Olivier Scaillet : Citation Profile


Are you Olivier Scaillet?

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

18

H index

30

i10 index

1183

Citations

RESEARCH PRODUCTION:

47

Articles

122

Papers

RESEARCH ACTIVITY:

   28 years (1993 - 2021). See details.
   Cites by year: 42
   Journals where Olivier Scaillet has often published
   Relations with other researchers
   Recent citing documents: 100.    Total self citations: 33 (2.71 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psc56
   Updated: 2021-02-20    RAS profile: 2021-02-05    
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Relations with other researchers


Works with:

Topaloglou, Nikolas (5)

Trojani, Fabio (4)

Camponovo, Lorenzo (4)

Gagliardini, Patrick (4)

Hurlin, Christophe (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)

Topaloglou, Nikolas (14)

Pinar, Mehmet (13)

Stengos, Thanasis (13)

Grammig, Joachim (13)

gourieroux, christian (13)

Fernandes, Marcelo (13)

Gospodinov, Nikolay (11)

Fiorentini, Gabriele (11)

Ardia, David (10)

Cites to:

Campbell, John (13)

Wu, Liuren (12)

merton, robert (12)

Ait-Sahalia, Yacine (10)

Chen, Zhiwu (10)

Cao, Charles (10)

LINTON, OLIVER (9)

Andrews, Donald (9)

French, Kenneth (9)

Duffie, Darrell (8)

Trojani, Fabio (8)

Main data


Where Olivier Scaillet has published?


Journals with more than one article published# docs
Journal of Econometrics7
Finance and Stochastics3
Journal of Business & Economic Statistics3
Mathematical Finance3
Journal of Financial Econometrics3
Journal of Empirical Finance3
Journal of Multivariate Analysis2
Journal of Financial Economics2
Econometrica2
Journal of Banking & Finance2
Econometric Theory2

Working Papers Series with more than one paper published# docs
Swiss Finance Institute Research Paper Series / Swiss Finance Institute35
FAME Research Paper Series / International Center for Financial Asset Management and Engineering22
Working Papers / Center for Research in Economics and Statistics11
LIDAM Discussion Papers IRES / Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)11
Papers / arXiv.org9
THEMA Working Papers / THEMA (THorie Economique, Modlisation et Applications), Universit de Cergy-Pontoise9
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 (2021 and 2020)


YearTitle of citing document
2020Modeling Joint Lives within Families. (2020). Gallic, Ewen ; Charpentier, Arthur ; Cabrignac, Olivier. In: AMSE Working Papers. RePEc:aim:wpaimx:2021.

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2021The 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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2020Hedging longevity risk in defined contribution pension schemes. (2019). Wang, Yongjie. In: Papers. RePEc:arx:papers:1904.10229.

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2020Large 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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2020The Laplace transform of the integrated Volterra Wishart process. (2019). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:1911.07719.

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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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2020Consistent Calibration of Economic Scenario Generators: The Case for Conditional Simulation. (2020). van Beek, Misha. In: Papers. RePEc:arx:papers:2004.09042.

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2020False (and Missed) Discoveries in Financial Economics. (2020). Liu, Yan ; Harvey, Campbell R. In: Papers. RePEc:arx:papers:2006.04269.

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2020Modeling Joint Lives within Families. (2020). Gallic, Ewen ; Charpentier, Arthur ; Cabrignac, Olivier. In: Papers. RePEc:arx:papers:2006.08446.

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2020Portfolio Optimization on the Dispersion Risk and the Asymmetric Tail Risk. (2020). Kim, Young Shin. In: Papers. RePEc:arx:papers:2007.13972.

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2020Optimizing tail risks using an importance sampling based extrapolation for heavy-tailed objectives. (2020). Murthy, Karthyek ; Deo, Anand. In: Papers. RePEc:arx:papers:2008.09818.

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2020Instrumental Variable Quantile Regression. (2020). Wuthrich, Kaspar ; Hansen, Christian ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:2009.00436.

