Working Papers

• Fortin, A.-P., Gagliardini, P., and Scaillet, O., 2026, Optimal Maximin GMM Tests for Sphericity in Latent Factor Analysis of Short Panels. 

Publications

• Fortin, A.-P., 2026. Testing for Common Latent Factors Across Two Short Panels. Journal of Econometrics, 257, 106311.

• Fortin, A.-P., Gagliardini, P., and Scaillet, O., 2026. Latent Factor Analysis in Short Panels. Journal of Econometrics, 255, 106249.

• Fortin, A.-P., Gagliardini, P., and Scaillet, O., 2025. Eigenvalue tests for the number of latent factors in short panels. Journal of Financial Econometrics, 23(1), nbad024.

• Fortin, A.P., Simonato, J.G., Dionne, G., 2023, Forecasting Expected Shortfall: Should We Use a Multivariate Model for Stock Market Factors?. International Journal of Forecasting, 39(1), 314-331.