22
H index
37
i10 index
1622
Citations
Olivier Scaillet : Citation Profile
Université de Genève (35% share) | RESEARCH PRODUCTION: 49 Articles 143 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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29 years (1993 - 2022). Relations with other researchers
Main data
Where Olivier Scaillet has published?
Recent works citing Olivier Scaillet (2022 and 2021)
| Year | Title of citing document | |
|---|---|---|
| 2021 | Are unobservables separable?. (2020). FLORENS, Jean-Pierre ; Babii, Andrii. In: Papers. RePEc:arx:papers:1705.01654. Full description at Econpapers || Download paper | |
| 2021 | Is completeness necessary? Estimation in nonidentified linear models. (2020). Babii, Andrii ; FLORENS, Jean-Pierre. In: Papers. RePEc:arx:papers:1709.03473. Full description at Econpapers || Download paper | |
| 2021 | The Incidental Parameters Problem in Testing for Remaining Cross-section Correlation. (2018). Reese, Simon ; Juodis, Arturas. In: Papers. RePEc:arx:papers:1810.03715. Full description at Econpapers || Download paper | |
| 2022 | Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference. (2019). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1910.08273. Full description at Econpapers || Download paper | |
| 2022 | A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312. Full description at Econpapers || Download paper | |
| 2021 | Short dated smile under Rough Volatility: asymptotics and numerics. (2020). Pigato, Paolo ; Gassiat, Paul ; Friz, Peter K. In: Papers. RePEc:arx:papers:2009.08814. Full description at Econpapers || Download paper | |
| 2022 | 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 | |
| 2022 | Bridging factor and sparse models. (2021). Medeiros, Marcelo C ; Masini, Ricardo ; Fan, Jianqing. In: Papers. RePEc:arx:papers:2102.11341. Full description at Econpapers || Download paper | |
| 2021 | On the Subbagging Estimation for Massive Data. (2021). Wang, Hansheng ; Liang, Xuan ; Zou, Tao. In: Papers. RePEc:arx:papers:2103.00631. Full description at Econpapers || Download paper | |
| 2022 | Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. (2021). Fissler, Tobias ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2104.10673. Full description at Econpapers || Download paper | |
| 2021 | 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 | |
| 2021 | Inference for multi-valued heterogeneous treatment effects when the number of treated units is small. (2021). Pouzo, Demian ; Dias, Marina. In: Papers. RePEc:arx:papers:2105.10965. Full description at Econpapers || Download paper | |
| 2022 | Risk contributions of lambda quantiles. (2021). Pesenti, Silvana ; Peri, Ilaria ; Ince, Akif. In: Papers. RePEc:arx:papers:2106.14824. Full description at Econpapers || Download paper | |
| 2022 | 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 | |
| 2022 | Net Buying Pressure and the Information in Bitcoin Option Trades. (2021). Wan, Huning ; Feng, Jianfen ; Deng, Jun ; Alexander, Carol. In: Papers. RePEc:arx:papers:2109.02776. Full description at Econpapers || Download paper | |
| 2021 | Performance vs Persistence : Assess the alpha to identify outperformers. (2021). Inzirillo, Hugo ; Genet, R'Emi. In: Papers. RePEc:arx:papers:2111.06886. Full description at Econpapers || Download paper | |
| 2022 | 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 | |
| 2022 | 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 | |
| 2022 | The ATM implied volatility slope, the (dual) volatility swap, and the (dual) zero vanna implied volatility. (2022). Rolloos, Frido. In: Papers. RePEc:arx:papers:2202.07542. 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 | |
| 2022 | 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 | |
| 2022 | 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 | |
| 2022 | Estimation and Inference by Stochastic Optimization. (2022). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:2205.03254. Full description at Econpapers || Download paper | |
| 2022 | Most claimed statistical findings in cross-sectional return predictability are likely true. (2022). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2206.15365. Full description at Econpapers || Download paper | |
| 2022 | Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing. (2022). Aste, Tomaso ; Wang, Yuanrong ; Saef, Danial. In: Papers. RePEc:arx:papers:2208.12614. Full description at Econpapers || Download paper | |
| 2022 | Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation. (2022). Vladimirov, Evgenii ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2210.06217. Full description at Econpapers || Download paper | |
| 2022 | Forecasting Bitcoin volatility spikes from whale transactions and CryptoQuant data using Synthesizer Transformer models. (2022). Low, Kah Wee ; Herremans, Dorien. In: Papers. RePEc:arx:papers:2211.08281. Full description at Econpapers || Download paper | |
| 2022 | The Rising Interconnectedness of the Insurance Sector. (2022). Jourde, Tristan. In: Working papers. RePEc:bfr:banfra:857. Full description at Econpapers || Download paper | |
