22
H index
40
i10 index
1733
Citations
Swiss Finance Institute (30% share) | 22 H index 40 i10 index 1733 Citations RESEARCH PRODUCTION: 54 Articles 147 Papers 1 Chapters RESEARCH ACTIVITY: 30 years (1993 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/psc56 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Olivier Scaillet. | Is cited by: | Cites to: |
Year | Title of citing document |
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2023 | Identification of multi-valued treatment effects with unobserved heterogeneity. (2020). Fusejima, Koki. In: Papers. RePEc:arx:papers:2010.04385. Full description at Econpapers || Download paper |
2023 | Option Valuation through Deep Learning of Transition Probability Density. (2021). Newton, David P ; Tretyakov, M V ; Su, Haozhe. In: Papers. RePEc:arx:papers:2105.10467. Full description at Econpapers || Download paper |
2023 | The insider problem in the trinomial model: a discrete-time jump process approach. (2021). Halconruy, H'Elene. In: Papers. RePEc:arx:papers:2106.15208. Full description at Econpapers || Download paper |
2023 | Inference for Low-Rank Models. (2021). Zhu, Yinchu ; Liao, Yuan ; Hansen, Christian ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:2107.02602. Full description at Econpapers || Download paper |
2023 | How easy is it for investment managers to deploy their talent in green and brown stocks?. (2022). Ardia, David ; Bluteau, Keven ; Tran, Thien Duy. In: Papers. RePEc:arx:papers:2201.05709. Full description at Econpapers || Download paper |
2023 | Standard errors for two-way clustering with serially correlated time effects. (2022). Sasaki, Yuya ; Hansen, Bruce E ; Chiang, Harold D. In: Papers. RePEc:arx:papers:2201.11304. Full description at Econpapers || Download paper |
2023 | Encompassing Tests for Nonparametric Regressions. (2022). Lapenta, Elia ; Lavergne, Pascal. In: Papers. RePEc:arx:papers:2203.06685. Full description at Econpapers || Download paper |
2023 | Short-time asymptotics for non self-similar stochastic volatility models. (2022). Pigato, Paolo ; Pacchiarotti, Barbara ; Giorgio, Giacomo. In: Papers. RePEc:arx:papers:2204.10103. Full description at Econpapers || Download paper |
2023 | Do t-Statistic Hurdles Need to be Raised. (2022). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2204.10275. Full description at Econpapers || Download paper |
2023 | Partly Linear Instrumental Variables Regressions without Smoothing on the Instruments. (2022). Lapenta, Elia ; Florens, Jean-Pierre. In: Papers. RePEc:arx:papers:2212.11012. Full description at Econpapers || Download paper |
2023 | Portfolio Optimization with Relative Tail Risk. (2023). Kim, Young Shin. In: Papers. RePEc:arx:papers:2303.12209. Full description at Econpapers || Download paper |
2023 | Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications. (2023). Shi, Shuping ; Laurent, S'Ebastien ; Bouamara, Nabil. In: Papers. RePEc:arx:papers:2303.13406. Full description at Econpapers || Download paper |
2023 | Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage. (2023). Ribeiro, Ruy M ; Medeiros, Marcelo C ; de Brito, Diego S ; Alves, Rafael. In: Papers. RePEc:arx:papers:2303.16151. Full description at Econpapers || Download paper |
2023 | One-step nonparametric instrumental regression using smoothing splines. (2023). Lavergne, Pascal ; Lapenta, Elia ; Beyhum, Jad. In: Papers. RePEc:arx:papers:2307.14867. Full description at Econpapers || Download paper |
2023 | Assessing the Solvency of Virtual Asset Service Providers: Are Current Standards Sufficient?. (2023). Segalla, Esther ; Saggese, Pietro ; Raunig, Burkhard ; Haslhofer, Bernhard ; Zangerl, Felix ; Sigmund, Michael. In: Papers. RePEc:arx:papers:2309.16408. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Global and local drivers of Bitcoin trading vis-Ã -vis fiat currencies. (2023). Habib, Maurizio Michael ; di Casola, Paola ; Tercero-Lucas, David. In: Working Paper Series. RePEc:ecb:ecbwps:20232868. Full description at Econpapers || Download paper |
2023 | Portfolio constructions in cryptocurrency market: A CVaR-based deep reinforcement learning approach. (2023). Zhang, Yongmin ; Jin, Huan ; Ding, Shusheng ; Cui, Tianxiang. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003157. Full description at Econpapers || Download paper |
2023 | Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns. (2023). Peng, Zhe ; Xu, Mengyu ; Zhang, Zhengjun. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003613. Full description at Econpapers || Download paper |
2023 | A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444. Full description at Econpapers || Download paper |
2023 | Identifying latent factors based on high-frequency data. (2023). Zhang, Chuanhai ; Xu, Wen ; Sun, Yucheng. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:251-270. Full description at Econpapers || Download paper |
2023 | Large dimensional latent factor modeling with missing observations and applications to causal inference. (2023). Pelger, Markus ; Xiong, Ruoxuan. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:271-301. Full description at Econpapers || Download paper |
2023 | Bias reduction in spot volatility estimation from options. (2023). Zhang, Yang ; Todorov, Viktor. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:53-81. Full description at Econpapers || Download paper |
