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

993

Citations

RESEARCH PRODUCTION:

43

Articles

108

Papers

RESEARCH ACTIVITY:

   26 years (1993 - 2019). See details.
   Cites by year: 38
   Journals where Olivier Scaillet has often published
   Relations with other researchers
   Recent citing documents: 125.    Total self citations: 28 (2.74 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psc56
   Updated: 2019-08-24    RAS profile: 2019-08-06    
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Relations with other researchers


Works with:

Trojani, Fabio (4)

Camponovo, Lorenzo (4)

Gagliardini, Patrick (4)

Chaieb, Ines (2)

Topaloglou, Nikolas (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)

Grammig, Joachim (13)

Pinar, Mehmet (12)

Stengos, Thanasis (12)

gourieroux, christian (11)

Gospodinov, Nikolay (11)

Fiorentini, Gabriele (11)

Topaloglou, Nikolas (10)

Otsu, Taisuke (10)

Cites to:

Wu, Liuren (16)

Ait-Sahalia, Yacine (11)

Cao, Charles (10)

Chen, Zhiwu (10)

merton, robert (10)

Andrews, Donald (8)

Campbell, John (7)

Bollerslev, Tim (7)

Leippold, Markus (7)

LINTON, OLIVER (7)

Menoncin, Francesco (7)

Main data


Where Olivier Scaillet has published?


Journals with more than one article published# docs
Journal of Econometrics5
Mathematical Finance3
Journal of Business & Economic Statistics3
Finance and Stochastics3
Journal of Empirical Finance3
Journal of Financial Econometrics2
Journal of Multivariate Analysis2
Econometric Theory2
Econometrica2
Journal of Banking & Finance2
Journal of Financial Economics2

Working Papers Series with more than one paper published# docs
Swiss Finance Institute Research Paper Series / Swiss Finance Institute26
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.org5
Working Papers / University of Geneva, Geneva School of Economics and Management3
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2

Recent works citing Olivier Scaillet (2019 and 2018)


YearTitle of citing document
2017Picking Funds with Confidence. (2017). Timmermann, Allan ; Lunde, Asger ; Gronborg, Niels S ; Wermers, Russ. In: CREATES Research Papers. RePEc:aah:create:2017-13.

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2018Mutual Fund Selection for Realistically Short Samples. (2018). Christiansen, Charlotte ; Nielsen, Ole L ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-36.

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2018The dynamics of factor loadings in the cross-section of returns. (2018). Urga, Giovanni ; Mikkelsen, Jakob ; Hillebrand, Eric ; Borghi, Riccardo. In: CREATES Research Papers. RePEc:aah:create:2018-38.

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2018Dual Regression. (2018). Stouli, Sami ; Spady, Richard. In: Papers. RePEc:arx:papers:1210.6958.

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2018Program Evaluation and Causal Inference with High-Dimensional Data. (2018). Chernozhukov, Victor ; Hansen, Christian ; Fern, Ivan ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1311.2645.

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2018Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia. (2018). Fan, Jianqing ; Liao, Yuan ; Ke, Yuan. In: Papers. RePEc:arx:papers:1603.07041.

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2018Short-time near-the-money skew in rough fractional volatility models. (2018). Bayer, Christian ; Friz, Peter K ; Horvath, Blanka ; Gulisashvili, Archil ; Stemper, Benjamin. In: Papers. RePEc:arx:papers:1703.05132.

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2018Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models. (2018). Yang, Xiye ; Liao, Yuan. In: Papers. RePEc:arx:papers:1711.04392.

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2019Factor models with many assets: strong factors, weak factors, and the two-pass procedure. (2018). Anatolyev, Stanislav ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:1807.04094.

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2018On the First Hitting Time Density of an Ornstein-Uhlenbeck Process. (2018). Lipton, Alexander ; Kaushansky, Vadim. In: Papers. RePEc:arx:papers:1810.02390.

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

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2018Better to stay apart: asset commonality, bipartite network centrality, and investment strategies. (2018). Flori, Andrea ; Spelta, Alessandro ; Pammolli, Fabio ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:1811.01624.

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2018Randomization Tests for Equality in Dependence Structure. (2018). Seo, Juwon. In: Papers. RePEc:arx:papers:1811.02105.

