Lorenzo Camponovo
Personal Details
First Name: | Lorenzo |
Middle Name: | |
Last Name: | Camponovo |
Suffix: | |
RePEc Short-ID: | pca1318 |
[This author has chosen not to make the email address public] | |
Affiliation
School of Economics
University of Surrey
Guildford, United Kingdomhttp://www.surrey.ac.uk/school-economics
RePEc:edi:desuruk (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Lorenzo Camponovo & Taisuke Otsu, 2017.
"Relative error accurate statistic based on nonparametric likelihood,"
STICERD - Econometrics Paper Series
593, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Lorenzo Camponovo & Taisuke Otsu, 2018. "Relative Error Accurate Statistic Based on Nonparametric Likelihood," School of Economics Discussion Papers 0518, School of Economics, University of Surrey.
- Lorenzo Camponovo & Yukitoshi Matsushita & Taisuke Otsu, 2017. "Empirical likelihood for high frequency data," STICERD - Econometrics Paper Series 591, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI, 2016.
"Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy,"
Swiss Finance Institute Research Paper Series
16-41, Swiss Finance Institute.
- Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2017. "Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 377-387.
- Scaillet, Olivier & Trojani, Fabio & Camponovo, Lorenzo, 2016. "Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Working Papers unige:84999, University of Geneva, Geneva School of Economics and Management.
- Huber, Martin & Camponovo, Lorenzo & Bodory, Hugo & Lechner, Michael, 2016. "A wild bootstrap algorithm for propensity score matching estimators," FSES Working Papers 470, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
- Bodory, Hugo & Huber, Martin & Camponovo, Lorenzo & Lechner, Michael, 2016.
"The finite sample performance of inference methods for propensity score matching and weighting estimators,"
FSES Working Papers
466, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
- Hugo Bodory & Lorenzo Camponovo & Martin Huber & Michael Lechner, 2020. "The Finite Sample Performance of Inference Methods for Propensity Score Matching and Weighting Estimators," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(1), pages 183-200, January.
- Bodory, Hugo & Camponovo, Lorenzo & Huber, Martin & Lechner, Michael, 2016. "The Finite Sample Performance of Inference Methods for Propensity Score Matching and Weighting Estimators," IZA Discussion Papers 9706, Institute of Labor Economics (IZA).
- Bodory, Hugo & Camponovo, Lorenzo & Huber, Martin & Lechner, Michael, 2016. "The finite sample performance of inference methods for propensity score matching and weighting estimators," Economics Working Paper Series 1604, University of St. Gallen, School of Economics and Political Science.
- Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2016.
"Predictability Hidden by Anomalous Observations,"
Papers
1612.05072, arXiv.org.
- Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2018. "Predictability Hidden by Anomalous Observations," School of Economics Discussion Papers 0418, School of Economics, University of Surrey.
- Lorenzo Camponovo & O. Scaillet & Fabio Trojani, 2013. "Predictability Hidden by Anomalous Observations," Swiss Finance Institute Research Paper Series 13-05, Swiss Finance Institute.
- Audrino, Francesco & Camponovo, Lorenzo & Roth, Constantin, 2015. "Testing the lag structure of assets’ realized volatility dynamics," Economics Working Paper Series 1501, University of St. Gallen, School of Economics and Political Science.
- Lorenzo Camponovo & Yukitoshi Matsushita & Taisuke Otsu, 2015.
"Nonparametric likelihood for volatility under high frequency data,"
STICERD - Econometrics Paper Series
/2015/581, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Lorenzo Camponovo & Yukitoshi Matsushita & Taisuke Otsu, 2018. "Nonparametric Likelihood for Volatility Under High Frequency Data," School of Economics Discussion Papers 0318, School of Economics, University of Surrey.
- Lorenzo Camponovo & Taisuke Otsu, 2014.
"Robustness of bootstrap in instrumental variable regression,"
STICERD - Econometrics Paper Series
572, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Lorenzo Camponovo & Taisuke Otsu, 2015. "Robustness of Bootstrap in Instrumental Variable Regression," Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 352-393, March.
- Camponovo, Lorenzo & Otsu, Taisuke, 2015. "Robustness of bootstrap in instrumental variable regression," LSE Research Online Documents on Economics 60185, London School of Economics and Political Science, LSE Library.
- Lorenzo Camponovo & Taisuke Otsu, 2011. "Robustness of Bootstrap in Instrumental Variable Regression," Cowles Foundation Discussion Papers 1796, Cowles Foundation for Research in Economics, Yale University.
- Camponovo, Lorenzo & Otsu, Taisuke, 2014. "Robustness of bootstrap in instrumental variable regression," LSE Research Online Documents on Economics 58185, London School of Economics and Political Science, LSE Library.
- Francesco Audrino & Lorenzo Camponovo, 2013.
"Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models,"
Papers
1312.1473, arXiv.org.
- Audrino, Francesco & Camponovo, Lorenzo, 2013. "Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models," Economics Working Paper Series 1327, University of St. Gallen, School of Economics and Political Science.
- Lorenzo Camponovo & Taisuke Otsu, 2011.
"Breakdown Point Theory for Implied Probability Bootstrap,"
Cowles Foundation Discussion Papers
1793, Cowles Foundation for Research in Economics, Yale University.
- Lorenzo Camponovo & Taisuke Otsu, 2012. "Breakdown point theory for implied probability bootstrap," Econometrics Journal, Royal Economic Society, vol. 15(1), pages 32-55, February.
- Lorenzo Camponovo & Taisuke Otsu, 2011.
"On Bartlett Correctability of Empirical Likelihood in Generalized �Power Divergence Family,"
Cowles Foundation Discussion Papers
1825, Cowles Foundation for Research in Economics, Yale University.
- Camponovo, Lorenzo & Otsu, Taisuke, 2014. "On Bartlett correctability of empirical likelihood in generalized power divergence family," Statistics & Probability Letters, Elsevier, vol. 86(C), pages 38-43.
- Camponovo, Lorenzo & Otsu, Taisuke, 2014. "On Bartlett correctability of empirical likelihood in generalized power divergence family," LSE Research Online Documents on Economics 55597, London School of Economics and Political Science, LSE Library.
- Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI, 2009. "Robust Resampling Methods for Time Series," Swiss Finance Institute Research Paper Series 09-38, Swiss Finance Institute.
- Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2006.
"Robust Subsampling,"
Swiss Finance Institute Research Paper Series
06-33, Swiss Finance Institute.
- Camponovo, Lorenzo & Scaillet, Olivier & Trojani, Fabio, 2012. "Robust subsampling," Journal of Econometrics, Elsevier, vol. 167(1), pages 197-210.
Articles
- Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2017. "Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 505-505.
- Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2017.
"Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy,"
Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 377-387.