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2020Short dated smile under Rough Volatility: asymptotics and numerics. (2020). Pigato, Paolo ; Gassiat, Paul ; Friz, Peter K. In: Papers. RePEc:arx:papers:2009.08814.

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2020Recent Developments on Factor Models and its Applications in Econometric Learning. (2020). Fan, Jianqing ; Liao, Yuan. In: Papers. RePEc:arx:papers:2009.10103.

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2021Identification of multi-valued treatment effects with unobserved heterogeneity. (2020). Fusejima, Koki. In: Papers. RePEc:arx:papers:2010.04385.

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2020Decomposing the VIX: Implications for the predictability of stock returns. (2020). Chow, Victor K ; Li, Jingrui ; Jiang, Wanjun. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:4:p:645-668.

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2020Taming the Factor Zoo: A Test of New Factors. (2020). Xiu, Dacheng ; Giglio, Stefano ; Feng, Guanhao. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1327-1370.

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2020How Skilled Are Security Analysts?. (2020). Crotty, Kevin ; Crane, Alan. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1629-1675.

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2020False (and Missed) Discoveries in Financial Economics. (2020). Harvey, Campbell R ; Liu, Yan. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2503-2553.

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2020On the Performance of Cryptocurrency Funds. (2020). Babiak, Mykola ; Bianchi, Daniele. In: CERGE-EI Working Papers. RePEc:cer:papers:wp672.

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2020Arbitrage Pricing, Weak Beta, Strong Beta: Identification-Robust and Simultaneous Inference. (2020). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-30.

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2020Uncertainty avoidance and mutual funds. (2020). Ramos, Sofia ; Miguel, Antonio F ; Medhat, Mamdouh ; Keswani, Aneel. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301929.

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2020Stochastic dominance tests. (2020). Tsionas, Mike G ; Topaloglou, Nikolas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:112:y:2020:i:c:s0165188920300191.

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2020Quantifying the concerns of Dimon and Buffett with data and computation. (2020). Oldham, Matthew. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300336.

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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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2020Can foreign equity funds outperform their benchmarks? New evidence from fund-holding data for China. (2020). Yan, Cheng ; Wang, Guipu ; Zhang, Jinhua. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:11-20.

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2020Disagreement with procyclical beliefs and asset pricing. (2020). Hu, Duni ; Wang, Hailong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302621.

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2020Anomalies in emerging markets: The case of Mexico. (2020). Vasquez, Aurelio ; Herrerias, Renata ; Diaz-Ruiz, Polux. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300851.

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2020A goodness-of-fit test for copulas based on martingale transformation. (2020). Zheng, XU ; Lu, Xiaohui. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:84-117.

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2020Bootstrapping factor models with cross sectional dependence. (2020). Perron, Benoit ; Gonalves, Silvia. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:476-495.

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2020Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects. (2020). Luger, Richard ; Gungor, Sermin. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:750-770.

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2020A simple model of a money-management market with rational and extrapolative investors. (2020). spiegler, ran. In: European Economic Review. RePEc:eee:eecrev:v:127:y:2020:i:c:s0014292120301203.

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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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2020Portfolio diversification based on stochastic dominance under incomplete probability information. (2020). Kuosmanen, Timo ; Xu, Peng ; Liesio, Juuso. In: European Journal of Operational Research. RePEc:eee:ejores:v:286:y:2020:i:2:p:755-768.

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2021Some 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.

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2021Probabilistic 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.

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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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2020Testing moving average trading strategies on ETFs. (2020). Huang, Jingzhi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:57:y:2020:i:c:p:16-32.

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2020Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach. (2020). Yao, Kai ; Chevapatrakul, Thanaset ; Nguyen, Linh Hoang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:333-355.

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2020Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market. (2020). Sensoy, Ahmet ; Serdengeti, Suleyman. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521919305642.

