2020

Robotti, Cesare and Kan, Raymond (2020) Commentary on : 'Pseudo-True SDFs in Conditional Asset Pricing Models' by Bertille Antoine, Kevin Proulx, and Eric Renault [in Journal of Financial Econometrics, 2018]. Journal of Financial Econometrics .

Gospodinov, Nikolay and Robotti, Cesare (2020) Common pricing across asset classes : empirical evidence revisited. Journal of Financial Economics . (In Press)

2019

Raponi, Valentina, Robotti, Cesare and Zaffaroni, Paolo (2019) Testing beta-pricing models using large cross-sections. Review of Financial Studies . hhz064. doi:10.1093/rfs/hhz064 (In Press)

Barillas, Francisco, Kan, Raymond, Robotti, Cesare and Shanken, Jay (2019) Model comparison with Sharpe ratios. Journal of Financial and Quantitative Analysis . doi:10.1017/S0022109019000589 (In Press)

2018

Gospodinov, Nikolay, Kan, Raymond and Robotti, Cesare (2018) Too good to be true? Fallacies in evaluating risk factor models. Journal of Financial Economics . doi:10.1016/j.jfineco.2018.10.012 (In Press)

Gospodinov, Nikolay, Kan, Raymond and Robotti, Cesare (2018) Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models. Econometric Reviews, 37 (7). pp. 695-718. doi:10.1080/07474938.2016.1165945

2017

Gospodinov, Nikolay, Kan, Raymond and Robotti, Cesare (2017) Spurious inference in reduced-rank asset-pricing models. Econometrica, 85 (5). pp. 1613-1628. doi:10.3982/ECTA13750

Kan, Raymond and Robotti, Cesare (2017) On moments of folded and truncated multivariate normal distributions. Journal of Computational and Graphical Statistics, 26 (4). doi:10.1080/10618600.2017.1322092

2016

Robotti, Cesare and Kan, Raymond (2016) The exact distribution of the Hansen-Jagannathan bound. Management Science, 62 (7). pp. 1915-1943. doi:10.1287/mnsc.2015.2222

Gospodinov, Nikolay, Kan, Raymond and Robotti, Cesare (2016) On the properties of the constrained Hansen–Jagannathan distance. Journal of Empirical Finance, 36 . pp. 121-150. doi:10.1016/j.jempfin.2015.10.001

2014

Gospodinov, Nikolay, Kan, Raymond and Robotti, Cesare (2014) Misspecification-robust inference in linear asset pricing models with irrelevant risk factors. Review of Financial Studies, 27 (7). pp. 2139-2170. doi:10.1093/rfs/hht135