2023 | Bootstrap analysis of mutual fund performance. (2023). Peng, Liang ; Leng, Xuan ; Jiang, Lei ; Huang, Haitao. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:239-255. Full description at Econpapers || Download paper |
2023 | Intraday cross-sectional distributions of systematic risk. (2023). Andersen, Torben ; Todorov, Viktor ; Thyrsgaard, Martin ; Riva, Raul. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1394-1418. Full description at Econpapers || Download paper |
2023 | A functional estimation approach to the first-price auction models. (2023). Sbai, Erwann ; Florens, Jean-Pierre ; Enache, Andreea. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1564-1588. Full description at Econpapers || Download paper |
2023 | Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models. (2023). Medeiros, Marcelo ; Caner, Mehmet. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:393-417. Full description at Econpapers || Download paper |
2023 | News-implied linkages and local dependency in the equity market. (2023). Linton, Oliver ; Ge, Shuyi. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:779-815. Full description at Econpapers || Download paper |
2023 | Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds. (2023). Melin, Olena ; Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001586. Full description at Econpapers || Download paper |
2023 | Unrestricted maximum likelihood estimation of multivariate realized volatility models. (2023). Golosnoy, Vasyl ; Vogler, Jan. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1063-1074. Full description at Econpapers || Download paper |
2023 | Incomplete risk-preference information in portfolio decision analysis. (2023). Argyris, Nikolaos ; Kallio, Markku ; Liesio, Juuso. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1084-1098. Full description at Econpapers || Download paper |
2023 | On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging. (2023). Vodika, Peter ; Nielsen, Jens Perch ; Kyriakou, Ioannis ; Gerrard, Russell. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:2:p:948-962. Full description at Econpapers || Download paper |
2023 | Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities. (2023). Park, Jeayoung ; Huh, Sahn-Wook ; Han, Seung-Oh. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:276-307. Full description at Econpapers || Download paper |
2023 | Possibility versus feasibility: International portfolio diversification under financial liberalization. (2023). Yao, Shujie ; Wan, Hong ; Chen, Yiqing. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001680. Full description at Econpapers || Download paper |
2023 | Good volatility, bad volatility, and the cross section of cryptocurrency returns. (2023). Zhao, Ran ; Zhang, Zehua. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002284. Full description at Econpapers || Download paper |
2023 | Dual role of the country factors in international asset pricing: The local factors and proxies for the global factors. (2023). Wei, Fengrong ; Lee, Kyuseok ; Eun, Cheol. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002764. Full description at Econpapers || Download paper |
2023 | Measuring systemic risk with high-frequency data: A realized GARCH approach. (2023). Liang, Fang ; Huang, Zhuo ; Chen, Qihao. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001265. Full description at Econpapers || Download paper |
2023 | Forecasting and backtesting systemic risk in the cryptocurrency market. (2023). Egan, Paul ; Cao, Guangxi ; Fang, Sheng. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001617. Full description at Econpapers || Download paper |
2023 | Net buying pressure and the information in bitcoin option trades. (2023). Wan, Huning ; Feng, Jianfen ; Deng, Jun ; Alexander, Carol. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000544. Full description at Econpapers || Download paper |
2023 | Are mutual fund managers good gamblers?. (2023). Stein, Roberto. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000763. Full description at Econpapers || Download paper |
2023 | A new stochastic dominance criterion for dependent random variables with applications. (2023). Martinez-Riquelme, Carolina ; Belzunce, Felix. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:165-176. Full description at Econpapers || Download paper |
2023 | The role of interpersonal trust in cryptocurrency adoption. (2023). Yarovaya, Larisa ; Urquhart, Andrew ; Matkovskyy, Roman ; Jalan, Akanksha. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s1042443122001871. Full description at Econpapers || Download paper |
2023 | Technical analysis, spread trading, and data snooping control. (2023). Sermpinis, Georgios ; Pantelous, Athanasios A ; Laws, Jason ; Psaradellis, Ioannis. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:178-191. Full description at Econpapers || Download paper |
2023 | Non-Gaussian models for CoVaR estimation. (2023). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:391-404. Full description at Econpapers || Download paper |
2023 | Compensation regulation in banking: Executive director behavior and bank performance after the EU bonus cap. (2023). Koetter, Michael ; Wagner, Konstantin ; Colonnello, Stefano. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:76:y:2023:i:1:s0165410122000994. Full description at Econpapers || Download paper |
