Patrick Gagliardini

University of Lugano

Via Buffi 13

Lugano, TN 6900

Switzerland

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

  • University of Lugano

  • Swiss Finance Institute

SCHOLARLY PAPERS

32

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12,184

TOTAL CITATIONS
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Top 3,716

in Total Papers Citations

295

Scholarly Papers (32)

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1.

Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified

Journal of Financial Economics, Vol. 154, Pages 103805, 2024
Number of pages: 83 Posted: 18 Sep 2020 Last Revised: 03 Aug 2024
David Ardia, Laurent Barras, Patrick Gagliardini and O. Scaillet
HEC Montreal - Department of Decision Sciences, Universite du Luxembourg - Department of Finance, University of Lugano and Swiss Finance Institute - University of Geneva
Downloads 1,486 (26,022)

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Hedge fund returns, alpha, beta, model misspecification, large cross-section

2.

Skill, Scale, and Value Creation in the Mutual Fund Industry

Journal of Finance, Forthcoming
Number of pages: 122 Posted: 31 Oct 2018 Last Revised: 03 Jun 2021
Laurent Barras, Patrick Gagliardini and O. Scaillet
Universite du Luxembourg - Department of Finance, University of Lugano and Swiss Finance Institute - University of Geneva
Downloads 1,162 (37,274)

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Mutual funds, skill, scale, value added, large panel, error-in-variable bias

3.

Time-Varying Risk Premium in Large Cross-Sectional Equity Datasets

Swiss Finance Institute Research Paper No. 11-40
Number of pages: 70 Posted: 18 Mar 2011 Last Revised: 17 Apr 2018
Patrick Gagliardini, Elisa Ossola and O. Scaillet
University of Lugano, University of Lugano and Swiss Finance Institute - University of Geneva
Downloads 814 (61,324)
Citation 35

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large panel, factor model, risk premium, asset pricing, sparsity, thresholding.

4.

Extracting Statistical Factors When Betas are Time-Varying

Swiss Finance Institute Research Paper No. 19-65
Number of pages: 58 Posted: 30 Jul 2019 Last Revised: 15 Feb 2022
Patrick Gagliardini and Hao Ma
University of Lugano and Swiss Finance Institute, University of Lugano
Downloads 697 (75,148)
Citation 2

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Large Panel, Unobservable Factors, Conditioning Information, Instrumental Variables, Machine Learning, Post-Lasso, Artificial Neural Networks

5.

Positional Portfolio Management

Swiss Finance Institute Research Paper No. 14-20
Number of pages: 83 Posted: 07 Mar 2014 Last Revised: 12 Dec 2018
Patrick Gagliardini, Christian Gourieroux and Mirco Rubin
University of Lugano, University of Toronto - Department of Economics and EDHEC Business School
Downloads 533 (105,383)
Citation 2

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Positional Good, Robust Portfolio Management, Rank, Fund Tournament, Factor Model, Big Data, Equally Weighted Portfolio, Momentum, Reversal, Positional Risk Aversion.

6.

Inference in Group Factor Models with an Application to Mixed Frequency Data

Downloads 532 (105,636)
Citation 106

Inference in Group Factor Models with an Application to Mixed Frequency Data

Swiss Finance Institute Research Paper No. 16-11
Number of pages: 48 Posted: 13 Feb 2016 Last Revised: 02 Feb 2019
Elena Andreou, Patrick Gagliardini, Eric Ghysels and Mirco Rubin
University of Cyprus - Department of Economics, University of Lugano, University of North Carolina Kenan-Flagler Business School and EDHEC Business School
Downloads 528 (105,329)
Citation 106

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Large Panel, Unobservable pervasive factors, Mixed frequency, Canonical correlations, Output growth

Is Industrial Production Still the Dominant Factor for the US Economy?

CEPR Discussion Paper No. DP12219
Number of pages: 87 Posted: 15 Aug 2017
Elena Andreou, Patrick Gagliardini, Eric Ghysels and Mirco Rubin
University of Cyprus - Department of Economics, University of Lugano, University of North Carolina Kenan-Flagler Business School and EDHEC Business School
Downloads 4 (1,252,591)
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GDP growth, Group Factor models, MIDAS

7.