| 2021 | Can Machine Learning Help to Select Portfolios of Mutual Funds?. (2021). , Andre ; Nogales, Francisco J ; Gil-Bazo, Javier ; Demiguel, Victor ; de Miguel, Victor . In: Working Papers. RePEc:bge:wpaper:1245. Full description at Econpapers || Download paper | |
| 2021 | Portfolios of actively managed mutual funds. (2021). Riley, Timothy B. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:2:p:205-230. Full description at Econpapers || Download paper | |
| 2022 | Luck versus Skill in the Cross Section of Mutual Fund Returns: Reexamining the Evidence. (2022). Liu, Yan ; Harvey, Campbell R. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:3:p:1921-1966. Full description at Econpapers || Download paper | |
| 2022 | False discovery rate control with e?values. (2022). Ramdas, Aaditya ; Wang, Ruodu. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:84:y:2022:i:3:p:822-852. Full description at Econpapers || Download paper | |
| 2022 | The rising interconnectedness of the insurance sector. (2022). Jourde, Tristan. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:2:p:397-425. Full description at Econpapers || Download paper | |
| 2021 | Quasi?maximum likelihood and the kernel block bootstrap for nonlinear dynamic models. (2021). Parente, Paulo ; Smith, Richard J. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:4:p:377-405. Full description at Econpapers || Download paper | |
| 2021 | Simulating risk measures via asymptotic expansions for relative errors. (2021). Kou, Steven ; Jiang, Wei. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:3:p:907-942. Full description at Econpapers || Download paper | |
| 2022 | Tests of multivariate copula exchangeability based on Lévy measures. (2022). Quessy, Jeanfranois ; Bahraoui, Tarik. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:49:y:2022:i:3:p:1215-1243. Full description at Econpapers || Download paper | |
| 2022 | Uniform convergence rates for nonparametric estimators smoothed by the beta kernel. (2022). Prokhorov, Artem ; Murtazashvili, Irina ; Hirukawa, Masayuki. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:49:y:2022:i:3:p:1353-1382. Full description at Econpapers || Download paper | |
| 2021 | Selecting between causal and noncausal models with quantile autoregressions. (2021). Hecq, Alain ; Li, Sun. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:5:p:393-416:n:3. Full description at Econpapers || Download paper | |
| 2021 | Unemployment Persistence in Europe: Evidence from the 27 EU Countries. (2021). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Trejo, Pablo Vicente. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9392. Full description at Econpapers || Download paper | |
| 2022 | Estimating dynamic systemic risk measures. (2022). Zakoian, Jean-Michel ; Francq, Christian ; Cantin, Loic. In: Working Papers. RePEc:crs:wpaper:2022-11. Full description at Econpapers || Download paper | |
| 2022 | An accurate and stable numerical method for option hedge parameters. (2022). Lee, Sungchul ; Kim, Yejin ; Cho, Junhyun. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:430:y:2022:i:c:s0096300322003502. Full description at Econpapers || Download paper | |
| 2021 | Stock price effects of climate activism: Evidence from the first Global Climate Strike. (2021). Rancan, Michela ; Ossola, Elisa ; Ramelli, Stefano. In: Journal of Corporate Finance. RePEc:eee:corfin:v:69:y:2021:i:c:s0929119921001395. Full description at Econpapers || Download paper | |
| 2021 | Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps. (2021). Yang, Nian ; Wan, Xiangwei. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:125:y:2021:i:c:s016518892100018x. Full description at Econpapers || Download paper | |
| 2021 | CTMC integral equation method for American options under stochastic local volatility models. (2021). Cui, Zhenyu ; Yang, Wensheng ; Ma, Jingtang. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000804. Full description at Econpapers || Download paper | |
| 2022 | The stock implied volatility and the implied dividend volatility. (2022). Tunaru, Radu ; Quaye, Enoch. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002116. Full description at Econpapers || Download paper | |
| 2021 | Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration. (2021). Zhou, LI ; Huang, Yilong ; Xiao, Binuo ; Tan, Zhengxun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000115. Full description at Econpapers || Download paper | |
| 2021 | Regime switches and commonalities of the cryptocurrencies asset class. (2021). Figà-Talamanca, Gianna ; Focardi, Sergio ; Figa-Talamanca, Gianna ; Patacca, Marco. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000577. Full description at Econpapers || Download paper | |
| 2021 | Heterogeneous beliefs with herding behaviors and asset pricing in two goods world. (2021). Hu, Duni ; Wang, Hailong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000632. Full description at Econpapers || Download paper | |