- Scaillet, Olivier & Trojani, Fabio & Camponovo, Lorenzo, 2016. "Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Working Papers unige:84999, University of Geneva, Geneva School of Economics and Management.
- Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI, 2016. "Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Swiss Finance Institute Research Paper Series 16-41, Swiss Finance Institute.
- Lorenzo Camponovo, 2016. "Asymptotic refinements of nonparametric bootstrap for quasi‐likelihood ratio tests for classes of extremum estimators," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 33-54, February.
- Lorenzo Camponovo & Taisuke Otsu, 2015.
"Robustness of Bootstrap in Instrumental Variable Regression,"
Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 352-393, March.
- Camponovo, Lorenzo & Otsu, Taisuke, 2015. "Robustness of bootstrap in instrumental variable regression," LSE Research Online Documents on Economics 60185, London School of Economics and Political Science, LSE Library.
- Lorenzo Camponovo & Taisuke Otsu, 2011. "Robustness of Bootstrap in Instrumental Variable Regression," Cowles Foundation Discussion Papers 1796, Cowles Foundation for Research in Economics, Yale University.
- Camponovo, Lorenzo & Otsu, Taisuke, 2014. "Robustness of bootstrap in instrumental variable regression," LSE Research Online Documents on Economics 58185, London School of Economics and Political Science, LSE Library.
- Lorenzo Camponovo & Taisuke Otsu, 2014. "Robustness of bootstrap in instrumental variable regression," STICERD - Econometrics Paper Series 572, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Camponovo, Lorenzo, 2015. "Differencing Transformations And Inference In Predictive Regression Models," Econometric Theory, Cambridge University Press, vol. 31(6), pages 1331-1358, December.
- L. Camponovo, 2015. "On the validity of the pairs bootstrap for lasso estimators," Biometrika, Biometrika Trust, vol. 102(4), pages 981-987.
- La Vecchia, Davide & Camponovo, Lorenzo & Ferrari, Davide, 2015. "Robust heart rate variability analysis by generalized entropy minimization," Computational Statistics & Data Analysis, Elsevier, vol. 82(C), pages 137-151.
- Camponovo, Lorenzo & Otsu, Taisuke, 2014.
"On Bartlett correctability of empirical likelihood in generalized power divergence family,"
Statistics & Probability Letters, Elsevier, vol. 86(C), pages 38-43.
- Camponovo, Lorenzo & Otsu, Taisuke, 2014. "On Bartlett correctability of empirical likelihood in generalized power divergence family," LSE Research Online Documents on Economics 55597, London School of Economics and Political Science, LSE Library.
- Lorenzo Camponovo & Taisuke Otsu, 2011. "On Bartlett Correctability of Empirical Likelihood in Generalized �Power Divergence Family," Cowles Foundation Discussion Papers 1825, Cowles Foundation for Research in Economics, Yale University.
- Camponovo, Lorenzo & Scaillet, Olivier & Trojani, Fabio, 2012.
"Robust subsampling,"
Journal of Econometrics, Elsevier, vol. 167(1), pages 197-210.
- Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2006. "Robust Subsampling," Swiss Finance Institute Research Paper Series 06-33, Swiss Finance Institute.
- Lorenzo Camponovo & Taisuke Otsu, 2012.
"Breakdown point theory for implied probability bootstrap,"
Econometrics Journal, Royal Economic Society, vol. 15(1), pages 32-55, February.
- Lorenzo Camponovo & Taisuke Otsu, 2011. "Breakdown Point Theory for Implied Probability Bootstrap," Cowles Foundation Discussion Papers 1793, Cowles Foundation for Research in Economics, Yale University.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI, 2016.
"Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy,"
Swiss Finance Institute Research Paper Series
16-41, Swiss Finance Institute.
- Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2017. "Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 377-387.
- Scaillet, Olivier & Trojani, Fabio & Camponovo, Lorenzo, 2016. "Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Working Papers unige:84999, University of Geneva, Geneva School of Economics and Management.
Cited by:
- Philippe Bernard & Najat El Mekkaoui de Freitas & Bertrand Maillet, 2022.
"A Financial Fraud Detection Indicator for Investors: An IDeA,"
Post-Print
hal-02312401, HAL.
- Philippe Bernard & Najat El Mekkaoui De Freitas & Bertrand B. Maillet, 2022. "A financial fraud detection indicator for investors: an IDeA," Annals of Operations Research, Springer, vol. 313(2), pages 809-832, June.
- Huber, Martin & Camponovo, Lorenzo & Bodory, Hugo & Lechner, Michael, 2016.
"A wild bootstrap algorithm for propensity score matching estimators,"
FSES Working Papers
470, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
Cited by:
- Bodory, Hugo & Camponovo, Lorenzo & Huber, Martin & Lechner, Michael, 2016.
"The Finite Sample Performance of Inference Methods for Propensity Score Matching and Weighting Estimators,"
IZA Discussion Papers
9706, Institute of Labor Economics (IZA).
- Bodory, Hugo & Huber, Martin & Camponovo, Lorenzo & Lechner, Michael, 2016. "The finite sample performance of inference methods for propensity score matching and weighting estimators," FSES Working Papers 466, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
- Bodory, Hugo & Camponovo, Lorenzo & Huber, Martin & Lechner, Michael, 2016. "The finite sample performance of inference methods for propensity score matching and weighting estimators," Economics Working Paper Series 1604, University of St. Gallen, School of Economics and Political Science.
- Hugo Bodory & Lorenzo Camponovo & Martin Huber & Michael Lechner, 2020. "The Finite Sample Performance of Inference Methods for Propensity Score Matching and Weighting Estimators," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(1), pages 183-200, January.
- Mengshan Xu & Taisuke Otsu, 2022. "Isotonic propensity score matching," Papers 2207.08868, arXiv.org, revised Aug 2024.
- Lajos Baráth & Imre Fertő & Štefan Bojnec, 2020. "The Effect of Investment, LFA and Agri‐environmental Subsidies on the Components of Total Factor Productivity: The Case of Slovenian Farms," Journal of Agricultural Economics, Wiley Blackwell, vol. 71(3), pages 853-876, September.
- Taisuke Otsu & Mengshan Xu, 2022. "Isotonic propensity score matching," STICERD - Econometrics Paper Series 623, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Bodory, Hugo & Camponovo, Lorenzo & Huber, Martin & Lechner, Michael, 2016.
"The Finite Sample Performance of Inference Methods for Propensity Score Matching and Weighting Estimators,"
IZA Discussion Papers
9706, Institute of Labor Economics (IZA).
- Bodory, Hugo & Huber, Martin & Camponovo, Lorenzo & Lechner, Michael, 2016.
