This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Citations of
Fabio Trojani

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

| Working papers | Articles | Access and download statistics

Working papers

  1. Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2007. "Ambiguity Aversion and the Term Structure of Interest Rates," University of St. Gallen Department of Economics working paper series 2007 2007-29, Department of Economics, University of St. Gallen. [Downloadable!]
    Published as:

    Cited by:

    1. Isaac Kleshchelski & Nicolas Vincent, 2007. "Robust Equilibrium Yield Curves," Cahiers de recherche 08-02, HEC Montréal, Institut d'économie appliquée. [Downloadable!]

  2. Loriano Mancini & Elvezio Ronchetti & Fabio Trojani, 2005. "Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models," University of St. Gallen Department of Economics working paper series 2005 2005-01, Department of Economics, University of St. Gallen. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Davide La Vecchia & Fabio Trojani, 2008. "Infinitesimal Robustness for Diffusions," University of St. Gallen Department of Economics working paper series 2008 2008-09, Department of Economics, University of St. Gallen. [Downloadable!]
    2. Francesco Audrino & Fabio Trojani, 2007. "Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent," University of St. Gallen Department of Economics working paper series 2007 2007-24, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:
    3. Fabio Trojani & Markus Leippold & Paolo Vanini, 2005. "Learning and Asset Prices under Ambiguous Information," University of St. Gallen Department of Economics working paper series 2005 2005-03, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:

  3. Fabio Trojani & Markus Leippold & Paolo Vanini, 2005. "Learning and Asset Prices under Ambiguous Information," University of St. Gallen Department of Economics working paper series 2005 2005-03, Department of Economics, University of St. Gallen. [Downloadable!]
    Published as:

    Cited by:

    1. Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2007. "Ambiguity Aversion and the Term Structure of Interest Rates," University of St. Gallen Department of Economics working paper series 2007 2007-29, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:
    2. Siddiqi, Hammad, 2009. "Ambiguity, Infra-Marginal Investors, and Market Prices," MPRA Paper 13514, University Library of Munich, Germany. [Downloadable!]
    3. Claudio Campanale, . "Learning, Ambiguity and Life-Cycle Portfolio Allocation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics. [Downloadable!] (restricted)
    4. Ju, Nengjiu & Miao, Jianjun, 2009. "Ambiguity, Learning, and Asset Returns," MPRA Paper 14737, University Library of Munich, Germany, revised Apr 2009. [Downloadable!]

  4. Fabio Trojani & Francesco Audrino, 2005. "A general multivariate threshold GARCH model with dynamic conditional correlations," University of St. Gallen Department of Economics working paper series 2005 2005-04, Department of Economics, University of St. Gallen. [Downloadable!]
    Other versions:

    Cited by:

    1. Fulvio Corsi & Francesco Audrino, 2008. "Modeling Tick-by-Tick Realized Correlations," University of St. Gallen Department of Economics working paper series 2008 2008-05, Department of Economics, University of St. Gallen. [Downloadable!]
    2. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets," CIRJE F-Series CIRJE-F-640, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
      Other versions:

  5. Sbuelz, A. & Trojani, F., 2002. "Equilibrium asset pricing with time-varying pessimism," Discussion Paper 102, Tilburg University, Center for Economic Research. [Downloadable!]

    Cited by:

    1. Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2007. "Ambiguity Aversion and the Term Structure of Interest Rates," University of St. Gallen Department of Economics working paper series 2007 2007-29, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:
    2. Fabio Trojani & Markus Leippold & Paolo Vanini, 2005. "Learning and Asset Prices under Ambiguous Information," University of St. Gallen Department of Economics working paper series 2005 2005-03, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:

Articles

  1. Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2009. "Ambiguity Aversion and the Term Structure of Interest Rates," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 22(10), pages 4157-4188, October. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  2. Markus Leippold & Fabio Trojani & Paolo Vanini, 2008. "Learning and Asset Prices Under Ambiguous Information," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 21(6), pages 2565-2597, November. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  3. Leippold, Markus & Trojani, Fabio & Vanini, Paolo, 2006. "Equilibrium impact of value-at-risk regulation," Journal of Economic Dynamics and Control, Elsevier, vol. 30(8), pages 1277-1313, August. [Downloadable!] (restricted)

    Cited by:

    1. Enrico De Giorgi, . "Evolutionary Portfolio Selection with Liquidity Shocks," IEW - Working Papers iewwp185, Institute for Empirical Research in Economics - IEW. [Downloadable!]
      Other versions:
    2. James O'Brien & Jeremy Berkowitz, 2005. "Estimating Bank Trading Risk: A Factor Model Approach," NBER Working Papers 11608, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  4. Fabio Trojani & Francesco Audrino, 2006. "Estimating and predicting multivariate volatility thresholds in global stock markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 345-369. [Downloadable!]

