Olivier Scaillet : Citation Profile

Swiss Finance Institute (30% share)
Université de Genève (35% share)
Université de Genève (35% share)

22

H index

41

i10 index

1871

Citations

RESEARCH PRODUCTION:

57

Articles

157

Papers

2

Chapters

RESEARCH ACTIVITY:

   32 years (1993 - 2025). See details.
   Cites by year: 58
   Journals where Olivier Scaillet has often published
   Relations with other researchers
   Recent citing documents: 100.    Total self citations: 56 (2.91 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psc56
   Updated: 2025-04-05    RAS profile: 2024-01-04    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Hurlin, Christophe (10)

Schuerhoff, Norman (7)

Gehrig, Thomas (7)

Holzmeister, Felix (6)

LINTON, OLIVER (6)

Reitz, Stefan (6)

Alexeev, Vitali (6)

FERROUHI, EL MEHDI (6)

Pasquariello, Paolo (6)

Gerritsen, Dirk (6)

Bos, Charles (6)

Talavera, Oleksandr (6)

Harris, Jeffrey (6)

Palan, Stefan (6)

Xia, Shuo (6)

Wolff, Christian (6)

Pastor, Lubos (6)

Schwarz, Marco (6)

Park, Andreas (6)

Rinne, Kalle (6)

Ødegaard, Bernt (6)

Ferrara, Gerardo (6)

Brownlees, Christian (6)

Liew, Chee (6)

Johannesson, Magnus (6)

Shachar, Or (6)

Frömmel, Michael (6)

Wilhelmsson, Anders (6)

Korajczyk, Robert (6)

Lof, Matthijs (6)

Xiu, Dacheng (6)

Smales, Lee (6)

Sarno, Lucio (6)

Nielsson, Ulf (6)

Sojli, Elvira (6)

Dreber, Anna (6)

Stefanova, Denitsa (6)

Renault, Thomas (6)

Jurkatis, Simon (6)

Foucault, Thierry (6)

Zhang, S. Sarah (6)

Füllbrunn, Sascha (6)

Deev, Oleg (6)

Chernov, Mikhail (6)

Ranaldo, Angelo (6)

Walther, Thomas (5)

Neszveda, Gabor (5)

CAPELLE-BLANCARD, Gunther (5)

Deku, Solomon (5)

Vilkov, Grigory (5)

Jalkh, Naji (5)

Eugster, Nicolas (5)

Bohorquez Correa, Santiago (5)

Frijns, Bart (5)

Verousis, Thanos (5)

Caporin, Massimiliano (5)

Huang, Wenqian (5)

Davies, Ryan (5)

Hautsch, Nikolaus (5)

Horenstein, Alex (5)

Koetter, Michael (5)

Schenk-Hoppé, Klaus (5)

Menkveld, Albert (5)

Dimpfl, Thomas (5)

Ait-Sahalia, Yacine (4)

Mihet, Roxana (4)

Güçbilmez, Ufuk (4)

Colliard, Jean-Edouard (4)

van Kervel, Vincent (4)

Aloosh, Arash (4)

Taylor, Nick (3)

Voigt, Stefan (3)

Degryse, Hans (3)

Leymarie, Jérémy (3)

Gil-Bazo, Javier (3)

He, Xuezhong (Tony) (3)

Roy, Saurabh (3)

Chow, Nikolai Sheung-Chi (3)

Topaloglou, Nikolas (3)

Abudy, Menachem (3)

Adrian, Tobias (2)

Prokopczuk, Marcel (2)

Patton, Andrew (2)

Moinas, Sophie (2)

Bouri, Elie (2)

Pelizzon, Loriana (2)

Kearney, Fearghal (2)

PASCUAL, ROBERTO (2)

Theissen, Erik (2)

Söderlind, Paul (2)

Heath, Davidson (2)

Vogel, Sebastian (2)

Bjønnes, Geir (2)

Rakowski, David (2)

Zhou, Chen (2)

Hasse, Jean-Baptiste (2)

Patel, Vinay (2)

Regis, Luca (2)

Roy, Saurabh (2)

Hjalmarsson, Erik (2)

Gorbenko, Arseny (2)

Wong, Wing-Keung (2)

Putnins, Talis (2)

Dumitrescu, Ariadna (2)

Ardia, David (2)

Tonks, Ian (2)

Lopez-Lira, Alejandro (2)

Lajaunie, Quentin (2)

Kassner, Bernhard (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Olivier Scaillet.