"The finite sample performance of inference methods for propensity score matching and weighting estimators,"
FSES Working Papers
466, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
- Hugo Bodory & Lorenzo Camponovo & Martin Huber & Michael Lechner, 2020. "The Finite Sample Performance of Inference Methods for Propensity Score Matching and Weighting Estimators," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(1), pages 183-200, January.
- Bodory, Hugo & Camponovo, Lorenzo & Huber, Martin & Lechner, Michael, 2016. "The Finite Sample Performance of Inference Methods for Propensity Score Matching and Weighting Estimators," IZA Discussion Papers 9706, Institute of Labor Economics (IZA).
- Bodory, Hugo & Camponovo, Lorenzo & Huber, Martin & Lechner, Michael, 2016. "The finite sample performance of inference methods for propensity score matching and weighting estimators," Economics Working Paper Series 1604, University of St. Gallen, School of Economics and Political Science.
Cited by:
- Chlond, Bettina & Gavard, Claire & Jeuck, Lisa, 2021. "Supporting residential energy conservation under constrained public budget: Cost-effectiveness and redistribution analysis of public financial schemes in France," ZEW Discussion Papers 21-056, ZEW - Leibniz Centre for European Economic Research.
- Mohebalian, Phillip M. & Aguilar, Francisco X., 2018. "Beneath the Canopy: Tropical Forests Enrolled in Conservation Payments Reveal Evidence of Less Degradation," Ecological Economics, Elsevier, vol. 143(C), pages 64-73.
- Lutz Bellmann & Marco Caliendo & Stefan Tübbicke, 2018.
"The Post‐Reform Effectiveness of the New German Start‐Up Subsidy for the Unemployed,"
LABOUR, CEIS, vol. 32(3), pages 293-319, September.
- Bellmann, Lutz & Caliendo, Marco & Tübbicke, Stefan, 2017. "The Post-Reform Effectiveness of the New German Start-Up Subsidy for the Unemployed," IZA Discussion Papers 11055, Institute of Labor Economics (IZA).
- Pawlowski, Tim & Steckenleiter, Carina & Wallrafen, Tim & Lechner, Michael, 2019.
"Individual labor market effects of local public expenditures on sports,"
Economics Working Paper Series
1906, University of St. Gallen, School of Economics and Political Science.
- Pawlowski, Tim & Steckenleiter, Carina & Wallrafen, Tim & Lechner, Michael, 2021. "Individual labor market effects of local public expenditures on sports," Labour Economics, Elsevier, vol. 70(C).
- Tim Pawlowski & Carina Steckenleiter & Tim Wallrafen & Michael Lechner, 2019. "Individual Labor Market Effects of Local Public Expenditures on Sports," SOEPpapers on Multidisciplinary Panel Data Research 1040, DIW Berlin, The German Socio-Economic Panel (SOEP).
- Ferman, Bruno, 2017.
"Matching Estimators with Few Treated and Many Control Observations,"
MPRA Paper
78940, University Library of Munich, Germany.
- Bruno Ferman, 2019. "Matching Estimators with Few Treated and Many Control Observations," Papers 1909.05093, arXiv.org, revised Mar 2021.
- Ferman, Bruno, 2021. "Matching estimators with few treated and many control observations," Journal of Econometrics, Elsevier, vol. 225(2), pages 295-307.
- Michael Lechner & Jana Mareckova, 2024. "Comprehensive Causal Machine Learning," Papers 2405.10198, arXiv.org.
- Arun Advani & Toru Kitagawa & Tymon S{l}oczy'nski, 2018.
"Mostly Harmless Simulations? Using Monte Carlo Studies for Estimator Selection,"
Papers
1809.09527, arXiv.org, revised Apr 2019.
- Arun Advani & Toru Kitagawa & Tymon Słoczyński, 2019. "Mostly harmless simulations? Using Monte Carlo studies for estimator selection," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(6), pages 893-910, September.
- Advani, Arun & Kitagawa, Toru & Sloczynski, Tymon, 2019. "Mostly Harmless Simulations? Using Monte Carlo Studies for Estimator Selection," CAGE Online Working Paper Series 411, Competitive Advantage in the Global Economy (CAGE).
- Advani, Arun & Kitagawa, Toru & Słoczyński, Tymon, 2019. "Mostly Harmless Simulations? Using Monte Carlo Studies for Estimator Selection," The Warwick Economics Research Paper Series (TWERPS) 1192, University of Warwick, Department of Economics.
- Bettina Chlond & Claire Gavard & Lisa Jeuck, 2023. "How to Support Residential Energy Conservation Cost-Effectively? An analysis of Public Financial Schemes in France," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 85(1), pages 29-63, May.
- Lombardi, Stefano & van den Berg, Gerard J. & Vikström, Johan, 2021.
"Empirical Monte Carlo Evidence on Estimation of Timing-of-Events Models,"
IZA Discussion Papers
14015, Institute of Labor Economics (IZA).
- Lombardi, Stefano & van den Berg, Gerard J. & Vikström, Johan, 2020. "Empirical Monte Carlo evidence on estimation of Timing-of-Events models," Working Paper Series 2020:26, IFAU - Institute for Evaluation of Labour Market and Education Policy, revised 05 Jan 2021.
- Krumer, Alex & Lechner, Michael, 2016. "Midweek Effect on Performance: Evidence from the German Soccer Bundesliga," Economics Working Paper Series 1609, University of St. Gallen, School of Economics and Political Science.
- Frölich, Markus & Huber, Martin & Wiesenfarth, Manuel, 2017.
"The finite sample performance of semi- and non-parametric estimators for treatment effects and policy evaluation,"
Computational Statistics & Data Analysis, Elsevier, vol. 115(C), pages 91-102.
- Frölich, Markus & Huber, Martin & Wiesenfarth, Manuel, 2015. "The Finite Sample Performance of Semi- and Nonparametric Estimators for Treatment Effects and Policy Evaluation," IZA Discussion Papers 8756, Institute of Labor Economics (IZA).
- Frölich, Markus & Huber, Martin & Wiesenfarth, Manuel, 2015. "The finite sample performance of semi- and nonparametric estimators for treatment effects and policy evaluation," FSES Working Papers 454, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
- Cushman, David O. & De Vita, Glauco, 2017. "Exchange rate regimes and FDI in developing countries: A propensity score matching approach," Journal of International Money and Finance, Elsevier, vol. 77(C), pages 143-163.
- Arun Advani & Tymon Sloczynski, 2013.
"Mostly harmless simulations? On the internal validity of empirical Monte Carlo studies,"
CeMMAP working papers
CWP64/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Arun Advani & Toru Kitagawa & Tymon Sloczynski, 2018. "Mostly harmless simulations? On the internal validity of empirical Monte Carlo studies," CeMMAP working papers CWP56/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Arun Advani & Tymon Słoczyński, 2013. "Mostly harmless simulations? On the internal validity of empirical Monte Carlo studies," CeMMAP working papers 64/13, Institute for Fiscal Studies.
- Advani, Arun & Sloczynski, Tymon, 2013. "Mostly Harmless Simulations? On the Internal Validity of Empirical Monte Carlo Studies," IZA Discussion Papers 7874, Institute of Labor Economics (IZA).
- Arun Advani & Toru Kitagawa & Tymon Sloczynski, 2018. "Mostly Harmless Simulations? On the Internal Validity of Empirical Monte Carlo Studies," Working Papers 124, Brandeis University, Department of Economics and International Business School.
- Advani, Arun & Kitagawa, Toru & Sloczynski, Tymon, 2018. "Mostly Harmless Simulations? On the Internal Validity of Empirical Monte Carlo Studies," IZA Discussion Papers 11862, Institute of Labor Economics (IZA).
- Donna Feir & Kelly Foley & Maggie E. C. Jones, 2021. "The Distributional Impacts of Active Labor Market Programs for Indigenous Populations," AEA Papers and Proceedings, American Economic Association, vol. 111, pages 216-220, May.
- Krumer, Alex & Lechner, Michael, 2016. "First In First Win: Evidence on Unfairness of Round-Robin Tournaments in Mega-Events," Economics Working Paper Series 1611, University of St. Gallen, School of Economics and Political Science.
- Lajos Baráth & Imre Fertő & Štefan Bojnec, 2020. "The Effect of Investment, LFA and Agri‐environmental Subsidies on the Components of Total Factor Productivity: The Case of Slovenian Farms," Journal of Agricultural Economics, Wiley Blackwell, vol. 71(3), pages 853-876, September.
- Samuel Dodini, 2023. "Insurance Subsidies, the Affordable Care Act, and Financial Stability," Journal of Policy Analysis and Management, John Wiley & Sons, Ltd., vol. 42(1), pages 97-136, January.
- Janka Goldan & Lena Nusser & Michael Gebel, 2022. "School-related Subjective Well-being of Children with and without Special Educational Needs in Inclusive Classrooms," Child Indicators Research, Springer;The International Society of Child Indicators (ISCI), vol. 15(4), pages 1313-1337, August.
- Seonho Shin, 2022. "Evaluating the Effect of the Matching Grant Program for Refugees: An Observational Study Using Matching, Weighting, and the Mantel-Haenszel Test," Journal of Labor Research, Springer, vol. 43(1), pages 103-133, March.
- Gabriel Okasa & Kenneth A. Younge, 2022. "Sample Fit Reliability," Papers 2209.06631, arXiv.org.
- Hugo Bodory & Martin Huber & Michael Lechner, 2022. "The finite sample performance of instrumental variable-based estimators of the Local Average Treatment Effect when controlling for covariates," Papers 2212.07379, arXiv.org.
- Tübbicke, Stefan, 2023.
"How sensitive are matching estimates of active labor market policy effects to typically unobserved confounders?,"
Journal for Labour Market Research, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany], vol. 57, pages 1-26.
- Stefan Tübbicke, 2023. "How sensitive are matching estimates of active labor market policy effects to typically unobserved confounders?," Journal for Labour Market Research, Springer;Institute for Employment Research/ Institut für Arbeitsmarkt- und Berufsforschung (IAB), vol. 57(1), pages 1-16, December.
- Anthony Strittmatter & Michael Lechner, 2019.
"Sorting on the Used-Car Market After the Volkswagen Emission Scandal,"
Papers
1908.09609, arXiv.org.
- Strittmatter, Anthony & Lechner, Michael, 2020. "Sorting in the used-car market after the Volkswagen emission scandal," Journal of Environmental Economics and Management, Elsevier, vol. 101(C).
- Anthony Strittmatter & Michael Lechner, 2017. "Sorting on the Used-Car Market After the Volkswagen Emission Scandal," CESifo Working Paper Series 6480, CESifo.
- Strittmatter, Anthony & Lechner, Michael, 2017. "Sorting on the Used-Car Market After the Volkswagen Emission Scandal," Economics Working Paper Series 1706, University of St. Gallen, School of Economics and Political Science.
- Goller, Daniel & Krumer, Alex, 2019. "Let’s meet as usual: Do games on non-frequent days differ? Evidence from top European soccer leagues," Economics Working Paper Series 1907, University of St. Gallen, School of Economics and Political Science.
- Michael Lechner & Jana Mareckova, 2022. "Modified Causal Forest," Papers 2209.03744, arXiv.org.
- Huber, Martin & Camponovo, Lorenzo & Bodory, Hugo & Lechner, Michael, 2016. "A wild bootstrap algorithm for propensity score matching estimators," FSES Working Papers 470, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
- Finn Tarp & Sam Jones & Felix Schilling, 2021. "Doing business while holding public office: Evidence from Mozambique’s firm registry," DERG working paper series 21-08, University of Copenhagen. Department of Economics. Development Economics Research Group (DERG).
- Marco Caliendo & Stefan Tübbicke, 2019.
"Do Start-Up Subsidies for the Unemployed Affect Participants’ Well-Being? A Rigorous Look at (Un-)Intended Consequences of Labor Market Policies,"
CEPA Discussion Papers
14, Center for Economic Policy Analysis.
- Caliendo, Marco & Tübbicke, Stefan, 2019. "Do Start-Up Subsidies for the Unemployed Affect Participants' Well-Being? A Rigorous Look at (Un-)Intended Consequences of Labor Market Policies," IZA Discussion Papers 12755, Institute of Labor Economics (IZA).
- Bodory, Hugo & Camponovo, Lorenzo & Huber, Martin & Lechner, Michael, 2024. "Nonparametric bootstrap for propensity score matching estimators," Statistics & Probability Letters, Elsevier, vol. 208(C).
- Goller, Daniel & Krumer, Alex, 2020. "Let's meet as usual: Do games played on non-frequent days differ? Evidence from top European soccer leagues," European Journal of Operational Research, Elsevier, vol. 286(2), pages 740-754.
- Krumer, Alex & Lechner, Michael, 2017. "First in first win: Evidence on schedule effects in round-robin tournaments in mega-events," European Economic Review, Elsevier, vol. 100(C), pages 412-427.
- Tenglong Li & Jordan Lawson, 2021. "A generalized bootstrap procedure of the standard error and confidence interval estimation for inverse probability of treatment weighting," Papers 2109.00171, arXiv.org.
- Philipp Breidenbach & Timo Mitze, 2022. "Large-scale sport events and COVID-19 infection effects: evidence from the German professional football ‘experiment’," The Econometrics Journal, Royal Economic Society, vol. 25(1), pages 15-45.