    Cited by:

    1. Francesco Audrino & Fabio Trojani, 2007. "A general multivariate threshold GARCH model with dynamic conditional correlations," University of St. Gallen Department of Economics working paper series 2007 2007-25, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:
    2. Fulvio Corsi & Francesco Audrino, 2008. "Modeling Tick-by-Tick Realized Correlations," University of St. Gallen Department of Economics working paper series 2008 2008-05, Department of Economics, University of St. Gallen. [Downloadable!]
    3. Francesco Audrino & Robert Fernholz & Roberto Ferretti, 2007. "A Forecasting Model for Stock Market Diversity," Annals of Finance, Springer, vol. 3(2), pages 213-240, March. [Downloadable!] (restricted)

  5. Ortelli, Claudio & Trojani, Fabio, 2005. "Robust efficient method of moments," Journal of Econometrics, Elsevier, vol. 128(1), pages 69-97, September. [Downloadable!] (restricted)

    Cited by:

    1. Cizek, P., 2008. "Semiparametric Robust Estimation of Truncated and Censored Regression Models," Discussion Paper 2008-34, Tilburg University, Center for Economic Research. [Downloadable!]
    2. Davide La Vecchia & Fabio Trojani, 2008. "Infinitesimal Robustness for Diffusions," University of St. Gallen Department of Economics working paper series 2008 2008-09, Department of Economics, University of St. Gallen. [Downloadable!]
    3. Panayiotis Andreou & Chris Charalambous & Spiros Martzoukos, 2006. "Robust Artificial Neural Networks for Pricing of European Options," Computational Economics, Springer, vol. 27(2), pages 329-351, May. [Downloadable!] (restricted)
    4. Cizek, P., 2009. "Generalized Methods of Trimmed Moments," Discussion Paper 2009-25, Tilburg University, Center for Economic Research. [Downloadable!]
    5. Veronika Czellar & Elvezio Ronchetti, 2008. "Accurate and robust indirect inference for diffusion models," Cahiers du Département d'Econométrie 2008.01, Département d'Econométrie, Université de Genève. [Downloadable!]
    6. Veronika Czellar & Eric Zivot, 2008. "Improved small sample inference for efficient method of moments and indirect inference estimators," Working Papers UWEC-2008-04, University of Washington, Department of Economics. [Downloadable!]
    7. Loriano Mancini & Elvezio Ronchetti & Fabio Trojani, 2005. "Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models," University of St. Gallen Department of Economics working paper series 2005 2005-01, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:
    8. Cizek, Pavel, 2006. "Efficient robust estimation of regression models," Discussion Paper 8, Tilburg University, Center for Economic Research.
    9. Fabio Trojani & Markus Leippold & Paolo Vanini, 2005. "Learning and Asset Prices under Ambiguous Information," University of St. Gallen Department of Economics working paper series 2005 2005-03, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:
    10. Pavel Cizek & Wolfgang Härdle, 2006. "Robust Econometrics," SFB 649 Discussion Papers SFB649DP2006-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]

  6. Gagliardini, Patrick & Trojani, Fabio & Urga, Giovanni, 2005. "Robust GMM tests for structural breaks," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 139-182. [Downloadable!] (restricted)

    Cited by:

    1. Loriano Mancini & Elvezio Ronchetti & Fabio Trojani, 2004. "Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models," Cahiers du Département d'Econométrie 2004.04, Département d'Econométrie, Université de Genève. [Downloadable!]
      Other versions:
    2. Fabio Trojani & Markus Leippold & Paolo Vanini, 2005. "Learning and Asset Prices under Ambiguous Information," University of St. Gallen Department of Economics working paper series 2005 2005-03, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:
    3. Pavel Cizek & Wolfgang Härdle, 2006. "Robust Econometrics," SFB 649 Discussion Papers SFB649DP2006-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]

  7. Mancini, Loriano & Ronchetti, Elvezio & Trojani, Fabio, 2005. "Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 628-641, June. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  8. Fabio Trojani & Paolo Vanini, 2004. "Robustness and Ambiguity Aversion in General Equilibrium," Review of Finance, Springer, vol. 8(2), pages 279-324. [Downloadable!]

    Cited by:

    1. Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2007. "Ambiguity Aversion and the Term Structure of Interest Rates," University of St. Gallen Department of Economics working paper series 2007 2007-29, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:
    2. Fabio Trojani & Roberto G. Ferretti, 2005. "General Analytical Solutions For Mertons'S-Type Consumption-Investment Problems," University of St. Gallen Department of Economics working paper series 2005 2005-02, Department of Economics, University of St. Gallen. [Downloadable!]
    3. Fabio Trojani & Markus Leippold & Paolo Vanini, 2005. "Learning and Asset Prices under Ambiguous Information," University of St. Gallen Department of Economics working paper series 2005 2005-03, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:

  9. Dell'Aquila, Rosario & Ronchetti, Elvezio & Trojani, Fabio, 2003. "Robust GMM analysis of models for the short rate process," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 373-397, May. [Downloadable!] (restricted)

    Cited by:

