Working Papers
Fortin, A.-P., 2023, Tests for the Number of Common Factors Between Two Short Panels, Job Market Paper.
Fortin, A.-P., Gagliardini, P., and Scaillet, O., 2023, Latent Factor Analysis in Short Panels.
Fortin, A.-P., Gagliardini, P., and Scaillet, O., 2023, Likelihood Ratio Testing for Sphericity in Latent Factor Analysis of Short Panels.
Publications
Fortin, A.-P., Gagliardini, P., and Scaillet, O., 2023, Eigenvalue Tests for the Number of Latent Factors in Short Panels, Journal of Financial Econometrics, paper for the Halbert White Jr. Memorial JFEC Invited Lecture given by P. Gagliardini at the Annual SoFiE Conference on June 25th 2022 at the University of Cambridge.Â
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, p. 314-321.