Is cited by:

Chen, Xiaohong (25)

Rombouts, Jeroen (20)

Chernozhukov, Victor (17)

Ossola, Elisa (16)

gourieroux, christian (15)

Pinar, Mehmet (15)

Stengos, Thanasis (15)

Fernandes, Marcelo (14)

Topaloglou, Nikolas (14)

Grammig, Joachim (14)

Gospodinov, Nikolay (14)

Cites to:

Shanken, Jay (20)

French, Kenneth (18)

Wu, Liuren (16)

Ait-Sahalia, Yacine (15)

Bai, Jushan (15)

Connor, Gregory (14)

Campbell, John (14)

Harvey, Campbell (13)

LINTON, OLIVER (12)

merton, robert (12)

Xiu, Dacheng (12)

Main data

Production by document typearticlechapterpaper19931994199519961997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024202501020Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published1993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250100200300Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received1995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320242025050100150200Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year1993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250100200300400Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 22Most cited documents1234567891011121314151617181920212223240100200300Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2013082013092013102013112013122014012014022014032014042014052014062014072014082014092014102014112014122015012015022015032015042015052015062015072015082015092015102015112015122016012016022016032016042016052016062016072016082016092016102016112016122017012017022017032017042017052017062017072017082017092017102017112017122018012018022018032018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025032025040102030h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Olivier Scaillet has published?

Journals with more than one article published# docs
Journal of Econometrics9
Journal of Financial Economics4
Journal of Financial Econometrics3
Journal of Finance3
Mathematical Finance3
Finance and Stochastics3
Journal of Empirical Finance3
Journal of Business & Economic Statistics3
Journal of Banking & Finance2
Econometric Theory2
Econometrica2
Journal of Multivariate Analysis2

Working Papers Series with more than one paper published# docs
Swiss Finance Institute Research Paper Series / Swiss Finance Institute43
FAME Research Paper Series / International Center for Financial Asset Management and Engineering22
Working Papers / University of Geneva, Geneva School of Economics and Management14
Papers / arXiv.org13
Working Papers / Center for Research in Economics and Statistics11
LIDAM Discussion Papers IRES / Universit� catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)11
THEMA Working Papers / THEMA (TH�orie Economique, Mod�lisation et Applications), Universit� de Cergy-Pontoise9
Post-Print / HAL6
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2

Recent works citing Olivier Scaillet (2025 and 2024)

Year  ↓Title of citing document  ↓
2025Distributional Dynamics. (2025). Kuhn, Moritz ; Calderon, Luis ; Bayer, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:351.

Full description at Econpapers || Download paper

2025Is 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

2024The Laplace transform of the integrated Volterra Wishart process. (2019). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:1911.07719.

Full description at Econpapers || Download paper

2024Do t-Statistic Hurdles Need to be Raised. (2022). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2204.10275.

Full description at Econpapers || Download paper

2025Most 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

2024One-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

2024Assessing 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

2024Sizing the bets in a focused portfolio. (2024). Keser, Robert ; Vukcevic, Vuko. In: Papers. RePEc:arx:papers:2402.15588.

Full description at Econpapers || Download paper

2024Navigating Complexity: Constrained Portfolio Analysis in High Dimensions with Tracking Error and Weight Constraints. (2024). Caner, Mehmet ; Li, Yingying ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2402.17523.

Full description at Econpapers || Download paper

2024Crypto Inverse-Power Options and Fractional Stochastic Volatility. (2024). Xia, Weixuan ; Li, Boyi. In: Papers. RePEc:arx:papers:2403.16006.

Full description at Econpapers || Download paper

2024Derivatives of Risk Measures. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2404.09646.

Full description at Econpapers || Download paper

2024Estimation for conditional moment models based on martingale difference divergence. (2024). Jiang, Feiyu ; Song, Kunyang ; Zhu, KE. In: Papers. RePEc:arx:papers:2404.11092.

Full description at Econpapers || Download paper

2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012.

Full description at Econpapers || Download paper

2024On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures. (2024). Zhang, Yiying ; Pu, Tong. In: Papers. RePEc:arx:papers:2405.07549.

