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

1268

Citations

RESEARCH PRODUCTION:

48

Articles

122

Papers

1

Chapters

RESEARCH ACTIVITY:

   28 years (1993 - 2021). See details.
   Cites by year: 45
   Journals where Olivier Scaillet has often published
   Relations with other researchers
   Recent citing documents: 182.    Total self citations: 34 (2.61 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psc56
   Updated: 2021-11-28    RAS profile: 2021-11-07    
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Relations with other researchers


Works with:

Topaloglou, Nikolas (5)

Ossola, Elisa (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)

Stengos, Thanasis (14)

Pinar, Mehmet (14)

Grammig, Joachim (13)

gourieroux, christian (13)

Fernandes, Marcelo (13)

Fiorentini, Gabriele (12)

Gospodinov, Nikolay (11)

Ardia, David (11)

Cites to:

Campbell, John (13)

Wu, Liuren (12)

merton, robert (12)

Andrews, Donald (10)

Shanken, Jay (10)

Ait-Sahalia, Yacine (10)

Cao, Charles (10)

LINTON, OLIVER (10)

Chen, Zhiwu (10)

Harvey, Campbell (9)

French, Kenneth (9)

Main data


Where Olivier Scaillet has published?


Journals with more than one article published# docs
Journal of Econometrics7
Mathematical Finance3
Finance and Stochastics3
Journal of Financial Econometrics3
Journal of Empirical Finance3
Journal of Financial Economics3
Journal of Business & Economic Statistics3
Econometrica2
Econometric Theory2
Journal of Multivariate Analysis2
Journal of Banking & Finance2

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 / 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.org9
Working Papers / University of Geneva, Geneva School of Economics and Management2
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2

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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2021Short 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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2021Bridging factor and sparse models. (2021). Medeiros, Marcelo C ; Masini, Ricardo ; Fan, Jianqing. In: Papers. RePEc:arx:papers:2102.11341.

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2021On the Subbagging Estimation for Massive Data. (2021). Wang, Hansheng ; Liang, Xuan ; Zou, Tao. In: Papers. RePEc:arx:papers:2103.00631.

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2021Option Valuation through Deep Learning of Transition Probability Density. (2021). Newton, David P ; Tretyakov, M V ; Su, Haozhe. In: Papers. RePEc:arx:papers:2105.10467.

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2021Inference for multi-valued heterogeneous treatment effects when the number of treated units is small. (2021). Pouzo, Demian ; Dias, Marina. In: Papers. RePEc:arx:papers:2105.10965.

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2021Inference for Low-Rank Models. (2021). Zhu, Yinchu ; Liao, Yuan ; Hansen, Christian ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:2107.02602.

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2021Net Buying Pressure and the Information in Bitcoin Option Trades. (2021). Wan, Huning ; Feng, Jianfen ; Deng, Jun ; Alexander, Carol. In: Papers. RePEc:arx:papers:2109.02776.

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2021Performance vs Persistence : Assess the alpha to identify outperformers. (2021). Inzirillo, Hugo ; Genet, R'Emi. In: Papers. RePEc:arx:papers:2111.06886.

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2021Can Machine Learning Help to Select Portfolios of Mutual Funds?. (2021). , Andre ; Nogales, Francisco J ; Gil-Bazo, Javier ; Demiguel, Victor ; de Miguel, Victor . In: Working Papers. RePEc:bge:wpaper:1245.

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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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2020A Comparison of Two Quantile Models With Endogeneity. (2020). Wuthrich, Kaspar. In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt0q43931f.

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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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2021Unemployment Persistence in Europe: Evidence from the 27 EU Countries. (2021). Trejo, Pablo Vicente ; Gil-Alana, Luis A ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9392.

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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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2021Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps. (2021). Yang, Nian ; Wan, Xiangwei. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:125:y:2021:i:c:s016518892100018x.

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2021CTMC integral equation method for American options under stochastic local volatility models. (2021). Cui, Zhenyu ; Yang, Wensheng ; Ma, Jingtang. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000804.