    1. Christiansen, Charlotte, 2005. "Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates," Finance Research Group Working Papers F-2005-03, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
      Other versions:
    2. Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio, 2005. "Indirect Robust Estimation of the Short-term Interest Rate Process," Working Paper Series 2005-4, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    3. Rosario Dell’Aquila & Paul Embrechts, 2006. "Extremes and Robustness: A Contradiction?," Financial Markets and Portfolio Management, Springer, vol. 20(1), pages 103-118, April. [Downloadable!] (restricted)
    4. Cizek, P., 2009. "Generalized Methods of Trimmed Moments," Discussion Paper 2009-25, Tilburg University, Center for Economic Research. [Downloadable!]
    5. Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti, 2005. "Indirect Robust Estimation of the Short-term Interest Rate Process;," Cahiers du Département d'Econométrie 2005.02, Département d'Econométrie, Université de Genève. [Downloadable!]
      Other versions:
    6. Chew Lian Chua & Sandy Suardi, 2005. "Is There a Unit Root in East-Asian Short-Term Interest Rates?," Melbourne Institute Working Paper Series wp2005n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
    7. Daniel R. Smith & Christophe Parignon, 2004. "Modeling Yield-Factor Volatility," Econometric Society 2004 Australasian Meetings 307, Econometric Society. [Downloadable!]

  10. Trojani, Fabio & Vanini, Paolo, 2002. "A note on robustness in Merton's model of intertemporal consumption and portfolio choice," Journal of Economic Dynamics and Control, Elsevier, vol. 26(3), pages 423-435, March. [Downloadable!] (restricted)

    Cited by:

    1. Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2007. "Ambiguity Aversion and the Term Structure of Interest Rates," University of St. Gallen Department of Economics working paper series 2007 2007-29, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:
    2. Sbuelz, A. & Trojani, F., 2002. "Equilibrium asset pricing with time-varying pessimism," Discussion Paper 102, Tilburg University, Center for Economic Research. [Downloadable!]
    3. Fabio Trojani & Markus Leippold & Paolo Vanini, 2005. "Learning and Asset Prices under Ambiguous Information," University of St. Gallen Department of Economics working paper series 2005 2005-03, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:

  11. Ronchetti, Elvezio & Trojani, Fabio, 2001. "Robust inference with GMM estimators," Journal of Econometrics, Elsevier, vol. 101(1), pages 37-69, March. [Downloadable!] (restricted)

    Cited by:

    1. Cizek, P., 2008. "Semiparametric Robust Estimation of Truncated and Censored Regression Models," Discussion Paper 2008-34, Tilburg University, Center for Economic Research. [Downloadable!]
    2. Davide La Vecchia & Fabio Trojani, 2008. "Infinitesimal Robustness for Diffusions," University of St. Gallen Department of Economics working paper series 2008 2008-09, Department of Economics, University of St. Gallen. [Downloadable!]
    3. Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio, 2005. "Indirect Robust Estimation of the Short-term Interest Rate Process," Working Paper Series 2005-4, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    4. Cizek, P., 2009. "Generalized Methods of Trimmed Moments," Discussion Paper 2009-25, Tilburg University, Center for Economic Research. [Downloadable!]
    5. Serigne N. Lo & Elvezio Ronchetti, 2006. "Robust Small Sample Accurate Inference in Moment Condition Models," Cahiers du Département d'Econométrie 2006.04, Département d'Econométrie, Université de Genève. [Downloadable!]
    6. Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti, 2005. "Indirect Robust Estimation of the Short-term Interest Rate Process;," Cahiers du Département d'Econométrie 2005.02, Département d'Econométrie, Université de Genève. [Downloadable!]
      Other versions:
    7. Loriano Mancini & Elvezio Ronchetti & Fabio Trojani, 2005. "Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models," University of St. Gallen Department of Economics working paper series 2005 2005-01, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:
    8. Cizek, Pavel, 2006. "Efficient robust estimation of regression models," Discussion Paper 8, Tilburg University, Center for Economic Research.
    9. Samuel Copt & Stephane Heritier, 2006. "Robust MM-Estimation and Inference in Mixed Linear Models," Cahiers du Département d'Econométrie 2006.01, Département d'Econométrie, Université de Genève. [Downloadable!]
    10. Pavel Cizek & Wolfgang Härdle, 2006. "Robust Econometrics," SFB 649 Discussion Papers SFB649DP2006-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    11. Fabio Trojani & Markus Leippold & Paolo Vanini, 2005. "Learning and Asset Prices under Ambiguous Information," University of St. Gallen Department of Economics working paper series 2005 2005-03, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:
    12. Eva Cantoni, 2001. "Robust Inference Based on Quasi-likelihoods for Genralized Linear Models and Longitudinal Data," Cahiers du Département d'Econométrie 2001.02, Département d'Econométrie, Université de Genève. [Downloadable!]

Did you know? The most prolific authors have over 700 items listed on IDEAS.

This page was last updated on 2009-12-5.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.