman School of Management Working Paper No. 2580391
Number of pages: 62 Posted: 04 Apr 2015
Nikolay Gospodinov, Raymond Kan and Cesare Robotti
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Imperial College Business School
Downloads 82 (296,942)
Citation 2

Abstract:

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asset pricing, irrelevant risk factors, unidentified models, model misspecification, continuously updated GMM, maximum likelihood, rank test, test for overidentifying restrictions

5.

Misspecification-Robust Inference in Linear Asset Pricing Models with Irrelevant Risk Factors

FRB Atlanta Working Paper No. 2013-9, Rotman School of Management Working Paper No. 2579821
Number of pages: 87 Posted: 22 Mar 2015
Nikolay Gospodinov, Raymond Kan and Cesare Robotti
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Imperial College Business School
Downloads 62 (346,495)
Citation 20

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asset pricing models, lack of identification, model misspecification, GMM estimation

6.

Minimum-Variance Kernels, Economic Risk Premia, and Tests of Multi-Beta Models

FRB Atlanta Working Paper Series No. 2001-24
Number of pages: 45 Posted: 26 Jan 2015
Pierluigi Balduzzi and Cesare Robotti
Boston College - Carroll School of Management and Imperial College Business School
Downloads 32 (452,070)
Citation 5

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minimum-variance kernels, intertemporal capital asset pricing model, economic risk premia

7.

Asymptotic Variance Approximations for Invariant Estimators in Uncertain Asset-Pricing Models

FRB Atlanta Working Paper No. 2015-9
Number of pages: 41 Posted: 02 Nov 2015 Last Revised: 30 Aug 2017
Nikolay Gospodinov, Raymond Kan and Cesare Robotti
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and Imperial College Business School
Downloads 18 (526,732)
Citation 1

Abstract:

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asset pricing, model misspecification, continuously updated GMM, maximum likelihood, asymptotic approximation, misspecification-robust tests