22
H index
39
i10 index
1714
Citations
Swiss Finance Institute (30% share) | 22 H index 39 i10 index 1714 Citations RESEARCH PRODUCTION: 53 Articles 146 Papers 1 Chapters RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Olivier Scaillet. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2022 | Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference. (2019). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1910.08273. Full description at Econpapers || Download paper | |
2022 | A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312. Full description at Econpapers || Download paper | |
2023 | Identification of multi-valued treatment effects with unobserved heterogeneity. (2020). Fusejima, Koki. In: Papers. RePEc:arx:papers:2010.04385. Full description at Econpapers || Download paper | |
2022 | Bridging factor and sparse models. (2021). Medeiros, Marcelo C ; Masini, Ricardo ; Fan, Jianqing. In: Papers. RePEc:arx:papers:2102.11341. Full description at Econpapers || Download paper | |
2022 | Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. (2021). Fissler, Tobias ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2104.10673. Full description at Econpapers || Download paper | |
2023 | Option Valuation through Deep Learning of Transition Probability Density. (2021). Newton, David P ; Tretyakov, M V ; Su, Haozhe. In: Papers. RePEc:arx:papers:2105.10467. Full description at Econpapers || Download paper | |
2022 | Risk contributions of lambda quantiles. (2021). Pesenti, Silvana ; Peri, Ilaria ; Ince, Akif. In: Papers. RePEc:arx:papers:2106.14824. Full description at Econpapers || Download paper | |
2023 | The insider problem in the trinomial model: a discrete-time jump process approach. (2021). Halconruy, H'Elene. In: Papers. RePEc:arx:papers:2106.15208. Full description at Econpapers || Download paper | |
2023 | Inference for Low-Rank Models. (2021). Zhu, Yinchu ; Liao, Yuan ; Hansen, Christian ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:2107.02602. Full description at Econpapers || Download paper | |
2022 | Net 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. Full description at Econpapers || Download paper | |
2023 | How easy is it for investment managers to deploy their talent in green and brown stocks?. (2022). Ardia, David ; Bluteau, Keven ; Tran, Thien Duy. In: Papers. RePEc:arx:papers:2201.05709. Full description at Econpapers || Download paper | |
2022 | Standard errors for two-way clustering with serially correlated time effects. (2022). Sasaki, Yuya ; Hansen, Bruce E ; Chiang, Harold D. In: Papers. RePEc:arx:papers:2201.11304. Full description at Econpapers || Download paper | |
2022 | The ATM implied volatility slope, the (dual) volatility swap, and the (dual) zero vanna implied volatility. (2022). Rolloos, Frido. In: Papers. RePEc:arx:papers:2202.07542. Full description at Econpapers || Download paper | |
2023 | Encompassing Tests for Nonparametric Regressions. (2022). Lapenta, Elia ; Lavergne, Pascal. In: Papers. RePEc:arx:papers:2203.06685. Full description at Econpapers || Download paper | |
2022 | Short-time asymptotics for non self-similar stochastic volatility models. (2022). Pigato, Paolo ; Pacchiarotti, Barbara ; Giorgio, Giacomo. In: Papers. RePEc:arx:papers:2204.10103. Full description at Econpapers || Download paper | |
2023 | Do t-Statistic Hurdles Need to be Raised. (2022). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2204.10275. Full description at Econpapers || Download paper | |
2022 | Estimation and Inference by Stochastic Optimization. (2022). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:2205.03254. Full description at Econpapers || Download paper | |
2022 | Most claimed statistical findings in cross-sectional return predictability are likely true. (2022). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2206.15365. Full description at Econpapers || Download paper | |
2022 | Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing. (2022). Aste, Tomaso ; Wang, Yuanrong ; Saef, Danial. In: Papers. RePEc:arx:papers:2208.12614. Full description at Econpapers || Download paper | |
2022 | Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation. (2022). Vladimirov, Evgenii ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2210.06217. Full description at Econpapers || Download paper | |
2022 | Forecasting Bitcoin volatility spikes from whale transactions and CryptoQuant data using Synthesizer Transformer models. (2022). Low, Kah Wee ; Herremans, Dorien. In: Papers. RePEc:arx:papers:2211.08281. Full description at Econpapers || Download paper | |
2022 | Partly Linear Instrumental Variables Regressions without Smoothing on the Instruments. (2022). Lapenta, Elia ; Florens, Jean-Pierre. In: Papers. RePEc:arx:papers:2212.11012. Full description at Econpapers || Download paper | |
2023 | Portfolio Optimization with Relative Tail Risk. (2023). Kim, Young Shin. In: Papers. RePEc:arx:papers:2303.12209. Full description at Econpapers || Download paper | |