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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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2021Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration. (2021). Zhou, LI ; Huang, Yilong ; Xiao, Binuo ; Tan, Zhengxun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000115.

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2021Regime switches and commonalities of the cryptocurrencies asset class. (2021). Figà-Talamanca, Gianna ; Focardi, Sergio ; Figa-Talamanca, Gianna ; Patacca, Marco. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000577.

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2021Heterogeneous beliefs with herding behaviors and asset pricing in two goods world. (2021). Hu, Duni ; Wang, Hailong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000632.

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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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2021Optimal Linear Instrumental Variables Approximations. (2021). Escanciano, Juan Carlos ; Li, Wei. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:223-246.

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2021Closed-form implied volatility surfaces for stochastic volatility models with jumps. (2021). Xu, Chen ; Li, Chenxu ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:364-392.

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2021Autoencoder asset pricing models. (2021). Xiu, Dacheng ; Kelly, Bryan ; Gu, Shihao. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:429-450.

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2021Nonparametric Instrumental Variable Estimation of Binary Response Models with Continuous Endogenous Regressors. (2021). Centorrino, Samuele ; FLORENS, Jean-Pierre. In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:35-63.

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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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2021The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications. (2021). Iori, Giulia ; Ouellette, Michelle S ; Tedeschi, Gabriele ; Recchioni, Maria Cristina. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:1:p:336-360.

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2021Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?. (2021). Zou, Yihan ; Ewald, Christian. In: European Journal of Operational Research. RePEc:eee:ejores:v:294:y:2021:i:2:p:801-815.

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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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2021Improved inference for fund alphas using high-dimensional cross-sectional tests. (2021). Yan, Yayi ; Cheng, Tingting. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:57-81.

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2021Volatility cascades in cryptocurrency trading. (2021). Tsiakas, Ilias ; Gradojevic, Nikola. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:252-265.

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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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2021How skilful are US fixed-income fund managers?. (2021). O'Sullivan, Niall ; Nitzsche, Dirk ; Cuthbertson, Keith ; Clare, Andrew. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000168.

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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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2021Price dynamics of individual stocks: Jumps and information. (2021). Zhao, Jing ; Xiao, Yuewen. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319309390.

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2021Death and the life hereafter: A study of the subsequent hedge funds. (2021). Gao, Yang ; Wu, Bochen ; Yao, Juan. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320310850.

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2021What greenium matters in the stock market? The role of greenhouse gas emissions and environmental disclosures. (2021). Ossola, Elisa ; Panzica, Roberto ; Alessi, Lucia. In: Journal of Financial Stability. RePEc:eee:finsta:v:54:y:2021:i:c:s1572308921000280.

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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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2021A benchmarking approach to track and compare administrative charges on flow and balance in individual account pension systems. (2021). Castaneda, Ranu ; Chavez-Bedoya, Luis. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:97:y:2021:i:c:p:7-23.

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2021U.S. historical initial jobless claims. Is it different with the coronavirus crisis? A fractional integration analysis. (2021). Monge, Manuel. In: International Economics. RePEc:eee:inteco:v:167:y:2021:i:c:p:88-95.

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2021What do we know about the popularity of technical analysis in foreign exchange markets? A skewness preference perspective. (2021). Jin, Xiaoye. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:71:y:2021:i:c:s1042443120301657.

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2021Who should be afraid of infections? Pandemic exposure and the cross-section of stock returns. (2021). Zaremba, Adam ; Cakici, Nusret. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000524.

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2021Technical analysis profitability and Persistence: A discrete false discovery approach on MSCI indices. (2021). Psaradellis, Ioannis ; Stasinakis, Charalampos ; Hassanniakalager, Arman ; Sermpinis, Georgios. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s104244312100072x.

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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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2021Economic capital and RAROC in a dynamic model. (2021). Zanjani, George ; Bauer, Daniel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000297.

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2021Local logit regression for loan recovery rate. (2021). GAO, Jiti ; Sopitpongstorn, Nithi ; Fenech, Jean-Pierre ; Silvapulle, Param. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:126:y:2021:i:c:s0378426621000510.

