| Time‐varying risk premium in large cross‐sectional equity data sets P Gagliardini, E Ossola, O Scaillet Econometrica 84 (3), 985-1046, 2016 | 281 | 2016 |
| Testing asset pricing models with coskewness G Barone Adesi, P Gagliardini, G Urga Journal of Business & Economic Statistics 22 (4), 474-485, 2004 | 143 | 2004 |
| Stochastic migration models with application to corporate risk P Gagliardini, C Gouriéroux Journal of Financial Econometrics 3 (2), 188-226, 2005 | 102 | 2005 |
| Ambiguity aversion and the term structure of interest rates P Gagliardini, P Porchia, F Trojani The review of financial studies 22 (10), 4157-4188, 2008 | 98 | 2008 |
| Efficient derivative pricing by the extended method of moments P Gagliardini, C Gourieroux, E Renault Econometrica 79 (4), 1181-1232, 2011 | 92 | 2011 |
| A diagnostic criterion for approximate factor structure P Gagliardini, E Ossola, O Scaillet Journal of Econometrics 212 (2), 503-521, 2019 | 69 | 2019 |
| Inference in group factor models with an application to mixed‐frequency data E Andreou, P Gagliardini, E Ghysels, M Rubin Econometrica 87 (4), 1267-1305, 2019 | 54 | 2019 |
| Skill, scale, and value creation in the mutual fund industry L Barras, P Gagliardini, O Scaillet The Journal of Finance 77 (1), 601-638, 2022 | 53 | 2022 |
| Nonparametric instrumental variable estimation of structural quantile effects P Gagliardini, O Scaillet Econometrica 80 (4), 1533-1562, 2012 | 50 | 2012 |
| Migration correlation: Definition and efficient estimation P Gagliardini, C Gouriéroux Journal of Banking & Finance 29 (4), 865-894, 2005 | 46 | 2005 |
| Robust GMM tests for structural breaks P Gagliardini, F Trojani, G Urga Journal of Econometrics 129 (1-2), 139-182, 2005 | 44 | 2005 |
| An efficient nonparametric estimator for models with nonlinear dependence P Gagliardini, C Gouriéroux Journal of Econometrics 137 (1), 189-229, 2007 | 37 | 2007 |
| Tikhonov regularization for nonparametric instrumental variable estimators P Gagliardini, O Scaillet Journal of Econometrics 167 (1), 61-75, 2012 | 35 | 2012 |
| Estimation of large dimensional conditional factor models in finance P Gagliardini, E Ossola, O Scaillet Handbook of econometrics 7, 219-282, 2020 | 31 | 2020 |
| Efficiency in large dynamic panel models with common factors P Gagliardini, C Gourieroux Econometric Theory 30 (5), 961-1020, 2014 | 29 | 2014 |
| Comparing asset pricing models by the conditional Hansen-Jagannathan distance P Gagliardini, D Ronchetti Journal of Financial Econometrics 18 (2), 333-394, 2020 | 28 | 2020 |
| Generalization of the Luttinger theorem for fermionic ladder systems P Gagliardini, S Haas, TM Rice Physical Review B 58 (15), 9603, 1998 | 26 | 1998 |
| Granularity Theory with Applications to Finance and Insurance P Gagliardini, C Gouriéroux Cambridge University Press, 2014 | 18 | 2014 |
| Microinformation, Nonlinear Filtering, and Granularity P Gagliardini, C Gouriéroux, A Monfort Journal of Financial Econometrics 10 (1), 1-53, 2012 | 18 | 2012 |
| A specification test for nonparametric instrumental variable regression P Gagliardini, O Scaillet Swiss Finance Institute Research Paper, 2008 | 18* | 2008 |