| 2021 | Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak. (2021). Al-Fayoumi, Nedal ; Abuzayed, Bana. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000978. Full description at Econpapers || Download paper | |
| 2022 | Lessons from naïve diversification about the risk-reward trade-off. (2022). Haensly, Paul J. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001856. Full description at Econpapers || Download paper | |
| 2022 | Robust drivers of Bitcoin price movements: An extreme bounds analysis. (2022). , Walid. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s106294082200078x. Full description at Econpapers || Download paper | |
| 2022 | News and intraday jumps: Evidence from regularization and class imbalance. (2022). Poli, Francesco ; Caporin, Massimiliano. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000900. Full description at Econpapers || Download paper | |
| 2022 | No pain, no gain: You should always incorporate trading costs for a bias-free evaluation of trading rule overperformance. (2022). Anghel, Dan Gabriel. In: Economics Letters. RePEc:eee:ecolet:v:216:y:2022:i:c:s0165176522001720. Full description at Econpapers || Download paper | |
| 2021 | Optimal Linear Instrumental Variables Approximations. (2021). Escanciano, Juan Carlos ; Li, Wei. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:223-246. Full description at Econpapers || Download paper | |
| 2021 | Closed-form implied volatility surfaces for stochastic volatility models with jumps. (2021). Xu, Chen ; Li, Chenxu ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:364-392. Full description at Econpapers || Download paper | |
| 2021 | Autoencoder asset pricing models. (2021). Xiu, Dacheng ; Kelly, Bryan ; Gu, Shihao. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:429-450. Full description at Econpapers || Download paper | |
| 2022 | The drift burst hypothesis. (2022). Reno, Roberto ; Oomen, Roel ; Christensen, Kim. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:2:p:461-497. Full description at Econpapers || Download paper | |
| 2022 | Factor models with many assets: Strong factors, weak factors, and the two-pass procedure. (2022). Anatolyev, Stanislav ; Mikusheva, Anna. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:103-126. Full description at Econpapers || Download paper | |
| 2022 | High-dimensional test for alpha in linear factor pricing models with sparse alternatives. (2022). Ma, Yanyuan ; Liu, Binghui ; Lan, Wei ; Feng, Long. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:152-175. Full description at Econpapers || Download paper | |
| 2022 | Factor models with local factors — Determining the number of relevant factors. (2022). Freyaldenhoven, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:80-102. Full description at Econpapers || Download paper | |
| 2022 | Bayesian nonparametric learning of how skill is distributed across the mutual fund industry. (2022). Fisher, Mark ; Jensen, Mark J. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:1:p:131-153. Full description at Econpapers || Download paper | |
| 2022 | Testing for the presence of jump components in jump diffusion models. (2022). Zheng, XU ; Wang, Bin. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:2:p:483-509. Full description at Econpapers || Download paper | |
| 2021 | Nonparametric Instrumental Variable Estimation of Binary Response Models with Continuous Endogenous Regressors. (2021). Centorrino, Samuele ; FLORENS, Jean-Pierre. In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:35-63. Full description at Econpapers || Download paper | |
| 2022 | Estimation of large dimensional time varying VARs using copulas. (2022). Tsionas, Mike ; Trapani, Lorenzo ; Izzeldin, Marwan. In: European Economic Review. RePEc:eee:eecrev:v:141:y:2022:i:c:s0014292121002439. Full description at Econpapers || Download paper | |
| 2022 | A copula-based approach for creating an index of micronutrient intakes at household level in Pakistan. (2022). Akbar, Muhammad ; Amjad, Muhammad ; Ullah, Hamd. In: Economics & Human Biology. RePEc:eee:ehbiol:v:46:y:2022:i:c:s1570677x22000442. Full description at Econpapers || Download paper | |
| 2021 | Some robust approaches based on copula for monitoring bivariate processes and component-wise assessment. (2021). Zhang, Jiujun ; Mukherjee, Amitava ; Song, Zhi. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:1:p:177-196. Full description at Econpapers || Download paper | |
| 2021 | Probabilistic sensitivity measures as information value. (2021). Plischke, Elmar ; Richmond, Victor ; Hazen, Gordon B ; Borgonovo, Emanuele. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:2:p:595-610. Full description at Econpapers || Download paper | |
| 2021 | The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications. (2021). Iori, Giulia ; Ouellette, Michelle S ; Tedeschi, Gabriele ; Recchioni, Maria Cristina. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:1:p:336-360. Full description at Econpapers || Download paper | |
