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Patrick Gagliardini
Researcher at University of Lugano
Publications - 99
Citations - 1349
Patrick Gagliardini is an academic researcher from University of Lugano. The author has contributed to research in topics: Estimator & Nonparametric statistics. The author has an hindex of 18, co-authored 91 publications receiving 1197 citations. Previous affiliations of Patrick Gagliardini include University of St. Gallen & École Polytechnique Fédérale de Lausanne.
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Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
TL;DR: This article developed an econometric methodology to infer the path of risk premia from a large unbalanced panel of individual stock returns, using simple weighted two-pass cross-sectional regressions.
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Testing Asset Pricing Models With Coskewness
TL;DR: In this paper, the authors investigate portfolio coskewness using a quadratic market model as a return-generating process and find evidence of an additional component in expected excess returns, which is not explained by either covariance or co-shwness with the market.
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Efficient Derivative Pricing by the Extended Method of Moments
TL;DR: In this paper, the Extended Method of Moments (XMM) estimator is introduced, which accommodates a more general set of moment restrictions than the standard generalized method of moments estimator.
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Ambiguity Aversion and the Term Structure of Interest Rates
TL;DR: This paper studied the term structure implications of a simple structural economy in which the representative agent displays ambiguity aversion, modeled by multiple priors recursive utility, and found no apparent tradeoffs between fitting the first and second moments of the yield curve and the large equity premium.
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Stochastic Migration Models with Application to Corporate Risk
TL;DR: In this paper, the authors consider a set of Markovian processes with stochastic transition matrices and propose a model for the joint analysis of rating histories of several corporates, including the link between upgrades or downgrades.