2023 | Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications. (2023). Shi, Shuping ; Laurent, S'Ebastien ; Bouamara, Nabil. In: Papers. RePEc:arx:papers:2303.13406. Full description at Econpapers || Download paper | |
2023 | Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage. (2023). Ribeiro, Ruy M ; Medeiros, Marcelo C ; de Brito, Diego S ; Alves, Rafael. In: Papers. RePEc:arx:papers:2303.16151. Full description at Econpapers || Download paper | |
2023 | One-step nonparametric instrumental regression using smoothing splines. (2023). Lavergne, Pascal ; Lapenta, Elia ; Beyhum, Jad. In: Papers. RePEc:arx:papers:2307.14867. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2022 | The Rising Interconnectedness of the Insurance Sector. (2022). Jourde, Tristan. In: Working papers. RePEc:bfr:banfra:857. Full description at Econpapers || Download paper | |
2022 | Behavioral finance and the architecture of the asset management industry. (2022). Verlaine, Michel. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:36:y:2022:i:5:p:1454-1476. Full description at Econpapers || Download paper | |
2022 | Luck versus Skill in the Cross Section of Mutual Fund Returns: Reexamining the Evidence. (2022). Liu, Yan ; Harvey, Campbell R. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:3:p:1921-1966. Full description at Econpapers || Download paper | |
2022 | False discovery rate control with e?values. (2022). Ramdas, Aaditya ; Wang, Ruodu. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:84:y:2022:i:3:p:822-852. Full description at Econpapers || Download paper | |
2022 | The rising interconnectedness of the insurance sector. (2022). Jourde, Tristan. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:2:p:397-425. Full description at Econpapers || Download paper | |
2022 | Tests of multivariate copula exchangeability based on Lévy measures. (2022). Quessy, Jeanfranois ; Bahraoui, Tarik. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:49:y:2022:i:3:p:1215-1243. Full description at Econpapers || Download paper | |
2022 | Uniform convergence rates for nonparametric estimators smoothed by the beta kernel. (2022). Prokhorov, Artem ; Murtazashvili, Irina ; Hirukawa, Masayuki. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:49:y:2022:i:3:p:1353-1382. Full description at Econpapers || Download paper | |
2022 | Estimating dynamic systemic risk measures. (2022). Zakoian, Jean-Michel ; Francq, Christian ; Cantin, Loic. In: Working Papers. RePEc:crs:wpaper:2022-11. Full description at Econpapers || Download paper | |
2022 | Sensitivity analysis of volatility: a new tool for risk management. (2002). Manganelli, Simone ; Ceci, V. ; Vecchiato, W.. In: Working Paper Series. RePEc:ecb:ecbwps:20020194. Full description at Econpapers || Download paper | |
2022 | An accurate and stable numerical method for option hedge parameters. (2022). Lee, Sungchul ; Kim, Yejin ; Cho, Junhyun. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:430:y:2022:i:c:s0096300322003502. Full description at Econpapers || Download paper | |
2022 | The stock implied volatility and the implied dividend volatility. (2022). Tunaru, Radu ; Quaye, Enoch. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002116. Full description at Econpapers || Download paper | |
2023 | Portfolio constructions in cryptocurrency market: A CVaR-based deep reinforcement learning approach. (2023). Zhang, Yongmin ; Jin, Huan ; Ding, Shusheng ; Cui, Tianxiang. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003157. Full description at Econpapers || Download paper | |
2023 | Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns. (2023). Peng, Zhe ; Xu, Mengyu ; Zhang, Zhengjun. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003613. Full description at Econpapers || Download paper | |
2022 | Lessons from naïve diversification about the risk-reward trade-off. (2022). Haensly, Paul J. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001856. Full description at Econpapers || Download paper | |
2022 | Robust drivers of Bitcoin price movements: An extreme bounds analysis. (2022). , Walid. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s106294082200078x. Full description at Econpapers || Download paper | |
2022 | News and intraday jumps: Evidence from regularization and class imbalance. (2022). Poli, Francesco ; Caporin, Massimiliano. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000900. Full description at Econpapers || Download paper | |
2022 | Heterogenous beliefs with sentiments and asset pricing. (2022). Hu, Duni ; Wang, Hailong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001590. Full description at Econpapers || Download paper | |
2022 | No pain, no gain: You should always incorporate trading costs for a bias-free evaluation of trading rule overperformance. (2022). Anghel, Dan Gabriel. In: Economics Letters. RePEc:eee:ecolet:v:216:y:2022:i:c:s0165176522001720. Full description at Econpapers || Download paper | |
