Lorenzo Camponovo

University of St. Gallen

Varnbuelstr. 14

Saint Gallen, St. Gallen CH-9000

Switzerland

SCHOLARLY PAPERS

16

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CITATIONS
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10

Scholarly Papers (16)

1.

Robust Resampling Methods for Time Series

Swiss Finance Institute Research Paper No. 09-38
Number of pages: 49 Posted: 14 Oct 2009 Last Revised: 27 Jan 2013
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and University of Geneva
Downloads 251 (86,160)
Citation 2

Abstract:

Subsampling, bootstrap, breakdown point, robustness, time series

2.

Robust Subsampling

Swiss Finance Institute Research Paper No. 06-33
Number of pages: 52 Posted: 26 Nov 2006 Last Revised: 11 Aug 2011
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and University of Geneva
Downloads 187 (124,225)
Citation 5

Abstract:

Subsampling, bootstrap, breakdown point, robustness

3.

Predictability Hidden by Anomalous Observations

Swiss Finance Institute Research Paper No. 13-05
Number of pages: 62 Posted: 23 Mar 2013 Last Revised: 05 Mar 2014
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and University of Geneva
Downloads 120 (170,650)
Citation 1

Abstract:

Predictive Regression, Stock Return Predictability, Bootstrap, Subsampling, Robustness

4.

Predictive Regression and Robust Hypothesis Testing: Predictability Hidden by Anomalous Observations

Number of pages: 57 Posted: 12 Jun 2012
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and University of Geneva
Downloads 70 (241,112)
Citation 1

Abstract:

5.

Testing the Lag Structure of Assets' Realized Volatility Dynamics

Number of pages: 37 Posted: 14 Jan 2015 Last Revised: 03 Feb 2015
Francesco Audrino, Lorenzo Camponovo and Constantin Roth
University of St. Gallen, University of St. Gallen and University of St. Gallen
Downloads 59 (230,814)

Abstract:

Realized volatility, Adaptive lasso, HAR model, Test for false positives, Lag structure

6.

On the Validity of the Pairs Bootstrap for Lasso Estimators

Number of pages: 22 Posted: 31 May 2014 Last Revised: 07 Feb 2015
Lorenzo Camponovo
University of St. Gallen
Downloads 54 (218,193)

Abstract:

7.

Oracle Properties, Bias Correction, and Inference of the Adaptive Lasso for Time Series Extremum Estimators

Number of pages: 38 Posted: 14 Oct 2013 Last Revised: 04 May 2015
Francesco Audrino and Lorenzo Camponovo
University of St. Gallen and University of St. Gallen
Downloads 48 (250,446)

Abstract:

Adaptive lasso, Time series, Oracle properties, Finite sample inference, Taylor rule monetary policy model

8.

Differencing Transformations and Robust Inference in Predictive Regression Models

Number of pages: 26 Posted: 16 Jun 2012
Lorenzo Camponovo
University of St. Gallen
Downloads 39 (339,642)

Abstract:

Predictive regression models, differencing transfomations, robust inference

9.

Robustness of Bootstrap in Instrumental Variable Regression

Cowles Foundation Discussion Paper No. 1796
Number of pages: 25 Posted: 25 Apr 2011
Lorenzo Camponovo and Taisuke Otsu
University of St. Gallen and Yale University - Cowles Foundation
Downloads 36 (346,031)
Citation 1

Abstract:

Bootstrap, Breakdown point, Instrumental variable regression

Breakdown Point Theory for Implied Probability Bootstrap

Cowles Foundation Discussion Paper No. 1793
Number of pages: 15 Posted: 22 Apr 2011
Lorenzo Camponovo and Taisuke Otsu
University of St. Gallen and Yale University - Cowles Foundation
Downloads 30 (388,405)

Abstract:

Bootstrap, Breakdown point, GMM

Breakdown Point Theory for Implied Probability Bootstrap

The Econometrics Journal, Vol. 15, Issue 1, pp. 32-55, 2012
Number of pages: 24 Posted: 17 Feb 2012
Lorenzo Camponovo and Taisuke Otsu
University of St. Gallen and Yale University - Cowles Foundation
Downloads 1 (549,951)

Abstract:

11.

Nonparametric Bootstrap for Quasi-Likelihood Ratio Tests

Number of pages: 30 Posted: 03 Sep 2011 Last Revised: 04 Nov 2011
Lorenzo Camponovo
University of St. Gallen
Downloads 30 (367,171)

Abstract:

Block Bootstrap, Quasi-Likelihood Ratio Tests, Asymptotic Refinements

12.

On Bartlett Correctability of Empirical Likelihood in Generalized Power Divergence Family

Cowles Foundation Discussion Paper No. 1825
Number of pages: 8 Posted: 15 Oct 2011
Lorenzo Camponovo and Taisuke Otsu
University of St. Gallen and Yale University - Cowles Foundation
Downloads 16 (425,817)

Abstract:

Bartlett correction, Empirical likelihood, Cressie-Read power divergence family

13.

Asymptotic Refinements of a Fully Nonparametric Bootstrap for Quasi-Likelihood Ratio Tests of Extremum Estimators

Number of pages: 27 Posted: 29 May 2014 Last Revised: 01 Feb 2015
Lorenzo Camponovo
University of St. Gallen
Downloads 15 (436,016)

Abstract:

14.

Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy

Swiss Finance Institute Research Paper No. 16-41
Number of pages: 20 Posted: 06 Jul 2016
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and University of Geneva
Downloads 0 (234,122)

Abstract:

Tail Risk, Risk Factor, Risk-Neutral Probability, Prediction of Market Returns, Economic Predictability

15.

Asymptotic Refinements of Nonparametric Bootstrap for Quasi‐Likelihood Ratio Tests for Classes of Extremum Estimators

The Econometrics Journal, Vol. 19, Issue 1, pp. 33-54, 2016
Number of pages: 22 Posted: 10 May 2016
Lorenzo Camponovo
University of St. Gallen
Downloads 0 (532,717)

Abstract:

Asymptotic refinements, Extremum estimators, Nonparametric bootstrap, Quasi‐likelihood ratio tests

16.

The Finite Sample Performance of Inference Methods for Propensity Score Matching and Weighting Estimators

IZA Discussion Paper No. 9706
Number of pages: 48 Posted: 15 Feb 2016
Hugo Bodory, Lorenzo Camponovo, Martin Huber and Michael Lechner
University of St. Gallen, University of St. Gallen, University of Fribourg and University of St. Gallen - Swiss Institute for Empirical Economic Research
Downloads 0 (378,670)

Abstract:

inference, variance estimation, treatment effects, matching, inverse probability weighting