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2019Technical Analysis and Discrete False Discovery Rate: Evidence from MSCI Indices. (2018). Sermpinis, Georgios ; Psaradellis, Ioannis ; Stasinakis, Charalampos ; Hassanniakalager, Arman . In: Papers. RePEc:arx:papers:1811.06766.

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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: 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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2019Optimal investment strategy for DC pension plans with stochastic force of mortality. (2019). Wang, Yongjie. In: Papers. RePEc:arx:papers:1904.10229.

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

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2017Variance Premium, Downside Risk and Expected Stock Returns. (2017). Feunou, Bruno ; Tedongap, Romeo ; Aliouchkin, Ricardo Lopez. In: Staff Working Papers. RePEc:bca:bocawp:17-58.

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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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2018On risk measuring in the variance-gamma model. (2018). Roman, Ivanov . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:35:y:2018:i:1-2:p:23-33:n:2.

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2018The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses. (2018). Linton, O ; Yen, Y ; Whang, Y-J., . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1880.

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2018Dissecting Characteristics Nonparametrically. (2018). Weber, Michael ; Neuhierl, Andreas ; Freyberger, Joachim. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7187.

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2017Picking Funds with Confidence. (2017). Wermers, Russ ; Timmermann, Allan G ; Lunde, Asger ; Groenborg, Niels . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11896.

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2018Idea Sharing and the Performance of Mutual Funds. (2018). Cujean, Julien. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13111.

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2018Application of Granularity Adjustment Approximation Method to Incremental Value-at-Risk in Concentrated Portfolios. (2018). Takata, YU. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00874.

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2017Persistency of Price Patterns in the International Oil Industry, 2001-2016. (2017). Venegas-Martínez, Francisco ; Cruz-Ake, Salvador ; Jimenez-Preciado, Ana Lorena ; Venegas-Martinez, Francisco. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2017-01-02.

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2017Emotional economic man: Calculation and anxiety in fund management. (2017). Taffler, Richard J ; Eshraghi, Arman ; Spence, Crawford. In: Accounting, Organizations and Society. RePEc:eee:aosoci:v:61:y:2017:i:c:p:53-67.

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2017The small IPO and the investing preferences of mutual funds. (2017). Bartlett, Robert P ; Solomon, Steven Davidoff ; Rose, Paul. In: Journal of Corporate Finance. RePEc:eee:corfin:v:47:y:2017:i:c:p:151-173.

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2017Some copula inference procedures adapted to the presence of ties. (2017). Kojadinovic, Ivan . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:112:y:2017:i:c:p:24-41.

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2018Multi-scale causality and extreme tail inter-dependence among housing prices. (2018). Uddin, Gazi ; Yoon, Seong-Min ; Ahmed, Ali ; Kang, Sang Hoon. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:301-309.

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2018The “Sell in May” effect: A review and new empirical evidence. (2018). Degenhardt, Thomas ; Auer, Benjamin R. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:169-205.

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2018How money illusions and heterogeneous beliefs affect asset prices. (2018). Ma, Chaoqun ; Hu, Duni ; Cheng, Fengchao ; Wang, Hailong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:167-192.

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2018Betas V characteristics: Do stock characteristics enhance the investment opportunity set in U.K. stock returns?. (2018). Fletcher, Jonathan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:114-129.

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2017Linear–quadratic term structure models for negative euro area yields. (2017). Realdon, Marco ; Boonyanet, Wachira . In: Economics Letters. RePEc:eee:ecolet:v:155:y:2017:i:c:p:149-153.

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2018Volatility and return jumps in bitcoin. (2018). Laurini, Márcio ; Chaim, Pedro. In: Economics Letters. RePEc:eee:ecolet:v:173:y:2018:i:c:p:158-163.

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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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2017Testing for prospect and Markowitz stochastic dominance efficiency. (2017). Topaloglou, Nikolas ; Arvanitis, Stelios. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:2:p:253-270.

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2018Ex-post risk premia estimation and asset pricing tests using large cross sections: The regression-calibration approach. (2018). Kim, Soohun ; Skoulakis, Georgios . In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:159-188.

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2018Misspecification of noncausal order in autoregressive processes. (2018). Jasiak, Joann ; gourieroux, christian. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:226-248.

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2018Portfolio optimization based on stochastic dominance and empirical likelihood. (2018). Post, Thierry ; Arvanitis, Stelios ; Karabati, Seluk. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:167-186.

