Browsing All of EconStor by Author Robotti, Cesare


Showing results 1 to 20 of 20
Year of PublicationTitleAuthor(s)
2001The price of inflation and foreign exchange risk in international equity marketsRobotti, Cesare
2001Minimum-variance kernels, economic risk premia, and tests of multi-beta modelsBalduzzi, Pierluigi; Robotti, Cesare
2003Playing the field: Geomagnetic storms and international stock marketsKrivelyova, Anna; Robotti, Cesare
2003Dynamic strategies, asset pricing models, and the out-of-sample performance of the tangency portfolioRobotti, Cesare
2005Asset-pricing models and economic risk premia: A decompositionBalduzzi, Pierluigi; Robotti, Cesare; Balduzzi, Pierluigi; Robotti, Cesare
2005Mimicking portfolios, economic risk premia, and tests of multi-beta modelsBalduzzi, Pierluigi; Robotti, Cesare; Balduzzi, Pierluigi; Robotti, Cesare
2006Specification tests of asset pricing models using excess returnsKan, Raymond; Robotti, Cesare
2007Model comparison using the Hansen-Jagannathan distanceKan, Raymond; Robotti, Cesare
2008The exact distribution of the Hansen-Jagannathan boundKan, Raymond; Robotti, Cesare
2009A note on the estimation of asset pricing models using simple regression betasKan, Raymond; Robotti, Cesare
2009Pricing model performance and the two-pass cross-sectional regression methodologyKan, Raymond; Robotti, Cesare; Shanken, Jay
2010On the Hansen-Jagannathan distance with a no-arbitrage constraintGospodinov, Nikolay; Kan, Raymond; Robotti, Cesare
2010Further results on the limiting distribution of GMM sample moment conditionsGospodinov, Nikolay; Kan, Raymond; Robotti, Cesare
2011Chi-squared tests for evaluation and comparison of asset pricing modelsGospodinov, Nikolay; Kan, Raymond; Robotti, Cesare
2012Analytical solution for the constrained Hansen-Jagannathan distance under multivariate ellipticityGospodinov, Nikolay; Kan, Raymond; Robotti, Cesare
2012Robust iInference in linear asset pricing modelsGospodinov, Nikolay; Kan, Raymond; Robotti, Cesare
2013Misspecification-robust inference in linear asset pricing models with irrelevant risk factorsGospodinov, Nikolay; Kan, Raymond; Robotti, Cesare
2014Spurious inference in unidentified asset-pricing modelsGospodinov, Nikolay; Kan, Raymond; Robotti, Cesare
2015Asymptotic variance approximations for invariant estimators in uncertain asset-pricing modelsGospodinov, Nikolay; Kan, Raymond; Robotti, Cesare
2017Too good to be true? Fallacies in evaluating risk factor modelsGospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare