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Cesare Robotti

Personal Details

First Name:Cesare
Middle Name:
Last Name:Robotti
Suffix:
RePEc Short-ID:pro442
Terminal Degree:2002 Department of Economics; Boston College (from RePEc Genealogy)

Affiliation

Federal Reserve Bank of Atlanta

Atlanta, Georgia (United States)
http://www.frbatlanta.org/
RePEc:edi:frbatus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2017. "Too Good to Be True? Fallacies in Evaluating Risk Factor Models," FRB Atlanta Working Paper 2017-9, Federal Reserve Bank of Atlanta.
  2. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2015. "Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models," FRB Atlanta Working Paper 2015-9, Federal Reserve Bank of Atlanta.
  3. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2014. "Spurious Inference in Unidentified Asset-Pricing Models," FRB Atlanta Working Paper 2014-12, Federal Reserve Bank of Atlanta.
  4. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2013. "Misspecification-robust inference in linear asset pricing models with irrelevant risk factors," FRB Atlanta Working Paper 2013-09, Federal Reserve Bank of Atlanta.
  5. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2012. "Robust inference in linear asset pricing models," FRB Atlanta Working Paper 2012-17, Federal Reserve Bank of Atlanta.
  6. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2012. "Analytical solution for the constrained Hansen-Jagannathan distance under multivariate ellipticity," FRB Atlanta Working Paper 2012-18, Federal Reserve Bank of Atlanta.
  7. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2011. "Chi-squared tests for evaluation and comparison of asset pricing models," FRB Atlanta Working Paper 2011-08, Federal Reserve Bank of Atlanta.
  8. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2010. "On the Hansen-Jagannathan distance with a no-arbitrage constraint," FRB Atlanta Working Paper 2010-04, Federal Reserve Bank of Atlanta.
  9. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2010. "Further results on the limiting distribution of GMM sample moment conditions," FRB Atlanta Working Paper 2010-11, Federal Reserve Bank of Atlanta.
  10. Raymond Kan & Cesare Robotti & Jay Shanken, 2009. "Pricing model performance and the two-pass cross-sectional regression methodology," FRB Atlanta Working Paper 2009-11, Federal Reserve Bank of Atlanta.
  11. Raymond Kan & Cesare Robotti, 2009. "A note on the estimation of asset pricing models using simple regression betas," FRB Atlanta Working Paper 2009-12, Federal Reserve Bank of Atlanta.
  12. Raymond Kan & Cesare Robotti, 2008. "The exact distribution of the Hansen-Jagannathan bound," FRB Atlanta Working Paper 2008-09, Federal Reserve Bank of Atlanta.
  13. Raymond Kan & Cesare Robotti, 2007. "Model comparison using the Hansen-Jagannathan distance," FRB Atlanta Working Paper 2007-04, Federal Reserve Bank of Atlanta.
  14. Raymond Kan & Cesare Robotti, 2006. "Specification tests of asset pricing models using excess returns," FRB Atlanta Working Paper 2006-10, Federal Reserve Bank of Atlanta.
  15. Pierluigi Balduzzi & Cesare Robotti, 2005. "Asset-pricing models and economic risk premia: a decomposition," FRB Atlanta Working Paper 2005-13, Federal Reserve Bank of Atlanta.
  16. Pierluigi Balduzzi & Cesare Robotti, 2005. "Mimicking portfolios, economic risk premia, and tests of multi-beta models," FRB Atlanta Working Paper 2005-04, Federal Reserve Bank of Atlanta.
  17. Cesare Robotti, 2003. "Dynamic strategies, asset pricing models, and the out-of-sample performance of the tangency portfolio," FRB Atlanta Working Paper 2003-6, Federal Reserve Bank of Atlanta.
  18. Anya Krivelyova & Cesare Robotti, 2003. "Playing the field: Geomagnetic storms and international stock markets," FRB Atlanta Working Paper 2003-5, Federal Reserve Bank of Atlanta.
  19. Pierluigi Balduzzi & Cesare Robotti, 2001. "Minimum-variance kernels, economic risk premia, and tests of multi-beta models," FRB Atlanta Working Paper 2001-24, Federal Reserve Bank of Atlanta.
  20. Cesare Robotti, 2001. "The price of inflation and foreign exchange risk in international equity markets," FRB Atlanta Working Paper 2001-26, Federal Reserve Bank of Atlanta.
  21. Cesare Robotti & Pierluigi Balduzzi, 1999. "Minimum-Variance Kernels and Economic Risk Premia," Computing in Economics and Finance 1999 953, Society for Computational Economics.

Articles

  1. Raymond Kan & Cesare Robotti, 2009. "Model Comparison Using the Hansen-Jagannathan Distance," The Review of Financial Studies, Society for Financial Studies, vol. 22(9), pages 3449-3490, September.
  2. Balduzzi, Pierluigi & Robotti, Cesare, 2008. "Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 354-368.
  3. Kan, Raymond & Robotti, Cesare, 2008. "Specification tests of asset pricing models using excess returns," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 816-838, December.
  4. Ramon P. DeGennaro & Cesare Robotti, 2007. "Financial market frictions," Economic Review, Federal Reserve Bank of Atlanta, vol. 92(Q 3), pages 1-16.
  5. Gerald P. Dwyer & Cesare Robotti, 2004. "The news in financial asset returns," Economic Review, Federal Reserve Bank of Atlanta, vol. 89(Q 1), pages 1-23.
  6. Cesare Robotti, 2002. "Asset returns and economic risk," Economic Review, Federal Reserve Bank of Atlanta, vol. 87(Q2), pages 13-25.

More information

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Statistics

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Co-authorship network on CollEc

Featured entries

This author is featured on the following reading lists, publication compilations, Wikipedia, or ReplicationWiki entries:
  1. Items authored by Boston College Economics alumni

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 17 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 (11) 2005-05-23 2006-09-16 2007-03-31 2008-04-12 2009-04-05 2010-04-11 2010-07-31 2012-11-17 2013-11-09 2015-11-07 2018-01-22. Author is listed
  2. NEP-FMK: Financial Markets (5) 2002-02-15 2002-02-15 2003-05-08 2005-09-11 2006-09-16. Author is listed
  3. NEP-FIN: Finance (4) 1999-07-12 2003-05-08 2003-05-08 2005-05-23
  4. NEP-PKE: Post Keynesian Economics (2) 2002-02-15 2002-02-15
  5. NEP-RMG: Risk Management (2) 2005-05-23 2007-03-31
  6. NEP-CFN: Corporate Finance (1) 1999-07-12
  7. NEP-IFN: International Finance (1) 2002-02-15
  8. NEP-KNM: Knowledge Management and Knowledge Economy (1) 2006-09-16
  9. NEP-ORE: Operations Research (1) 2015-11-07

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