Olivier Scaillet : Citation Profile


Are you Olivier Scaillet?

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

17

H index

29

i10 index

1046

Citations

RESEARCH PRODUCTION:

45

Articles

116

Papers

RESEARCH ACTIVITY:

   27 years (1993 - 2020). See details.
   Cites by year: 38
   Journals where Olivier Scaillet has often published
   Relations with other researchers
   Recent citing documents: 91.    Total self citations: 31 (2.88 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psc56
   Updated: 2020-05-16    RAS profile: 2020-05-13    
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Relations with other researchers


Works with:

Camponovo, Lorenzo (4)

Gagliardini, Patrick (4)

Trojani, Fabio (4)

Topaloglou, Nikolas (2)

Chaieb, Ines (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 (24)

Rombouts, Jeroen (17)

Fernandes, Marcelo (13)

Pinar, Mehmet (13)

Grammig, Joachim (13)

Stengos, Thanasis (13)

Topaloglou, Nikolas (12)

Fiorentini, Gabriele (11)

Gospodinov, Nikolay (11)

gourieroux, christian (10)

Otsu, Taisuke (10)

Cites to:

Wu, Liuren (12)

Campbell, John (11)

Ait-Sahalia, Yacine (10)

Cao, Charles (10)

merton, robert (10)

Chen, Zhiwu (10)

French, Kenneth (9)

Andrews, Donald (9)

LINTON, OLIVER (9)

Leippold, Markus (7)

Fama, Eugene (7)

Main data


Where Olivier Scaillet has published?


Journals with more than one article published# docs
Journal of Econometrics6
Journal of Empirical Finance3
Finance and Stochastics3
Mathematical Finance3
Journal of Business & Economic Statistics3
Journal of Financial Econometrics2
Journal of Banking & Finance2
Journal of Multivariate Analysis2
Econometric Theory2
Econometrica2
Journal of Financial Economics2

Working Papers Series with more than one paper published# docs
Swiss Finance Institute Research Paper Series / Swiss Finance Institute32
FAME Research Paper Series / International Center for Financial Asset Management and Engineering22
Working Papers / Center for Research in Economics and Statistics11
Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) / Universit catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)11
THEMA Working Papers / THEMA (THorie Economique, Modlisation et Applications), Universit de Cergy-Pontoise9
Papers / arXiv.org8
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2
Working Papers / University of Geneva, Geneva School of Economics and Management2

Recent works citing Olivier Scaillet (2020 and 2019)


YearTitle of citing document
2019Main aspects on the nature of dynamic models. (2019). Birsan, Oana ; Grigorescu, Dana Luiza ; Anghelache, Constantin. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(621):y:2019:i:4(621):p:129-138.

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2019Main aspects on the nature of dynamic models. (2019). Birsan, Oana ; Grigorescu, Dana Luiza ; Anghelache, Constantin. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:4(621):p:129-138.

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2019Factor models with many assets: strong factors, weak factors, and the two-pass procedure. (2019). Anatolyev, Stanislav ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:1807.04094.

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2019The Incidental Parameters Problem in Testing for Remaining Cross-section Correlation. (2018). Reese, Simon ; Juodis, Arturas. In: Papers. RePEc:arx:papers:1810.03715.

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2019Technical Analysis and Discrete False Discovery Rate: Evidence from MSCI Indices. (2019). Psaradellis, Ioannis ; Stasinakis, Charalampos ; Hassanniakalager, Arman ; Sermpinis, Georgios. In: Papers. RePEc:arx:papers:1811.06766.

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2019The fair reward problem: the illusion of success and how to solve it. (2019). Cauwels, Peter ; Sornette, Didier. In: Papers. RePEc:arx:papers:1902.04940.

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2019Penalized Sieve GEL for Weighted Average Derivatives of Nonparametric Quantile IV Regressions. (2019). Chen, Xiaohong ; Powell, James L ; Pouzo, Demian. In: Papers. RePEc:arx:papers:1902.10100.

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2019Identification of Noncausal Models by Quantile Autoregressions. (2019). Hecq, Alain ; Sun, LI. In: Papers. RePEc:arx:papers:1904.05952.

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2019The impact of proportional transaction costs on systematically generated portfolios. (2019). Xie, Kangjianan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:1904.08925.