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2018Tests of stochastic monotonicity with improved power. (2018). Seo, Juwon. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:53-70.

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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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2018Spot volatility estimation using the Laplace transform. (2018). Mancino, Maria Elvira ; Recchioni, Maria Cristina ; Curato, Imma Valentina . In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:22-43.

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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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2017Higher-degree stochastic dominance optimality and efficiency. (2017). Fang, YI ; Post, Thierry. In: European Journal of Operational Research. RePEc:eee:ejores:v:261:y:2017:i:3:p:984-993.

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2018Second-order stochastic dominance constrained portfolio optimization: Theory and computational tests. (2018). Kallio, Markku ; Hardoroudi, Nasim Dehghan. In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:2:p:675-685.

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2018Optimal privatization portfolios in the presence of arbitrary risk aversion. (2018). Topaloglou, Nikolas ; Christodoulakis, George ; Mohamed, Abdulkadir. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:3:p:1172-1191.

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2018Loss functions for Loss Given Default model comparison. (2018). Leymarie, Jérémy ; Hurlin, Christophe ; Patin, Antoine. In: European Journal of Operational Research. RePEc:eee:ejores:v:268:y:2018:i:1:p:348-360.

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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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2017All about fun(ds) in emerging markets? The case of equity mutual funds. (2017). Wagner, Moritz ; Margaritis, Dimitris. In: Emerging Markets Review. RePEc:eee:ememar:v:33:y:2017:i:c:p:62-78.

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2017Diversification benefits of commodities: A stochastic dominance efficiency approach. (2017). Topaloglou, Nikolas ; Skiadopoulos, George ; Daskalaki, Charoula. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:250-269.

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2018CAPM, components of beta and the cross section of expected returns. (2018). Cenesizoglu, Tolga ; Reeves, Jonathan J. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:223-246.

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2018Time-varying skills (versus luck) in U.S. active mutual funds and hedge funds. (2018). Cai, Biqing ; Yan, Cheng ; Cheng, Tingting. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:81-106.

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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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2017FX technical trading rules can be profitable sometimes!. (2017). Snaith, Stuart ; Coakley, Jerry ; Zarrabi, Nima . In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:113-127.

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2018Momentum and reversal strategies in Chinese commodity futures markets. (2018). Yang, Yurun ; Pantelous, Athanasios A ; Goncu, Ahmet. In: International Review of Financial Analysis. RePEc:eee:finana:v:60:y:2018:i:c:p:177-196.

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

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2018Pricing short-dated foreign equity options with a bivariate jump-diffusion model with correlated fat-tailed jumps. (2018). Ulyah, Siti Maghfirotul ; Miao, Daniel Wei-Chung ; Lin, Xenos Chang-Shuo. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:113-128.

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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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2018The peer performance ratios of hedge funds. (2018). Ardia, David ; Boudt, Kris. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:351-368.

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2018A reinforced urn process modeling of recovery rates and recovery times. (2018). Cheng, Dan ; Cirillo, Pasquale. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:1-17.

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2018Asset allocation strategies, data snooping, and the 1 / N rule. (2018). Hsu, Po-Hsuan ; Cao, Zhiguang ; Wu, Wensheng ; Han, Qiheng . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:257-269.

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2017Skill and luck in private equity performance. (2017). Korteweg, Arthur ; Sorensen, Morten. In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:3:p:535-562.

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2018Downside risks and the cross-section of asset returns. (2018). Farago, Adam ; Tedongap, Romeo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:1:p:69-86.

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2018Non-myopic betas. (2018). Vilkov, Grigory ; Malamud, Semyon. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:2:p:357-381.

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2017System stress testing of bank liquidity risk. (2017). Tsionas, Mike ; Topaloglou, Nikolas ; Pagratis, Spyros . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pa:p:22-40.

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2018Information demand and stock return predictability. (2018). Vlastakis, Nikolaos ; Papadimitriou, Fotios I ; Chronopoulos, Dimitris K. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:80:y:2018:i:c:p:59-74.

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2017Multivariate elliptical truncated moments. (2017). Broda, Simon ; Arismendi, Juan C. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:157:y:2017:i:c:p:29-44.

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2017Asymptotic behavior of the empirical multilinear copula process under broad conditions. (2017). Genest, Christian ; Remillard, Bruno ; Nelehova, Johanna G. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:159:y:2017:i:c:p:82-110.