Full description at Econpapers || Download paper

2025Growing the Efficient Frontier on Panel Trees. (2025). Feng, Guanhao ; He, Jingyu ; Cong, Lin William. In: Papers. RePEc:arx:papers:2501.16730.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

2024Smooth transition moving average models: Estimation, testing, and computation. (2024). Li, Dong ; Zhang, Xinyu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:3:p:463-478.

Full description at Econpapers || Download paper

2024Non‐parametric Estimator for Conditional Mode with Parametric Features. (2024). Wang, Tao. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:1:p:44-73.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

2025Distributional Dynamics. (2025). Bayer, Christian ; Calderon, Luis ; Kuhn, Moritz. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2025_625.

Full description at Econpapers || Download paper

2024Does oil future increase the network systemic risk of financial institutions in China?. (2024). Sun, Chuanwang ; Zhou, Lichao ; Chen, Chuanglian ; Lin, Yuting. In: Applied Energy. RePEc:eee:appene:v:364:y:2024:i:c:s0306261924005592.

Full description at Econpapers || Download paper

2025On the use of the cumulant generating function for inference on time series. (2025). Ronchetti, E ; la Vecchia, D ; Moor, A. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:201:y:2025:i:c:s0167947324001282.

Full description at Econpapers || Download paper

2024How macroeconomic conditions affect systemic risk in the short and long-run?. (2024). Kurter, Zeynep O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082400007x.

Full description at Econpapers || Download paper

2024The liquidity timing ability of mutual funds. (2024). Yin, Zhengnan ; Osullivan, Niall ; Sherman, Meadhbh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001268.

Full description at Econpapers || Download paper

2024Identification of multi-valued treatment effects with unobserved heterogeneity. (2024). Fusejima, Koki. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002798.

Full description at Econpapers || Download paper

2024Quantile analysis of “hazard-rate” game models. (2024). Florens, Jean-Pierre ; Enache, Andreea. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623002981.

Full description at Econpapers || Download paper

2024Autoregressive conditional betas. (2024). Laurent, Sébastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003469.

Full description at Econpapers || Download paper

2024Estimation and inference by stochastic optimization. (2024). Forneron, Jean-Jacques. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003548.

Full description at Econpapers || Download paper

2024Time-varying minimum variance portfolio. (2024). Fan, Qingliang (Michael) ; Zhong, Wei ; Yang, Yanrong ; Wu, Ruike. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622001646.

Full description at Econpapers || Download paper

2024Estimating option pricing models using a characteristic function-based linear state space representation. (2024). Laeven, Roger ; Vladimirov, Evgenii ; Boswijk, Peter H. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624002094.

Full description at Econpapers || Download paper

2024A simulation-based method for estimating systemic risk measures. (2024). Chen, Pengzhan ; Zhou, YI ; Ye, Wuyi ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:313:y:2024:i:1:p:312-324.

Full description at Econpapers || Download paper

2024A theory of multivariate stress testing. (2024). Wang, Ruodu ; Millossovich, Pietro ; Tsanakas, Andreas. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:3:p:851-866.

Full description at Econpapers || Download paper

2024International asset pricing with heterogeneous agents: Estimation and inference. (2024). Tinang, Jules ; Tedongap, Romeo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001263.

Full description at Econpapers || Download paper

2024Non-standard errors in asset pricing: Mind your sorts. (2024). Verwijmeren, Patrick ; van Vliet, Bart ; Soebhag, Amar. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000525.

Full description at Econpapers || Download paper

2024Non-standard errors in the cryptocurrency world. (2024). Zaremba, Adam ; Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383.

Full description at Econpapers || Download paper

2024Representative investors versus best clienteles: Performance evaluation disagreement in mutual funds. (2024). Chretien, Stephane ; Kammoun, Manel. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924004307.

Full description at Econpapers || Download paper

2024A note on the Gumbel convergence for the Lee and Mykland jump tests. (2024). Ruas, Joo Pedro ; Vidal, Joo Pedro. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011868.

Full description at Econpapers || Download paper

2024Mutual fund value creation: Insights from the residual income model. (2024). Chen, Taoqin ; Xu, Wenhao. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pb:s1544612324002848.

