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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SSRN CITATIONS
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Top 18,176

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41

CROSSREF CITATIONS

18

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 869 (35,253)
Citation 19

Abstract:

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2.

Testing Beta-Pricing Models Using Large Cross-Sections

Number of pages: 58 Posted: 28 Feb 2017
IESE Business SchoolImperial College Business School, Imperial College Business School and Imperial College Business School
Downloads 289 (135,360)
Citation 13

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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 236 (165,816)
Citation 5

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

4.

Spurious Inference in Unidentified Asset-Pricing Models

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 91 (354,571)
Citation 4

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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

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 84 (372,541)
Citation 21

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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

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 37 (545,511)
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

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 29 (589,631)

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