Lorenzo Camponovo

University of St. Gallen

Varnbuelstr. 14

Saint Gallen, St. Gallen CH-9000

Switzerland

SCHOLARLY PAPERS

18

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SSRN CITATIONS
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Top 25,665

in Total Papers Citations

11

CROSSREF CITATIONS

25

Scholarly Papers (18)

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, Swiss Finance Institute - University of Geneva and University of Geneva
Downloads 357 (120,185)
Citation 6

Abstract:

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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, Swiss Finance Institute - University of Geneva and University of Geneva
Downloads 222 (194,870)
Citation 4

Abstract:

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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, Swiss Finance Institute - University of Geneva and University of Geneva
Downloads 172 (244,634)
Citation 8

Abstract:

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

4.

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, Swiss Finance Institute - University of Geneva and University of Geneva
Downloads 158 (262,628)

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

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 158 (262,628)
Citation 5

Abstract:

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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 151 (272,389)
Citation 1

Abstract:

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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 140 (289,236)
Citation 7

Abstract:

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

8.

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, Swiss Finance Institute - University of Geneva and University of Geneva
Downloads 126 (313,404)
Citation 2

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9.

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 102 (363,023)
Citation 4

Abstract:

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

10.

Wild Multiplicative Bootstrap for M and GMM Estimators in Time Series

Number of pages: 30 Posted: 07 May 2019
Francesco Audrino, Lorenzo Camponovo and Constantin Roth
University of St. Gallen, University of St. Gallen and University of St. Gallen
Downloads 57 (502,220)

Abstract:

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M and GMM Estimators, Time Series, Wild Bootstrap

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 48 (541,463)

Abstract:

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Block Bootstrap, Quasi-Likelihood Ratio Tests, Asymptotic Refinements

12.

Differencing Transformations and Robust Inference in Predictive Regression Models

Number of pages: 26 Posted: 16 Jun 2012
Lorenzo Camponovo
University of St. Gallen
Downloads 47 (546,164)

Abstract:

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Predictive regression models, differencing transfomations, robust inference

13.

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 45 (555,854)

Abstract:

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Bootstrap, Breakdown point, Instrumental variable regression

14.

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 41 (576,088)

Abstract:

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Bootstrap, Breakdown point, GMM

15.

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 30 (639,771)

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

16.

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 25 (674,762)

Abstract:

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17.

Bootstrap Inference for Penalized GMM Estimators with Oracle Properties

Number of pages: 19 Posted: 07 May 2019
Lorenzo Camponovo
University of St. Gallen
Downloads 24 (682,265)

Abstract:

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18.

Oracle Properties, Bias Correction, and Bootstrap Inference for Adaptive Lasso for Time Series M‐Estimators

Journal of Time Series Analysis, Vol. 39, Issue 2, pp. 111-128, 2018
Number of pages: 18 Posted: 14 Feb 2018
Francesco Audrino and Lorenzo Camponovo
University of St. Gallen and University of St. Gallen
Downloads 2 (896,175)
Citation 1

Abstract:

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Adaptive lasso, oracle properties, bias correction, bootstrap inference, Taylor rule monetary policy model