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2021Systemic risk allocation using the asymptotic marginal expected shortfall. (2021). Zhou, Chen ; Qin, Xiao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:126:y:2021:i:c:s0378426621000571.

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2021Data Snooping Bias in Tests of the Relative Performance of Multiple Forecasting Models. (2021). Anghel, Dan Gabriel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:126:y:2021:i:c:s0378426621000716.

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2021A general approach to smooth and convex portfolio optimization using lower partial moments. (2021). Humphrey, Jacquelyn E ; Li, Yong ; Huang, Jinbo ; Yao, Haixiang. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:129:y:2021:i:c:s0378426621001266.

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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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2021Do actively managed US mutual funds produce positive alpha?. (2021). Pouliot, William ; Pilbeam, Keith ; Huang, Rong. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:182:y:2021:i:c:p:472-492.

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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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2021Estimating the anomaly base rate. (2021). Weber, Michael ; Neuhierl, Andreas ; Chinco, Alex. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:1:p:101-126.

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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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2021Towards a dead end? EMU bond market exposure and manager performance. (2021). Fabozzi, Frank J ; Konstantinov, Gueorgui S. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:116:y:2021:i:c:s026156062100084x.

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2021Asymptotic properties of Bernstein estimators on the simplex. (2021). Ouimet, Frederic. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:185:y:2021:i:c:s0047259x21000622.

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2021Big data and portfolio optimization: A novel approach integrating DEA with multiple data sources. (2021). Liu, Wenbin ; Wang, Rui ; Xiao, Helu ; Gao, Meng ; Zhou, Zhongbao. In: Omega. RePEc:eee:jomega:v:104:y:2021:i:c:s0305048321000888.

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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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2021Evaluating the performance of U.S. international equity closed-end funds. (2021). Fletcher, Jonathan. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:60:y:2021:i:c:s1042444x21000165.

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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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More than 100 citations found, this list is not complete...