| 2021 | Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?. (2021). Zou, Yihan ; Ewald, Christian. In: European Journal of Operational Research. RePEc:eee:ejores:v:294:y:2021:i:2:p:801-815. Full description at Econpapers || Download paper | |
| 2022 | Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo. (2022). He, Zhijian. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:1:p:229-242. Full description at Econpapers || Download paper | |
| 2022 | New evidence on market response to public announcements in the presence of microstructure noise. (2022). Irwin, Scott ; Garcia, Philip ; Serra, Teresa ; Bian, Siyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:2:p:785-800. Full description at Econpapers || Download paper | |
| 2022 | Smiles & smirks: Volatility and leverage by jumps. (2022). Ballotta, Laura ; Rayee, Gregory . In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:3:p:1145-1161. Full description at Econpapers || Download paper | |
| 2022 | Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty. (2022). Yannacopoulos, A N ; Weber, G.-W., ; Szczepaski, M ; Kolodziejczyk, K ; Dopierala, L ; Baltas, I. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:3:p:1162-1174. 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 | |
| 2022 | Testing technical trading strategies on Chinas equity ETFs: A skewness perspective. (2022). Jin, Xiaoye. In: Emerging Markets Review. RePEc:eee:ememar:v:51:y:2022:i:pa:s1566014121000728. Full description at Econpapers || Download paper | |
| 2021 | Improved inference for fund alphas using high-dimensional cross-sectional tests. (2021). Yan, Yayi ; Cheng, Tingting. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:57-81. Full description at Econpapers || Download paper | |
| 2021 | Volatility cascades in cryptocurrency trading. (2021). Tsiakas, Ilias ; Gradojevic, Nikola. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:252-265. Full description at Econpapers || Download paper | |
| 2021 | Trading the foreign exchange market with technical analysis and Bayesian Statistics. (2021). Stasinakis, Charalampos ; Sermpinis, Georgios ; Hassanniakalager, Arman. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:230-251. Full description at Econpapers || Download paper | |
| 2021 | Investment restrictions and fund performance. (2021). Hong, Xin ; Fulkerson, Jon A. In: Journal of Empirical Finance. RePEc:eee:empfin:v:64:y:2021:i:c:p:317-336. Full description at Econpapers || Download paper | |
| 2021 | Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data. (2021). Ewald, Christian-Oliver ; Zou, Yihan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:64:y:2021:i:c:p:37-52. Full description at Econpapers || Download paper | |
| 2022 | Network herding of energy funds in the post-Carbon-Peak Policy era: Does it benefit profitability and stability?. (2022). Yang, Wenke ; Zhou, Wei ; Li, Shouwei ; Lu, Shuai. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001256. Full description at Econpapers || Download paper | |
| 2022 | An oil futures volatility forecast perspective on the selection of high-frequency jump tests. (2022). Ma, Feng ; Lu, Xinjie ; Liao, Yin. In: Energy Economics. RePEc:eee:eneeco:v:116:y:2022:i:c:s014098832200487x. Full description at Econpapers || Download paper | |
| 2021 | How skilful are US fixed-income fund managers?. (2021). O'Sullivan, Niall ; Nitzsche, Dirk ; Cuthbertson, Keith ; Clare, Andrew. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000168. Full description at Econpapers || Download paper | |
| 2021 | Unskilled fund managers: Replicating active fund performance with few ETFs. (2021). De-Losso, Rodrigo ; Bueno, Rodrigo ; Cavalcante-Filho, Elias ; Moraes, Fernando. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s105752192100226x. Full description at Econpapers || Download paper | |
| 2021 | Do machines beat humans? Evidence from mutual fund performance persistence. (2021). Chen, Yihao ; Miguel, Antonio F. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002398. Full description at Econpapers || Download paper | |
| 2022 | Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach. (2022). Li, Youwei ; Stanley, Eugene H ; Pantelous, Athanasios A ; Chen, Yanhua. In: International Review of Financial Analysis. RePEc:eee:finana:v:79:y:2022:i:c:s1057521921003161. Full description at Econpapers || Download paper | |
| 2022 | We dont need no fancy hedges! Or do we?. (2022). Power, Gabriel J ; Vedenov, Dmitry. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000357. Full description at Econpapers || Download paper | |
| 2022 | Mutual fund performance persistence: Factor models and portfolio size. (2022). O'Sullivan, Niall ; Nitzsche, Dirk ; Cuthbertson, Keith. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922001016. Full description at Econpapers || Download paper | |
| 2021 | Price dynamics of individual stocks: Jumps and information. (2021). Zhao, Jing ; Xiao, Yuewen. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319309390. Full description at Econpapers || Download paper | |