Full description at Econpapers || Download paper

2024Option pricing under market makers inventory risk: A case study of China. (2024). Deng, Zhijian ; Yao, Yuhang. In: Finance Research Letters. RePEc:eee:finlet:v:66:y:2024:i:c:s1544612324006469.

Full description at Econpapers || Download paper

2024Price discovery share: An order invariant measure of price discovery. (2024). Sultan, Syed Galib ; Shen, Shulin ; Zivot, Eric. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324007645.

Full description at Econpapers || Download paper

2024The asymmetric effects of upside and downside risks in cryptocurrency markets: Insights from the LUNA and FTX crises. (2024). Gou, Shangde ; Julaiti, Jiansuer ; Aibai, Abuduwali. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324007803.

Full description at Econpapers || Download paper

2024Hedging downside risk in agricultural commodities: A novel nonparametric kernel method. (2024). Fan, Yawen ; Jiang, QI. In: Finance Research Letters. RePEc:eee:finlet:v:70:y:2024:i:c:s1544612324013692.

Full description at Econpapers || Download paper

2024Too-systemic-to-fail: Empirical comparison of systemic risk measures in the Eurozone financial system. (2024). Armanious, Amir. In: Journal of Financial Stability. RePEc:eee:finsta:v:73:y:2024:i:c:s1572308924000585.

Full description at Econpapers || Download paper

2024Tail risk network analysis of Asian banks. (2024). Powell, Robert ; Pham, Thach N ; Bannigidadmath, Deepa. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000899.

Full description at Econpapers || Download paper

2024Not all words are equal: Sentiment and jumps in the cryptocurrency market. (2024). Cepni, Oguzhan ; Caporin, Massimiliano ; Aysan, Ahmet Faruk. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001889.

Full description at Econpapers || Download paper

2024Behavioral risk profiling: Measuring loss aversion of individual investors. (2024). Vandenbroucke, Jurgen ; van Dolder, Dennie. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:168:y:2024:i:c:s0378426624002073.

Full description at Econpapers || Download paper

2024Survey expectations and adjustments for multiple testing. (2024). Clements, Michael. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:224:y:2024:i:c:p:338-354.

Full description at Econpapers || Download paper

2024Panel data in environmental economics: Econometric issues and applications to IPAT models. (2024). Manner, Hans ; Deixelberger, Beate ; Eibinger, Tobias. In: Journal of Environmental Economics and Management. RePEc:eee:jeeman:v:125:y:2024:i:c:s0095069624000159.

Full description at Econpapers || Download paper

2024The risk and return of equity and credit index options. (2024). Seo, Sang Byung ; Fournier, Mathieu ; Ericsson, Jan ; Doshi, Hitesh. In: Journal of Financial Economics. RePEc:eee:jfinec:v:161:y:2024:i:c:s0304405x24001557.

Full description at Econpapers || Download paper

2024A novel positive dependence property and its impact on a popular class of concordance measures. (2024). Tschimpke, Marco ; Fuchs, Sebastian. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:200:y:2024:i:c:s0047259x23001057.

Full description at Econpapers || Download paper

2024Forecasting the price of oil: A cautionary note. (2024). Eyiah-Donkor, Emmanuel ; Cotter, John ; Conlon, Thomas. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000685.

Full description at Econpapers || Download paper

2024Actively managed equity mutual funds in emerging markets. (2024). Astaíza-Gómez, José Gabriel ; Pantoja, Javier ; Astaiza-Gomez, Jose Gabriel ; Gonzalez, Michael. In: Research in International Business and Finance. RePEc:eee:riibaf:v:72:y:2024:i:pa:s0275531924003337.

Full description at Econpapers || Download paper

2024Inference for Two-Stage Extremum Estimators. (2024). Maoude, Abdoul Haki ; Houndetoungan, Aristide. In: THEMA Working Papers. RePEc:ema:worpap:2024-01.

Full description at Econpapers || Download paper

2024Co-variance in Action: Analyzing the Impact of EUR/USD Exchange Rate Changes on Polish Zloty (PLN) Valuation (2019–2022) as a Predictive Tool in Forex Markets. (2024). Klepacki, Jaroslaw. In: European Research Studies Journal. RePEc:ers:journl:v:xxvii:y:2024:i:2:p:952-966.

Full description at Econpapers || Download paper

2024Linear Factor Models and the Estimation of Expected Returns. (2024). , Bas ; Sarisoy, Cisil. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2024-14.