2022 | The drift burst hypothesis. (2022). Reno, Roberto ; Oomen, Roel ; Christensen, Kim. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:2:p:461-497. Full description at Econpapers || Download paper | |
2022 | Factor models with many assets: Strong factors, weak factors, and the two-pass procedure. (2022). Anatolyev, Stanislav ; Mikusheva, Anna. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:103-126. Full description at Econpapers || Download paper | |
2022 | High-dimensional test for alpha in linear factor pricing models with sparse alternatives. (2022). Ma, Yanyuan ; Liu, Binghui ; Lan, Wei ; Feng, Long. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:152-175. Full description at Econpapers || Download paper | |
2022 | Factor models with local factors — Determining the number of relevant factors. (2022). Freyaldenhoven, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:80-102. Full description at Econpapers || Download paper | |
2022 | Bayesian nonparametric learning of how skill is distributed across the mutual fund industry. (2022). Fisher, Mark ; Jensen, Mark J. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:1:p:131-153. Full description at Econpapers || Download paper | |
2022 | Testing for the presence of jump components in jump diffusion models. (2022). Zheng, XU ; Wang, Bin. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:2:p:483-509. Full description at Econpapers || Download paper | |
2023 | A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444. Full description at Econpapers || Download paper | |
2023 | Identifying latent factors based on high-frequency data. (2023). Zhang, Chuanhai ; Xu, Wen ; Sun, Yucheng. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:251-270. Full description at Econpapers || Download paper | |
2023 | Large dimensional latent factor modeling with missing observations and applications to causal inference. (2023). Pelger, Markus ; Xiong, Ruoxuan. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:271-301. Full description at Econpapers || Download paper | |
2023 | Bias reduction in spot volatility estimation from options. (2023). Zhang, Yang ; Todorov, Viktor. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:53-81. Full description at Econpapers || Download paper | |
2023 | Bootstrap analysis of mutual fund performance. (2023). Peng, Liang ; Leng, Xuan ; Jiang, Lei ; Huang, Haitao. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:239-255. Full description at Econpapers || Download paper | |
2022 | Estimation of large dimensional time varying VARs using copulas. (2022). Tsionas, Mike ; Trapani, Lorenzo ; Izzeldin, Marwan. In: European Economic Review. RePEc:eee:eecrev:v:141:y:2022:i:c:s0014292121002439. Full description at Econpapers || Download paper | |
2022 | A copula-based approach for creating an index of micronutrient intakes at household level in Pakistan. (2022). Akbar, Muhammad ; Amjad, Muhammad ; Ullah, Hamd. In: Economics & Human Biology. RePEc:eee:ehbiol:v:46:y:2022:i:c:s1570677x22000442. Full description at Econpapers || Download paper | |
2022 | Near-optimal asset allocation in financial markets with trading constraints. (2022). Pelsser, Antoon ; Kamma, Thijs. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:2:p:766-781. Full description at Econpapers || Download paper | |
2022 | Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo. (2022). He, Zhijian. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:1:p:229-242. Full description at Econpapers || Download paper | |
2022 | New evidence on market response to public announcements in the presence of microstructure noise. (2022). Irwin, Scott ; Garcia, Philip ; Serra, Teresa ; Bian, Siyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:2:p:785-800. Full description at Econpapers || Download paper | |
2022 | Smiles & smirks: Volatility and leverage by jumps. (2022). Ballotta, Laura ; Rayee, Gregory . In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:3:p:1145-1161. Full description at Econpapers || Download paper | |
2022 | Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty. (2022). Yannacopoulos, A N ; Weber, G.-W., ; Szczepaski, M ; Kolodziejczyk, K ; Dopierala, L ; Baltas, I. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:3:p:1162-1174. Full description at Econpapers || Download paper | |
2023 | Unrestricted maximum likelihood estimation of multivariate realized volatility models. (2023). Golosnoy, Vasyl ; Vogler, Jan. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1063-1074. Full description at Econpapers || Download paper | |
2023 | Incomplete risk-preference information in portfolio decision analysis. (2023). Argyris, Nikolaos ; Kallio, Markku ; Liesio, Juuso. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1084-1098. Full description at Econpapers || Download paper | |
2023 | On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging. (2023). Vodika, Peter ; Nielsen, Jens Perch ; Kyriakou, Ioannis ; Gerrard, Russell. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:2:p:948-962. Full description at Econpapers || Download paper | |
