23
H index
42
i10 index
1942
Citations
Swiss Finance Institute (30% share) | 23 H index 42 i10 index 1942 Citations RESEARCH PRODUCTION: 60 Articles 157 Papers 2 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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2024 | No-sabotage under conditional mean risk sharing of dependent-by-mixture insurance losses. (2024). Robert, Christian Y ; Ortega-Jimenez, Patricia ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024019. Full description at Econpapers || Download paper | |
2025 | Distributional Dynamics. (2025). Kuhn, Moritz ; Bayer, Christian ; Calderon, Luis. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:351. Full description at Econpapers || Download paper | |
2025 | Is completeness necessary? Estimation in nonidentified linear models. (2025). Babii, Andrii ; Florens, Jean-Pierre. In: Papers. RePEc:arx:papers:1709.03473. Full description at Econpapers || Download paper | |
2024 | The Laplace transform of the integrated Volterra Wishart process. (2024). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:1911.07719. Full description at Econpapers || Download paper | |
2025 | Inference in Unbalanced Panel Data Models with Interactive Fixed Effects. (2020). Czarnowske, Daniel ; Stammann, Amrei. In: Papers. RePEc:arx:papers:2004.03414. Full description at Econpapers || Download paper | |
2024 | Do t-Statistic Hurdles Need to be Raised?. (2024). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2204.10275. Full description at Econpapers || Download paper | |
2025 | Most claimed statistical findings in cross-sectional return predictability are likely true. (2025). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2206.15365. Full description at Econpapers || Download paper | |
2024 | One-step smoothing splines instrumental regression. (2024). Lavergne, Pascal ; Beyhum, Jad ; Lapenta, Elia. In: Papers. RePEc:arx:papers:2307.14867. Full description at Econpapers || Download paper | |
2024 | Assessing the Solvency of Virtual Asset Service Providers: Are Current Standards Sufficient?. (2024). Segalla, Esther ; Saggese, Pietro ; Raunig, Burkhard ; Sigmund, Michael ; Zangerl, Felix ; Haslhofer, Bernhard. In: Papers. RePEc:arx:papers:2309.16408. Full description at Econpapers || Download paper | |
2024 | Asset and Factor Risk Budgeting: A Balanced Approach. (2024). Gu, Olivier ; Cetingoz, Adil Rengim. In: Papers. RePEc:arx:papers:2312.11132. Full description at Econpapers || Download paper | |
2024 | Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches. (2024). Jeleskovic, Vahidin ; Chinazzo, Cristina. In: Papers. RePEc:arx:papers:2401.02049. Full description at Econpapers || Download paper | |
2025 | Short-Term Asymptotics of Volatility Skew and Curvature Based on Cumulants. (2025). Cheng, Xue. In: Papers. RePEc:arx:papers:2401.03776. Full description at Econpapers || Download paper | |
2024 | Inference for Two-Stage Extremum Estimators. (2024). Houndetoungan, Aristide ; Maoude, Abdoul Haki. In: Papers. RePEc:arx:papers:2402.05030. Full description at Econpapers || Download paper | |
2024 | Sizing the bets in a focused portfolio. (2024). Vukcevic, Vuko ; Keser, Robert. In: Papers. RePEc:arx:papers:2402.15588. Full description at Econpapers || Download paper | |
2024 | Navigating Complexity: Constrained Portfolio Analysis in High Dimensions with Tracking Error and Weight Constraints. (2024). Caner, Mehmet ; Li, Yingying ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2402.17523. Full description at Econpapers || Download paper | |
2024 | Crypto Inverse-Power Options and Fractional Stochastic Volatility. (2024). Xia, Weixuan ; Li, Boyi. In: Papers. RePEc:arx:papers:2403.16006. Full description at Econpapers || Download paper | |
2024 | Derivatives of Risk Measures. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2404.09646. Full description at Econpapers || Download paper | |
2024 | Estimation for conditional moment models based on martingale difference divergence. (2024). Song, Kunyang ; Zhu, KE ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:2404.11092. Full description at Econpapers || Download paper | |
2024 | Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Hurlin, Christophe ; Lu, Yang. In: Papers. RePEc:arx:papers:2405.02012. Full description at Econpapers || Download paper | |