Full description at Econpapers || Download paper

2024Sluggish news reactions: A combinatorial approach for synchronizing stock jumps. (2024). Neely, Christopher ; Laurent, Sebastien ; Boudt, Kris ; Bouamara, Nabil. In: Working Papers. RePEc:fip:fedlwp:97969.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

2024Equilibrium Data Mining and Data Abundance. (2024). Dugast, Jrme ; Foucault, Thierry. In: Post-Print. RePEc:hal:journl:hal-04941346.

Full description at Econpapers || Download paper

2024Experimenting with Financial Professionals. (2022). Huber, Christoph ; Konig-Kersting, Christian. In: Working Papers. RePEc:inn:wpaper:2022-07.

Full description at Econpapers || Download paper

2025The Sources of Researcher Variation in Economics. (2025). Gallegos, Sebastian ; Portner, Claus C ; Huntington-Klein, Nick. In: IZA Discussion Papers. RePEc:iza:izadps:dp17744.

Full description at Econpapers || Download paper

2024Estimation d’une courbe des taux pour Madagascar par le modèle de Nelson-Siegel. (2024). Edouard, Andrianantenaina Michel. In: MPRA Paper. RePEc:pra:mprapa:122863.

Full description at Econpapers || Download paper

2024Estimation d’une courbe des taux pour Madagascar par le modèle de Nelson-Siegel. (2024). Edouard, Andrianantenaina Michel. In: MPRA Paper. RePEc:pra:mprapa:123128.

Full description at Econpapers || Download paper

2025Productive Public Spending, Knowledge Spillovers and Convergence: A Multi-Country Analysis. (2025). Federico, Antonio Pietro ; Parello, Carmelo Pierpaolo. In: MPRA Paper. RePEc:pra:mprapa:123748.

Full description at Econpapers || Download paper

2024Understanding temporal dynamics of jumps in cryptocurrency markets: evidence from tick-by-tick data. (2024). Saef, Danial ; Hrdle, Wolfgang Karl ; Sizov, Sergej ; Nagy, Odett. In: Digital Finance. RePEc:spr:digfin:v:6:y:2024:i:4:d:10.1007_s42521-024-00116-1.

Full description at Econpapers || Download paper

2024Partly linear instrumental variables regressions without smoothing on the instruments. (2024). Lapenta, Elia ; Florens, Jean-Pierre. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:33:y:2024:i:3:d:10.1007_s11749-024-00931-z.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

2025.

Full description at Econpapers || Download paper

2024A note on the use of syndicated loan data. (2022). Tonzer, Lena ; Noth, Felix ; Muller, Isabella. In: IWH Discussion Papers. RePEc:zbw:iwhdps:172022.

Full description at Econpapers || Download paper

Works by Olivier Scaillet:

