Cesare Robotti - Central Bank Research Hub

Papers by year: All | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2003

Title Other author(s)

Misspecification-Robust Inference in Linear Asset Pricing Models with Irrelevant Risk Factors

Atlanta Fed Working papers [View] (Paper: 2013-09, 01.11.2013)

Analytical Solution for the Constrained Hansen-Jagannathan Distance under Multivariate Ellipticity

Atlanta Fed Working papers [View] (Paper: 2012-18, 08.11.2012)

JEL: G12

Robust Inference in Linear Asset Pricing Models

Atlanta Fed Working papers [View] (Paper: 2012-17, 08.11.2012)

JEL: C13, C32, G12

Chi-Squared Tests for Evaluation and Comparison of Asset Pricing Models

Atlanta Fed Working papers [View] (Paper: 2011-08, 30.03.2011)

JEL: C12, C13, G12

Further Results on the Limiting Distribution of GMM Sample Moment Conditions

Atlanta Fed Working papers [View] (Paper: 2010-11, 30.07.2010)

JEL: C13, C32, G12

Working Paper 2010-4

Atlanta Fed Working papers [View] (Paper: 2010-04, 09.04.2010)

JEL: C12, C13, G12

A Note on the Estimation of Asset Pricing Models Using Simple Regression Betas

Atlanta Fed Working papers [View] (Paper: 2009-12, 24.03.2009)

Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

Atlanta Fed Working papers [View] (Paper: 2009-11, 24.03.2009)

The Exact Distribution of the Hansen-Jagannathan Bound

Atlanta Fed Working papers [View] (Paper: 2008-09, 26.02.2008)

Model Comparison Using the Hansen-Jagannathan Distance

Atlanta Fed Working papers [View] (Paper: 2007-04, 01.06.2007)

Specification Tests of Asset Pricing Models Using Excess Returns

Atlanta Fed Working papers [View] (Paper: 2006-10, 05.10.2006)

Asset-Pricing Models and Economic Risk Premia: A Decomposition

Atlanta Fed Working papers [View] (Paper: 2005-13, 29.07.2005)

JEL: G12

Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-beta Models

Atlanta Fed Working papers [View] (Paper: 2005-04, 11.03.2005)

JEL: G12

Playing the Field: Geomagnetic Storms and International Stock Markets

Atlanta Fed Working papers [View] (Paper: 2003-5a, 06.03.2003)

Playing the Field: Geomagnetic Storms and International Stock Markets

Atlanta Fed Working papers [View] (Paper: 2003-5, 21.02.2003)

JEL: G1

Dynamic Strategies, Asset Pricing Models, and the Out-of-Sample Performance of the Tangency Portfolio

Atlanta Fed Working papers [View] (Paper: 2003-6, 21.02.2003)

JEL: G11, G12, G15

Minimum-Variance Kernels, Economic Risk Premia, and Tests of Multi-beta Models

Atlanta Fed Working papers [View] (Paper: 2001-24, 31.01.2003)

JEL: G12

The Price of Inflation and Foreign Exchange Risk in International Equity Markets

Atlanta Fed Working papers [View] (Paper: 2001-26, 31.01.2003)

JEL: G12, G15

Papers by year: All | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2003