Journal Articles

• Raponi, V., Robotti, C. and Zaffaroni, P. (2019) "Testing beta-pricing models using large cross-sections", Review of Financial Studies, hhz064
• Barillas, F., Kan, R., Robotti, C. and Shanken, J. (2019) "Model comparison with Sharpe ratios", Journal of Financial and Quantitative Analysis
• Gospodinov, N., Kan, R. and Robotti, C. (2018) "Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models", Econometric Reviews, 37, 7, 695-718
• Gospodinov, N., Kan, R. and Robotti, C. (2018) "Too good to be true? Fallacies in evaluating risk factor models", Journal of Financial Economics
• Kan, R. and Robotti, C. (2017) "On moments of folded and truncated multivariate normal distributions", Journal of Computational and Graphical Statistics, 26, 4
• Gospodinov, N., Kan, R. and Robotti, C. (2017) "Spurious inference in reduced-rank asset-pricing models", Econometrica, 85, 5, 1613-1628
• Gospodinov, N., Kan, R. and Robotti, C. (2016) "On the properties of the constrained Hansen–Jagannathan distance", Journal of Empirical Finance, 36, 121-150
• Robotti, C. and Kan, R. (2016) "The exact distribution of the Hansen-Jagannathan bound", Management Science, 62, 7, 1915-1943
• Gospodinov, N., Kan, R. and Robotti, C. (2014) "Misspecification-robust inference in linear asset pricing models with irrelevant risk factors", Review of Financial Studies, 27, 7, 2139-2170

Journal Item

• Robotti, C. and Kan, R. (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