- Alex Krumer & Michael Lechner, 2018. "Midweek Effect On Soccer Performance: Evidence From The German Bundesliga," Economic Inquiry, Western Economic Association International, vol. 56(1), pages 193-207, January.
- Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2016.
"Predictability Hidden by Anomalous Observations,"
Papers
1612.05072, arXiv.org.
- Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2018. "Predictability Hidden by Anomalous Observations," School of Economics Discussion Papers 0418, School of Economics, University of Surrey.
- Lorenzo Camponovo & O. Scaillet & Fabio Trojani, 2013. "Predictability Hidden by Anomalous Observations," Swiss Finance Institute Research Paper Series 13-05, Swiss Finance Institute.
Cited by:
- Davide La Vecchia & Alban Moor & O. Scaillet, 2020.
"A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data,"
Swiss Finance Institute Research Paper Series
20-01, Swiss Finance Institute.
- La Vecchia, Davide & Moor, Alban & Scaillet, Olivier, 2023. "A higher-order correct fast moving-average bootstrap for dependent data," Journal of Econometrics, Elsevier, vol. 235(1), pages 65-81.
- La Vecchia, Davide & Moor, Alban & Scaillet, Olivier, 2020. "A higher-order correct fast moving-average bootstrap for dependent data," Working Papers unige:129395, University of Geneva, Geneva School of Economics and Management.
- Davide La Vecchia & Alban Moor & Olivier Scaillet, 2020. "A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data," Papers 2001.04867, arXiv.org, revised Jan 2022.
- Gabriele Fiorentini & Enrique Sentana, 2019.
"New testing approaches for mean-variance predictability,"
Working Paper series
19-01, Rimini Centre for Economic Analysis.
- Sentana, Enrique & Fiorentini, Gabriele, 2019. "New testing approaches for mean-variance predictability," CEPR Discussion Papers 13426, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Econometrics Working Papers Archive 2019_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Fiorentini, Gabriele & Sentana, Enrique, 2021. "New testing approaches for mean–variance predictability," Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
- Gabriele Fiorentini & Enrique Sentana, 2018. "New Testing Approaches for Mean-Variance Predictability," Working Papers wp2018_1814, CEMFI.
- Hui Chen & Nengjiu Ju & Jianjun Miao, 2014.
"Dynamic Asset Allocation with Ambiguous Return Predictability,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(4), pages 799-823, October.
- Hui Chen & Nengjiu Ju & Jianjun Miao, 2013. "Code and data files for "Dynamic Asset Allocation with Ambiguous Return Predictability"," Computer Codes 12-77, Review of Economic Dynamics.
- Hui Chen & Nengjiu Ju & Jianjun Miao, 2008. "Dynamic Asset Allocation with Ambiguous Return Predictability," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series dp-179, Boston University - Department of Economics, revised Feb 2009.
- Hui Chen & Nengjiu Ju & Jianjun Miao, "undated". "Dynamic Asset Allocation with Ambiguous Return Predictability," Boston University - Department of Economics - Working Papers Series wp2009-015, Boston University - Department of Economics.
- Cedric Okou & Eric Jacquier, 2014. "Horizon Effect in the Term Structure of Long-Run Risk-Return Trade-Offs," CIRANO Working Papers 2014s-36, CIRANO.
- Okou, Cédric & Jacquier, Éric, 2016. "Horizon effect in the term structure of long-run risk-return trade-offs," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 445-466.
- Tim Bollerslev & Viktor Todorov & Lai Xu, 2014.
"Tail Risk Premia and Return Predictability,"
CREATES Research Papers
2014-49, Department of Economics and Business Economics, Aarhus University.
- Bollerslev, Tim & Todorov, Viktor & Xu, Lai, 2015. "Tail risk premia and return predictability," Journal of Financial Economics, Elsevier, vol. 118(1), pages 113-134.
- K. Victor Chow & Wanjun Jiang & Bingxin Li & Jingrui Li, 2020. "Decomposing the VIX: Implications for the predictability of stock returns," The Financial Review, Eastern Finance Association, vol. 55(4), pages 645-668, November.
- Audrino, Francesco & Camponovo, Lorenzo & Roth, Constantin, 2015.
"Testing the lag structure of assets’ realized volatility dynamics,"
Economics Working Paper Series
1501, University of St. Gallen, School of Economics and Political Science.
Cited by:
- Arnaud Dufays & Jeroen V.K. Rombouts, 2016.
"Sparse Change-point HAR Models for Realized Variance,"
Cahiers de recherche
1607, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
- Arnaud Dufays & Jeroen V. K. Rombouts, 2019. "Sparse Change-point HAR Models for Realized Variance," Econometric Reviews, Taylor & Francis Journals, vol. 38(8), pages 857-880, September.
- Yao, Xingzhi & Izzeldin, Marwan & Li, Zhenxiong, 2019. "A novel cluster HAR-type model for forecasting realized volatility," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1318-1331.
- Tian Xie, 2019. "Forecast Bitcoin Volatility with Least Squares Model Averaging," Econometrics, MDPI, vol. 7(3), pages 1-20, September.
- Niu, Zibo & Ma, Feng & Zhang, Hongwei, 2022. "The role of uncertainty measures in volatility forecasting of the crude oil futures market before and during the COVID-19 pandemic," Energy Economics, Elsevier, vol. 112(C).
- Arnaud Dufays & Jeroen V.K. Rombouts, 2016.
"Sparse Change-point HAR Models for Realized Variance,"
Cahiers de recherche
1607, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
- Lorenzo Camponovo & Taisuke Otsu, 2014.
"Robustness of bootstrap in instrumental variable regression,"
STICERD - Econometrics Paper Series
572, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Lorenzo Camponovo & Taisuke Otsu, 2015. "Robustness of Bootstrap in Instrumental Variable Regression," Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 352-393, March.
- Camponovo, Lorenzo & Otsu, Taisuke, 2015. "Robustness of bootstrap in instrumental variable regression," LSE Research Online Documents on Economics 60185, London School of Economics and Political Science, LSE Library.
- Lorenzo Camponovo & Taisuke Otsu, 2011. "Robustness of Bootstrap in Instrumental Variable Regression," Cowles Foundation Discussion Papers 1796, Cowles Foundation for Research in Economics, Yale University.
- Camponovo, Lorenzo & Otsu, Taisuke, 2014. "Robustness of bootstrap in instrumental variable regression," LSE Research Online Documents on Economics 58185, London School of Economics and Political Science, LSE Library.
Cited by:
- Rachel Bocquet & Christian Le Bas & Caroline Mothe & Nicolas Poussing, 2017.