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2020Fund manager conviction and investment performance. (2020). Taffler, Richard ; Jin, Liang ; Tosun, Onur Kemal ; Eshraghi, Arman. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301940.

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2020Diamonds versus precious metals: What gleams most against USD exchange rates?. (2020). PORCHER, Thomas ; Guesmi, Khaled ; Bedoui, Rihab ; Kalai, Saoussen. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319305288.

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2020Time consistent pension funding in a defined benefit pension plan with non-constant discounting. (2020). Navas, Jorge ; Josa-Fombellida, Ricardo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:94:y:2020:i:c:p:142-153.

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2020Optimal risk-sharing across a network of insurance companies. (2020). Smirnow, Alexander ; Kull, Andreas ; Farkas, Walter ; Ettlin, Nicolas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:39-47.

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2021Mortality options: The point of view of an insurer. (2021). Schmidli, Hanspeter ; Schmeck, Maren Diane. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:98-115.

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2020Forecasting value at risk and expected shortfall with mixed data sampling. (2020). Le, Trung H. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1362-1379.

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2021Data snooping in equity premium prediction. (2021). Wendt, Viktoria-Sophie ; Neuhierl, Andreas ; Drobetz, Wolfgang ; Dichtl, Hubert. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:72-94.

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2020Can mutual funds profit from post earnings announcement drift? The role of competition. (2020). Yu, Tong ; Yao, Tong ; Chen, Xuanjuan ; Ali, Ashiq. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:114:y:2020:i:c:s037842662030042x.

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2020A reappraisal of luck versus skill in the cross-section of mutual fund returns. (2020). Pouliot, William ; Asteriou, Dimitrios ; Huang, Rong. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:176:y:2020:i:c:p:166-187.

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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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2021Picking funds with confidence. (2021). Wermers, Russ ; Timmermann, Allan ; Lunde, Asger ; Gronborg, Niels S. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:1:p:1-28.

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2020Risk, asset pricing and monetary policy transmission in Europe: Evidence from a threshold-VAR approach. (2020). Schmidt, Jorg. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:109:y:2020:i:c:s0261560620301911.

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2020Hedging and safe-haven characteristics of Gold against currencies: An investigation based on multivariate dynamic copula theory. (2020). Guesmi, Khaled ; Chevallier, Julien ; Majdoub, Najemeddine ; Bedoui, Rihab ; Nguyen, Quynh Nga. In: Resources Policy. RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420719304921.

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2020Hedging the exchange rate risk for international portfolios. (2020). Liu, Yong Jun ; Zhang, Weiguo ; Yu, Xing ; Wang, Chao. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:173:y:2020:i:c:p:85-104.

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2020Gold and portfolio diversification: A stochastic dominance analysis of the Dow Jones Islamic indices. (2020). Zoubi, Taisier A ; Alkhazali, Osamah M. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:60:y:2020:i:c:s0927538x19303324.

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2020Increasing the risk management effectiveness from higher accuracy: A novel non-parametric method. (2020). Lu, Dong ; Li, Yong ; Ding, Ashley ; Huang, Jinbo. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:62:y:2020:i:c:s0927538x20300263.

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

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2021Pricing virtual currency-linked derivatives with time-inhomogeneity. (2021). Chen, Jun-Home ; Lian, Yu-Min. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:424-439.

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

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2020High and low prices and the range in the European stock markets: A long-memory approach. (2020). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Poza, Carlos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919306348.

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2020Impact of proportional transaction costs on systematically generated portfolios. (2020). Xie, Kangjianan ; Ruf, Johannes. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:104696.

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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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2020New Evidence of the Marginal Predictive Content of Small and Large Jumps in the Cross-Section. (2020). Swanson, Norman R ; Mizrach, Bruce ; Yu, BO. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:2:p:19-:d:360192.