Three Common Factors

Downloads 530 (106,375)
Citation 2

Three Common Factors

Number of pages: 88 Posted: 20 Apr 2022
Elena Andreou, Patrick Gagliardini, Eric Ghysels and Mirco Rubin
University of Cyprus - Department of Economics, University of Lugano, University of North Carolina Kenan-Flagler Business School and EDHEC Business School
Downloads 527 (105,810)

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Testing common factors, portfolio sorting, factor zoo

Three Common Factors

CEPR Discussion Paper No. DP17225
Number of pages: 128 Posted: 27 May 2022
Elena Andreou, Patrick Gagliardini, Eric Ghysels and Mirco Rubin
University of Cyprus - Department of Economics, University of Lugano, University of North Carolina Kenan-Flagler Business School and EDHEC Business School
Downloads 3 (1,265,451)
Citation 2
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factor zoo, portfolio sorting, Testing common factors

8.

Estimation of Large Dimensional Conditional Factor Models in Finance

Swiss Finance Institute Research Paper No. 19-46
Number of pages: 87 Posted: 28 Aug 2019 Last Revised: 29 Sep 2020
Patrick Gagliardini, Elisa Ossola and O. Scaillet
University of Lugano, University of Milano-Bicocca and Swiss Finance Institute - University of Geneva
Downloads 485 (118,134)
Citation 18

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large panel, factor model, conditional information, risk premium, asset pricing, emerging markets.

9.

Ambiguity Aversion and the Term Structure of Interest Rates

Downloads 415 (142,117)
Citation 14

Ambiguity Aversion and the Term Structure of Interest Rates

University of St. Gallen, Department of Economics, Discussion Paper No. 2007-29, Swiss Finance Institute Research Paper No. 08-19
Number of pages: 48 Posted: 09 Aug 2007 Last Revised: 05 Aug 2008
Patrick Gagliardini, Paolo Porchia and Fabio Trojani
University of Lugano, IE Business School and University of Geneva
Downloads 415 (140,707)
Citation 14

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General Equilibrium, Term Structure of Interest Rates, Ambiguity Aversion, Expectations Hypothesis, Campbell-Shiller Regression

Ambiguity Aversion and the Term Structure of Interest Rates

The Review of Financial Studies, Vol. 22, Issue 10, pp. 4157-4188, 2009
Posted: 28 Sep 2009
Patrick Gagliardini, Paolo Porchia and Fabio Trojani
University of Lugano, IE Business School and University of Geneva

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C68, G12, G13

10.

Homogeneity Hypothesis in the Context of Asset Pricing Models: The Quadratic Market Model

Cass Business School Research Paper
Number of pages: 14 Posted: 14 Mar 2001
Giovanni Barone-Adesi, Patrick Gagliardini and Giovanni Urga
University of Lugano, University of Lugano and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 346 (173,929)
Citation 5

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Asset pricing models, panel

11.

Migration Correlation: Definition and Efficient Estimation

Les Cahiers du CREF of HEC Montréal Working Paper No. 04-13
Number of pages: 47 Posted: 18 Jul 2005
Patrick Gagliardini and Christian Gourieroux
University of Lugano and University of Toronto - Department of Economics
Downloads 338 (178,438)
Citation 3

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Credit risk, migration, migration correlation, stochastic transition, rating

12.

Spanning Latent and Observable Factors

Number of pages: 71 Posted: 08 Feb 2023 Last Revised: 01 Feb 2024
Elena Andreou, Patrick Gagliardini, Eric Ghysels and Mirco Rubin
University of Cyprus - Department of Economics, University of Lugano, University of North Carolina Kenan-Flagler Business School and EDHEC Business School
Downloads 334 (180,750)

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Latent pervasive factors, Observable factors, Canonical correlations, Spanning, PCA

13.

Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance

Downloads 333 (181,320)
Citation 2

Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance

Number of pages: 77 Posted: 06 Oct 2015
Patrick Gagliardini and Diego Ronchetti
University of Lugano and Audencia Business School - Finance Department
Downloads 270 (224,409)
Citation 2

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Asset pricing model comparison, stochastic discount factor, Hansen-Jagannathan distance, conditional moment restrictions, nonparametric estimation

Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance

Number of pages: 60 Posted: 17 Feb 2015 Last Revised: 25 Jul 2018
Patrick Gagliardini and Diego Ronchetti
University of Lugano and Audencia Business School - Finance Department
Downloads 63 (699,233)

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Asset pricing model comparison, stochastic discount factor, Hansen-Jagannathan distance, Generalized Method of Moments, conditional moment restrictions, nonparametric estimation

14.

Robust GMM Tests for Structural Breaks

Cass Business School Research Paper
Number of pages: 61 Posted: 12 Apr 2004
Patrick Gagliardini, Fabio Trojani and Giovanni Urga
University of Lugano, University of Geneva and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 317 (190,944)
Citation 3

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Robust Tests, Generalized Method of Moment, Structural Breaks, Monte Carlo, Bootstrap

15.