2023 | Arbitrageurs in the Bitcoin ecosystem: Evidence from user-level trading patterns in the Mt. Gox exchange platform. (2023). Saggese, Pietro ; Bohme, Rainer ; Facchini, Angelo ; Dimitri, Nicola ; Belmonte, Alessandro. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:213:y:2023:i:c:p:251-270. Full description at Econpapers || Download paper |
2023 | Barking up the wrong tree: Return-chasing in 401(k) plans. (2023). Wang, Pingle ; Tran, Anh. In: Journal of Financial Economics. RePEc:eee:jfinec:v:148:y:2023:i:1:p:69-90. Full description at Econpapers || Download paper |
2023 | What matters in a characteristic?. (2023). Langlois, Hugues. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:1:p:52-72. Full description at Econpapers || Download paper |
2023 | Conditional independence testing via weighted partial copulas. (2023). Portier, Franois ; Elgui, Kevin ; Bianchi, Pascal. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:193:y:2023:i:c:s0047259x22001117. Full description at Econpapers || Download paper |
2023 | Minimax properties of Dirichlet kernel density estimators. (2023). Ouimet, Frederic ; Klutchnikoff, Nicolas ; Genest, Christian ; Bertin, Karine. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:195:y:2023:i:c:s0047259x23000040. Full description at Econpapers || Download paper |
2023 | Futures trading activity and the jump risk of spot market: Evidence from the bitcoin market. (2023). Liao, Xiaosai ; Ma, Huan ; Zhang, Chuanhai. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:78:y:2023:i:c:s0927538x23000161. Full description at Econpapers || Download paper |
2023 | Robust reward-risk performance measures with weakly second-order stochastic dominance constraints. (2023). Kouaissah, Noureddine. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:53-62. Full description at Econpapers || Download paper |
2023 | The role of environmental and financial motivations in the adoption of energy-saving technologies: Evidence from European Union data. (2023). Canepa, Alessandra ; Fontana, Magda ; Chersoni, Giulia. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:91:y:2023:i:c:p:1-14. Full description at Econpapers || Download paper |
2023 | Ex-post facto analysis of cryptocurrency literature over a decade using bibliometric technique. (2023). Hassan, M. Kabir ; Devji, Shridev ; Tiwari, Aviral ; Dsouza, Arun ; Pattnaik, Debidutta. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:189:y:2023:i:c:s0040162523000240. Full description at Econpapers || Download paper |
2023 | Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2023). Yang, Xiye ; Neely, Christopher J ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Monitoring Value-at-Risk and Expected Shortfall Forecasts. (2023). Demetrescu, Matei ; Hoga, Yannick. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:5:p:2954-2971. Full description at Econpapers || Download paper |
2023 | Black-Litterman model with copula-based views in mean-CVaR portfolio optimization framework with weight constraints. (2023). Pivnitskaya, Nataliya ; Munir, Qaiser ; Evgeniia, Mikova ; Teplova, Tamara. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:1:d:10.1007_s10644-022-09435-y. Full description at Econpapers || Download paper |
2023 | The predictive ability of technical trading rules: an empirical analysis of developed and emerging equity markets. (2023). Rink, Kevin. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:4:d:10.1007_s11408-023-00433-2. Full description at Econpapers || Download paper |
2023 | Assessing the Solvency of Virtual Asset Service Providers: Are Current Standards Sufficient? (Pietro Saggese, Esther Segalla, Michael Sigmund, Burkhard Raunig, Felix Zangerl, Bernhard Haslhofer). (2023). Segalla, Esther ; Raunig, Burkhard ; Zangerl, Felix ; Sigmund, Michael ; Saggase, Pietro ; Haslhofer, Bernhard. In: Working Papers. RePEc:onb:oenbwp:248. Full description at Econpapers || Download paper |
2023 | Quantile Tool Box Measures for Empirical Analysis and for Testing Distributional Comparisons in Direct Distribution-Free Fashion. (2023). Beach, Charles. In: Working Paper. RePEc:qed:wpaper:1508. Full description at Econpapers || Download paper |
2023 | A Semi-parametric Density Estimation with Application in Clustering. (2023). Arashi, Mohammad ; Bekker, Andriette ; Salehi, Mahdi. In: Journal of Classification. RePEc:spr:jclass:v:40:y:2023:i:1:d:10.1007_s00357-022-09425-9. Full description at Econpapers || Download paper |
2023 | Do artificial neural networks provide improved volatility forecasts: Evidence from Asian markets. (2023). Kambouroudis, Dimos ; McMillan, David G ; Sahiner, Mehmet. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:3:d:10.1007_s12197-023-09629-8. Full description at Econpapers || Download paper |
2023 | Long-Memory, Asymmetry and Fat-Tailed GARCH Models in Value-at-Risk Estimation: Empirical Evidence from the Global Real Estate Markets. (2023). Mighri, Zouheir ; Jaziri, Raouf. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:21:y:2023:i:1:d:10.1007_s40953-022-00331-w. Full description at Econpapers || Download paper |
