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A diagnostic criterion for approximate factor structure

Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - In: Journal of econometrics 212 (2019) 2, pp. 503-521

Persistent link: https://www.econbiz.de/10012304081

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

Skill, scale, and value creation in the mutual fund industry

Barras, Laurent; Gagliardini, Patrick; Scaillet, Olivier - In: The journal of finance : the journal of the American … 77 (2022) 1, pp. 601-638

Persistent link: https://www.econbiz.de/10012796523

Is it alpha or beta? : decomposing hedge fund returns when models are misspecified

Ardia, David; Barras, Laurent; Gagliardini, Patrick; … - In: Journal of financial economics 154 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10015072088

Chapter 3. Estimation of large dimensional conditional factor models in finance

Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - In: Handbook of econometrics : Volume 7A, (pp. 219-282). 2020

This chapter surveys recent econometric methodologies for inference in large dimensional conditional factor models in finance. Changes in the business cycle and asset characteristics induce time variation in factor loadings and risk premia to be accounted for. The growing trend in the use of...

Persistent link: https://www.econbiz.de/10014024924