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

SCHOLARLY PAPERS

30

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9,262

SSRN CITATIONS
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Top 5,487

in Total Papers Citations

185

CROSSREF CITATIONS

57

Scholarly Papers (30)

1.

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 925 (38,739)

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

2.

Is it Alpha or Beta? A Formal Evaluation of Hedge Fund Models

Swiss Finance Institute Research Paper No. 20-82
Number of pages: 71 Posted: 18 Sep 2020 Last Revised: 01 Nov 2022
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 850 (43,529)

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Hedge fund performance, alternative strategies, misspecification, model comparison

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 652 (61,887)
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 505 (85,358)
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 486 (89,465)
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.

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 425 (103,760)
Citation 52

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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 2 (987,311)
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GDP growth, Group Factor models, MIDAS

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 391 (114,343)
Citation 10

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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

8.
Downloads 371 (122,822)

Three Common Factors

Number of pages: 125 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 371 (121,869)

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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
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factor zoo, portfolio sorting, Testing common factors

9.

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 325 (141,485)
Citation 5

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

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 322 (142,821)
Citation 5

Abstract:

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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 307 (150,147)
Citation 3

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

12.

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 301 (153,318)
Citation 3

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

13.

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 283 (163,468)
Citation 6

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

14.

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 278 (166,529)
Citation 11

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

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 263 (176,036)
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

16.

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 260 (178,125)
Citation 6

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

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 216 (212,661)
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 38 (653,571)

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

18.

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 239 (193,521)
Citation 8

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

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 239 (195,096)
Citation 6

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General equilibrium, ambiguity, term structure, interest rate derivatives

20.

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 216 (213,177)
Citation 8

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

21.

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 189 (240,575)
Citation 6

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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

22.

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 188 (241,668)
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

23.

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 180 (251,091)
Citation 11

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

24.

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 166 (269,265)
Citation 4

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

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 164 (272,055)
Citation 15

Abstract:

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

26.

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 155 (285,001)

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Generalized Method of Moments, Derivative pricing, Stochastic Volatility

27.

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 139 (311,162)
Citation 2

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

28.

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 92 (419,258)

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State Space, FAVAR, Identification, Network, Financial Crisis

29.

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 51 (568,566)

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

30.

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
HEC Montreal, University of Lugano and Swiss Finance Institute - University of Geneva
Downloads 44 (604,251)

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