2024 | On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures. (2024). Zhang, Yiying ; Pu, Tong. In: Papers. RePEc:arx:papers:2405.07549. Full description at Econpapers || Download paper | |
2025 | Fundamental properties of linear factor models. (2025). Schneider, Paul ; Filipovic, Damir. In: Papers. RePEc:arx:papers:2409.02521. Full description at Econpapers || Download paper | |
2024 | Estimation of the Adjusted Standard-deviatile for Extreme Risks. (2024). Yang, Fan ; Mao, Tiantian ; Chen, Haoyu. In: Papers. RePEc:arx:papers:2411.07203. Full description at Econpapers || Download paper | |
2025 | Growing the Efficient Frontier on Panel Trees. (2025). Feng, Guanhao ; He, Jingyu ; Cong, Lin William. In: Papers. RePEc:arx:papers:2501.16730. Full description at Econpapers || Download paper | |
2025 | Using quantile time series and historical simulation to forecast financial risk multiple steps ahead. (2025). Storti, Giuseppe ; Naimoli, Antonio ; Gerlach, Richard. In: Papers. RePEc:arx:papers:2502.20978. Full description at Econpapers || Download paper | |
2025 | The Uncertainty of Machine Learning Predictions in Asset Pricing. (2025). Neuhierl, Andreas ; Ma, Xinjie ; Liao, Yuan ; Schilling, Linda. In: Papers. RePEc:arx:papers:2503.00549. Full description at Econpapers || Download paper | |
2025 | An Efficient Multi-scale Leverage Effect Estimator under Dependent Microstructure Noise. (2025). Xiong, Ziyang ; Chen, Zhao ; Wang, Christina Dan. In: Papers. RePEc:arx:papers:2505.08654. Full description at Econpapers || Download paper | |
2025 | Quantile-Optimal Policy Learning under Unmeasured Confounding. (2025). Chen, Siyu ; Yang, Zhuoran ; Qi, Zhengling. In: Papers. RePEc:arx:papers:2506.07140. Full description at Econpapers || Download paper | |
2025 | The Additive Bachelier model with an application to the oil option market in the Covid period. (2025). Baviera, Roberto ; Massaria, Michele Domenico. In: Papers. RePEc:arx:papers:2506.09760. Full description at Econpapers || Download paper | |
2024 | Implied probability kernel block bootstrap for time series moment condition models. (2024). Parente, Paulo ; Smith, Richard J. In: CeMMAP working papers. RePEc:azt:cemmap:08/24. Full description at Econpapers || Download paper | |
2025 | Comparing the systemic risk of Italian insurers and banks. (2025). Bianchi, Michele Leonardo ; Pallante, Federica. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_922_25. Full description at Econpapers || Download paper | |
2024 | A Horizon‐Based Decomposition of Mutual Fund Value Added Using Transactions. (2024). Han, Jungsuk ; Xing, Ran ; Ruan, Hongxun ; van Binsbergen, Jules. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:3:p:1831-1882. Full description at Econpapers || Download paper | |
2024 | Smooth transition moving average models: Estimation, testing, and computation. (2024). Li, Dong ; Zhang, Xinyu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:3:p:463-478. Full description at Econpapers || Download paper | |
2024 | Non‐parametric Estimator for Conditional Mode with Parametric Features. (2024). Wang, Tao. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:1:p:44-73. Full description at Econpapers || Download paper | |
2024 | Estimation of the adjusted standard‐deviatile for extreme risks. (2024). Yang, Fan ; Mao, Tiantian ; Chen, Haoyu. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:51:y:2024:i:2:p:643-671. Full description at Econpapers || Download paper | |
2025 | The Factor Structure of Jump Risk. (2025). Ding, YI ; Andersen, Torben G ; Yu, Seunghyeon ; Todorov, Viktor. In: Working Papers. RePEc:boa:wpaper:202531. Full description at Econpapers || Download paper | |
2025 | Distributional Dynamics. (2025). Kuhn, Moritz ; Bayer, Christian ; Calderon, Luis. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2025_625. Full description at Econpapers || Download paper | |
2024 | Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2449. Full description at Econpapers || Download paper | |
2024 | Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Janeway Institute Working Papers. RePEc:cam:camjip:2423. Full description at Econpapers || Download paper | |
2024 | Portfolio management with big data. (2024). Sentana, Enrique ; Pearanda, Francisco. In: Working Papers. RePEc:cmf:wpaper:wp2024_2411. Full description at Econpapers || Download paper | |