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2018Shape-preserving wavelet-based multivariate density estimation. (2018). Aya-Moreno, Carlos ; Penev, Spiridon ; Geenens, Gery. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:168:y:2018:i:c:p:30-47.

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2018Anomalies and market (dis)integration. (2018). Choi, Jae Won ; Kim, Yong Jun. In: Journal of Monetary Economics. RePEc:eee:moneco:v:100:y:2018:i:c:p:16-34.

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2018Can technical analysis generate superior returns in securitized property markets? Evidence from East Asia markets. (2018). Alhashel, Bader S ; Hansz, Andrew J ; Almudhaf, Fahad W. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:47:y:2018:i:c:p:92-108.

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2018Evidence of infinite and finite jump processes in commodity futures prices: Crude oil and natural gas. (2018). Linn, Scott ; Guernsey, Scott B ; Cao, Wenbin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:502:y:2018:i:c:p:629-641.

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2017The impact of natural disasters on the stock returns and volatilities of local firms. (2017). Bourdeau-Brien, Michael ; Kryzanowski, Lawrence. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:63:y:2017:i:c:p:259-270.

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2018Does the predictive power of variable moving average rules vanish over time and can we explain such tendencies?. (2018). Strobel, Marcus ; Auer, Benjamin R. In: International Review of Economics & Finance. RePEc:eee:reveco:v:53:y:2018:i:c:p:168-184.

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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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2018Nonparametric instrumental regression with errors in variables. (2018). Otsu, Taisuke ; Adusumilli, Karun. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:85871.

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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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2018Interval Estimation of Value-at-Risk Based on Nonparametric Models. (2018). Khraibani, Hussein ; Strauss, Olivier ; Nehme, Bilal. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:4:p:47-:d:189422.

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2017Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors. (2017). Nesmith, Travis ; Oh, Dong Hwan ; Dobrev, Dobrislav. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:1:p:5-:d:89239.

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2018On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles. (2018). Chen, James Ming. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:61-:d:150249.

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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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2017Wisdom of the institutional crowd. (2017). Challet, Damien ; Gualdi, Stanislao ; Primicerio, Kevin. In: Working Papers. RePEc:hal:wpaper:hal-01484914.

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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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2018Loss functions for LGD model comparison. (2018). Leymarie, Jérémy ; Hurlin, Christophe ; Patin, Antoine. In: Working Papers. RePEc:hal:wpaper:halshs-01516147.

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2017Portfolio Analysis Using Stochastic Dominance, Relative Entropy, and Empirical Likelihood. (2017). Potì, Valerio ; Post, Thierry ; Poti, Valerio. In: Management Science. RePEc:inm:ormnsc:v:63:y:2017:i:1:p:153-165.

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2018Econometric Modeling of Risk Measures: A Selective Review of the Recent Literature. (2018). Tian, Dingshi ; Fang, Ying ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201807.

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2017Is Ethical Money Sensitive to Past Returns? The Case of Portfolio Constraints and Persistence in Islamic Funds. (2017). Abdelsalam, Omneya ; Tortosa-Ausina, Emili ; Matallin-Saez, Juan Carlos ; Duygun, Meryem. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:51:y:2017:i:3:d:10.1007_s10693-015-0234-x.

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2018Bootstrapping factor models with cross sectional dependence. (2018). Gonalves, Silvia ; Perron, Benoit. In: Cahiers de recherche. RePEc:mtl:montde:2018-07.

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2018Bootstrapping Factor Models With Cross Sectional Dependence. (2018). Gonalves, Silvia ; Perron, Benoit. In: Cahiers de recherche. RePEc:mtl:montec:10-2018.

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2017Inference on Risk Premia in the Presence of Omitted Factors. (2017). Giglio, Stefano ; Xiu, Dacheng. In: NBER Working Papers. RePEc:nbr:nberwo:23527.