Year  ↓Title  ↓Type  ↓Cited  ↓
2017A Specification Test for Nonparametric Instrumental Variable Regression In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article7
2007A 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: 7		paper
2016Early exercise decision in American options with dividends, stochastic volatility and jumps In: Papers.
[Full Text][Citation analysis]		paper4
2016Early 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: 4		paper
2020Early 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: 4		article
2017A diagnostic criterion for approximate factor structure In: Papers.
[Full Text][Citation analysis]		paper26
2016A 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: 26		paper
2019A diagnostic criterion for approximate factor structure.(2019) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		article
2016Predictability Hidden by Anomalous Observations In: Papers.
[Full Text][Citation analysis]		paper11
2013Predictability 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
2018Predictability Hidden by Anomalous Observations.(2018) In: School of Economics Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2017High-Frequency Jump Analysis of the Bitcoin Market In: Papers.
[Full Text][Citation analysis]		paper41
2017High-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: 41		paper
2017High-frequency jump analysis of the bitcoin market.(2017) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 41		paper
2020High-Frequency Jump Analysis of the Bitcoin Market*.(2020) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 41		article
2018Spanning Tests for Markowitz Stochastic Dominance In: Papers.
[Full Text][Citation analysis]		paper2
2018Spanning 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
2020Spanning tests for Markowitz stochastic dominance.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2018Spanning tests for markowitz stochastic dominance.(2018) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2022A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data In: Papers.
[Full Text][Citation analysis]		paper1
2020A 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: 1		paper
2023A 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: 1		article
2020A 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: 1		paper
2021Saddlepoint approximations for spatial panel data models In: Papers.
[Full Text][Citation analysis]		paper1
2019Saddlepoint 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: 1		paper
2023Saddlepoint 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: 1		article
2020Spanning analysis of stock market anomalies under Prospect Stochastic Dominance In: Papers.
[Full Text][Citation analysis]		paper0
2020Spanning 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
2020Spanning 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
2024Spanning Analysis of Stock Market Anomalies Under Prospect Stochastic Dominance.(2024) In: Management Science.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2021Wealth Effect on Portfolio Allocation in Incomplete Markets In: Papers.
[Full Text][Citation analysis]		paper0
2022A penalized two-pass regression to predict stock returns with time-varying risk premia In: Papers.
[Full Text][Citation analysis]		paper1
2021A 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
2023A 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
2023A 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
2022Eigenvalue tests for the number of latent factors in short panels In: Papers.
[Full Text][Citation analysis]		paper0
2022Eigenvalue 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
2024Latent Factor Analysis in Short Panels In: Papers.
[Full Text][Citation analysis]		paper1
2023Latent Factor Analysis in Short Panels.(2023) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2024Sparse spanning portfolios and under-diversification with second-order stochastic dominance In: Papers.
[Full Text][Citation analysis]		paper1
2024Sparse spanning portfolios and under-diversification with second-order stochastic dominance.(2024) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2003Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models. In: Journal of Business & Economic Statistics.
[Citation analysis]		article9
2009Local Transformation Kernel Density Estimation of Loss Distributions In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article15
2007Local 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: 15		paper
2010Testing for Stochastic Dominance Efficiency In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article60
2005Testing for Stochastic Dominance Efficiency.(2005) In: FAME Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 60		paper
2006Testing foe Stochastic Dominance Efficiency.(2006) In: Computing in Economics and Finance 2006.
[Citation analysis]
This paper has nother version. Agregated cites: 60		paper
2010False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas In: Journal of Finance.
[Full Text][Citation analysis]		article272
2008False 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: 272		paper
2005False 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: 272		paper
2005False 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: 272		paper
2009False 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: 272		paper
2022Skill, Scale, and Value Creation in the Mutual Fund Industry In: Journal of Finance.
[Full Text][Citation analysis]		article8
2021Skill, scale, and value creation in the mutual fund industry.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2024Nonstandard Errors In: Journal of Finance.
[Full Text][Citation analysis]		article14
2022Non-Standard Errors.(2022) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2024Nonstandard errors.(2024) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2024Nonstandard Errors.(2024) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2004Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall In: Mathematical Finance.
[Full Text][Citation analysis]		article92
2007THEORY AND CALIBRATION OF SWAP MARKET MODELS In: Mathematical Finance.
[Full Text][Citation analysis]		article12
2005Theory and Calibration of Swap Market Models.(2005) In: FAME Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
2007LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING In: Mathematical Finance.
[Full Text][Citation analysis]		article32
2006Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper38
2007Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility.(2007) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 38		article
2006Tikhonov Regularization for Functional Minimum Distance Estimators In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper6
2006Robust Subsampling In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper6
2012Robust subsampling.(2012) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2007Testing For Equality Between Two Copulas In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper60
2009Testing for equality between two copulas.(2009) In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 60		article
2009Nonparametric Instrumental Variable Estimators of Structural Quantile Effects In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper8
2009Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper92
2012Technical 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: 92		article
