18 citations · 28 across the 3 of their papers we have counts for
4 papers
Latent Factor Analysis in Short Panels
Alain-Philippe Fortin, Patrick Gagliardini, Olivier Scaillet
We develop a pseudo maximum likelihood method for latent factor analysis in short panels without imposing sphericity nor Gaussianity. We derive an asymptotically uniformly most pow…
Eigenvalue tests for the number of latent factors in short panels
Alain-Philippe Fortin, Patrick Gagliardini, Olivier Scaillet
This paper studies new tests for the number of latent factors in a large cross-sectional factor model with small time dimension. These tests are based on the eigenvalues of varianc…
A diagnostic criterion for approximate factor structure
Patrick Gagliardini, Elisa Ossola, Olivier Scaillet
We build a simple diagnostic criterion for approximate factor structure in large cross-sectional equity datasets. Given a model for asset returns with observable factors, the crite…
Generalization of the Luttinger Theorem for Fermionic Ladder Systems
Patrick Gagliardini, Stephan Haas, T. M. Rice
We apply a generalized version of the Lieb-Schultz-Mattis Theorem to fermionic ladder systems to show the existence of a low-lying excited state (except for some special fillings).…