Efficient Derivative Pricing by the Extended Method of Moments

Swiss Finance Institute Research Paper No. 10-07
Number of pages: 55 Posted: 10 Feb 2010
Patrick Gagliardini, Christian Gourieroux and Eric Renault
University of Lugano, University of Toronto - Department of Economics and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 302 (201,129)
Citation 11

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Derivative Pricing, Trading Activity, GMM, Information Theoretic Estimation, KLIC, Identification, Weak Instrument, Nonparametric Efficiency, Semiparametric Efficiency

16.

Stochastic Migration Models with Application to Corporate Risk

Downloads 302 (201,129)
Citation 7

Stochastic Migration Models with Application to Corporate Risk

Les Cahiers du CREF of HEC Montréal Working Paper No. 04-11
Number of pages: 71 Posted: 18 Jul 2005
Patrick Gagliardini and Christian Gourieroux
University of Lugano and University of Toronto - Department of Economics
Downloads 302 (199,689)
Citation 7

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Migration, rating, migration correlation, credit risk, stochastic intensity, autoregressive gamma process, Jacobi process, ordered qualitative model, Kalman filter, panel data

Stochastic Migration Models with Application to Corporate Risk

Journal of Financial Econometrics, Vol. 3, No. 2, pp. 188-226, 2005
Posted: 29 Feb 2008
Christian Gourieroux and Patrick Gagliardini
University of Toronto - Department of Economics and University of Lugano

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credit risk, Jacobi process, Kalman filter, migration correlation, rating, stochastic intensity

17.

Spread Term Structure and Default Correlation

Les Cahiers du CREF of HEC Montréal Working Paper No. 03-02
Number of pages: 62 Posted: 18 Jul 2005
Patrick Gagliardini and Christian Gourieroux
University of Lugano and University of Toronto - Department of Economics
Downloads 300 (202,573)
Citation 6

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Corporate bonds, credit risk, default correlation, jumps in intensities, Copula, credit derivatives

18.

Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models Using MIDAS Regressions and ARCH Models

Swiss Finance Institute Research Paper No. 16-46
Number of pages: 70 Posted: 12 Jan 2016 Last Revised: 07 Apr 2018
Patrick Gagliardini, Eric Ghysels and Mirco Rubin
University of Lugano, University of North Carolina Kenan-Flagler Business School and EDHEC Business School
Downloads 291 (209,149)
Citation 8

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Indirect inference, MIDAS regressions, State space model, Stochastic volatility, GDP forecasting.

19.

Ambiguity Aversion, Bond Pricing and the Non-Robustness of Some Affine Term Structures

Number of pages: 56 Posted: 01 Mar 2005
Patrick Gagliardini, Paolo Porchia and Fabio Trojani
University of Lugano, IE Business School and University of Geneva
Downloads 266 (229,180)
Citation 6

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General equilibrium, ambiguity, term structure, interest rate derivatives

20.

Tikhonov Regularization for Nonparametric Instrumental Variable Estimators

Swiss Finance Institute Research Paper 06-30
Number of pages: 62 Posted: 26 Nov 2006 Last Revised: 23 Aug 2011
Patrick Gagliardini and O. Scaillet
University of Lugano and Swiss Finance Institute - University of Geneva
Downloads 257 (237,268)
Citation 9

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Nonparametric Estimation, Ill-posed Inverse Problems, Tikhonov Regularization, Endogeneity, Instrumental Variable

21.

Nonparametric Instrumental Variable Estimators of Structural Quantile Effects

Swiss Finance Institute Research Paper No. 08-03
Number of pages: 32 Posted: 04 Feb 2008 Last Revised: 23 Feb 2018
Victor Chernozhukov, O. Scaillet and Patrick Gagliardini
Massachusetts Institute of Technology (MIT) - Department of Economics, Swiss Finance Institute - University of Geneva and University of Lugano
Downloads 244 (249,821)
Citation 8

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Nonparametric Quantile Regression, Instrumental Variable, Ill-Posed Inverse Problems, Tikhonov Regularization, Nonlinear Pricing Curve.

22.

Latent Factor Analysis in Short Panels

Swiss Finance Institute Research Paper No. 23-44
Number of pages: 77 Posted: 12 Jun 2023 Last Revised: 17 May 2024
Alain-Philippe Fortin, Patrick Gagliardini and O. Scaillet
affiliation not provided to SSRN, University of Lugano and Swiss Finance Institute - University of Geneva
Downloads 208 (290,798)
Citation 1

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Latent factor analysis, uniformly most powerful invariant test, panel data, large n and fixed T asymptotics, equity returns.

23.