2024 | Does oil future increase the network systemic risk of financial institutions in China?. (2024). Sun, Chuanwang ; Lin, Yuting ; Zhou, Lichao ; Chen, Chuanglian. In: Applied Energy. RePEc:eee:appene:v:364:y:2024:i:c:s0306261924005592. Full description at Econpapers || Download paper | |
2025 | Financial uncertainty shocks and systemic risk: Revealing the risk spillover from the oil market to the stock market. (2025). Yi, Heling ; Lyu, Yongjian ; Qin, Zhilong ; Li, Ding ; Zou, Yihan ; Yang, MO. In: Applied Energy. RePEc:eee:appene:v:382:y:2025:i:c:s0306261925000418. Full description at Econpapers || Download paper | |
2025 | On the use of the cumulant generating function for inference on time series. (2025). Ronchetti, E ; la Vecchia, D ; Moor, A. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:201:y:2025:i:c:s0167947324001282. Full description at Econpapers || Download paper | |
2025 | Increasing the share of renewable energy sources (RESs) in the specific portfolio by using the taxation mechanism: Study at the level of EU states. (2025). Mihalciuc, Camelia Catalina ; Droj, Laureniu ; Grosu, Maria ; Bostan, Ionel ; Firtescu, Bogdan Narcis. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:85:y:2025:i:c:p:1534-1549. Full description at Econpapers || Download paper | |
2024 | How macroeconomic conditions affect systemic risk in the short and long-run?. (2024). Kurter, Zeynep O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082400007x. Full description at Econpapers || Download paper | |
2024 | The liquidity timing ability of mutual funds. (2024). Yin, Zhengnan ; Osullivan, Niall ; Sherman, Meadhbh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001268. Full description at Econpapers || Download paper | |
2025 | Pricing of American timer options. (2025). Kim, Donghyun ; Ha, Mijin ; Yoon, Ji-Hun ; Park, Sangmin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s106294082500049x. Full description at Econpapers || Download paper | |
2024 | Identification of multi-valued treatment effects with unobserved heterogeneity. (2024). Fusejima, Koki. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002798. Full description at Econpapers || Download paper | |
2024 | Quantile analysis of “hazard-rate” game models. (2024). Enache, Andreea ; Florens, Jean-Pierre. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623002981. Full description at Econpapers || Download paper | |
2024 | Autoregressive conditional betas. (2024). Laurent, Sébastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003469. Full description at Econpapers || Download paper | |
2024 | Estimation and inference by stochastic optimization. (2024). Forneron, Jean-Jacques. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003548. Full description at Econpapers || Download paper | |
2024 | Time-varying minimum variance portfolio. (2024). Fan, Qingliang (Michael) ; Yang, Yanrong ; Zhong, Wei ; Wu, Ruike. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622001646. Full description at Econpapers || Download paper | |
2024 | Estimating option pricing models using a characteristic function-based linear state space representation. (2024). Laeven, Roger ; Vladimirov, Evgenii ; Boswijk, Peter H. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624002094. Full description at Econpapers || Download paper | |
2024 | Specification tests for non-Gaussian structural vector autoregressions. (2024). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624001490. Full description at Econpapers || Download paper | |
2024 | Varying-coefficient spatial dynamic panel data models with fixed effects: Theory and application. (2024). Ju, Gaosheng ; Hong, Han ; Yan, Karen X ; Li, QI. In: Journal of Econometrics. RePEc:eee:econom:v:245:y:2024:i:1:s0304407624002288. Full description at Econpapers || Download paper | |
2025 | Inference on dynamic systemic risk measures. (2025). Francq, Christian ; Zakoan, Jean-Michel. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002872. Full description at Econpapers || Download paper | |
2025 | Iterative estimation of nonparametric regressions with continuous endogenous variables and discrete instruments. (2025). Centorrino, Samuele ; Fve, Frdrique ; Florens, Jean-Pierre. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407625000041. Full description at Econpapers || Download paper | |