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2019Hedging longevity risk in defined contribution pension schemes. (2019). Wang, Yongjie. In: Papers. RePEc:arx:papers:1904.10229.

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2019Specification Testing in Nonparametric Instrumental Quantile Regression. (2019). Breunig, Christoph. In: Papers. RePEc:arx:papers:1909.10129.

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2019Goodness-of-Fit Tests based on Series Estimators in Nonparametric Instrumental Regression. (2019). Breunig, Christoph. In: Papers. RePEc:arx:papers:1909.10133.

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2019Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference. (2019). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1910.08273.

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2019Randomization tests of copula symmetry. (2019). Beare, Brendan ; Seo, Juwon. In: Papers. RePEc:arx:papers:1911.05307.

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

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2019Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2019). Azencott, Robert ; Zhu, Hongliang ; Kong, AO. In: Papers. RePEc:arx:papers:1912.07165.

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2019Bayesian estimation of large dimensional time varying VARs using copulas. (2019). Tsionas, Mike ; Trapani, Lorenzo ; Izzeldin, Marwan. In: Papers. RePEc:arx:papers:1912.12527.

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2020Optimal hedging of a perpetual American put with a single trade. (2020). Palczewski, Jan ; de Angelis, Tiziano ; Cai, Cheng. In: Papers. RePEc:arx:papers:2003.06249.

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2020Old Problems, Classical Methods, New Solutions. (2020). Lipton, Alexander. In: Papers. RePEc:arx:papers:2003.06903.

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2020High-dimensional mixed-frequency IV regression. (2020). Babii, Andrii. In: Papers. RePEc:arx:papers:2003.13478.

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2020Inference in Unbalanced Panel Data Models with Interactive Fixed Effects. (2020). Stammann, Amrei ; Czarnowske, Daniel. In: Papers. RePEc:arx:papers:2004.03414.

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2019Bond Funds and Fixed-Income Market Liquidity: A Stress-Testing Approach. (2019). Ouellet Leblanc, Guillaume ; Arora, Rohan ; Shotlander, Ryan ; Bedard-Page, Guillaume. In: Technical Reports. RePEc:bca:bocatr:115.

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2019Criptoactivos: análisis y revisión de literatura. (2019). Parra-Polanía, Julián ; León, Carlos ; Gomez-Gonzalez, Jose ; Gómez-Pineda, Javier ; Yanquen, Eduardo ; Suarez, Nicolas ; Rojas, Daniel ; Osorio, Daniel ; Machado, Clara ; Bernal, Joaquin ; Arango, Carlos . In: Revista ESPE - Ensayos sobre Política Económica. RePEc:bdr:ensayo:y:2019:i:92:p:1-37.

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2019Mortality Options: the Point of View of an Insurer. (2019). Schmidli, Hanspeter ; Schmeck, Maren Diane. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:616.

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2019Modelling the loss given default distribution via a family of zero‐and‐one inflated mixture models. (2019). Punzo, Antonio ; Tomarchio, Salvatore D. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:182:y:2019:i:4:p:1247-1266.

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2019Criptoactivos: análisis y revisión de literatura. (2019). Parra-Polanía, Julián ; León, Carlos ; Gómez-Pineda, Javier ; suarez -Eduardo, Nicolas ; osorio -Daniel, Daniel ; leon -Clara, Carlos ; gomez -Javier, Jose E ; arango -Joaquin, Carlos. In: Revista ESPE - Ensayos Sobre Política Económica. RePEc:col:000107:017629.

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2019Correlation Risk, Strings and Asset Prices. (2019). Vilkov, Grigory ; Mele, Antonio ; Distaso, Walter . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13873.

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2019Pricing and Exercising American Options: an Asymptotic Expansion Approach. (2019). Ye, Yongxin ; Li, Chenxu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:11.

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2020A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage. (2020). Gradojevic, Nikola ; Genay, Ramazan ; Erdemlioglu, Deniz. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:57-73.

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2019Regime switching panel data models with interactive fixed effects. (2019). GAO, Jiti ; Yan, Yayi ; Cheng, Tingting. In: Economics Letters. RePEc:eee:ecolet:v:177:y:2019:i:c:p:47-51.

