Paolo Zaffaroni

Imperial College Business School

South Kensington Campus

Exhibition Road

London SW7 2AZ, SW7 2AZ

United Kingdom

  • Imperial College Business School

SCHOLARLY PAPERS

17

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83

CROSSREF CITATIONS

65

Scholarly Papers (17)

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1.

Asset Pricing: Cross-section Predictability

Number of pages: 43 Posted: 19 May 2022
Paolo Zaffaroni and Guofu Zhou
Imperial College Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 838 (46,934)

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

2.

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 664 (64,008)
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

3.

Optimal Asset Allocation with Factor Models for Large Portfolios

Downloads 534 (84,168)
Citation 5

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 276 (176,398)

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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 258 (188,908)
Citation 8

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Asset allocation, Large Porftolios, Factor models, Diversification

4.

Robust Portfolio Choice

Number of pages: 77 Posted: 01 Oct 2021 Last Revised: 23 Feb 2023
Valentina Raponi, Valentina Raponi, Raman Uppal and Paolo Zaffaroni
IESE Business SchoolImperial College Business School, EDHEC Business School and Imperial College Business School
Downloads 414 (114,491)
Citation 1

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

5.

Factor Models for Asset Pricing

Number of pages: 112 Posted: 14 Jun 2019
Paolo Zaffaroni
Imperial College Business School
Downloads 410 (115,472)
Citation 4

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

6.

Testing Beta-Pricing Models Using Large Cross-Sections

Number of pages: 58 Posted: 28 Feb 2017
Valentina Raponi, Valentina Raponi, Cesare Robotti and Paolo Zaffaroni
IESE Business SchoolImperial College Business School, Imperial College Business School and Imperial College Business School
Downloads 333 (145,594)
Citation 24

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

7.

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 300 (162,572)
Citation 1

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

8.

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
M. Hashem Pesaran, Christoph Schleicher and Paolo Zaffaroni
University of Southern California - Department of Economics, Bank of England and Imperial College Business School
Downloads 260 (188,270)
Citation 2

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

9.

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

Downloads 247 (198,122)
Citation 32

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 135 (338,026)
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 112 (388,951)

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Inflation dynamics, aggregation and persistence, euro area

10.

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 231 (211,357)
Citation 2

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Term structure, long memory, no arbitrage, state space

11.

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 194 (248,548)
Citation 8

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

12.

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 96 (430,408)

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

13.

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

Downloads 70 (519,130)
Citation 1

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

Number of pages: 55 Posted: 24 Nov 2021
Marco Avarucci, Maddalena Cavicchioli, Mario Forni and Paolo Zaffaroni
University of Glasgow - Adam Smith Business School, Students, 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 70 (525,952)
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
Marco Avarucci, Maddalena Cavicchioli, Mario Forni and Paolo Zaffaroni
University of Glasgow - Adam Smith Business School, Students, 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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14.

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 46 (632,304)

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

15.

What is Missing in Asset-Pricing Factor Models?

Number of pages: 100 Posted: 17 Jun 2022
Massimo Dello Preite, Raman Uppal, Paolo Zaffaroni and Irina Zviadadze
Imperial College London, EDHEC Business School, Imperial College Business School and HEC Paris
Downloads 405

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Unsystematic risk, weak factors, factor models, model misspecification

16.

Eigenvalue Ratio Estimators for the Number of Common Factors

CEPR Discussion Paper No. DP11440
Number of pages: 41 Posted: 22 Aug 2016
Maddalena Cavicchioli, Mario Forni, Marco Lippi and Paolo Zaffaroni
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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17.

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 (980,445)
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