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

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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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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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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2016Predictability Hidden by Anomalous Observations In: Papers.
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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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2017High-Frequency Jump Analysis of the Bitcoin Market.(2017) In: Swiss Finance Institute Research Paper Series.
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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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2003Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models. In: Journal of Business & Economic Statistics.
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article5
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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article131
2008False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas.(2008) In: Swiss Finance Institute Research Paper Series.
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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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paper
2005False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas..(2005) In: Working Papers CEB.
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2009False discoveries in mutual fund performance: Measuring luck in estimated alphas.(2009) In: CFR Working Papers.
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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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2006Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility In: Swiss Finance Institute Research Paper Series.
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paper12
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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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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paper32
2009Testing for equality between two copulas.(2009) In: Journal of Multivariate Analysis.
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2009Nonparametric Instrumental Variable Estimators of Structural Quantile Effects 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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2012Technical trading revisited: False discoveries, persistence tests, and transaction costs.(2012) In: Journal of Financial Economics.
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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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paper5
2009Testing for threshold effect in ARFIMA models: Application to US unemployment rate data.(2009) In: International Journal of Forecasting.
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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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paper1
2009Robust Resampling Methods for Time Series 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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paper3
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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paper30
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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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: CREA 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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paper0
2019Saddlepoint Approximations for Spatial Panel Data Models In: Swiss Finance Institute Research Paper Series.
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paper0
1993Testing for Continuous-Time Models of the Short-Term Interest Rate In: CORE Discussion Papers.
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paper52
1995Testing for continuous-time models of the short-term interest rate.(1995) In: CORE Discussion Papers RP.
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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: CORE Discussion Papers.
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1995Quasi Indirect Inference for Diffusion Processes In: CORE Discussion Papers.
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paper29
1998Quasi-indirect inference for diffusion processes.(1998) In: CORE Discussion Papers RP.
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1998QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES.(1998) In: Econometric Theory.
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1999Bartlett identities tests In: CORE Discussion Papers.
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1999Bartlett Identities Tests.(1999) In: Working Papers.
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1999Bartlett Identities Tests.(1999) In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
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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: Journal of Empirical Finance.
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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: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
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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: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
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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: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
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2000Reversed Score and Likelihood Ratio Tests.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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2001A Fast Subsampling Method for Nonlinear Dynamic Models In: Working Papers.
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2006A fast subsampling method for nonlinear dynamic models.(2006) In: Journal of Econometrics.
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2001A fast Subsampling Method for Nonlinear Dynamic Models..(2001) In: Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
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2003Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements In: Working Papers.
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2005Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements.(2005) In: Journal of Banking & Finance.
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1997Multiregime Term Structure Models In: Working Papers.
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1997Multiregime Term Structure Models.(1997) In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
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1998Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates In: Working Papers.
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1999Convergence of discrete time option pricing models under stochastic interest rates.(1999) In: Finance and Stochastics.
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1999Variance Optimal Cap Pricing Models In: Working Papers.
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1999Variance Optimal Cap Pricing Models.(1999) In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
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1999Option Pricing with Discrete Rebalancing In: Working Papers.
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1999Option Pricing with Discrete Rebalancing.(1999) In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
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2004Option pricing with discrete rebalancing.(2004) In: Journal of Empirical Finance.
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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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2000An Autoregressive Conditional Binomial Option Pricing Model.(2000) In: FMG Discussion Papers.
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1997A New Index of Belgian Shares In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
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2001Nonparametric Tests for Positive Quadrant Dependence In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
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2001Density Estimation Using Inverse and Reciprocal Inverse Guassian Kernels In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
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2001Density Estimation Using Inverse and Reciprocal Inverse Gaussian Kernels.(2001) In: THEMA Working Papers.
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2003Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
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2003Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases.(2003) In: FAME Research Paper Series.
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2007Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases.(2007) In: Annals of Operations Research.
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2004Testing for Concordance Ordering In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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2005CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA In: Econometric Theory.
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1997Unemployment insurance and mortgages In: Insurance: Mathematics and Economics.
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2003On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities.(2003) In: FAME Research Paper Series.
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2000Weak Convergence of Hedging Strategies of Contingent Claims In: THEMA Working Papers.
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2003Mortality Risk and Real Optimal Asset Allocation for Pension Funds In: FAME Research Paper Series.
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2004SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS In: FAME Research Paper Series.
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2004Nonparametric Estimation of Conditional Expected Shortfall In: FAME Research Paper Series.
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2005A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence In: FAME Research Paper Series.
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2005A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives In: FAME Research Paper Series.
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2005Multiariate Wavelet-based sahpe preserving estimation for dependant observation In: FAME Research Paper Series.
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2005A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements In: FAME Research Paper Series.
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