| 2021 | Death and the life hereafter: A study of the subsequent hedge funds. (2021). Gao, Yang ; Wu, Bochen ; Yao, Juan. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320310850. Full description at Econpapers || Download paper | |
| 2022 | Approximate pricing formula to capture leverage effect and stochastic volatility of a financial asset. (2022). Goutte, Stéphane ; Vives, Josep ; Makumbe, Zororo S ; El-Khatib, Youssef. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001537. Full description at Econpapers || Download paper | |
| 2022 | Do AI-powered mutual funds perform better?. (2022). Ren, Jinjuan ; Chen, Rui. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005547. Full description at Econpapers || Download paper | |
| 2022 | Does Bitcoin futures trading reduce the normal and jump volatility in the spot market? Evidence from GARCH-jump models. (2022). Peng, Zhe ; Chen, Haicui ; Zhang, Chuanhai. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000903. Full description at Econpapers || Download paper | |
| 2022 | How easy is it for investment managers to deploy their talent in green and brown stocks?. (2022). Ardia, David ; Tran, Thien Duy ; Bluteau, Keven. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s154461232200232x. Full description at Econpapers || Download paper | |
| 2021 | Investment styles and the multiple testing of cross-sectional stock return predictability. (2021). Lin, Hsiou-Wei ; Hsu, Yu-Chin ; Vincent, Kendro . In: Journal of Financial Markets. RePEc:eee:finmar:v:56:y:2021:i:c:s1386418120300677. Full description at Econpapers || Download paper | |
| 2021 | The pricing of the illiquidity factor’s conditional risk with time-varying premium. (2021). Noh, Joonki ; Amihud, Yakov. In: Journal of Financial Markets. RePEc:eee:finmar:v:56:y:2021:i:c:s1386418120300744. Full description at Econpapers || Download paper | |
| 2022 | Financial integration in the EU28 equity markets: Measures and drivers. (2022). Ossola, Elisa ; Papanagiotou, E ; Nardo, M. In: Journal of Financial Markets. RePEc:eee:finmar:v:57:y:2022:i:c:s138641812100015x. Full description at Econpapers || Download paper | |
| 2021 | What greenium matters in the stock market? The role of greenhouse gas emissions and environmental disclosures. (2021). Ossola, Elisa ; Panzica, Roberto ; Alessi, Lucia. In: Journal of Financial Stability. RePEc:eee:finsta:v:54:y:2021:i:c:s1572308921000280. Full description at Econpapers || Download paper | |
| 2022 | The implications of dependence, tail dependence, and bounds’ measures for counterparty credit risk pricing. (2022). Kimura, Herbert ; Sobreiro, Vinicius Amorim ; Belitsky, Vladimir ; Arismendi-Zambrano, Juan. In: Journal of Financial Stability. RePEc:eee:finsta:v:58:y:2022:i:c:s1572308921001261. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Works by Olivier Scaillet:
| Year | Title | Type | Cited |
|---|---|---|---|
| 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 another 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 another 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 another version. Agregated cites: 2 | article | |
| 2017 | A diagnostic criterion for approximate factor structure In: Papers. [Full Text][Citation analysis] | paper | 16 |
| 2016 | A Diagnostic Criterion for Approximate Factor Structure.(2016) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
| 2019 | A diagnostic criterion for approximate factor structure.(2019) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | 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 another 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 another version. Agregated cites: 11 | paper | |
| 2017 | High-Frequency Jump Analysis of the Bitcoin Market In: Papers. [Full Text][Citation analysis] | paper | 25 |
| 2017 | High-Frequency Jump Analysis of the Bitcoin Market.(2017) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | paper | |
| 2017 | High-frequency jump analysis of the bitcoin market.(2017) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | paper | |
| 2020 | High-Frequency Jump Analysis of the Bitcoin Market*.(2020) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | article | |
| 2018 | Spanning Tests for Markowitz Stochastic Dominance In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2018 | Spanning Tests for Markowitz Stochastic Dominance.(2018) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2020 | Spanning tests for Markowitz stochastic dominance.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2018 | Spanning tests for markowitz stochastic dominance.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | 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 another version. Agregated cites: 0 | paper | |
| 2020 | A higher-order correct fast moving-average bootstrap for dependent data.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has another 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 another version. Agregated cites: 0 | paper | |
