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Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models
Gagliardini, Patrick; Ghysels, Eric; Rubin, M. - In: Journal of financial econometrics : official journal of … 15 (2017) 4, pp. 509-560
Persistent link: https://www.econbiz.de/10011987633
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Time-varying risk premium in large cross-sectional equity data sets
Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 3, pp. 985-1046
Persistent link: https://www.econbiz.de/10011579614
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Spread term structure and default correlation
Gagliardini, Patrick; Gouriéroux, Christian - In: Annals of economics and statistics 123/124 (2016), pp. 175-223
Persistent link: https://www.econbiz.de/10011592744
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Efficiency in large dynamic panel models with common factors
Gagliardini, Patrick; Gouriéroux, Christian - In: Econometric theory 30 (2014) 5, pp. 961-1020
Persistent link: https://www.econbiz.de/10010502133
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Comparing asset pricing models by the conditional Hansen-Jagannathan distance
Gagliardini, Patrick; Ronchetti, Diego - In: Journal of financial econometrics 18 (2020) 2, pp. 333-394
Persistent link: https://www.econbiz.de/10012232965
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Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects
Gagliardini, Patrick; Gouriéroux, Christian - In: Journal of econometrics 208 (2019) 2, pp. 613-637
Persistent link: https://www.econbiz.de/10012149372
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A specification test for nonparametric instrumental variable regression
Gagliardini, Patrick; Scaillet, Olivier - In: Annals of economics and statistics 128 (2017), pp. 151-202
Persistent link: https://www.econbiz.de/10011776891
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Double instrumental variable estimation of interaction models with big data
Gagliardini, Patrick; Gouriéroux, Christian - In: Journal of econometrics 201 (2017) 2, pp. 176-197
Persistent link: https://www.econbiz.de/10011918688
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Stochastic migration models with application to corporate risk
Gagliardini, Patrick; Gouriéroux, Christian - In: Journal of financial econometrics : official journal of … 3 (2005) 2, pp. 188-226
Persistent link: https://www.econbiz.de/10002811337
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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