2022 | Testing technical trading strategies on Chinas equity ETFs: A skewness perspective. (2022). Jin, Xiaoye. In: Emerging Markets Review. RePEc:eee:ememar:v:51:y:2022:i:pa:s1566014121000728. Full description at Econpapers || Download paper | |
2023 | Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities. (2023). Park, Jeayoung ; Huh, Sahn-Wook ; Han, Seung-Oh. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:276-307. Full description at Econpapers || Download paper | |
2022 | Network herding of energy funds in the post-Carbon-Peak Policy era: Does it benefit profitability and stability?. (2022). Yang, Wenke ; Zhou, Wei ; Li, Shouwei ; Lu, Shuai. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001256. Full description at Econpapers || Download paper | |
2022 | An oil futures volatility forecast perspective on the selection of high-frequency jump tests. (2022). Ma, Feng ; Lu, Xinjie ; Liao, Yin. In: Energy Economics. RePEc:eee:eneeco:v:116:y:2022:i:c:s014098832200487x. Full description at Econpapers || Download paper | |
2022 | Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach. (2022). Li, Youwei ; Stanley, Eugene H ; Pantelous, Athanasios A ; Chen, Yanhua. In: International Review of Financial Analysis. RePEc:eee:finana:v:79:y:2022:i:c:s1057521921003161. Full description at Econpapers || Download paper | |
2022 | We dont need no fancy hedges! Or do we?. (2022). Power, Gabriel J ; Vedenov, Dmitry. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000357. Full description at Econpapers || Download paper | |
2022 | Mutual fund performance persistence: Factor models and portfolio size. (2022). O'Sullivan, Niall ; Nitzsche, Dirk ; Cuthbertson, Keith. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922001016. Full description at Econpapers || Download paper | |
2022 | The reduced-rank beta in linear stochastic discount factor models. (2022). Zhang, Zhekai ; Sun, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922003714. Full description at Econpapers || Download paper | |
2023 | Possibility versus feasibility: International portfolio diversification under financial liberalization. (2023). Yao, Shujie ; Wan, Hong ; Chen, Yiqing. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001680. Full description at Econpapers || Download paper | |
2022 | Approximate pricing formula to capture leverage effect and stochastic volatility of a financial asset. (2022). Goutte, Stéphane ; Vives, Josep ; Makumbe, Zororo S ; El-Khatib, Youssef. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001537. Full description at Econpapers || Download paper | |
2022 | Do AI-powered mutual funds perform better?. (2022). Ren, Jinjuan ; Chen, Rui. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005547. Full description at Econpapers || Download paper | |
2022 | Does Bitcoin futures trading reduce the normal and jump volatility in the spot market? Evidence from GARCH-jump models. (2022). Peng, Zhe ; Chen, Haicui ; Zhang, Chuanhai. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000903. Full description at Econpapers || Download paper | |
2022 | How easy is it for investment managers to deploy their talent in green and brown stocks?. (2022). Ardia, David ; Tran, Thien Duy ; Bluteau, Keven. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s154461232200232x. Full description at Econpapers || Download paper | |
2023 | Measuring systemic risk with high-frequency data: A realized GARCH approach. (2023). Liang, Fang ; Huang, Zhuo ; Chen, Qihao. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001265. Full description at Econpapers || Download paper | |
2023 | Forecasting and backtesting systemic risk in the cryptocurrency market. (2023). Egan, Paul ; Cao, Guangxi ; Fang, Sheng. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001617. Full description at Econpapers || Download paper | |
2022 | Financial integration in the EU28 equity markets: Measures and drivers. (2022). Ossola, Elisa ; Papanagiotou, E ; Nardo, M. In: Journal of Financial Markets. RePEc:eee:finmar:v:57:y:2022:i:c:s138641812100015x. Full description at Econpapers || Download paper | |
2023 | Net buying pressure and the information in bitcoin option trades. (2023). Wan, Huning ; Feng, Jianfen ; Deng, Jun ; Alexander, Carol. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000544. Full description at Econpapers || Download paper | |
2023 | Are mutual fund managers good gamblers?. (2023). Stein, Roberto. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000763. Full description at Econpapers || Download paper | |
2022 | The implications of dependence, tail dependence, and bounds’ measures for counterparty credit risk pricing. (2022). Kimura, Herbert ; Sobreiro, Vinicius Amorim ; Belitsky, Vladimir ; Arismendi-Zambrano, Juan. In: Journal of Financial Stability. RePEc:eee:finsta:v:58:y:2022:i:c:s1572308921001261. Full description at Econpapers || Download paper | |
