Paolo Zaffaroni

Imperial College Business School

South Kensington Campus

Exhibition Road

London SW7 2AZ, SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

15

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2,677

SSRN CITATIONS
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Top 9,581

in Total Papers Citations

62

CROSSREF CITATIONS

71

Scholarly Papers (15)

1.

Portfolio Choice with Model Misspecification: A Foundation for Alpha and Beta Portfolios

Number of pages: 92 Posted: 03 Dec 2015 Last Revised: 12 Jul 2016
Raman Uppal and Paolo Zaffaroni
EDHEC Business School and Imperial College Business School
Downloads 556 (60,957)
Citation 4

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Active and passive portfolios, pricing errors, managerial skill, factor models, mean-variance portfolio, global-minimum-variance portfolio, estimation error, robust estimation

Optimal Asset Allocation with Factor Models for Large Portfolios

CESifo Working Paper Series No. 2326
Number of pages: 38 Posted: 13 Jun 2008
M. Hashem Pesaran and Paolo Zaffaroni
University of Southern California - Department of Economics and Imperial College Business School
Downloads 259 (144,914)

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asset allocation, large portfolios, factor models, diversification

Optimal Asset Allocation with Factor Models for Large Portfolios

IEPR Working Paper No. 08.7
Number of pages: 34 Posted: 27 Mar 2008
M. Hashem Pesaran and Paolo Zaffaroni
University of Southern California - Department of Economics and Imperial College Business School
Downloads 245 (153,088)
Citation 7

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Asset allocation, Large Porftolios, Factor models, Diversification

3.

Testing Beta-Pricing Models Using Large Cross-Sections

Number of pages: 58 Posted: 28 Feb 2017
Valentina Raponi, Cesare Robotti and Paolo Zaffaroni
Imperial College Business School, Imperial College Business School and Imperial College Business School
Downloads 279 (134,800)
Citation 13

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beta-pricing models, ex-post risk premia, two-pass cross-sectional regression, large $N$ asymptotics, specification test; unbalanced panel

4.

Survival of Commodity Trading Advisors: Systematic vs. Discretionary CTAs

Number of pages: 89 Posted: 12 Jun 2012 Last Revised: 20 Mar 2014
Julia Arnold and Paolo Zaffaroni
Imperial College London and Imperial College Business School
Downloads 264 (142,698)
Citation 1

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CTA failure, liquidation, median survival, attrition rate, downside risk, systematic, diretionary

5.

Model Averaging in Risk Management with an Application to Futures Markets

CESifo Working Paper Series No. 2231, IEPR Working Paper No. 08.3
Number of pages: 52 Posted: 26 Feb 2008
University of Southern California - Department of Economics, Bank of England and Imperial College Business School
Downloads 246 (153,064)
Citation 2

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model averaging, Value-at-Risk, decision based evaluations

6.

Long Memory Affine Term Structure Models

Journal of Econometrics, Vol. 191, No. 1, 2016
Number of pages: 61 Posted: 21 Mar 2011 Last Revised: 27 Aug 2017
Adam Golinski and Paolo Zaffaroni
University of York and Imperial College Business School
Downloads 216 (173,366)
Citation 2

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Term structure, long memory, no arbitrage, state space

Fast Micro and Slow Macro: Can Aggregation Explain the Persistence of Inflation?

FRB of Chicago Working Paper No. 2007-02
Number of pages: 37 Posted: 07 Mar 2007
Filippo Altissimo, Benoit Mojon and Paolo Zaffaroni
Brevan Howard Asset Management LLP, Banque de France and Imperial College Business School
Downloads 108 (307,119)
Citation 38

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Inflation dynamics, aggregation and persistence, euro area

Fast Micro and Slow Macro: Can Aggregation Explain the Persistence of Inflation?

ECB Working Paper No. 729
Number of pages: 39 Posted: 20 Feb 2007
Benoit Mojon, Paolo Zaffaroni and Filippo Altissimo
Banque de France, Imperial College Business School and Brevan Howard Asset Management LLP
Downloads 95 (334,837)

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Inflation dynamics, aggregation and persistence, euro area

8.

Factor Models for Asset Pricing

Number of pages: 112 Posted: 14 Jun 2019
Paolo Zaffaroni
Imperial College Business School
Downloads 154 (233,639)
Citation 4

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Arbitrage Pricing Theory; Latent Factor Model; Time-Variation; Risk Premia; Stochastic Discount Factor; Principal Component Analysis

9.

The Long Range Dependence Paradigm for Macroeconomics and Finance

Number of pages: 25 Posted: 11 Dec 2011
Marc Henry and Paolo Zaffaroni
Pennsylvania State University and Imperial College Business School
Downloads 136 (258,375)
Citation 8

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Self-similarity, time series, FARIMA, nonlinear time series, ARCH, stochastic volatility, arbitrage

10.

Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios

CESifo Working Paper Series No. 2857
Number of pages: 54 Posted: 03 Dec 2009
M. Hashem Pesaran and Paolo Zaffaroni
University of Southern California - Department of Economics and Imperial College Business School
Downloads 70 (398,009)

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large portfolios, factor models, mean-variance portfolio, arbitrage pricing, market (beta) neutrality, well diversification

11.

Robust Nearly-Efficient Estimation of Large Panels With Factor Structures

Number of pages: 96 Posted: 17 Feb 2019
Marco Avarucci and Paolo Zaffaroni
University of Rome Tor Vergata - Department of Financial and Quantitative Economics and Imperial College Business School
Downloads 30 (562,844)

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GLS Estimation, Panel, Factor Structure, Robustness, Bias-Correction

12.

Contemporaneous Aggregation of GARCH Processes

Journal of Time Series Analysis, Vol. 28, No. 4, pp. 521-544, July 2007
Number of pages: 24 Posted: 18 Jun 2007
Paolo Zaffaroni
Imperial College Business School
Downloads 16 (655,531)
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13.

Large-Scale Volatility Models: Theoretical Properties of Professionals' Practice

Journal of Time Series Analysis, Vol. 29, Issue 3, pp. 581-599, May 2008
Number of pages: 19 Posted: 22 Apr 2008
Paolo Zaffaroni
Imperial College Business School
Downloads 3 (755,499)
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14.

Eigenvalue Ratio Estimators for the Number of Common Factors

CEPR Discussion Paper No. DP11440
Number of pages: 41 Posted: 22 Aug 2016
Advanced School of Economics in Venice, Università di Modena; Centre for Economic Policy Research (CEPR), Dipartimento di Scienze Economiche (DiSSE) and Imperial College Business School
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15.

Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis

CEPR Discussion Paper No. DP10618
Number of pages: 53 Posted: 27 May 2015
Mario Forni, Marc Hallin, Marco Lippi and Paolo Zaffaroni
Università di Modena; Centre for Economic Policy Research (CEPR), ECARES, Universite Libre de Bruxelles, Dipartimento di Scienze Economiche (DiSSE) and Imperial College Business School
Downloads 0 (793,642)
Citation 6
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Consistency and rates., Generalized dynamic factor models., High -dimensional time series., One-sided representations of dynamic factor models., Vector processes with singular spectral density