Spread Term Structure and Default Correlation
Patrick Gagliardini, Christian Gouriéroux
Published in Annals of economics and statistics (01.12.2016)
Published in Annals of economics and statistics (01.12.2016)
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Journal Article
A diagnostic criterion for approximate factor structure
Gagliardini, Patrick, Ossola, Elisa, Scaillet, Olivier
Published in Journal of econometrics (01.10.2019)
Published in Journal of econometrics (01.10.2019)
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Journal Article
Discussion: Nonparametric estimation of noisy integral equations of the second kind
Gagliardini, Patrick, Scaillet, O.
Published in Journal of the Korean Statistical Society (01.06.2009)
Published in Journal of the Korean Statistical Society (01.06.2009)
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Journal Article
Is it alpha or beta? Decomposing hedge fund returns when models are misspecified
Ardia, David, Barras, Laurent, Gagliardini, Patrick, Scaillet, Olivier
Published in Journal of financial economics (01.04.2024)
Published in Journal of financial economics (01.04.2024)
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Journal Article
On cheap entropy-sparsified regression learning
Horenko, Illia, Vecchi, Edoardo, Kardoš, Juraj, Wächter, Andreas, Schenk, Olaf, O'Kane, Terence J, Gagliardini, Patrick, Gerber, Susanne
Published in Proceedings of the National Academy of Sciences - PNAS (03.01.2023)
Published in Proceedings of the National Academy of Sciences - PNAS (03.01.2023)
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Journal Article
Granularity adjustment for risk measures: Systematic vs unsystematic risks
Gagliardini, Patrick, Gouriéroux, Christian
Published in International journal of approximate reasoning (01.08.2013)
Published in International journal of approximate reasoning (01.08.2013)
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Journal Article
Correlated risks vs contagion in stochastic transition models
Gagliardini, Patrick, Gouriéroux, Christian
Published in Journal of economic dynamics & control (01.11.2013)
Published in Journal of economic dynamics & control (01.11.2013)
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Journal Article
Challenges in the teaching of econometrics : the lesson of Pietro Balestra
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Journal Article
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