Efficiency in Large Dynamic Panel Models with Common Factor

Swiss Finance Institute Research Paper No. 09-12
Number of pages: 67 Posted: 01 May 2009
Patrick Gagliardini and Christian Gourieroux
University of Lugano and University of Toronto - Department of Economics
Downloads 208 (290,798)
Citation 8

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Nonlinear Panel Model, Factor Model, Exchangeability, Systematic Risk, Efficiency Bound, Semi-parametric Efficiency, Fixed Effects Estimator, Bayesian Statistics, Stochastic Migration, Granularity

24.

A Specification Test for Nonparametric Instrumental Variable Regression

Swiss Finance Institute Research Paper No. 07-13
Number of pages: 49 Posted: 11 May 2007 Last Revised: 21 Oct 2008
Patrick Gagliardini and O. Scaillet
University of Lugano and Swiss Finance Institute - University of Geneva
Downloads 206 (293,396)
Citation 7

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Specification Test, Nonparametric Regression, Instrumental, Variables, Minimum Distance, Tikhonov Regularization, Ill-posed Inverse Problems, Generalized Method of Moments, Bootstrap, Engel Curve

25.

A Diagnostic Criterion for Approximate Factor Structure

Swiss Finance Institute Research Paper No. 16-51, Published in Journal of Econometrics
Number of pages: 85 Posted: 03 Aug 2016 Last Revised: 18 Sep 2019
Patrick Gagliardini, Elisa Ossola and O. Scaillet
University of Lugano, University of Lugano and Swiss Finance Institute - University of Geneva
Downloads 201 (300,163)
Citation 15

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large panel, approximate factor model, asset pricing, model selection, interactive fixed effects

26.

Survival of Hedge Funds: Frailty vs Contagion

Number of pages: 75 Posted: 22 Dec 2012 Last Revised: 15 Jun 2015
Serge Darolles, Patrick Gagliardini and Christian Gourieroux
Université Paris Dauphine - DRM-CEREG, University of Lugano and University of Toronto - Department of Economics
Downloads 197 (305,706)
Citation 11

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Hedge Fund, Contagion, Systemic Risk, Stress-Tests, Funding Liquidity

27.

Semi-Parametric Estimation of American Option Prices

Swiss Finance Institute Research Paper No. 10-57
Number of pages: 63 Posted: 12 Jan 2011
Patrick Gagliardini and Diego Ronchetti
University of Lugano and Audencia Business School - Finance Department
Downloads 188 (319,080)
Citation 4

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American option, kernel estimator, semi-parametric estimation, dynamic programming, recursive valuation, Fréchet derivative, nonlinear functional

28.

Efficient Derivative Pricing by Extended Method of Moments

Number of pages: 72 Posted: 04 Mar 2005
Eric Renault, Patrick Gagliardini and Christian Gourieroux
University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Lugano and University of Toronto - Department of Economics
Downloads 175 (340,207)

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Generalized Method of Moments, Derivative pricing, Stochastic Volatility

29.

Instrumental Variables Inference in a State Space Model

Number of pages: 68 Posted: 09 Jan 2019 Last Revised: 25 Sep 2019
Federico Carlini and Patrick Gagliardini
Dipartimento di Economia e Finanza and University of Lugano
Downloads 171 (347,153)

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State Space, FAVAR, Identification, Network, Financial Crisis

30.

Microinformation, Nonlinear Filtering and Granularity

Swiss Finance Institute Research Paper No. 10-23
Number of pages: 59 Posted: 13 Jun 2010 Last Revised: 23 Jun 2010
Patrick Gagliardini, Christian Gourieroux and Alain Monfort
University of Lugano, University of Toronto - Department of Economics and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Downloads 160 (367,459)
Citation 2

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Kalman Filter, Nonlinear State Space, Granularity, Repeated Observations, Value-at-Risk, Credit Risk, Loss Given Default, Basel 2

31.

Eigenvalue Tests for the Number of Latent Factors in Short Panels

Swiss Finance Institute Research Paper No. 22-81
Number of pages: 67 Posted: 01 Nov 2022 Last Revised: 02 Nov 2022
Alain-Philippe Fortin, Patrick Gagliardini and O. Scaillet
University of Geneva, University of Lugano and Swiss Finance Institute - University of Geneva
Downloads 93 (552,733)

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32.

Wage Mobility: A Functional Copula Approach

Number of pages: 76 Posted: 10 Dec 2018
Costanza Naguib and Patrick Gagliardini
University of St. Gallen and University of Lugano
Downloads 93 (552,733)

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Wage Dynamics, Inequality, Rank, Functional Copula Model, Nonlinear Autoregressive Process, Semi-Nonparametric Estimation