Similar Search Results

Efficient derivative pricing by extended method of moments

Gagliardini, Patrick; Gouriéroux, Christian; Renault, Eric - 2005

Persistent link: https://www.econbiz.de/10002771895

Testing asset pricing models with coskewness

Barone-Adesi, Giovanni; Gagliardini, Patrick; Urga, Giovanni - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 4, pp. 474-485

Persistent link: https://www.econbiz.de/10002374125

Efficient derivative pricing by extended method of moments

Gagliardini, Patrick; Gouriéroux, Christian; Renault, Eric - 2004

Persistent link: https://www.econbiz.de/10002597912

A specification test for nonparametric instrumental variable regression

Gagliardini, Patrick; Scaillet, Olivier - 2007

Persistent link: https://www.econbiz.de/10003936086

Tikhonov regularization for nonparametric instrumental variable estimators

Gagliardini, Patrick; Scaillet, Olivier - In: Journal of econometrics 167 (2012) 1, pp. 61-75

Persistent link: https://www.econbiz.de/10009551442

Time-varying risk premium in large cross-sectional equidity datasets

Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - 2011

We develop an econometric methodology to infer the path of risk premia from large unbalanced panel of individual stock returns. We estimate the time-varying risk premia implied by conditional linear asset pricing models where the conditioning includes instruments common to all assets and asset...