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2019A new efficiency test for ranking investments: Application to hedge fund performance. (2019). Ye, Jiang ; Vanduffel, Steven ; Bernard, Carole. In: Economics Letters. RePEc:eee:ecolet:v:181:y:2019:i:c:p:203-207.

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2019A closed-form estimator for quantile treatment effects with endogeneity. (2019). Wuthrich, Kaspar. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:2:p:219-235.

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2019Penalized sieve GEL for weighted average derivatives of nonparametric quantile IV regressions. (2019). Powell, James L ; Pouzo, Demian ; Chen, Xiaohong. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:1:p:30-53.

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2019Nonparametric estimation and testing on discontinuity of positive supported densities: a kernel truncation approach. (2019). Funke, Benedikt ; Hirukawa, Masayuki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:156-170.

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2019Dynamic supply adjustment and banking under uncertainty in an emission trading scheme: The market stability reserve. (2019). Taschini, Luca ; Kollenberg, Sascha. In: European Economic Review. RePEc:eee:eecrev:v:118:y:2019:i:c:p:213-226.

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2019Reverse sensitivity testing: What does it take to break the model?. (2019). Pesenti, Silvana M ; Tsanakas, Andreas ; Millossovich, Pietro. In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:2:p:654-670.

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2019Exact simulation of the Ornstein–Uhlenbeck driven stochastic volatility model. (2019). Wu, Linjia ; Li, Chenxu. In: European Journal of Operational Research. RePEc:eee:ejores:v:275:y:2019:i:2:p:768-779.

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2020On the construction of a feasible range of multidimensional poverty under benchmark weight uncertainty. (2020). Stengos, Thanasis ; Pinar, Mehmet ; Topaloglou, Nikolas. In: European Journal of Operational Research. RePEc:eee:ejores:v:281:y:2020:i:2:p:415-427.

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2019In search of the optimal number of fund subgroups. (2019). Cheng, Tingting ; Yan, Cheng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:50:y:2019:i:c:p:78-92.

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2019Alpha momentum and alpha reversal in country and industry equity indexes. (2019). Karathanasopoulos, Andreas ; Umutlu, Mehmet ; Zaremba, Adam. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:144-161.

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2020Mutual fund selection for realistically short samples. (2020). Christiansen, Charlotte ; Nielsen, Ole L ; Gronborg, Niels S. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:218-240.

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2019Using nonparametric copulas to measure crude oil price co-movements. (2019). Jacho-Chávez, David ; Huynh, Kim ; Jacho-Chavez, David T. In: Energy Economics. RePEc:eee:eneeco:v:82:y:2019:i:c:p:211-223.

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2019Review of new trends in the literature on factor models and mutual fund performance. (2019). Mateus, Cesario ; Todorovic, Natasa. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:344-354.

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2019What is mutual fund flow?. (2019). Johan, Sofia ; Zhang, Yelin ; Cumming, Douglas. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:62:y:2019:i:c:p:222-251.

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2019Robust optimization of forecast combinations. (2019). Karabati, Seluk ; Post, Thierry ; Arvanitis, Stelios. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:910-926.

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2019Asset pricing and extreme event risk: Common factors in ILS fund returns. (2019). Eling, Martin ; ben Ammar, Semir ; Braun, Alexander. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:102:y:2019:i:c:p:59-78.

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2019Option-Based performance participation. (2019). BERTRAND, Philippe ; Zagst, Rudi ; Kraus, Julia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:105:y:2019:i:c:p:44-61.

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2019Skewness preference and the popularity of technical analysis. (2019). Hilpert, Christian ; Ebert, Sebastian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:109:y:2019:i:c:s0378426619302493.

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2019The volatility of mutual fund performance. (2019). Zhou, Lei ; Yao, Ping ; Livingston, Miles. In: Journal of Economics and Business. RePEc:eee:jebusi:v:104:y:2019:i:c:2.

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2019A large-scale approach for evaluating asset pricing models. (2019). Barras, Laurent. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:3:p:549-569.

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2020Idea sharing and the performance of mutual funds. (2020). Cujean, Julien. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:1:p:88-119.

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2019Subsampling (weighted smooth) empirical copula processes. (2019). Stemikovskaya, Kristina ; Kojadinovic, Ivan. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:173:y:2019:i:c:p:704-723.