| 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 another 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 another 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 another 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 another version. Agregated cites: 0 | paper | |
| 2003 | Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 7 |
| 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 another version. Agregated cites: 14 | paper | |
| 2010 | Testing for Stochastic Dominance Efficiency In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 53 |
| 2005 | Testing for Stochastic Dominance Efficiency.(2005) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 53 | paper | |
| 2006 | Testing foe Stochastic Dominance Efficiency.(2006) In: Computing in Economics and Finance 2006. [Citation analysis] This paper has another version. Agregated cites: 53 | paper | |
| 2010 | False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas In: Journal of Finance. [Full Text][Citation analysis] | article | 245 |
| 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 another version. Agregated cites: 245 | 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 another version. Agregated cites: 245 | 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 another version. Agregated cites: 245 | 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 another version. Agregated cites: 245 | paper | |
| 2022 | Skill, Scale, and Value Creation in the Mutual Fund Industry In: Journal of Finance. [Full Text][Citation analysis] | article | 0 |
| 2021 | Skill, scale, and value creation in the mutual fund industry.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2004 | Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall In: Mathematical Finance. [Full Text][Citation analysis] | article | 77 |
| 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 another version. Agregated cites: 11 | paper | |
| 2007 | LINEAR?QUADRATIC JUMP?DIFFUSION MODELING In: Mathematical Finance. [Full Text][Citation analysis] | article | 28 |
| 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 | 34 |
| 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 another version. Agregated cites: 34 | 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 another version. Agregated cites: 6 | article | |
| 2007 | Testing For Equality Between Two Copulas In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 56 |
| 2009 | Testing for equality between two copulas.(2009) In: Journal of Multivariate Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 56 | 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 | 80 |
| 2012 | Technical trading revisited: False discoveries, persistence tests, and transaction costs.(2012) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 80 | 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 another 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 another 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 | 66 |
| 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 another version. Agregated cites: 66 | paper | |
| 2015 | Time-varying risk premium in large cross-sectional equity datasets.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 66 | paper | |
| 2016 | Time?Varying Risk Premium in Large Cross?Sectional Equity Data Sets.(2016) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 66 | 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 another version. Agregated cites: 0 | paper | |
| 2016 | Valuing American options using fast recursive projections.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has another 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 another 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 | 2 |
| 2016 | On ill?posedness of nonparametric instrumental variable regression with convexity constraints.(2016) In: Econometrics Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | 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 another 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 another 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 another 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 another 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 another 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 | 6 |
| 2020 | Backtesting marginal expected shortfalland related systemic risk measures.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 2021 | Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures.(2021) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 2020 | Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures.(2020) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 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 |
| 2020 | Hedge Fund Performance under Misspecified Models 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 another version. Agregated cites: 2 | paper | |
| 2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has another 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 another 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 another 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 another version. Agregated cites: 31 | paper | |