2023 | One-step nonparametric instrumental regression using smoothing splines. (2023). Lavergne, Pascal ; Lapenta, Elia ; Beyhum, Jad. In: TSE Working Papers. RePEc:tse:wpaper:128467. Full description at Econpapers || Download paper |
2023 | A Semi-nonparametric Copula Model for Earnings Mobility. (2023). Gagliardini, Patrick ; Naguib, Costanza. In: Diskussionsschriften. RePEc:ube:dpvwib:dp2302. Full description at Econpapers || Download paper |
2023 | The Role of Environmental and Financial Motivations in the Adoption of EnergySaving Technologies: Evidence from European Union Data.. (2023). Canepa, Alessandra ; Fontana, Magda ; Chersoni, Giulia. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202309. Full description at Econpapers || Download paper |
2023 | More pay more gain?—Empirical research on fund management corporation visiting listed company and its fund performance. (2023). Xiao, Zuoping ; Wu, Fengyun ; Dong, Dayong ; Yue, Sishi. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:169-176. Full description at Econpapers || Download paper |
2023 | Semiparametric estimation of expected shortfall and its application in finance. (2023). Zhao, Yunfan ; Liu, Yinglin ; Fang, Yan. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:835-851. Full description at Econpapers || Download paper |
2023 | Enhancing gradient capital allocation with orthogonal convexity scenarios. (2023). Schlutter, Sebastian ; Aigner, Philipp. In: ICIR Working Paper Series. RePEc:zbw:icirwp:4723. Full description at Econpapers || Download paper |
2023 | Identifying scenarios for the own risk and solvency assessment of insurance companies. (2023). Aigner, Philipp. In: ICIR Working Paper Series. RePEc:zbw:icirwp:4823. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2017 | A Specification Test for Nonparametric Instrumental Variable Regression In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 6 |
2007 | A Specification Test For Nonparametric Instrumental Variable Regression.(2007) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2016 | Early exercise decision in American options with dividends, stochastic volatility and jumps In: Papers. [Full Text][Citation analysis] | paper | 2 |
2016 | Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps.(2016) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2020 | Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps.(2020) In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2017 | A diagnostic criterion for approximate factor structure In: Papers. [Full Text][Citation analysis] | paper | 22 |
2016 | A Diagnostic Criterion for Approximate Factor Structure.(2016) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
2019 | A diagnostic criterion for approximate factor structure.(2019) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | article | |
2016 | Predictability Hidden by Anomalous Observations In: Papers. [Full Text][Citation analysis] | paper | 11 |
2013 | Predictability Hidden by Anomalous Observations.(2013) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2018 | Predictability Hidden by Anomalous Observations.(2018) In: School of Economics Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2017 | High-Frequency Jump Analysis of the Bitcoin Market In: Papers. [Full Text][Citation analysis] | paper | 35 |
2017 | High-Frequency Jump Analysis of the Bitcoin Market.(2017) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | paper | |
2017 | High-frequency jump analysis of the bitcoin market.(2017) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | paper | |
2020 | High-Frequency Jump Analysis of the Bitcoin Market*.(2020) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | article | |
2018 | Spanning Tests for Markowitz Stochastic Dominance In: Papers. [Full Text][Citation analysis] | paper | 2 |
2018 | Spanning Tests for Markowitz Stochastic Dominance.(2018) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2020 | Spanning tests for Markowitz stochastic dominance.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2018 | Spanning tests for markowitz stochastic dominance.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2022 | A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data In: Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data.(2020) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2023 | A higher-order correct fast moving-average bootstrap for dependent data.(2023) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2020 | A higher-order correct fast moving-average bootstrap for dependent data.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2021 | Saddlepoint approximations for spatial panel data models In: Papers. [Full Text][Citation analysis] | paper | 0 |
2019 | Saddlepoint Approximations for Spatial Panel Data Models.(2019) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2023 | Saddlepoint Approximations for Spatial Panel Data Models.(2023) In: Journal of the American Statistical Association. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2020 | Spanning analysis of stock market anomalies under Prospect Stochastic Dominance In: Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Spanning analysis of stock market anomalies under Prospect Stochastic Dominance.(2020) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2020 | Spanning analysis of stock market anomalies under prospect stochastic dominance.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2021 | Wealth Effect on Portfolio Allocation in Incomplete Markets In: Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | A penalized two-pass regression to predict stock returns with time-varying risk premia In: Papers. [Full Text][Citation analysis] | paper | 1 |