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2019Modeling of recovery rate for a given default by non-parametric method. (2019). Zheng, Wei ; Jin, Chenglu ; Zhou, Hanxian ; Chen, Rongda. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:57:y:2019:i:c:s0927538x18300507.

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2019Tactical asset allocation on technical trading rules and data snooping. (2019). Wang, Qiyu ; Han, Qiheng ; Cao, Zhiguang ; Yang, Junmin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:57:y:2019:i:c:s0927538x18300775.

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2019The performance of technical trading rules in Socially Responsible Investments. (2019). Zhang, Hanxiong ; Urquhart, Andrew. In: International Review of Economics & Finance. RePEc:eee:reveco:v:63:y:2019:i:c:p:397-411.

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2019Financial systemic risk measurement based on causal network connectedness analysis. (2019). Zhang, Wei ; Xiong, Xiong ; Liu, Xi-Hua ; Gong, Xiao-Li. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:290-307.

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2020A new mechanism for anticipating price exuberance. (2020). Martins, Luis F ; Moreira, Afonso M. In: International Review of Economics & Finance. RePEc:eee:reveco:v:65:y:2020:i:c:p:199-221.

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2020Correlation between the 2014 EU-wide stress tests and the market-based measures of systemic risk. (2020). Lobez, Frederic ; Dissem, Sonia. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531918300965.

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2019Another bias correction for asymmetric kernel density estimation with a parametric start. (2019). Hirukawa, Masayuki ; Sakudo, Mari . In: Statistics & Probability Letters. RePEc:eee:stapro:v:145:y:2019:i:c:p:158-165.

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2019Dynamic supply adjustment and banking under uncertainty in an Emission Trading Scheme: the Market Stability Reserve. (2019). Taschini, Luca ; Kollenberg, Sascha. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:100857.

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2019New testing approaches for mean-variance predictability. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_01.

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2020Simultaneous Indirect Inference, Impulse Responses and ARMA Models. (2020). Lopez, Beatriz Peraza ; Khalaf, Lynda. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:2:p:12-:d:340306.

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2019Noise Reduction of an Extinguishing Nozzle Using the Response Surface Method. (2019). Kim, Youn-Jea ; Hwang, In-Ju ; Lee, Myoungwoo. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:22:p:4346-:d:287158.

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2019Dealing with Drift Uncertainty: A Bayesian Learning Approach. (2019). de Franco, Carmine ; Pham, Huyen ; Nicolle, Johann. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:1:p:5-:d:196215.

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2019Least Impulse Response Estimator for Stress Test Exercises. (2019). Lu, Yang ; Gourieroux, Christian. In: Working Papers. RePEc:hal:wpaper:hal-02089698.

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2019The Laplace transform of the integrated Volterra Wishart process. (2019). Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-02367200.

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2019Dual regression. (2019). Stouli, Sami ; Spady, Richard. In: CeMMAP working papers. RePEc:ifs:cemmap:01/19.

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2019Inference on a distribution from noisy draws. (2019). Jochmans, Koen ; Weidner, Martin. In: CeMMAP working papers. RePEc:ifs:cemmap:44/19.

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2019The Greenium matters: evidence on the pricing of climate risk. (2019). Panzica, Roberto ; Ossola, Elisa ; Alessi, Lucia. In: Working Papers. RePEc:jrs:wpaper:201912.

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2020The Profitability in the FTSE 100 Index: A New Markov Chain Approach. (2020). Nicolau, Joo ; Riedlinger, Flavio Ivo. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:27:y:2020:i:1:d:10.1007_s10690-019-09282-4.

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2020A Comparative Study of Technical Trading Strategies Using a Genetic Algorithm. (2020). Alves, Maria Joo ; Godinho, Pedro ; Macedo, Luis Lobato. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:1:d:10.1007_s10614-016-9641-9.

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2020In search of winning mutual funds in the Chinese stock market. (2020). Zhang, QI ; Wu, Bochen ; Koutmos, Dimitrios. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:54:y:2020:i:2:d:10.1007_s11156-019-00800-z.

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2019The Greenium matters: evidence on the pricing of climate risk. (2019). Roberto, Panzica ; Elisa, Ossola ; Lucia, Alessi. In: Working Papers. RePEc:mib:wpaper:418.