"CSR, Innovation, and Firm Performance in Sluggish Growth Contexts: A Firm-Level Empirical Analysis,"
Journal of Business Ethics, Springer, vol. 146(1), pages 241-254, November.
- Rachel Bocquet & Christian Le Bas & Caroline Mothe & Nicolas Poussing, 2015. "CSR, Innovation, and Firm Performance in Sluggish Growth Contexts: A Firm-Level Empirical Analysis," Post-Print hal-01588258, HAL.
- Francesco Audrino & Lorenzo Camponovo, 2013.
"Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models,"
Papers
1312.1473, arXiv.org.
- Audrino, Francesco & Camponovo, Lorenzo, 2013. "Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models," Economics Working Paper Series 1327, University of St. Gallen, School of Economics and Political Science.
Cited by:
- Marcelo C. Medeiros & Eduardo F. Mendes, 2015. "l1-Regularization of High-Dimensional Time-Series Models with Flexible Innovations," Textos para discussão 636, Department of Economics PUC-Rio (Brazil).
- Francesco Audrino & Simon D. Knaus, 2016.
"Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics,"
Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1485-1521, December.
- Audrino, Francesco & Knaus, Simon, 2012. "Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics," Economics Working Paper Series 1224, University of St. Gallen, School of Economics and Political Science.
- Audrino, Francesco & Camponovo, Lorenzo & Roth, Constantin, 2015. "Testing the lag structure of assets’ realized volatility dynamics," Economics Working Paper Series 1501, University of St. Gallen, School of Economics and Political Science.
- Medeiros, Marcelo C. & Mendes, Eduardo F., 2016. "ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors," Journal of Econometrics, Elsevier, vol. 191(1), pages 255-271.
- Ding, Yi & Kambouroudis, Dimos & McMillan, David G., 2021. "Forecasting realised volatility: Does the LASSO approach outperform HAR?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
- Lorenzo Camponovo & Taisuke Otsu, 2011.
"Breakdown Point Theory for Implied Probability Bootstrap,"
Cowles Foundation Discussion Papers
1793, Cowles Foundation for Research in Economics, Yale University.
- Lorenzo Camponovo & Taisuke Otsu, 2012. "Breakdown point theory for implied probability bootstrap," Econometrics Journal, Royal Economic Society, vol. 15(1), pages 32-55, February.
Cited by:
- Camponovo, Lorenzo & Otsu, Taisuke, 2015.
"Robustness of bootstrap in instrumental variable regression,"
LSE Research Online Documents on Economics
60185, London School of Economics and Political Science, LSE Library.
- Lorenzo Camponovo & Taisuke Otsu, 2015. "Robustness of Bootstrap in Instrumental Variable Regression," Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 352-393, March.
- Lorenzo Camponovo & Taisuke Otsu, 2011. "Robustness of Bootstrap in Instrumental Variable Regression," Cowles Foundation Discussion Papers 1796, Cowles Foundation for Research in Economics, Yale University.
- Camponovo, Lorenzo & Otsu, Taisuke, 2014. "Robustness of bootstrap in instrumental variable regression," LSE Research Online Documents on Economics 58185, London School of Economics and Political Science, LSE Library.
- Lorenzo Camponovo & Taisuke Otsu, 2014. "Robustness of bootstrap in instrumental variable regression," STICERD - Econometrics Paper Series 572, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Marc G. Genton & Peter Hall, 2016. "A tilting approach to ranking influence," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(1), pages 77-97, January.
- Ferrari, Davide & Zheng, Chao, 2016. "Reliable inference for complex models by discriminative composite likelihood estimation," Journal of Multivariate Analysis, Elsevier, vol. 144(C), pages 68-80.
- Cristian Roner & Claudia Di Caterina & Davide Ferrari, 2021. "Exponential Tilting for Zero-inflated Interval Regression with Applications to Cyber Security Survey Data," BEMPS - Bozen Economics & Management Paper Series BEMPS85, Faculty of Economics and Management at the Free University of Bozen.
- Lorenzo Camponovo & Taisuke Otsu, 2011.
"On Bartlett Correctability of Empirical Likelihood in Generalized �Power Divergence Family,"
Cowles Foundation Discussion Papers
1825, Cowles Foundation for Research in Economics, Yale University.
- Camponovo, Lorenzo & Otsu, Taisuke, 2014. "On Bartlett correctability of empirical likelihood in generalized power divergence family," Statistics & Probability Letters, Elsevier, vol. 86(C), pages 38-43.
- Camponovo, Lorenzo & Otsu, Taisuke, 2014. "On Bartlett correctability of empirical likelihood in generalized power divergence family," LSE Research Online Documents on Economics 55597, London School of Economics and Political Science, LSE Library.
Cited by:
- Roberto Baragona & Francesco Battaglia & Domenico Cucina, 2017. "Empirical likelihood ratio in penalty form and the convex hull problem," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 26(4), pages 507-529, November.
- Matsushita, Yukitoshi & Otsu, Taisuke, 2020. "Likelihood inference on semiparametric models with generated regressors," LSE Research Online Documents on Economics 102696, London School of Economics and Political Science, LSE Library.
- Kun Chen & Ngai Hang Chan & Chun Yip Yau, 2016. "Bartlett Correction of Empirical Likelihood for Non-Gaussian Short-Memory Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(5), pages 624-649, September.
- Nicola Lunardon & Gianfranco Adimari, 2016. "Second-order Accurate Confidence Regions Based on Members of the Generalized Power Divergence Family," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(1), pages 213-227, March.
- Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI, 2009.
"Robust Resampling Methods for Time Series,"
Swiss Finance Institute Research Paper Series
09-38, Swiss Finance Institute.
Cited by:
- Ilaria Piatti & Fabio Trojani, 2020.
"Dividend Growth Predictability and the Price–Dividend Ratio,"
Management Science, INFORMS, vol. 66(1), pages 130-158, January.
- Ilaria Piatti & Fabio Trojani, 2012. "Dividend Growth Predictability and the Price-Dividend Ratio," Swiss Finance Institute Research Paper Series 12-42, Swiss Finance Institute.
- Camponovo, Lorenzo & Otsu, Taisuke, 2015.
"Robustness of bootstrap in instrumental variable regression,"
LSE Research Online Documents on Economics
60185, London School of Economics and Political Science, LSE Library.
- Lorenzo Camponovo & Taisuke Otsu, 2015. "Robustness of Bootstrap in Instrumental Variable Regression," Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 352-393, March.
- Lorenzo Camponovo & Taisuke Otsu, 2011. "Robustness of Bootstrap in Instrumental Variable Regression," Cowles Foundation Discussion Papers 1796, Cowles Foundation for Research in Economics, Yale University.
