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Patrick Gagliardini
SFI Faculty Member
Professor of Econometrics
Patrick Gagliardini is Professor of Econometrics at the Università della Svizzera italiana and has been an SFI Faculty Member since 2008. He held an SFI Junior Chair from 2008 to 2012. He obtained his PhD in Econometrics from the Università della Svizzera italiana. Prof. Gagliardini’s papers have been published in the top academic journals in finance, economics, and financial econometrics.
Research Interests:
His main research interests lie in financial econometrics, with applications to credit risk and asset pricing models.
Recent Research:
In ongoing research, Prof. Gagliardini and his coauthor, raise the question of whether more data is always better for factor analysis. In the case of huge data sets, standard factor analysis frequently faces numerical complications. The researchers contribute to the literature and develop a new technique that benefits from big data and is much less computationally demanding. Their technique, the double instrumental variable approach, reaches asymptotic efficiency in a way similar to the principal component analysis. Further analysis reveals that the double instrumental variable approach can easily be used in cases of incomplete data.