2025 | Spanning latent and observable factors. (2025). Gagliardini, P ; Ghysels, E ; Rubin, M ; Andreou, E. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624000897. Full description at Econpapers || Download paper | |
2025 | Functional ecological inference. (2025). Meddahi, Nour ; Florens, Jean-Pierre ; Bontemps, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624002690. Full description at Econpapers || Download paper | |
2025 | Quasi Maximum Likelihood Estimation of Value at Risk and Expected Shortfall. (2025). Catania, Leopoldo ; Luati, Alessandra. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:23-34. Full description at Econpapers || Download paper | |
2024 | A simulation-based method for estimating systemic risk measures. (2024). Zhou, YI ; Ye, Wuyi ; Chen, Pengzhan ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:313:y:2024:i:1:p:312-324. Full description at Econpapers || Download paper | |
2024 | A theory of multivariate stress testing. (2024). Wang, Ruodu ; Millossovich, Pietro ; Tsanakas, Andreas. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:3:p:851-866. Full description at Econpapers || Download paper | |
2024 | International asset pricing with heterogeneous agents: Estimation and inference. (2024). Tedongap, Romeo ; Tinang, Jules. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001263. Full description at Econpapers || Download paper | |
2024 | Non-standard errors in asset pricing: Mind your sorts. (2024). Verwijmeren, Patrick ; van Vliet, Bart ; Soebhag, Amar. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000525. Full description at Econpapers || Download paper | |
2025 | A revisit to bias-adjusted predictive regression. (2025). Xu, Ke-Li. In: Journal of Empirical Finance. RePEc:eee:empfin:v:80:y:2025:i:c:s0927539824001129. Full description at Econpapers || Download paper | |
2025 | Smart beta, “smarter” flows. (2025). Zhan, Xintong ; Xiao, Zhanbing ; Song, Linjia ; Cao, Jie ; Hsu, Jason C. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000027. Full description at Econpapers || Download paper | |
2025 | Identifying the underlying components of high-frequency data: Pure vs jump diffusion processes. (2025). Urga, Giovanni ; Izzeldin, Marwan ; Hizmeri, Rodrigo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000167. Full description at Econpapers || Download paper | |
2024 | Non-standard errors in the cryptocurrency world. (2024). Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian ; Zaremba, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383. Full description at Econpapers || Download paper | |
2024 | Representative investors versus best clienteles: Performance evaluation disagreement in mutual funds. (2024). Chretien, Stephane ; Kammoun, Manel. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924004307. Full description at Econpapers || Download paper | |
2024 | A note on the Gumbel convergence for the Lee and Mykland jump tests. (2024). Vidal, Joo Pedro ; Ruas, Joo Pedro. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011868. Full description at Econpapers || Download paper | |
2024 | Mutual fund value creation: Insights from the residual income model. (2024). Xu, Wenhao ; Chen, Taoqin. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pb:s1544612324002848. Full description at Econpapers || Download paper | |
2024 | Option pricing under market makers inventory risk: A case study of China. (2024). Deng, Zhijian ; Yao, Yuhang. In: Finance Research Letters. RePEc:eee:finlet:v:66:y:2024:i:c:s1544612324006469. Full description at Econpapers || Download paper | |
2024 | Price discovery share: An order invariant measure of price discovery. (2024). Sultan, Syed Galib ; Shen, Shulin ; Zivot, Eric. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324007645. Full description at Econpapers || Download paper | |
2024 | The asymmetric effects of upside and downside risks in cryptocurrency markets: Insights from the LUNA and FTX crises. (2024). Gou, Shangde ; Julaiti, Jiansuer ; Aibai, Abuduwali. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324007803. Full description at Econpapers || Download paper | |
2024 | Hedging downside risk in agricultural commodities: A novel nonparametric kernel method. (2024). Fan, Yawen ; Jiang, QI. In: Finance Research Letters. RePEc:eee:finlet:v:70:y:2024:i:c:s1544612324013692. Full description at Econpapers || Download paper | |