- Camponovo, Lorenzo & Otsu, Taisuke, 2014. "Robustness of bootstrap in instrumental variable regression," LSE Research Online Documents on Economics 58185, London School of Economics and Political Science, LSE Library.
- Lorenzo Camponovo & Taisuke Otsu, 2014. "Robustness of bootstrap in instrumental variable regression," STICERD - Econometrics Paper Series 572, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Ilaria Piatti & Fabio Trojani, 2020.
"Dividend Growth Predictability and the Price–Dividend Ratio,"
Management Science, INFORMS, vol. 66(1), pages 130-158, January.
- Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2006.
"Robust Subsampling,"
Swiss Finance Institute Research Paper Series
06-33, Swiss Finance Institute.
- Camponovo, Lorenzo & Scaillet, Olivier & Trojani, Fabio, 2012. "Robust subsampling," Journal of Econometrics, Elsevier, vol. 167(1), pages 197-210.
Cited by:
- Paulo Parente & Richard J. Smith, 2019.
"Quasi-maximum likelihood and the kernel block bootstrap for nonlinear dynamic models,"
CeMMAP working papers
CWP60/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Paulo M.D.C. Parente & Richard J. Smith, 2018. "Quasi-Maximum Likelihood and the Kernel Block Bootstrap for Nonlinear Dynamic Models," Working Papers REM 2018/59, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Paulo M. D. C. Parente & Richard J. Smith, 2021. "Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(4), pages 377-405, July.
- Loriano Mancini & Fabio Trojani, 2011.
"Robust Value at Risk Prediction,"
Journal of Financial Econometrics, Oxford University Press, vol. 9(2), pages 281-313, Spring.
- Loriano Mancini & Fabio Trojani, 2007. "Robust Value at Risk Prediction," Swiss Finance Institute Research Paper Series 07-31, Swiss Finance Institute.
- Loriano Mancini & Fabio Trojani, 2007. "Robust Value at Risk Prediction," University of St. Gallen Department of Economics working paper series 2007 2007-36, Department of Economics, University of St. Gallen.
- Davide La Vecchia & Alban Moor & O. Scaillet, 2020.
"A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data,"
Swiss Finance Institute Research Paper Series
20-01, Swiss Finance Institute.
- La Vecchia, Davide & Moor, Alban & Scaillet, Olivier, 2023. "A higher-order correct fast moving-average bootstrap for dependent data," Journal of Econometrics, Elsevier, vol. 235(1), pages 65-81.
- La Vecchia, Davide & Moor, Alban & Scaillet, Olivier, 2020. "A higher-order correct fast moving-average bootstrap for dependent data," Working Papers unige:129395, University of Geneva, Geneva School of Economics and Management.
- Davide La Vecchia & Alban Moor & Olivier Scaillet, 2020. "A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data," Papers 2001.04867, arXiv.org, revised Jan 2022.
- Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2016.
"Predictability Hidden by Anomalous Observations,"
Papers
1612.05072, arXiv.org.
- Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2018. "Predictability Hidden by Anomalous Observations," School of Economics Discussion Papers 0418, School of Economics, University of Surrey.
- Lorenzo Camponovo & O. Scaillet & Fabio Trojani, 2013. "Predictability Hidden by Anomalous Observations," Swiss Finance Institute Research Paper Series 13-05, Swiss Finance Institute.
- Camponovo, Lorenzo & Otsu, Taisuke, 2015.
"Robustness of bootstrap in instrumental variable regression,"
LSE Research Online Documents on Economics
60185, London School of Economics and Political Science, LSE Library.
- Lorenzo Camponovo & Taisuke Otsu, 2015. "Robustness of Bootstrap in Instrumental Variable Regression," Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 352-393, March.
- Lorenzo Camponovo & Taisuke Otsu, 2011. "Robustness of Bootstrap in Instrumental Variable Regression," Cowles Foundation Discussion Papers 1796, Cowles Foundation for Research in Economics, Yale University.
- Camponovo, Lorenzo & Otsu, Taisuke, 2014. "Robustness of bootstrap in instrumental variable regression," LSE Research Online Documents on Economics 58185, London School of Economics and Political Science, LSE Library.
- Lorenzo Camponovo & Taisuke Otsu, 2014. "Robustness of bootstrap in instrumental variable regression," STICERD - Econometrics Paper Series 572, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Ronchetti, Elvezio, 2020. "Accurate and robust inference," Econometrics and Statistics, Elsevier, vol. 14(C), pages 74-88.
Articles
- Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2017.
"Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy,"
Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 505-505.
Cited by:
- Philippe Bernard & Najat El Mekkaoui de Freitas & Bertrand Maillet, 2022.
"A Financial Fraud Detection Indicator for Investors: An IDeA,"
Post-Print
hal-02312401, HAL.
- Philippe Bernard & Najat El Mekkaoui De Freitas & Bertrand B. Maillet, 2022. "A financial fraud detection indicator for investors: an IDeA," Annals of Operations Research, Springer, vol. 313(2), pages 809-832, June.
- Philippe Bernard & Najat El Mekkaoui de Freitas & Bertrand Maillet, 2022.
"A Financial Fraud Detection Indicator for Investors: An IDeA,"
Post-Print
hal-02312401, HAL.
- Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2017.
"Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy,"
Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 377-387.
See citations under working paper version above.
- Scaillet, Olivier & Trojani, Fabio & Camponovo, Lorenzo, 2016. "Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Working Papers unige:84999, University of Geneva, Geneva School of Economics and Management.
- Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI, 2016. "Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Swiss Finance Institute Research Paper Series 16-41, Swiss Finance Institute.
- Lorenzo Camponovo, 2016.
"Asymptotic refinements of nonparametric bootstrap for quasi‐likelihood ratio tests for classes of extremum estimators,"
Econometrics Journal, Royal Economic Society, vol. 19(1), pages 33-54, February.
Cited by:
- Lavergne, Pascal & Bertail, Patrice, 2020. "Bootstrapping Quasi Likelihood Ratio Tests under Misspecification," TSE Working Papers 20-1102, Toulouse School of Economics (TSE).
- Paulo Parente & Richard J. Smith, 2024. "Implied probability kernel block bootstrap for time series moment condition models," CeMMAP working papers 08/24, Institute for Fiscal Studies.
- Lorenzo Camponovo & Taisuke Otsu, 2015.
"Robustness of Bootstrap in Instrumental Variable Regression,"
Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 352-393, March.
See citations under working paper version above.
- Camponovo, Lorenzo & Otsu, Taisuke, 2015. "Robustness of bootstrap in instrumental variable regression," LSE Research Online Documents on Economics 60185, London School of Economics and Political Science, LSE Library.