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2019Venture Capital Contracts. (2019). Ewens, Michael ; Korteweg, Arthur ; Gorbenko, Alexander S. In: NBER Working Papers. RePEc:nbr:nberwo:26115.

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2019Estimating The Anomaly Base Rate. (2019). Weber, Michael ; Neuhierl, Andreas ; Chinco, Alexander M. In: NBER Working Papers. RePEc:nbr:nberwo:26493.

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2019.

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2019Testing for independence in arbitrary distributions. (2019). Genest, C ; Murphy, O A ; Remillard, B ; Nelehova, J G. In: Biometrika. RePEc:oup:biomet:v:106:y:2019:i:1:p:47-68..

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2019State-dependent size and value premium: evidence from a regime-switching asset pricing model. (2019). Piqueira, Natalia ; Li, Bingxin. In: Journal of Asset Management. RePEc:pal:assmgt:v:20:y:2019:i:3:d:10.1057_s41260-019-00113-9.

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2019Bitcoins return behaviour: What do We know so far?. (2019). Fajardo, Jose. In: MPRA Paper. RePEc:pra:mprapa:93353.

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2019Hierarchical Time Varying Estimation of a Multi Factor Asset Pricing Model. (2019). Kapetanios, George ; Calonaci, Fabio ; Baillie, Richard T. In: Working Papers. RePEc:qmw:qmwecw:879.

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2019New testing approaches for mean-variance predictability. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Paper series. RePEc:rim:rimwps:19-01.

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2019Ambiguity and Information Processing in a Model of Intermediary Asset Pricing. (2019). Kasa, Kenneth ; Han, Leyla Jianyu. In: Discussion Papers. RePEc:sfu:sfudps:dp19-04.

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2019Can commodities dominate stock and bond portfolios?. (2019). Westgaard, Sjur ; Pichler, Alois ; Sonsteng, Tom Erik ; Frydenberg, Stein . In: Annals of Operations Research. RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-2996-7.

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2019Stochastic Dominance Approach to Measuring Child Development. (2019). Mehdi, Tahsin. In: Child Indicators Research. RePEc:spr:chinre:v:12:y:2019:i:5:d:10.1007_s12187-018-9597-5.

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2020Nonparametric kernel estimation of CVaR under $$\alpha $$α-mixing sequences. (2020). Luo, Zhongde. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:2:d:10.1007_s00362-017-0952-2.

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2019Asymptotics for the linear kernel quantile estimator. (2019). Yu, Wei ; Wu, YI ; Wang, Xuejun ; Hu, Shuhe ; Yang, Wenzhi. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:28:y:2019:i:4:d:10.1007_s11749-019-00627-9.

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2019Testing the effect of technical analysis on market quality and order book dynamics. (2019). Petitjean, Mikael ; Mazza, Paolo. In: Applied Economics. RePEc:taf:applec:v:51:y:2019:i:18:p:1947-1976.

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2019Least Impulse Response Estimator for Stress Test Exercises. (2019). Lu, Yang ; Gourieroux, Christian. In: CEPN Working Papers. RePEc:upn:wpaper:2019-05.

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2020Market power in the portfolio: Product market competition and mutual fund performance. (2016). Jaspersen, Stefan. In: CFR Working Papers. RePEc:zbw:cfrwps:1607.

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2019Detecting structural differences in tail dependence of financial time series. (2019). Schienle, Melanie ; Bormann, Carsten . In: Working Paper Series in Economics. RePEc:zbw:kitwps:122.

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Works by Olivier Scaillet:


YearTitleTypeCited
2017A Specification Test for Nonparametric Instrumental Variable Regression In: Annals of Economics and Statistics.
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2007A Specification Test For Nonparametric Instrumental Variable Regression.(2007) In: Swiss Finance Institute Research Paper Series.
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This paper has another version. Agregated cites: 5
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2016Early exercise decision in American options with dividends, stochastic volatility and jumps In: Papers.
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2016Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps.(2016) In: Swiss Finance Institute Research Paper Series.
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This paper has another version. Agregated cites: 0
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2020Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps.(2020) In: Journal of Financial and Quantitative Analysis.
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This paper has another version. Agregated cites: 0
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2017A diagnostic criterion for approximate factor structure In: Papers.
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2016A Diagnostic Criterion for Approximate Factor Structure.(2016) In: Swiss Finance Institute Research Paper Series.
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