2008Testing for threshold effect in ARFIMA models: Application to US unemployment rate data In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper12
2009Testing 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
2008Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data. In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper2
2009Robust Resampling Methods for Time Series In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper5
2011Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper4
2015Testing 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
2011We 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]		paper0
2011Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper84
2011Time-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: 84		paper
2015Time-varying risk premium in large cross-sectional equity datasets.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 84		paper
2016Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets.(2016) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 84		article
2012Valuing American Options Using Fast Recursive Projections In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2012Valuing American options using fast recursive projections.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2016Valuing American options using fast recursive projections.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2015Valuing 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
2016On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper4
2016On 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
2016Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper1
2016Comments 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
2017Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy.(2017) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2018Time-Varying Risk Premia in Large International Equity Markets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper8
2019Time-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
2018The Cross-Sectional Distribution of Fund Skill Measures In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper2
2018The Cross-Sectional Distribution of Fund Skill Measures.(2018) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2019Estimation of Large Dimensional Conditional Factor Models in Finance In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper4
2020Estimation of large dimensional conditional factor models in finance.(2020) In: Handbook of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		chapter
2019Estimation 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
2019Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper16
2020Backtesting marginal expected shortfalland related systemic risk measures.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2021Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures.(2021) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2020Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures.(2020) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2021Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures.(2021) In: Management Science.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		article
2019Reassessing 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]		paper3
2020Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper1
2020Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2020Swag: A Wrapper Method for Sparse Learning In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2023Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2024Is it alpha or beta? Decomposing hedge fund returns when models are misspecified.(2024) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2021Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2024Mean Reversion Trading on the Naphtha Crack In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2025High-Frequency Estimation of ITÔ Semimartingale Baseline for Hawkes Processes In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
1993Testing for Continuous-Time Models of the Short-Term Interest Rate In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper53
1995Testing for continuous-time models of the short-term interest rate.(1995) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 53		paper
1995Testing 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: 53		article
1994Forecast Intervals in ARCH Exponential Smoothing In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper0
1995Quasi Indirect Inference for Diffusion Processes In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper30
1998Quasi-indirect inference for diffusion processes.(1998) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 30		paper
1998QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES.(1998) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 30		article
1999Bartlett identities tests In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper6
1999Bartlett Identities Tests.(1999) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
1999Bartlett Identities Tests.(1999) In: LIDAM Discussion Papers IRES.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
1994Estimation of the term structure from bond data In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper6
1999Indirect Inference, Nuisance Parameter and Threshold Moving Average In: Cahiers de recherche CREFE / CREFE Working Papers.
[Full Text][Citation analysis]		paper6
2000Sensitivity Analysis of Values at Risk In: Working Papers.
[Full Text][Citation analysis]		paper137
2000Sensitivity Analysis of Values at Risk.(2000) In: LIDAM Discussion Papers IRES.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 137		paper
2000Sensitivity 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: 137		paper
2000Sensitivity analysis of Values at Risk.(2000) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 137		article
2000Sensitivity analysis of values at risk.(2000) In: THEMA Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 137		paper
2000Sensitivity analysis of Values at Risk.(2000) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 137		paper
2000An Empirical Investigation in Credit Spread Indices In: Working Papers.
[Full Text][Citation analysis]		paper5
2000An 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
.() In: .
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2000Reversed Score and Likelihood Ratio Tests In: Working Papers.
[Full Text][Citation analysis]		paper2
2000Reversed Score and Likelihood Ratio Tests.(2000) In: LIDAM Discussion Papers IRES.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2000Reversed 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
2001A Fast Subsampling Method for Nonlinear Dynamic Models In: Working Papers.
[Full Text][Citation analysis]		paper17
2006A fast subsampling method for nonlinear dynamic models.(2006) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		article
2001A 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: 17		paper
2003Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements In: Working Papers.
[Full Text][Citation analysis]		paper19
2005Sensitivity 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
1997Multiregime Term Structure Models In: Working Papers.
[Full Text][Citation analysis]		paper2
1997Multiregime Term Structure Models.(1997) In: LIDAM Discussion Papers IRES.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