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YearTitleTypeCited
2017A Specification Test for Nonparametric Instrumental Variable Regression In: Annals of Economics and Statistics.
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2016Early exercise decision in American options with dividends, stochastic volatility and jumps In: Papers.
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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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2020High-Frequency Jump Analysis of the Bitcoin Market*.(2020) In: Journal of Financial Econometrics.
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2018Spanning Tests for Markowitz Stochastic Dominance In: Papers.
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2018Spanning Tests for Markowitz Stochastic Dominance.(2018) In: Swiss Finance Institute Research Paper Series.
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2020A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data In: Papers.
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2020A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data.(2020) In: Swiss Finance Institute Research Paper Series.
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2019Saddlepoint Approximations for Spatial Panel Data Models.(2019) In: Swiss Finance Institute Research Paper Series.
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2003Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models. In: Journal of Business & Economic Statistics.
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2009Local Transformation Kernel Density Estimation of Loss Distributions In: Journal of Business & Economic Statistics.
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2007Local Transformation Kernel Density Estimation of Loss Distributions.(2007) In: Swiss Finance Institute Research Paper Series.
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2010Testing for Stochastic Dominance Efficiency In: Journal of Business & Economic Statistics.
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2005Testing for Stochastic Dominance Efficiency.(2005) In: FAME Research Paper Series.
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2006Testing foe Stochastic Dominance Efficiency.(2006) In: Computing in Economics and Finance 2006.
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2010False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas In: Journal of Finance.
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2005False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas.(2005) In: FAME Research Paper Series.
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2005False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas..(2005) In: Working Papers CEB.
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2004Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall In: Mathematical Finance.
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2007THEORY AND CALIBRATION OF SWAP MARKET MODELS In: Mathematical Finance.
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2005Theory and Calibration of Swap Market Models.(2005) In: FAME Research Paper Series.
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2007LINEAR?QUADRATIC JUMP?DIFFUSION MODELING In: Mathematical Finance.
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2006Tikhonov Regularization for Functional Minimum Distance Estimators In: Swiss Finance Institute Research Paper Series.
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2012Robust subsampling.(2012) In: Journal of Econometrics.
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2007Testing For Equality Between Two Copulas In: Swiss Finance Institute Research Paper Series.
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2009Testing for equality between two copulas.(2009) In: Journal of Multivariate Analysis.
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2008Testing for threshold effect in ARFIMA models: Application to US unemployment rate data In: Swiss Finance Institute Research Paper Series.
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2008Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data. In: Swiss Finance Institute Research Paper Series.
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2011Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels In: Swiss Finance Institute Research Paper Series.
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2015Testing for symmetry and conditional symmetry using asymmetric kernels.(2015) In: Annals of the Institute of Statistical Mathematics.
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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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2011Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets.(2011) 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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2012Valuing American Options Using Fast Recursive Projections In: Swiss Finance Institute Research Paper Series.
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2015Valuing American options using fast recursive projections.(2015) In: DEM Discussion Paper Series.
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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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2016Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy In: Swiss Finance Institute Research Paper Series.
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2017Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy.(2017) In: Journal of Financial Econometrics.
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2018Time-Varying Risk Premia in Large International Equity Markets In: Swiss Finance Institute Research Paper Series.
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2019Time-Varying Risk Premia in Large International Equity Markets.(2019) In: HEC Research Papers Series.
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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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2019Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures In: Swiss Finance Institute Research Paper Series.
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2020Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures.(2020) In: Working Papers.
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2019Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply In: Swiss Finance Institute Research Paper Series.
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2020Swag: A Wrapper Method for Sparse Learning In: Swiss Finance Institute Research Paper Series.
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2020Hedge Fund Performance under Misspecified Models In: Swiss Finance Institute Research Paper Series.
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2021A penalized two-pass regression to predict stock returns with time-varying risk premia In: Swiss Finance Institute Research Paper Series.
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1993Testing for Continuous-Time Models of the Short-Term Interest Rate In: LIDAM Discussion Papers CORE.
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1995Testing for continuous-time models of the short-term interest rate.(1995) In: LIDAM Reprints CORE.
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1995Testing for continuous-time models of the short-term interest rate.(1995) In: Journal of Empirical Finance.
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1994Forecast Intervals in ARCH Exponential Smoothing In: LIDAM Discussion Papers CORE.
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1995Quasi Indirect Inference for Diffusion Processes In: LIDAM Discussion Papers CORE.
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1998Quasi-indirect inference for diffusion processes.(1998) In: LIDAM Reprints CORE.
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1998QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES.(1998) In: Econometric Theory.
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1999Bartlett identities tests In: LIDAM Discussion Papers CORE.
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1999Bartlett Identities Tests.(1999) In: Working Papers.
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1999Bartlett Identities Tests.(1999) In: LIDAM Discussion Papers IRES.
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1994Estimation of the term structure from bond data In: CEPREMAP Working Papers (Couverture Orange).
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1999Indirect Inference, Nuisance Parameter and Threshold Moving Average In: Cahiers de recherche CREFE / CREFE Working Papers.
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2000Sensitivity Analysis of Values at Risk In: Working Papers.
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2000Sensitivity Analysis of Values at Risk.(2000) In: LIDAM Discussion Papers IRES.
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2000Sensitivity Analysis of Values at Risk.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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2000Sensitivity analysis of Values at Risk.(2000) In: Journal of Empirical Finance.
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2000Sensitivity analysis of values at risk.(2000) In: THEMA Working Papers.
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2000An Empirical Investigation in Credit Spread Indices In: Working Papers.
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2000An Empirical Investigation in Credit Spread Indices.(2000) In: FMG Discussion Papers.
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2000Reversed Score and Likelihood Ratio Tests In: Working Papers.
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2000Reversed Score and Likelihood Ratio Tests.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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1999Option pricing with discrete rebalancing.(1999) In: THEMA Working Papers.
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2002Option Pricing with Discrete Rebalancing.(2002) In: FAME Research Paper Series.
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1999An Autoregressive Conditional Binomial Option Pricing Model In: Working Papers.
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