Patrick Gagliardini

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Spanning latent and observable factors Journal of Econometrics	2025-03-18	Paper
On cheap entropy-sparsified regression learning Proceedings of the National Academy of Sciences of the United States of America	2025-03-06	Paper
Instrumental variables inference in a small-dimensional VAR model with dynamic latent factors Econometric Theory	2025-02-10	Paper
On a computationally scalable sparse formulation of the multidimensional and nonstationary maximum entropy principle Communications in Applied Mathematics and Computational Science	2021-01-21	Paper
A diagnostic criterion for approximate factor structure Journal of Econometrics	2019-10-23	Paper
A diagnostic criterion for approximate factor structure Journal of Econometrics	2019-10-23	Paper
Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects Journal of Econometrics	2019-04-29	Paper
Towards a computationally tractable maximum entropy principle for nonstationary financial time series SIAM Journal on Financial Mathematics	2019-03-20	Paper
Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets Econometrica	2019-01-31	Paper
Correlated risks vs contagion in stochastic transition models Journal of Economic Dynamics and Control	2018-11-01	Paper
On a scalable nonparametric denoising of time series signals Communications in Applied Mathematics and Computational Science	2018-04-26	Paper
Double instrumental variable estimation of interaction models with big data Journal of Econometrics	2017-11-07	Paper
Semi-parametric estimation of American option prices Journal of Econometrics	2017-05-12	Paper
Semi-parametric estimation of American option prices Journal of Econometrics	2017-05-12	Paper
Tikhonov regularization for nonparametric instrumental variable estimators Journal of Econometrics	2016-08-15	Paper
An efficient nonparametric estimator for models with nonlinear dependence Journal of Econometrics	2016-05-02	Paper
Robust GMM tests for structural breaks Journal of Econometrics	2016-04-01	Paper
Granularity adjustment for risk measures: systematic vs unsystematic risks International Journal of Approximate Reasoning	2015-07-10	Paper
Efficiency in large dynamic panel models with common factors Econometric Theory	2014-11-14	Paper
Discussion: Nonparametric estimation of noisy integral equations of the second kind Journal of the Korean Statistical Society	2014-08-01	Paper
Nonparametric instrumental variable estimation of structural quantile effects Econometrica	2013-11-08	Paper
Efficient derivative pricing by the extended method of moments Econometrica	2012-10-26	Paper
Duration time-series models with proportional hazard Journal of Time Series Analysis	2009-02-28	Paper

Research outcomes over time

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