2022 | Avoiding zero probability events when computing Value at Risk contributions. (2022). Targino, Rodrigo ; Saporito, Yuri ; Koike, Takaaki. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:106:y:2022:i:c:p:173-192. Full description at Econpapers || Download paper | |
2022 | Inference for the tail conditional allocation: Large sample properties, insurance risk assessment, and compound sums of concomitants. (2022). Zitikis, R ; Su, J ; Gribkova, N V. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:107:y:2022:i:c:p:199-222. Full description at Econpapers || Download paper | |
2023 | A new stochastic dominance criterion for dependent random variables with applications. (2023). Martinez-Riquelme, Carolina ; Belzunce, Felix. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:165-176. Full description at Econpapers || Download paper | |
2022 | Performance of intraday technical trading in China’s gold market. (2022). Jin, Xiaoye. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001876. Full description at Econpapers || Download paper | |
2023 | The role of interpersonal trust in cryptocurrency adoption. (2023). Yarovaya, Larisa ; Urquhart, Andrew ; Matkovskyy, Roman ; Jalan, Akanksha. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s1042443122001871. Full description at Econpapers || Download paper | |
2023 | Technical analysis, spread trading, and data snooping control. (2023). Sermpinis, Georgios ; Pantelous, Athanasios A ; Laws, Jason ; Psaradellis, Ioannis. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:178-191. Full description at Econpapers || Download paper | |
2023 | Non-Gaussian models for CoVaR estimation. (2023). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:391-404. Full description at Econpapers || Download paper | |
2022 | Sensitivity-implied tail-correlation matrices. (2022). Schlutter, Sebastian ; Paulusch, Joachim. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002843. Full description at Econpapers || Download paper | |
2022 | On the performance of cryptocurrency funds. (2022). Babiak, Mykola ; Bianchi, Daniele. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s037842662200067x. Full description at Econpapers || Download paper | |
2022 | A new approach to credit ratings. (2022). Uryasev, Stan ; Prokhorov, Artem ; Pertaia, Giorgi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:140:y:2022:i:c:s0378426621000558. Full description at Econpapers || Download paper | |
2022 | Venture capital contracts. (2022). Korteweg, Arthur ; Gorbenko, Alexander ; Ewens, Michael. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:1:p:131-158. Full description at Econpapers || Download paper | |
2022 | The cross section of the monetary policy announcement premium. (2022). Xu, Lai ; Pan, Xuhui Nick ; Han, Leyla Jianyu ; Ai, Hengjie. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:1:p:247-276. Full description at Econpapers || Download paper | |
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2006 | Tikhonov Regularization for Functional Minimum Distance Estimators In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 6 |
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2007 | Testing For Equality Between Two Copulas In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 59 |
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2009 | Nonparametric Instrumental Variable Estimators of Structural Quantile Effects In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 8 |
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2012 | Valuing American Options Using Fast Recursive Projections In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
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2018 | The Cross-Sectional Distribution of Fund Skill Measures In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
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2000 | Sensitivity Analysis of Values at Risk In: Working Papers. [Full Text][Citation analysis] | paper | 133 |
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2004 | SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 15 |
2004 | Nonparametric Estimation of Conditional Expected Shortfall In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 12 |
2005 | A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 29 |
2005 | A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
2005 | Multiariate Wavelet-based sahpe preserving estimation for dependant observation In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 7 |
2005 | A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2002 | Nonparametric Tests Dependence For Positive Quadrant In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2003 | Nonparametric Estimation of Copulas for Time Series In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 77 |
2003 | Nonparametric estimation of copulas for time series.(2003) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 77 | paper | |
2003 | Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2004 | A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
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