2021 | A penalized two-pass regression to predict stock returns with time-varying risk premia.(2021) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2023 | A penalized two-pass regression to predict stock returns with time-varying risk premia.(2023) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2023 | A penalized two-pass regression to predict stock returns with time-varying risk premia.(2023) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2022 | Eigenvalue tests for the number of latent factors in short panels In: Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Eigenvalue tests for the number of latent factors in short panels.(2022) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2023 | Latent Factor Analysis in Short Panels In: Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Latent Factor Analysis in Short Panels.(2023) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2003 | Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 8 |
2009 | Local Transformation Kernel Density Estimation of Loss Distributions In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 14 |
2007 | Local Transformation Kernel Density Estimation of Loss Distributions.(2007) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2010 | Testing for Stochastic Dominance Efficiency In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 59 |
2005 | Testing for Stochastic Dominance Efficiency.(2005) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 59 | paper | |
2006 | Testing foe Stochastic Dominance Efficiency.(2006) In: Computing in Economics and Finance 2006. [Citation analysis] This paper has nother version. Agregated cites: 59 | paper | |
2010 | False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas In: Journal of Finance. [Full Text][Citation analysis] | article | 256 |
2008 | False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas.(2008) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 256 | paper | |
2005 | False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas.(2005) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 256 | paper | |
2005 | False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas..(2005) In: Working Papers CEB. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 256 | paper | |
2009 | False discoveries in mutual fund performance: Measuring luck in estimated alphas.(2009) In: CFR Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 256 | paper | |
2022 | Skill, Scale, and Value Creation in the Mutual Fund Industry In: Journal of Finance. [Full Text][Citation analysis] | article | 1 |
2021 | Skill, scale, and value creation in the mutual fund industry.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2004 | Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall In: Mathematical Finance. [Full Text][Citation analysis] | article | 81 |
2007 | THEORY AND CALIBRATION OF SWAP MARKET MODELS In: Mathematical Finance. [Full Text][Citation analysis] | article | 11 |
2005 | Theory and Calibration of Swap Market Models.(2005) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2007 | LINEAR?QUADRATIC JUMP?DIFFUSION MODELING In: Mathematical Finance. [Full Text][Citation analysis] | article | 31 |
2006 | Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 35 |
2007 | Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility.(2007) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | article | |
2006 | Tikhonov Regularization for Functional Minimum Distance Estimators In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 6 |
2006 | Robust Subsampling In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 6 |
2012 | Robust subsampling.(2012) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2007 | Testing For Equality Between Two Copulas In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 59 |
2009 | Testing for equality between two copulas.(2009) In: Journal of Multivariate Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 59 | article | |
2009 | Nonparametric Instrumental Variable Estimators of Structural Quantile Effects In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 8 |
2009 | Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 82 |
2012 | Technical trading revisited: False discoveries, persistence tests, and transaction costs.(2012) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 82 | article | |
2008 | Testing for threshold effect in ARFIMA models: Application to US unemployment rate data In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 12 |
2009 | Testing for threshold effect in ARFIMA models: Application to US unemployment rate data.(2009) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
2008 | Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data. In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
2009 | Robust Resampling Methods for Time Series In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 5 |
2011 | Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