- Lorenzo Camponovo & Taisuke Otsu, 2011. "Robustness of Bootstrap in Instrumental Variable Regression," Cowles Foundation Discussion Papers 1796, Cowles Foundation for Research in Economics, Yale University.
- Camponovo, Lorenzo & Otsu, Taisuke, 2014. "Robustness of bootstrap in instrumental variable regression," LSE Research Online Documents on Economics 58185, London School of Economics and Political Science, LSE Library.
- Lorenzo Camponovo & Taisuke Otsu, 2014. "Robustness of bootstrap in instrumental variable regression," STICERD - Econometrics Paper Series 572, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Camponovo, Lorenzo, 2015.
"Differencing Transformations And Inference In Predictive Regression Models,"
Econometric Theory, Cambridge University Press, vol. 31(6), pages 1331-1358, December.
Cited by:
- Demetrescu, Matei & Rodrigues, Paulo M.M., 2022.
"Residual-augmented IVX predictive regression,"
Journal of Econometrics, Elsevier, vol. 227(2), pages 429-460.
- Paulo M.M. Rodrigues & Matei Demetrescu, 2016. "Residual-augmented IVX predictive regression," Working Papers w201605, Banco de Portugal, Economics and Research Department.
- Pitarakis, Jean-Yves, 2019. "Predictive Regressions," UC3M Working papers. Economics 28554, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Christis Katsouris, 2023. "Optimal Estimation Methodologies for Panel Data Regression Models," Papers 2311.03471, arXiv.org, revised Nov 2023.
- Demetrescu, Matei & Rodrigues, Paulo M.M., 2022.
"Residual-augmented IVX predictive regression,"
Journal of Econometrics, Elsevier, vol. 227(2), pages 429-460.
- L. Camponovo, 2015.
"On the validity of the pairs bootstrap for lasso estimators,"
Biometrika, Biometrika Trust, vol. 102(4), pages 981-987.
Cited by:
- Giuseppe Luca & Jan R. Magnus & Franco Peracchi, 2023.
"Weighted-Average Least Squares (WALS): Confidence and Prediction Intervals,"
Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1637-1664, April.
- Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2021. "Weighted-average least squares (WALS): Confidence and prediction intervals," Tinbergen Institute Discussion Papers 21-038/III, Tinbergen Institute.
- Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2021. "Weighted-average least squares (WALS): Confidence and prediction intervals," EIEF Working Papers Series 2108, Einaudi Institute for Economics and Finance (EIEF), revised May 2021.
- Carlos Lamarche & Thomas Parker, 2022.
"Wild Bootstrap Inference For Penalized Quantile Regression For Longitudinal Data,"
Working Papers
22003 Classification-C15,, University of Waterloo, Department of Economics.
- Lamarche, Carlos & Parker, Thomas, 2023. "Wild bootstrap inference for penalized quantile regression for longitudinal data," Journal of Econometrics, Elsevier, vol. 235(2), pages 1799-1826.
- Carlos Lamarche & Thomas Parker, 2020. "Wild Bootstrap Inference for Penalized Quantile Regression for Longitudinal Data," Papers 2004.05127, arXiv.org, revised May 2022.
- Giuseppe Luca & Jan R. Magnus & Franco Peracchi, 2023.
"Weighted-Average Least Squares (WALS): Confidence and Prediction Intervals,"
Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1637-1664, April.
- La Vecchia, Davide & Camponovo, Lorenzo & Ferrari, Davide, 2015.
"Robust heart rate variability analysis by generalized entropy minimization,"
Computational Statistics & Data Analysis, Elsevier, vol. 82(C), pages 137-151.
Cited by:
- Terezinha K. A. Ribeiro & Silvia L. P. Ferrari, 2023. "Robust estimation in beta regression via maximum L $$_q$$ q -likelihood," Statistical Papers, Springer, vol. 64(1), pages 321-353, February.
- Camponovo, Lorenzo & Otsu, Taisuke, 2014.
"On Bartlett correctability of empirical likelihood in generalized power divergence family,"
Statistics & Probability Letters, Elsevier, vol. 86(C), pages 38-43.
See citations under working paper version above.
- Camponovo, Lorenzo & Otsu, Taisuke, 2014. "On Bartlett correctability of empirical likelihood in generalized power divergence family," LSE Research Online Documents on Economics 55597, London School of Economics and Political Science, LSE Library.
- Lorenzo Camponovo & Taisuke Otsu, 2011. "On Bartlett Correctability of Empirical Likelihood in Generalized �Power Divergence Family," Cowles Foundation Discussion Papers 1825, Cowles Foundation for Research in Economics, Yale University.
- Camponovo, Lorenzo & Scaillet, Olivier & Trojani, Fabio, 2012.
"Robust subsampling,"
Journal of Econometrics, Elsevier, vol. 167(1), pages 197-210.
See citations under working paper version above.
- Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2006. "Robust Subsampling," Swiss Finance Institute Research Paper Series 06-33, Swiss Finance Institute.
- Lorenzo Camponovo & Taisuke Otsu, 2012.
"Breakdown point theory for implied probability bootstrap,"
Econometrics Journal, Royal Economic Society, vol. 15(1), pages 32-55, February.
See citations under working paper version above.
- Lorenzo Camponovo & Taisuke Otsu, 2011. "Breakdown Point Theory for Implied Probability Bootstrap," Cowles Foundation Discussion Papers 1793, Cowles Foundation for Research in Economics, Yale University.
More information
Research fields, statistics, top rankings, if available.Statistics
Access and download statistics for all items
Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 16 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.- NEP-ECM: Econometrics (12) 2007-10-20 2011-04-30 2011-04-30 2011-10-22 2013-10-25 2015-01-31 2015-02-05 2016-02-12 2016-07-16 2016-12-18 2017-03-05 2017-11-26. Author is listed
- NEP-ORE: Operations Research (9) 2013-10-25 2015-02-05 2015-02-05 2015-05-30 2015-11-01 2016-02-12 2016-07-16 2017-03-05 2017-11-26. Author is listed
- NEP-ETS: Econometric Time Series (3) 2013-10-25 2015-02-05 2017-03-05
- NEP-MST: Market Microstructure (2) 2015-01-31 2017-03-05
- NEP-CIS: Confederation of Independent States (1) 2011-10-22
- NEP-CSE: Economics of Strategic Management (1) 2016-08-07
- NEP-FOR: Forecasting (1) 2015-02-05
- NEP-GER: German Papers (1) 2016-07-16
- NEP-MAC: Macroeconomics (1) 2013-10-25
- NEP-RMG: Risk Management (1) 2016-08-07
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.
To update listings or check citations waiting for approval, Lorenzo Camponovo should log into the RePEc Author Service.
To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.
To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.
Please note that most corrections can take a couple of weeks to filter through the various RePEc services.