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Patrick Gagliardini

This is information that was supplied by Patrick Gagliardini in registering through RePEc. If you are Patrick Gagliardini, you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name:Patrick
Middle Name:
Last Name:Gagliardini
Suffix:
RePEc Short-ID:pga823
http://www.people.usi.ch/gagliarp/
Lugano, Switzerland
http://www.eco.usi.ch/

: + 41 91 912 46 46
+ 41 91 912 46 47
Centrocivico, Via Ospedale 13, CH 6900 Lugano
RePEc:edi:fsusich (more details at EDIRC)
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  1. Patrick Gagliardini & Christian Gouriéroux, 2012. "Correlated Risks vs Contagion in Stochastic Transition Models," Working Papers 2012-07, Center for Research in Economics and Statistics.
  2. Serge Darolles & Patrick Gagliardini & Christian Gouriéroux, 2012. "Survival of Hedge Funds : Frailty vs Contagion," Working Papers 2012-36, Center for Research in Economics and Statistics.
  3. Patrick GAGLIARDINI & Christian GOURIEROUX, 2010. "Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk," Working Papers 2010-07, Center for Research in Economics and Statistics.
  4. Patrick GAGLIARDINI & Christian GOURIEROUX, 2010. "Efficiency in Large Dynamic Panel Models with Common Factor," Working Papers 2010-05, Center for Research in Economics and Statistics.
  5. Patrick GAGLIARDINI & Christian GOURIEROUX & Alain MONFORT, 2009. "Microinformation, Nonlinear Filtering and Granularity," Swiss Finance Institute Research Paper Series 10-23, Swiss Finance Institute, revised May 2010.
  6. Patrick Gagliardini & Olivier Scaillet, 2007. "A Specification Test For Nonparametric Instrumental Variable Regression," Swiss Finance Institute Research Paper Series 9602, Swiss Finance Institute.
  7. 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.
  8. Victor Chernozhukov & Patrick Gagliardini & Olivier Scaillet, 2006. "Nonparametric Instrumental Variable Estimators of Structural Quantile Effects," Swiss Finance Institute Research Paper Series 08-03, Swiss Finance Institute, revised Aug 2009.
  9. P. Gagliardini & O. Scaillet, 2006. "Tikhonov Regularization for Functional Minimum Distance Estimators," Swiss Finance Institute Research Paper Series 06-30, Swiss Finance Institute, revised Nov 2006.
  10. Patrick Gagliardini & C. Gourieroux & E. Renault, 2005. "Efficient Derivative Pricing by Extended Method of Moments," University of St. Gallen Department of Economics working paper series 2005 2005-05, Department of Economics, University of St. Gallen.
  11. Giovanni Urga & Giovanni Barone Adesi & Patrick Gagliardini, 2004. "Testing Asset Pricing Model with Coskweness," Econometric Society 2004 North American Winter Meetings 491, Econometric Society.
  12. Patrick GAGLIARDINI & Christian GOURIEROUX & Eric RENAULT, 2004. "Efficient Derivative Pricing By The Extended Method of Moments," Swiss Finance Institute Research Paper Series 10-07, Swiss Finance Institute, revised Oct 2009.
  13. Patrick Gagliardini & Christian Gourieroux, 2004. "Stochastic Migration Models with Application to Corporate Risk," Working Papers 2004-35, Center for Research in Economics and Statistics.
  14. Patrick Gagliardini & Christian Gourieroux, 2002. "Duration Time Series Models with Proportional Hazard," Working Papers 2002-21, Center for Research in Economics and Statistics.
  15. Patrick Gagliardini & Christian Gourieroux, 2002. "Constrained Nonparametric Copulas," Working Papers 2002-20, Center for Research in Economics and Statistics.
  16. Giovanni BARONE-ADESI & Patrick GAGLIARDINI & Fabio TROJANI, 2000. "On the Informational Content of Changing Risk for Dynamic Asset Allocation," FAME Research Paper Series rp23, International Center for Financial Asset Management and Engineering.
  17. Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET, "undated". "Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets," Swiss Finance Institute Research Paper Series 11-41, Swiss Finance Institute.
