Paolo Zaffaroni

Imperial College Business School

South Kensington Campus

Exhibition Road

London SW7 2AZ, SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

18

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6,380

SSRN CITATIONS
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Top 9,498

in Total Papers Citations

101

CROSSREF CITATIONS

66

Scholarly Papers (18)

1.

Asset Pricing: Cross-section Predictability

Number of pages: 47 Posted: 19 May 2022 Last Revised: 12 Sep 2023
Paolo Zaffaroni and Guofu Zhou
Imperial College Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 1,172 (32,989)
Citation 2

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Cross section, Fama-MacBeth regression, cross-section forecasting, factor models, fundamental models, firm characteristics, machine learning

2.

Cross-Sectional Asset Pricing with Unsystematic Risk

Number of pages: 112 Posted: 17 Jun 2022 Last Revised: 06 Feb 2024
Imperial College London, EDHEC Business School, Imperial College Business School and HEC Paris
Downloads 834 (53,142)

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Unsystematic risk, weak factors, factor models, model misspecification

3.

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 706 (66,375)
Citation 5

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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

4.

Robust Portfolio Choice

Number of pages: 77 Posted: 01 Oct 2021 Last Revised: 23 Feb 2023
Valentina Raponi, Raman Uppal and Paolo Zaffaroni
University of Navarra, IESE Business School, EDHEC Business School and Imperial College Business School
Downloads 553 (90,299)
Citation 1

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Model misspecification, factor models, factor investing, alpha, beta, latent asset demand

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 284 (191,338)
Citation 2

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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 261 (208,579)
Citation 6

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Asset allocation, Large Porftolios, Factor models, Diversification

6.

Factor Models for Asset Pricing

Number of pages: 112 Posted: 14 Jun 2019
Paolo Zaffaroni
Imperial College Business School
Downloads 537 (93,684)
Citation 4

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

7.

Testing Beta-Pricing Models Using Large Cross-Sections

Number of pages: 58 Posted: 28 Feb 2017
Valentina Raponi, Cesare Robotti and Paolo Zaffaroni
University of Navarra, IESE Business School, Imperial College Business School and Imperial College Business School
Downloads 369 (145,521)
Citation 34

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

8.

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 316 (172,124)
Citation 1

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

9.

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 268 (204,167)
Citation 2

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

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 143 (361,111)
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 117 (422,137)

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Inflation dynamics, aggregation and persistence, euro area

11.

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 243 (224,969)
Citation 2

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Term structure, long memory, no arbitrage, state space

12.

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 201 (268,993)
Citation 8

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

13.

Dissecting Anomalies in Conditional Asset Pricing

IESE Business School Working Paper No. 4485448
Number of pages: 80 Posted: 23 Jun 2023 Last Revised: 07 Dec 2023
Valentina Raponi and Paolo Zaffaroni
University of Navarra, IESE Business School and Imperial College Business School
Downloads 140 (366,641)

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Anomalies, time-variation, two-pass methodology, OLS, WLS, global misspecification, cross-sectional R-square, large-N asymptotics

14.

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 100 (470,954)

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

The Main Business Cycle Shock(S). Frequency-Band Estimation of the Number of Dynamic Factors

Number of pages: 55 Posted: 24 Nov 2021
University of Glasgow, Adam Smith Business School, Università degli studi di Modena e Reggio Emilia (UNIMORE) - Dipartimento di Economia Marco Biagi di Modena, Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and Economics and Imperial College Business School
Downloads 84 (531,670)
Citation 2

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Generalized Dynamic Factor Models, Number of Dynamic Factors, Frequency Bands, Business Cycle, Permanent Component

The Main Business Cycle Shock(s): Frequency-Band Estimation of the Number of Dynamic Factors

CEPR Discussion Paper No. DP17281
Number of pages: 97 Posted: 27 May 2022
University of Glasgow, Adam Smith Business School, Università degli studi di Modena e Reggio Emilia (UNIMORE), Università degli studi di Modena e Reggio Emilia (UNIMORE) - Dipartimento di Economia Marco Biagi di Modena and Imperial College Business School
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Citation 1
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16.

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 52 (675,909)

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

17.

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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18.

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 (1,094,487)
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