Patrick Gagliardini

发表

Extracting Statistical Factors When Betas are Time-Varying

Patrick Gagliardini, Hao Ma, P. Gagliardini, 2019, SSRN Electronic Journal.

On a scalable nonparametric denoising of time series signals

Illia Horenko, Patrick Gagliardini, William Sawyer, 2018 .

National Centre of Competence in Research Financial Valuation and Risk Management

Olivier Scaillet, Patrick Gagliardini, D. Luenberger, 2007 .

On a computationally-scalable sparse formulation of the multidimensional and non-stationary maximum entropy principle pdf

Illia Horenko, Patrick Gagliardini, Ganna Marchenko, 2020, ArXiv.

Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models Using MIDAS Regressions and ARCH Models

Eric Ghysels, Patrick Gagliardini, Mirco Rubin, 2016 .

Granularity adjustment for risk measures: Systematic vs unsystematic risks

Patrick Gagliardini, Christian Gouriéroux, C. Gouriéroux, 2013, Int. J. Approx. Reason..

Towards a Computationally Tractable Maximum Entropy Principle for Nonstationary Financial Time Series

Illia Horenko, Patrick Gagliardini, Ganna Marchenko, 2018, SIAM J. Financial Math..

Double instrumental variable estimation of interaction models with big data

Christian Gourieroux, Patrick Gagliardini, C. Gouriéroux, 2017 .

Nonlinear Dynamic Panel Data Model

Christian Gourieroux, Patrick Gagliardini, 2014 .

On the Informational Content of Changing Risk for Dynamic Asset Allocation

Patrick Gagliardini, Fabio Trojani, Giovanni Barone-Adesi, 2000 .

National Centre of Competence in Research Financial Valuation and Risk Management Working Paper No . 293 An Efficient Nonparametric Estimator for Models with Nonlinear Dependence

Christian Gourieroux, Patrick Gagliardini, C. Gouriéroux, 2006 .

Financial Valuation and Risk Management Working Paper No . 294 Stochastic Migration Models with Application to Corporate Risk

Christian Gourieroux, Patrick Gagliardini, C. Gouriéroux, 2006 .

Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets

Olivier Scaillet, Patrick Gagliardini, P. Gagliardini, 2016 .

Estimation of Large Dimensional Conditional Factor Models in Finance

Patrick Gagliardini, O. Scaillet, P. Gagliardini, 2019, Handbook of Econometrics.

Financial Valuation and Risk Management Working Paper No . 725 Time-Varying Risk Premium in Large Cross-Sectional Equity Datasets

Patrick Gagliardini, O. Scaillet, P. Gagliardini, 2013 .

Efficient Derivative Pricing by the Extended Method of Moments

Christian Gourieroux, Eric Renault, Patrick Gagliardini, 2009 .

A Diagnostic Criterion for Approximate Factor Structure

Olivier Scaillet, Patrick Gagliardini, P. Gagliardini, 2016, Journal of Econometrics.

Microinformation, Nonlinear Filtering and Granularity

Alain Monfort, Christian Gourieroux, Patrick Gagliardini, 2010 .

THE WEATHER DERIVATIVES MARKET: MODELLING AND PRICING TEMPERATURE

Patrick Gagliardini, O. Scaillet, G. Barone-Adesi, 2005 .

Granularity Theory with Applications to Finance and Insurance

Christian Gourieroux, Patrick Gagliardini, 2014 .