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2020Long Memory in the Volatility of Selected Cryptocurrencies: Bitcoin, Ethereum and Ripple. (2020). Altintig, Ayca Z ; Atikka, Ozgur ; Okur, Mustafa ; Soylu, Pinar Kaya. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:6:p:107-:d:364466.

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2020Achieving Portfolio Diversification for Individuals with Low Financial Sustainability. (2020). Ho, Jang ; Kim, Woo Chang ; Lee, Yongjae. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:17:p:7073-:d:406234.

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2020The Laplace transform of the integrated Volterra Wishart process. (2020). Jaber, Eduardo Abi. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-02367200.

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2020The Laplace transform of the integrated Volterra Wishart process. (2019). Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-02367200.

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2020Modeling Joint Lives within Families. (2020). Gallic, Ewen ; Cabrignac, Olivier ; Charpentier, Arthur. In: Working Papers. RePEc:hal:wpaper:halshs-02871927.

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2020Dividend Growth Predictability and the Price–Dividend Ratio. (2020). Trojani, Fabio ; Piatti, Ilaria . In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:1:p:130-158.

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2020The Missing New Funds. (2020). Zhu, Qifei. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:3:p:1193-1204.

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2020Information Aggregation and P-Hacking. (2020). Zhong, Xun ; Rytchkov, Oleg. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:4:p:1605-1626.

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2020Risk-Based Loan Pricing: Portfolio Optimization Approach with Marginal Risk Contribution. (2020). Lejeune, Miguel ; Chun, So Yeon. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:8:p:3735-3753.

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2020The 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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2020Climate Sin Stocks: Stock Price Reactions to Global Climate Strikes. (2020). Rancan, Michela ; Ossola, Elisa ; Ramelli, Stefano. In: Working Papers. RePEc:jrs:wpaper:202003.

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2020Financial integration in the EU28 equity markets: measures and drivers. (2020). Papanagiotou, Evangalia ; Ossola, Elisa ; Nardo, Michela. In: Working Papers. RePEc:jrs:wpaper:202009.

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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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2020Can mutual funds time investor sentiment?. (2020). Zheng, Yao ; Osmer, Eric. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:54:y:2020:i:4:d:10.1007_s11156-019-00831-6.

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2020The Implications of Tail Dependency Measures for Counterparty Credit Risk Pricing. (2020). Arismendi Zambrano, Juan ; Kimura, Herbert ; Sobreiro, Vinicius Amorim ; Belitsky, Vladimir ; Arismendi-Zambrano, J C. In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n306-20.pdf.

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2020The 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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2020Arbitrage Pricing, Weak Beta, Strong Beta: Identification-Robust and Simultaneous Inference. (2020). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude. In: Cahiers de recherche. RePEc:mtl:montec:15-2020.

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2020Comparison study of two-step LGD estimation model with probability machines. (2020). Tanoue, Yuta ; Nagahata, Hideaki ; Yamashita, Satoshi. In: Risk Management. RePEc:pal:risman:v:22:y:2020:i:3:d:10.1057_s41283-020-00059-y.

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2020Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach. (2020). Li, Youwei ; Stanley, Eugene ; Pantelous, Athanasios ; Chen, Yanhua. In: MPRA Paper. RePEc:pra:mprapa:101700.

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2020Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach. (2020). Walther, Thomas ; Topaloglou, Nikolas ; Nguyen, Duc Khuong. In: MPRA Paper. RePEc:pra:mprapa:103870.

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2021The Role of Hedge Funds in the Asset Pricing: Evidence from China. (2021). Li, Youwei ; Feng, XU ; Zhang, Wei. In: MPRA Paper. RePEc:pra:mprapa:105377.

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2020The Conditional Risk and Return Trade-Off on Currency Portfolios. (2020). Sakemoto, Ryuta ; Byrne, Joseph ; Joseph, Byrne. In: MPRA Paper. RePEc:pra:mprapa:99497.