2025 | No shortfall of ES estimators: Insights from cryptocurrency portfolios. (2025). Výrost, Tomáš ; Horváth, Matúš ; Vrost, Tom ; Horvth, Mat. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s1544612324017148. Full description at Econpapers || Download paper | |
2024 | Arbitrage opportunities and efficiency tests in crypto derivatives. (2024). Chen, XI ; Alexander, Carol ; Wang, Tianyi ; Deng, Jun. In: Journal of Financial Markets. RePEc:eee:finmar:v:71:y:2024:i:c:s138641812400048x. Full description at Econpapers || Download paper | |
2024 | Too-systemic-to-fail: Empirical comparison of systemic risk measures in the Eurozone financial system. (2024). Armanious, Amir. In: Journal of Financial Stability. RePEc:eee:finsta:v:73:y:2024:i:c:s1572308924000585. Full description at Econpapers || Download paper | |
2024 | Tail risk network analysis of Asian banks. (2024). Powell, Robert ; Bannigidadmath, Deepa ; Pham, Thach N. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000899. Full description at Econpapers || Download paper | |
2025 | Optimal investment and benefit strategies for a target benefit pension plan where the risky assets are jump diffusion processes. (2025). Josa-Fombellida, Ricardo ; Lpez-Casado, Paula. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:121:y:2025:i:c:p:100-110. Full description at Econpapers || Download paper | |
2025 | Identifying scenarios for the own risk and Solvency assessment of insurance companies. (2025). Aigner, Philipp. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:122:y:2025:i:c:p:30-43. Full description at Econpapers || Download paper | |
2024 | Not all words are equal: Sentiment and jumps in the cryptocurrency market. (2024). Cepni, Oguzhan ; Caporin, Massimiliano ; Aysan, Ahmet Faruk. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001889. Full description at Econpapers || Download paper | |
2025 | Managing cryptocurrency risk exposures in equity portfolios: Evidence from high-frequency data. (2025). Leong, Minhao ; Kwok, Simon ; Alexeev, Vitali. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:99:y:2025:i:c:s1042443125000137. Full description at Econpapers || Download paper | |
2024 | A False Discovery Rate approach to optimal volatility forecasting model selection. (2024). Baker, Paul L ; Platanakis, Emmanouil ; Hassanniakalager, Arman. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:881-902. Full description at Econpapers || Download paper | |
2024 | Interaction effects in the cross-section of country and industry returns. (2024). Umar, Zaghum ; Umutlu, Mehmet ; Mercik, Aleksander ; Zaremba, Adam. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:165:y:2024:i:c:s0378426624001171. Full description at Econpapers || Download paper | |
2024 | Behavioral risk profiling: Measuring loss aversion of individual investors. (2024). van Dolder, Dennie ; Vandenbroucke, Jurgen. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:168:y:2024:i:c:s0378426624002073. Full description at Econpapers || Download paper | |
2024 | Survey expectations and adjustments for multiple testing. (2024). Clements, Michael. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:224:y:2024:i:c:p:338-354. Full description at Econpapers || Download paper | |
2024 | Panel data in environmental economics: Econometric issues and applications to IPAT models. (2024). Eibinger, Tobias ; Manner, Hans ; Deixelberger, Beate. In: Journal of Environmental Economics and Management. RePEc:eee:jeeman:v:125:y:2024:i:c:s0095069624000159. Full description at Econpapers || Download paper | |
2024 | The risk and return of equity and credit index options. (2024). Seo, Sang Byung ; Fournier, Mathieu ; Ericsson, Jan ; Doshi, Hitesh. In: Journal of Financial Economics. RePEc:eee:jfinec:v:161:y:2024:i:c:s0304405x24001557. Full description at Econpapers || Download paper | |
2025 | Strategic arbitrage in segmented markets. (2025). Bryzgalova, Svetlana ; Pavlova, Anna ; Sikorskaya, Taisiya. In: Journal of Financial Economics. RePEc:eee:jfinec:v:166:y:2025:i:c:s0304405x25000169. Full description at Econpapers || Download paper | |
2025 | Warp speed price moves: Jumps after earnings announcements. (2025). Veliyev, Bezirgen ; Timmermann, Allan ; Christensen, Kim. In: Journal of Financial Economics. RePEc:eee:jfinec:v:167:y:2025:i:c:s0304405x25000182. Full description at Econpapers || Download paper | |