| 1998 | QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES.(1998) In: Econometric Theory. [Full Text][Citation analysis] This paper has another 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 another version. Agregated cites: 6 | paper | |
| 1999 | Bartlett Identities Tests.(1999) In: LIDAM Discussion Papers IRES. [Full Text][Citation analysis] This paper has another 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 | 128 |
| 2000 | Sensitivity Analysis of Values at Risk.(2000) In: LIDAM Discussion Papers IRES. [Full Text][Citation analysis] This paper has another version. Agregated cites: 128 | paper | |
| 2000 | Sensitivity Analysis of Values at Risk.(2000) In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 128 | paper | |
| 2000 | Sensitivity analysis of Values at Risk.(2000) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 128 | article | |
| 2000 | Sensitivity analysis of values at risk.(2000) In: THEMA Working Papers. [Citation analysis] This paper has another version. Agregated cites: 128 | paper | |
| 2000 | Sensitivity analysis of Values at Risk.(2000) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 128 | 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 another 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 another 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 another version. Agregated cites: 2 | paper | |
| 2001 | A Fast Subsampling Method for Nonlinear Dynamic Models In: Working Papers. [Full Text][Citation analysis] | paper | 11 |
| 2006 | A fast subsampling method for nonlinear dynamic models.(2006) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | 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 another version. Agregated cites: 11 | 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 another 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 another 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 another 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 another 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 another 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 another version. Agregated cites: 1 | paper | |
| 2004 | Option pricing with discrete rebalancing.(2004) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 1999 | Option pricing with discrete rebalancing.(1999) In: THEMA Working Papers. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2002 | Option Pricing with Discrete Rebalancing.(2002) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2004 | Option pricing with discrete rebalancing.(2004) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 1999 | An Autoregressive Conditional Binomial Option Pricing Model In: Working Papers. [Full Text][Citation analysis] | paper | 12 |
| 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 another 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 | 24 |
| 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 another version. Agregated cites: 24 | 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 another version. Agregated cites: 24 | 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 another version. Agregated cites: 24 | 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 another 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 | 39 |
| 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 another 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 another 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 | 43 |
| 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 | 37 |
| 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 | 43 |
| 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 another version. Agregated cites: 43 | paper | |
| 2021 | Factors and risk premia in individual international stock returns In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 5 |
| 2010 | Pricing American options under stochastic volatility and stochastic interest rates In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 28 |
| 2007 | Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 19 |
| 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 another version. Agregated cites: 19 | 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 another 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 another 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 |
| 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 | 12 |
| 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 | 28 |
| 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 | 75 |
| 2003 | Nonparametric estimation of copulas for time series.(2003) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 75 | 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 | 0 |
| 2016 | Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News In: Management Science. [Full Text][Citation analysis] | article | 25 |
| 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 | 8 |
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