  1. Gagliardini, Patrick & Gourieroux, Christian, 2014. "Efficiency In Large Dynamic Panel Models With Common Factors," Econometric Theory, Cambridge University Press, vol. 30(05), pages 961-1020, October.
  2. Gagliardini, Patrick & Gouriéroux, Christian, 2013. "Correlated risks vs contagion in stochastic transition models," Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2241-2269.
  3. Gagliardini, Patrick & Ronchetti, Diego, 2013. "Semi-parametric estimation of American option prices," Journal of Econometrics, Elsevier, vol. 173(1), pages 57-82.
  4. Patrick Gagliardini & Olivier Scaillet, 2012. "Nonparametric Instrumental Variable Estimation of Structural Quantile Effects," Econometrica, Econometric Society, vol. 80(4), pages 1533-1562, July.
  5. Gagliardini, Patrick & Scaillet, Olivier, 2012. "Tikhonov regularization for nonparametric instrumental variable estimators," Journal of Econometrics, Elsevier, vol. 167(1), pages 61-75.
  6. Patrick Gagliardini & Christian Gouriéroux, 2011. "Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(2), pages 237-280, Spring.
  7. P. Gagliardini & C. Gourieroux & E. Renault, 2011. "Efficient Derivative Pricing by the Extended Method of Moments," Econometrica, Econometric Society, vol. 79(4), pages 1181-1232, July.
  8. Patrick Gagliardini & Christian Gouriéroux & Alain Monfort, 2010. "Microinformation, Nonlinear Filtering, and Granularity," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 10(1), pages 1-53, 2012 10 1.
  9. Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2009. "Ambiguity Aversion and the Term Structure of Interest Rates," Review of Financial Studies, Society for Financial Studies, vol. 22(10), pages 4157-4188, October.
  10. P. Gagliardini & C. Gourieroux, 2008. "Duration time-series models with proportional hazard," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(1), pages 74-124, January.
  11. Patrick Gagliardini, 2007. "Challenges in the teaching of econometrics : the lesson of Pietro Balestra," Revue d'économie politique, Dalloz, vol. 117(3), pages 431-439.
  12. Gagliardini, Patrick & Gourieroux, Christian, 2007. "An efficient nonparametric estimator for models with nonlinear dependence," Journal of Econometrics, Elsevier, vol. 137(1), pages 189-229, March.
  13. Gagliardini, Patrick & Trojani, Fabio & Urga, Giovanni, 2005. "Robust GMM tests for structural breaks," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 139-182.
  14. Patrick Gagliardini, 2005. "Stochastic Migration Models with Application to Corporate Risk," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(2), pages 188-226.
  15. Gagliardini, P. & Gourieroux, C., 2005. "Migration correlation: Definition and efficient estimation," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 865-894, April.
  16. Giovanni Barone Adesi & Patrick Gagliardini & Giovanni Urga, 2004. "Testing Asset Pricing Models With Coskewness," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 474-485, October.
  1. Gagliardini,Patrick, 2014. "Granularity Theory with Applications to Finance and Insurance," Cambridge Books, Cambridge University Press, number 9781107070837, December.
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 10 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (5) 2005-05-29 2007-10-20 2007-10-20 2008-04-12 2009-06-03. Author is listed
  2. NEP-BAN: Banking (2) 2011-03-19 2011-03-19
  3. NEP-BEC: Business Economics (2) 2005-05-29 2011-03-19
  4. NEP-ETS: Econometric Time Series (2) 2009-06-03 2012-05-22
  5. NEP-RMG: Risk Management (2) 2011-03-19 2013-06-04
  6. NEP-DGE: Dynamic General Equilibrium (1) 2007-08-14
  7. NEP-FIN: Finance (1) 2005-05-29
  8. NEP-FMK: Financial Markets (1) 2013-06-04
  9. NEP-MAC: Macroeconomics (1) 2007-08-14
  10. NEP-MON: Monetary Economics (1) 2007-08-14
  11. NEP-ORE: Operations Research (1) 2012-05-22
  12. NEP-UPT: Utility Models & Prospect Theory (1) 2007-08-14
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