Lorenzo Camponovo

University of St. Gallen

Varnbuelstr. 14

Saint Gallen, St. Gallen CH-9000

Switzerland

SCHOLARLY PAPERS

18

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SSRN CITATIONS
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Top 27,180

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10

CROSSREF CITATIONS

24

Scholarly Papers (18)

1.

Robust Resampling Methods for Time Series

Swiss Finance Institute Research Paper No. 09-38
Number of pages: 49 Posted: 14 Oct 2009 Last Revised: 27 Jan 2013
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and Swiss Finance Institute
Downloads 339 (109,543)
Citation 6

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Subsampling, bootstrap, breakdown point, robustness, time series

2.

Robust Subsampling

Swiss Finance Institute Research Paper No. 06-33
Number of pages: 52 Posted: 26 Nov 2006 Last Revised: 11 Aug 2011
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and Swiss Finance Institute
Downloads 216 (173,431)
Citation 4

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Subsampling, bootstrap, breakdown point, robustness

3.

Predictability Hidden by Anomalous Observations

Swiss Finance Institute Research Paper No. 13-05
Number of pages: 62 Posted: 23 Mar 2013 Last Revised: 05 Mar 2014
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and Swiss Finance Institute
Downloads 163 (222,856)
Citation 8

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Predictive Regression, Stock Return Predictability, Bootstrap, Subsampling, Robustness

4.

Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy

Swiss Finance Institute Research Paper No. 16-41
Number of pages: 20 Posted: 06 Jul 2016
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and Swiss Finance Institute
Downloads 154 (233,722)

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Tail Risk, Risk Factor, Risk-Neutral Probability, Prediction of Market Returns, Economic Predictability

5.

Testing the Lag Structure of Assets' Realized Volatility Dynamics

Number of pages: 37 Posted: 14 Jan 2015 Last Revised: 03 Feb 2015
Francesco Audrino, Lorenzo Camponovo and Constantin Roth
University of St. Gallen, University of St. Gallen and University of St. Gallen
Downloads 149 (240,092)
Citation 5

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Realized volatility, Adaptive lasso, HAR model, Test for false positives, Lag structure

6.

Oracle Properties, Bias Correction, and Inference of the Adaptive Lasso for Time Series Extremum Estimators

Number of pages: 38 Posted: 14 Oct 2013 Last Revised: 04 May 2015
Francesco Audrino and Lorenzo Camponovo
University of St. Gallen and University of St. Gallen
Downloads 134 (261,336)
Citation 5

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Adaptive lasso, Time series, Oracle properties, Finite sample inference, Taylor rule monetary policy model

7.

On the Validity of the Pairs Bootstrap for Lasso Estimators

Number of pages: 22 Posted: 31 May 2014 Last Revised: 07 Feb 2015
Lorenzo Camponovo
University of St. Gallen
Downloads 132 (264,291)
Citation 1

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8.

Predictive Regression and Robust Hypothesis Testing: Predictability Hidden by Anomalous Observations

Number of pages: 57 Posted: 12 Jun 2012
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and Swiss Finance Institute
Downloads 124 (277,023)
Citation 2

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9.

The Finite Sample Performance of Inference Methods for Propensity Score Matching and Weighting Estimators

IZA Discussion Paper No. 9706
Number of pages: 48 Posted: 15 Feb 2016
Hugo Bodory, Lorenzo Camponovo, Martin Huber and Michael Lechner
University of St. Gallen, University of St. Gallen, University of Fribourg and University of St. Gallen - Swiss Institute for Empirical Economic Research
Downloads 94 (334,694)
Citation 4

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inference, variance estimation, treatment effects, matching, inverse probability weighting

10.

Differencing Transformations and Robust Inference in Predictive Regression Models

Number of pages: 26 Posted: 16 Jun 2012
Lorenzo Camponovo
University of St. Gallen
Downloads 46 (484,783)

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Predictive regression models, differencing transfomations, robust inference

11.

Nonparametric Bootstrap for Quasi-Likelihood Ratio Tests

Number of pages: 30 Posted: 03 Sep 2011 Last Revised: 04 Nov 2011
Lorenzo Camponovo
University of St. Gallen
Downloads 45 (489,131)

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Block Bootstrap, Quasi-Likelihood Ratio Tests, Asymptotic Refinements

12.

Robustness of Bootstrap in Instrumental Variable Regression

Cowles Foundation Discussion Paper No. 1796
Number of pages: 25 Posted: 25 Apr 2011
Lorenzo Camponovo and Taisuke Otsu
University of St. Gallen and Yale University - Cowles Foundation
Downloads 42 (502,419)

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Bootstrap, Breakdown point, Instrumental variable regression

13.

Wild Multiplicative Bootstrap for M and GMM Estimators in Time Series

Number of pages: 30 Posted: 07 May 2019
Francesco Audrino, Lorenzo Camponovo and Constantin Roth
University of St. Gallen, University of St. Gallen and University of St. Gallen
Downloads 38 (521,169)

Abstract:

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M and GMM Estimators, Time Series, Wild Bootstrap

14.

Breakdown Point Theory for Implied Probability Bootstrap

Cowles Foundation Discussion Paper No. 1793
Number of pages: 15 Posted: 22 Apr 2011
Lorenzo Camponovo and Taisuke Otsu
University of St. Gallen and Yale University - Cowles Foundation
Downloads 37 (525,979)

Abstract:

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Bootstrap, Breakdown point, GMM

15.

On Bartlett Correctability of Empirical Likelihood in Generalized Power Divergence Family

Cowles Foundation Discussion Paper No. 1825
Number of pages: 8 Posted: 15 Oct 2011
Lorenzo Camponovo and Taisuke Otsu
University of St. Gallen and Yale University - Cowles Foundation
Downloads 26 (587,374)

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Bartlett correction, Empirical likelihood, Cressie-Read power divergence family

16.

Asymptotic Refinements of a Fully Nonparametric Bootstrap for Quasi-Likelihood Ratio Tests of Extremum Estimators

Number of pages: 27 Posted: 29 May 2014 Last Revised: 01 Feb 2015
Lorenzo Camponovo
University of St. Gallen
Downloads 24 (600,329)

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17.

Bootstrap Inference for Penalized GMM Estimators with Oracle Properties

Number of pages: 19 Posted: 07 May 2019
Lorenzo Camponovo
University of St. Gallen
Downloads 16 (655,736)

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18.

Oracle Properties, Bias Correction, and Bootstrap Inference for Adaptive Lasso for Time Series M‐Estimators

Journal of Time Series Analysis, Vol. 39, Issue 2, pp. 111-128, 2018
Number of pages: 18 Posted: 14 Feb 2018
Francesco Audrino and Lorenzo Camponovo
University of St. Gallen and University of St. Gallen
Downloads 1 (776,901)
Citation 1
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Adaptive lasso, oracle properties, bias correction, bootstrap inference, Taylor rule monetary policy model