2015 | Testing for symmetry and conditional symmetry using asymmetric kernels.(2015) In: Annals of the Institute of Statistical Mathematics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2011 | We propose a technique to avoid spurious detections of jumps in highfrequency data via an explicit thresholding on available test statistics. In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2011 | Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 70 |
2011 | Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets.(2011) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 70 | paper | |
2015 | Time-varying risk premium in large cross-sectional equity datasets.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 70 | paper | |
2016 | Time?Varying Risk Premium in Large Cross?Sectional Equity Data Sets.(2016) In: Econometrica. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 70 | article | |
2012 | Valuing American Options Using Fast Recursive Projections In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2012 | Valuing American options using fast recursive projections.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2016 | Valuing American options using fast recursive projections.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2015 | Valuing American options using fast recursive projections.(2015) In: DEM Discussion Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2016 | On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
2016 | On ill?posedness of nonparametric instrumental variable regression with convexity constraints.(2016) In: Econometrics Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2016 | Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
2016 | Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2017 | Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy.(2017) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2018 | Time-Varying Risk Premia in Large International Equity Markets In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 8 |
2019 | Time-Varying Risk Premia in Large International Equity Markets.(2019) In: HEC Research Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2018 | The Cross-Sectional Distribution of Fund Skill Measures In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
2018 | The Cross-Sectional Distribution of Fund Skill Measures.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2019 | Estimation of Large Dimensional Conditional Factor Models in Finance In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
2019 | Estimation of large dimensional conditional factor models in finance.(2019) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2019 | Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 11 |
2020 | Backtesting marginal expected shortfalland related systemic risk measures.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2021 | Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures.(2021) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2020 | Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures.(2020) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2021 | Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures.(2021) In: Management Science. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
2019 | Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
2020 | Swag: A Wrapper Method for Sparse Learning In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2023 | Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2021 | Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2022 | Non-Standard Errors In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
2021 | Non-Standard Errors.(2021) In: Working Paper Series, Social and Economic Sciences. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
1993 | Testing for Continuous-Time Models of the Short-Term Interest Rate In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 54 |
1995 | Testing for continuous-time models of the short-term interest rate.(1995) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 54 | paper | |
1995 | Testing for continuous-time models of the short-term interest rate.(1995) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 54 | article | |
1994 | Forecast Intervals in ARCH Exponential Smoothing In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
1995 | Quasi Indirect Inference for Diffusion Processes In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 31 |
1998 | Quasi-indirect inference for diffusion processes.(1998) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 31 | paper | |
1998 | QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES.(1998) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | article | |
1999 | Bartlett identities tests In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 6 |
1999 | Bartlett Identities Tests.(1999) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
1999 | Bartlett Identities Tests.(1999) In: LIDAM Discussion Papers IRES. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
1994 | Estimation of the term structure from bond data In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 6 |
1999 | Indirect Inference, Nuisance Parameter and Threshold Moving Average In: Cahiers de recherche CREFE / CREFE Working Papers. [Full Text][Citation analysis] | paper | 6 |
2000 | Sensitivity Analysis of Values at Risk In: Working Papers. [Full Text][Citation analysis] | paper | 133 |