1998Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates In: Working Papers.
[Full Text][Citation analysis]		paper7
2000Convergence 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
1999Convergence 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
1999Variance Optimal Cap Pricing Models In: Working Papers.
[Full Text][Citation analysis]		paper1
1999Variance Optimal Cap Pricing Models.(1999) In: LIDAM Discussion Papers IRES.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
1999Option Pricing with Discrete Rebalancing In: Working Papers.
[Full Text][Citation analysis]		paper1
1999Option Pricing with Discrete Rebalancing.(1999) In: LIDAM Discussion Papers IRES.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2004Option pricing with discrete rebalancing.(2004) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
1999Option pricing with discrete rebalancing.(1999) In: THEMA Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2002Option Pricing with Discrete Rebalancing.(2002) In: FAME Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2004Option pricing with discrete rebalancing.(2004) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 1		paper
1999An Autoregressive Conditional Binomial Option Pricing Model In: Working Papers.
[Full Text][Citation analysis]		paper13
2000An 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: 13		paper
.() In: .
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
1997A New Index of Belgian Shares In: LIDAM Discussion Papers IRES.
[Full Text][Citation analysis]		paper0
2001Nonparametric Tests for Positive Quadrant Dependence In: LIDAM Discussion Papers IRES.
[Full Text][Citation analysis]		paper11
2001Density Estimation Using Inverse and Reciprocal Inverse Guassian Kernels In: LIDAM Discussion Papers IRES.
[Full Text][Citation analysis]		paper22
2001Density 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
2003Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases In: LIDAM Discussion Papers IRES.
[Full Text][Citation analysis]		paper25
2003Optimal 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
2003Optimal 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
2007Optimal 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
2004Testing for Concordance Ordering In: ASTIN Bulletin.
[Full Text][Citation analysis]		article7
2002Testing for Concordance Ordering.(2002) In: FAME Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2005CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA In: Econometric Theory.
[Full Text][Citation analysis]		article41
2004Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators In: Royal Economic Society Annual Conference 2004.
[Full Text][Citation analysis]		paper19
2007Local 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
2003Local 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
1998Instrumental Models and Indirect Encompassing In: Econometrica.
[Citation analysis]		article9
2012Nonparametric Instrumental Variable Estimation of Structural Quantile Effects In: Econometrica.
[Full Text][Citation analysis]		article54
2007Semiparametric methods in econometrics In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2012Tikhonov regularization for nonparametric instrumental variable estimators In: Journal of Econometrics.
[Full Text][Citation analysis]		article48
1997Unemployment insurance and mortgages In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article0
2004On the way to recovery: A nonparametric bias free estimation of recovery rate densities In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article48
2003On 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: 48		paper
2021Factors and risk premia in individual international stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article14
2010Pricing American options under stochastic volatility and stochastic interest rates In: Journal of Financial Economics.
[Full Text][Citation analysis]		article30
2007Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article21
2005Kernel 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: 21		paper
2000Weak Convergence of Hedging Strategies of Contingent Claims In: THEMA Working Papers.
[Full Text][Citation analysis]		paper5
2002Weak 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
2000An Empirical Estimation in Credit Spread Indices In: THEMA Working Papers.
[Full Text][Citation analysis]		paper0
2003Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility In: THEMA Working Papers.
[Full Text][Citation analysis]		paper14
2002Linear-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
1997Convergence of discrete time options pricing models under stochastic In: THEMA Working Papers.
[Citation analysis]		paper0
1999An autoregressive conditional binomial option pricing model under stochastic rates In: THEMA Working Papers.
[Citation analysis]		paper2
In: .
[Full Text][Citation analysis]		article0
2003Mortality Risk and Real Optimal Asset Allocation for Pension Funds In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper1
2004SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper15
2004Nonparametric Estimation of Conditional Expected Shortfall In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper12
2005A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper29
2005A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper1
2005Multiariate Wavelet-based sahpe preserving estimation for dependant observation In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper7
2005A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper0
2002Nonparametric Tests Dependence For Positive Quadrant In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper0
2003Nonparametric Estimation of Copulas for Time Series In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper81
2003Nonparametric estimation of copulas for time series.(2003) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 81		paper
2003Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper0
2004A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper4
1997Convergence of Discrete Time Options Pricing Models under Stochastic Rates In: Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
[Citation analysis]		paper0
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper5
2016Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News In: Management Science.
[Full Text][Citation analysis]		article36
2017Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article1
1996Estimation de modèles de la structure par terme des taux dintérêt. In: Revue Économique.
[Full Text][Citation analysis]		article2
2014Hedge Fund Managers: Luck and Dynamic Assessment In: Bankers, Markets & Investors.
[Full Text][Citation analysis]		article3
1998Path dependent options on yields in the affine term structure model In: Finance and Stochastics.
[Full Text][Citation analysis]		article15
1999A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary In: Finance and Stochastics.
[Full Text][Citation analysis]		article2
2009A Primer on Weather Derivatives In: International Series in Operations Research & Management Science.
[Citation analysis]		chapter4
1996Compound and exchange options in the affine term structure model In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article1
1997Econométrie de la Finance: approches historiques In: ULB Institutional Repository.
[Citation analysis]		paper10

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated February, 4 2025. Contact: CitEc Team