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2020Trade Policy Uncertainty and Stock Returns. (2020). Esposito, Federico ; Sammon, Marco ; Bianconi, Marcelo. In: MPRA Paper. RePEc:pra:mprapa:99874.

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2020Value at Risk and Market Risk: Case of the Regional Securities Exchange. (2020). Diallo, Mouhamadou Saliou. In: Applied Economics and Finance. RePEc:rfa:aefjnl:v:7:y:2020:i:6:p:19-35.

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2020Joint and conditional dependence modelling of peak district heating demand and outdoor temperature: a copula-based approach. (2020). Righetti, Maurizio ; Menapace, Andrea ; Marta, F. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:29:y:2020:i:2:d:10.1007_s10260-019-00488-4.

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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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2020Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models. (2020). Umlandt, Dennis. In: Working Paper Series. RePEc:trr:qfrawp:202006.

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2020Trade Policy Uncertainty and Stock Returns. (2020). Sammon, Marco ; Bianconi, Marcelo ; Esposito, Federico. In: Discussion Papers Series, Department of Economics, Tufts University. RePEc:tuf:tuftec:0834.

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2020Mutual fund performance: The decision quality and capital magnet efficiencies. (2020). Hsieh, Pierre H ; Liu, Naiyu ; Lu, Wenmin ; Tebourbi, Imen. In: Managerial and Decision Economics. RePEc:wly:mgtdec:v:41:y:2020:i:5:p:861-872.

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2021Market 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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2020Implied cost of capital and mutual fund performance. (2020). Hendriock, Mario. In: CFR Working Papers. RePEc:zbw:cfrwps:2011.

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2020Accurate and robust inference. (2020). Ronchetti, Elvezio. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:74-88.

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Works by Olivier Scaillet:


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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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2016Early exercise decision in American options with dividends, stochastic volatility and jumps In: Papers.
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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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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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2019A diagnostic criterion for approximate factor structure.(2019) In: Journal of Econometrics.
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2016Predictability Hidden by Anomalous Observations In: Papers.
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2013Predictability Hidden by Anomalous Observations.(2013) In: Swiss Finance Institute Research Paper Series.
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2018Predictability Hidden by Anomalous Observations.(2018) In: School of Economics Discussion Papers.
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2017High-Frequency Jump Analysis of the Bitcoin Market In: Papers.
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2018Spanning Tests for Markowitz Stochastic Dominance In: Papers.
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2009Local Transformation Kernel Density Estimation of Loss Distributions In: Journal of Business & Economic Statistics.
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2007LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING In: Mathematical Finance.
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2007Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility.(2007) In: Review of Financial Studies.
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2006Tikhonov Regularization for Functional Minimum Distance Estimators In: Swiss Finance Institute Research Paper Series.
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2006Robust Subsampling In: Swiss Finance Institute Research Paper Series.
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2009Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs In: Swiss Finance Institute Research Paper Series.
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2009Testing for threshold effect in ARFIMA models: Application to US unemployment rate data.(2009) In: International Journal of Forecasting.
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2011Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels In: Swiss Finance Institute Research Paper Series.
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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.
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2011Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets In: Swiss Finance Institute Research Paper Series.
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2015Time-varying risk premium in large cross-sectional equity datasets.(2015) In: Working Papers.
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2016Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets.(2016) In: Econometrica.
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2016On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints In: Swiss Finance Institute Research Paper Series.
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2016On ill-posedness of nonparametric instrumental variable regression with convexity constraints.(2016) In: Working Papers.
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2016On ill‐posedness of nonparametric instrumental variable regression with convexity constraints.(2016) In: Econometrics Journal.
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2017Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy.(2017) In: Journal of Financial Econometrics.
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2018The Cross-Sectional Distribution of Fund Skill Measures In: Swiss Finance Institute Research Paper Series.
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2019Estimation of Large Dimensional Conditional Factor Models in Finance In: Swiss Finance Institute Research Paper Series.
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[Citation analysis]
paper8

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