2000 | Sensitivity Analysis of Values at Risk.(2000) In: LIDAM Discussion Papers IRES. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 133 | paper | |
2000 | Sensitivity Analysis of Values at Risk.(2000) In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 133 | paper | |
2000 | Sensitivity analysis of Values at Risk.(2000) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 133 | article | |
2000 | Sensitivity analysis of values at risk.(2000) In: THEMA Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 133 | paper | |
2000 | Sensitivity analysis of Values at Risk.(2000) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 133 | paper | |
2000 | An Empirical Investigation in Credit Spread Indices In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
2000 | An Empirical Investigation in Credit Spread Indices.(2000) In: LIDAM Discussion Papers IRES. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2000 | Reversed Score and Likelihood Ratio Tests In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2000 | Reversed Score and Likelihood Ratio Tests.(2000) In: LIDAM Discussion Papers IRES. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2000 | Reversed Score and Likelihood Ratio Tests.(2000) In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2001 | A Fast Subsampling Method for Nonlinear Dynamic Models In: Working Papers. [Full Text][Citation analysis] | paper | 14 |
2006 | A fast subsampling method for nonlinear dynamic models.(2006) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
2001 | A fast Subsampling Method for Nonlinear Dynamic Models..(2001) In: Ecole des Hautes Etudes Commerciales, Universite de Geneve-. [Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2003 | Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements In: Working Papers. [Full Text][Citation analysis] | paper | 19 |
2005 | Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements.(2005) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | article | |
1997 | Multiregime Term Structure Models In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
1997 | Multiregime Term Structure Models.(1997) In: LIDAM Discussion Papers IRES. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
1998 | Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates In: Working Papers. [Full Text][Citation analysis] | paper | 7 |
2000 | Convergence of discrete time option pricing models under stochastic interest rates.(2000) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
1999 | Convergence of discrete time option pricing models under stochastic interest rates.(1999) In: Finance and Stochastics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
1999 | Variance Optimal Cap Pricing Models In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
1999 | Variance Optimal Cap Pricing Models.(1999) In: LIDAM Discussion Papers IRES. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
1999 | Option Pricing with Discrete Rebalancing In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
1999 | Option Pricing with Discrete Rebalancing.(1999) In: LIDAM Discussion Papers IRES. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2004 | Option pricing with discrete rebalancing.(2004) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
1999 | Option pricing with discrete rebalancing.(1999) In: THEMA Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2002 | Option Pricing with Discrete Rebalancing.(2002) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2004 | Option pricing with discrete rebalancing.(2004) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
1999 | An Autoregressive Conditional Binomial Option Pricing Model In: Working Papers. [Full Text][Citation analysis] | paper | 12 |
2000 | An auto-regressive conditional binomial option pricing model.(2000) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
1997 | A New Index of Belgian Shares In: LIDAM Discussion Papers IRES. [Full Text][Citation analysis] | paper | 0 |
2001 | Nonparametric Tests for Positive Quadrant Dependence In: LIDAM Discussion Papers IRES. [Full Text][Citation analysis] | paper | 11 |
2001 | Density Estimation Using Inverse and Reciprocal Inverse Guassian Kernels In: LIDAM Discussion Papers IRES. [Full Text][Citation analysis] | paper | 22 |
2001 | Density Estimation Using Inverse and Reciprocal Inverse Gaussian Kernels.(2001) In: THEMA Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
2003 | Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases In: LIDAM Discussion Papers IRES. [Full Text][Citation analysis] | paper | 25 |
2003 | Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases.(2003) In: THEMA Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | paper | |
2003 | Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases.(2003) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | paper | |
2007 | Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases.(2007) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | article | |
2004 | Testing for Concordance Ordering In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 7 |
2002 | Testing for Concordance Ordering.(2002) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2005 | CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA In: Econometric Theory. [Full Text][Citation analysis] | article | 40 |
