Patrick Gagliardini

USI Università della Svizzera italiana

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

  • USI Università della Svizzera italiana

  • Swiss Finance Institute

SCHOLARLY PAPERS

27

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5,378

SSRN CITATIONS
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50

CROSSREF CITATIONS

54

Scholarly Papers (27)

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1.

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
USI Università della Svizzera italiana, University of Lugano and University of Geneva GSEM and GFRI
Downloads 479 (58,491)
Citation 11

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

2.

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
USI Università della Svizzera italiana, University of Toronto - Department of Economics and University of Bristol
Downloads 409 (70,877)
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.

3.

Ambiguity Aversion and the Term Structure of Interest Rates

Downloads 369 ( 79,909)

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
USI Università della Svizzera italiana, IE Business School and Swiss Finance Institute
Downloads 369 (79,211)
Citation 5

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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
USI Università della Svizzera italiana, IE Business School and Swiss Finance Institute

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C68, G12, G13

4.

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

Downloads 311 ( 96,925)
Citation 14

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, USI Università della Svizzera italiana, University of North Carolina Kenan-Flagler Business School and University of Bristol
Downloads 310 (96,678)
Citation 13

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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, USI Università della Svizzera italiana, University of North Carolina Kenan-Flagler Business School and University of Bristol
Downloads 1 (684,520)
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GDP growth, Group Factor models, MIDAS

5.

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, USI Università della Svizzera italiana and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 310 (97,239)
Citation 4

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Asset pricing models, panel

6.

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
USI Università della Svizzera italiana, Swiss Finance Institute and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 279 (108,953)
Citation 2

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

7.

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
USI Università della Svizzera italiana and University of Toronto - Department of Economics
Downloads 272 (111,906)
Citation 3

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

8.

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
USI Università della Svizzera italiana, University of Toronto - Department of Economics and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 252 (121,178)
Citation 6

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

9.

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
USI Università della Svizzera italiana and University of Toronto - Department of Economics
Downloads 246 (124,208)
Citation 5

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

10.

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
USI Università della Svizzera italiana and University of Geneva GSEM and GFRI
Downloads 219 (139,378)
Citation 6

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

11.

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

EFA 2005 Moscow Meetings Paper
Number of pages: 56 Posted: 01 Mar 2005
Patrick Gagliardini, Paolo Porchia and Fabio Trojani
USI Università della Svizzera italiana, IE Business School and Swiss Finance Institute
Downloads 219 (139,378)
Citation 6

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General equilibrium, ambiguity, term structure, interest rate derivatives

12.

Stochastic Migration Models with Application to Corporate Risk

Downloads 209 (145,599)

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
USI Università della Svizzera italiana and University of Toronto - Department of Economics
Downloads 209 (145,336)
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 USI Università della Svizzera italiana

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

13.

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, University of Geneva GSEM and GFRI and USI Università della Svizzera italiana
Downloads 198 (153,157)
Citation 8

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

14.

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
USI Università della Svizzera italiana, University of North Carolina Kenan-Flagler Business School and University of Bristol
Downloads 196 (154,690)
Citation 2

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

15.

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
USI Università della Svizzera italiana and University of Geneva GSEM and GFRI
Downloads 174 (172,251)
Citation 5

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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

16.

Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance

Downloads 169 (176,723)

Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance

Number of pages: 77 Posted: 06 Oct 2015
Patrick Gagliardini and Diego Ronchetti
USI Università della Svizzera italiana and University of Groningen - SOM Research School
Downloads 154 (191,524)

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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
USI Università della Svizzera italiana and University of Groningen - SOM Research School
Downloads 15 (572,604)

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

17.

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
USI Università della Svizzera italiana and University of Toronto - Department of Economics
Downloads 161 (184,123)
Citation 6

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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

18.

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
USI Università della Svizzera italiana and University of Groningen - SOM Research School
Downloads 152 (193,357)
Citation 1

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

19.

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, USI Università della Svizzera italiana and University of Toronto - Department of Economics
Downloads 150 (195,437)
Citation 11

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

20.

A Diagnostic Criterion for Approximate Factor Structure

Swiss Finance Institute Research Paper No. 16-51
Number of pages: 84 Posted: 03 Aug 2016 Last Revised: 02 Jul 2018
Patrick Gagliardini, Elisa Ossola and O. Scaillet
USI Università della Svizzera italiana, University of Lugano and University of Geneva GSEM and GFRI
Downloads 137 (210,349)
Citation 7

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

21.

Skill and Value Creation in the Mutual Fund Industry

Swiss Finance Institute Research Paper No. 18-66
Number of pages: 48 Posted: 31 Oct 2018 Last Revised: 25 May 2019
Laurent Barras, Patrick Gagliardini and O. Scaillet
McGill University - Desautels Faculty of Management, USI Università della Svizzera italiana and University of Geneva GSEM and GFRI
Downloads 131 (218,005)

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Mutual fund skill, non-parametric density estimation, large panel

22.

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, USI Università della Svizzera italiana and University of Toronto - Department of Economics
Downloads 131 (218,005)

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Generalized Method of Moments, Derivative pricing, Stochastic Volatility

23.

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
USI Università della Svizzera italiana, University of Toronto - Department of Economics and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Downloads 121 (231,580)
Citation 1

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

24.

Extracting Statistical Factors When Betas are Time-Varying

Number of pages: 68 Posted: 30 Jul 2019
Patrick Gagliardini and Hao Ma
USI Università della Svizzera italiana and USI Università della Svizzera italiana
Downloads 41 (424,345)
Citation 1

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

25.

Estimation of Large Dimensional Conditional Factor Models in Finance

Swiss Finance Institute Research Paper No. 19-46
Number of pages: 76 Posted: 28 Aug 2019 Last Revised: 14 Sep 2019
Patrick Gagliardini, Elisa Ossola and O. Scaillet
USI Università della Svizzera italiana, European Commission, Joint Research Centre and University of Geneva GSEM and GFRI
Downloads 32 (457,958)

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

26.

Vector Autoregressive Model With Dynamic Factors

Number of pages: 95 Posted: 09 Jan 2019
Federico Carlini and Patrick Gagliardini
Università della Svizzera italiana and USI Università della Svizzera italiana
Downloads 8 (595,224)

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State Space, FAVAR, Identification, Network, Financial Crisis

27.

Wage Mobility: A Functional Copula Approach

Number of pages: 76 Posted: 10 Dec 2018
Costanza Naguib and Patrick Gagliardini
University of St. Gallen and USI Università della Svizzera italiana
Downloads 3 (629,937)

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