Cesare Robotti

Biographic Data

ID8920563
NAMECesare Robotti
GIVEN NAMESCesare
FAMILY NAMERobotti
SIGNATUREROBOTTI C
AFFILIATIONSFederal Reserve Bank of Atlanta
VERIFIEDNo
TOTAL WORKS2
TOTAL CITATIONS0
WORKS AS AUTHOR2
WORKS AS EDITOR0
FIRST PUBLICATION YEAR2008
LATEST PUBLICATION YEAR2012
H-INDEX0

  • Further Results on the Limiting Distribution of GMM Sample Moment Conditions

    Nikolay Gospodinov, Raymond Kan et al.ARTICLEJournal of Business and Economic…2012

    In this article, we examine the limiting behavior of generalized method of moments (GMM) sample moment conditions and point out an important discontinuity that arises in their asymptotic distribution. We show that the part of the scaled sample moment conditions that gives rise to degeneracy in the asymptotic normal distribution is T-consistent and has a nonstandard limiting distribution. We derive the appropriate asymptotic (weighted chi-squared)…

  • Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models

    Pierluigi Balduzzi, Cesare RobottiARTICLEJournal of Business and Economic…2008

    We consider two formulations of the linear factor model (LFM) with nontraded factors. In the first formulation, LFM, risk premia and alphas are estimated by a cross-sectional regression of average returns on betas. In the second formulation, LFM**, the factors are replaced by their projections on the span of excess returns, and risk premia and alphas are estimated by time series regressions. We compare the two formulations and study the small-sam…