2004 | Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators In: Royal Economic Society Annual Conference 2004. [Full Text][Citation analysis] | paper | 19 |
2007 | Local multiplicative bias correction for asymmetric kernel density estimators.(2007) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | article | |
2003 | Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators.(2003) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
1998 | Instrumental Models and Indirect Encompassing In: Econometrica. [Citation analysis] | article | 9 |
2012 | Nonparametric Instrumental Variable Estimation of Structural Quantile Effects In: Econometrica. [Full Text][Citation analysis] | article | 50 |
2007 | Semiparametric methods in econometrics In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
2012 | Tikhonov regularization for nonparametric instrumental variable estimators In: Journal of Econometrics. [Full Text][Citation analysis] | article | 47 |
1997 | Unemployment insurance and mortgages In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 0 |
2004 | On the way to recovery: A nonparametric bias free estimation of recovery rate densities In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 46 |
2003 | On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities.(2003) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | paper | |
2021 | Factors and risk premia in individual international stock returns In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 10 |
2010 | Pricing American options under stochastic volatility and stochastic interest rates In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 30 |
2007 | Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 20 |
2005 | Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters.(2005) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
2000 | Weak Convergence of Hedging Strategies of Contingent Claims In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 5 |
2002 | Weak Convergence of Hedging Strategies of Contingent Claims.(2002) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2000 | An Empirical Estimation in Credit Spread Indices In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 0 |
2003 | Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 14 |
2002 | Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility.(2002) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
1997 | Convergence of discrete time options pricing models under stochastic In: THEMA Working Papers. [Citation analysis] | paper | 0 |
1999 | An autoregressive conditional binomial option pricing model under stochastic rates In: THEMA Working Papers. [Citation analysis] | paper | 2 |
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2003 | Mortality Risk and Real Optimal Asset Allocation for Pension Funds In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
2004 | SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 15 |
2004 | Nonparametric Estimation of Conditional Expected Shortfall In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 12 |
2005 | A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 29 |
2005 | A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
2005 | Multiariate Wavelet-based sahpe preserving estimation for dependant observation In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 7 |
2005 | A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2002 | Nonparametric Tests Dependence For Positive Quadrant In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2003 | Nonparametric Estimation of Copulas for Time Series In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 77 |
2003 | Nonparametric estimation of copulas for time series.(2003) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 77 | paper | |
2003 | Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2004 | A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
1997 | Convergence of Discrete Time Options Pricing Models under Stochastic Rates In: Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.. [Citation analysis] | paper | 0 |
2020 | Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2016 | Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News In: Management Science. [Full Text][Citation analysis] | article | 29 |
2017 | Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 1 |
1996 | Estimation de modèles de la structure par terme des taux dintérêt. In: Revue Économique. [Full Text][Citation analysis] | article | 0 |
2014 | Hedge Fund Managers: Luck and Dynamic Assessment In: Bankers, Markets & Investors. [Full Text][Citation analysis] | article | 3 |
1998 | Path dependent options on yields in the affine term structure model In: Finance and Stochastics. [Full Text][Citation analysis] | article | 15 |
1999 | A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary In: Finance and Stochastics. [Full Text][Citation analysis] | article | 2 |
2009 | A Primer on Weather Derivatives In: International Series in Operations Research & Management Science. [Citation analysis] | chapter | 4 |
1996 | Compound and exchange options in the affine term structure model In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 1 |
1997 | Econométrie de la Finance: approches historiques In: ULB Institutional Repository. [Citation analysis] | paper | 10 |
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