2025 | Growing the efficient frontier on panel trees. (2025). Cong, Lin William ; Feng, Guanhao ; He, Jingyu. In: Journal of Financial Economics. RePEc:eee:jfinec:v:167:y:2025:i:c:s0304405x25000327. Full description at Econpapers || Download paper | |
2024 | A novel positive dependence property and its impact on a popular class of concordance measures. (2024). Fuchs, Sebastian ; Tschimpke, Marco. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:200:y:2024:i:c:s0047259x23001057. Full description at Econpapers || Download paper | |
2024 | Forecasting the price of oil: A cautionary note. (2024). Eyiah-Donkor, Emmanuel ; Conlon, Thomas ; cotter, john. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000685. Full description at Econpapers || Download paper | |
2024 | Commodity market downturn: Systemic risk and spillovers during left tail events. (2024). Çevik, Emrah ; Kirimhan, Destan ; Gunay, Samet. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000643. Full description at Econpapers || Download paper | |
2025 | Investing in relative market positions in interconnected financial markets: A strategy for international portfolio diversification. (2025). Chen, Yiqing ; Yao, Shujie ; Ou, Jinghua. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:89:y:2025:i:c:s0927538x24003408. Full description at Econpapers || Download paper | |
2024 | The valuation of American options with the stochastic liquidity risk and jump risk. (2024). Guo, Xunxiang ; Huang, Shoude ; Wang, KE ; Zhang, Hongyu. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:650:y:2024:i:c:s0378437124004205. Full description at Econpapers || Download paper | |
2025 | Does AI contribute to systemic risk reduction in non-financial corporations?. (2025). Han, Wang-Zhe ; Meng, Wanshan. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:100:y:2025:i:c:s1062976925000146. Full description at Econpapers || Download paper | |
2024 | Are simple technical trading rules profitable in bitcoin markets?. (2024). Frömmel, Michael ; Deprez, Niek ; Frommel, Michael. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:858-874. Full description at Econpapers || Download paper | |
2025 | Enhancing banking systemic risk indicators by incorporating volatility clustering, variance risk premiums, and considering distance-to-capital. (2025). Çevik, Emrah ; Goodell, John W ; Gunay, Samet ; Cevik, Emrah Ismail ; Kenc, Turalay. In: International Review of Economics & Finance. RePEc:eee:reveco:v:97:y:2025:i:c:s1059056024007718. Full description at Econpapers || Download paper | |
2025 | The components of tracking error, interim trading and mutual fund performance. (2025). de Mingo-Lpez, Diego Vctor ; Matalln-Sez, Juan Carlos. In: International Review of Economics & Finance. RePEc:eee:reveco:v:98:y:2025:i:c:s1059056025000371. Full description at Econpapers || Download paper | |
2024 | Predicting the cure of a defaulted company: Nonlinear relationships between loan-related variables and the cure probability. (2024). Ohliger, Thorsten ; Lohmann, Christian. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pb:s0275531924001880. Full description at Econpapers || Download paper | |
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2010 | False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas In: Journal of Finance. [Full Text][Citation analysis] | article | 277 |
2008 | False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas.(2008) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 277 | paper | |
2005 | False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas.(2005) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 277 | paper | |
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2009 | False discoveries in mutual fund performance: Measuring luck in estimated alphas.(2009) In: CFR Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 277 | paper | |
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2024 | Nonstandard Errors In: Journal of Finance. [Full Text][Citation analysis] | article | 14 |
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2007 | LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING In: Mathematical Finance. [Full Text][Citation analysis] | article | 32 |
2006 | Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 40 |
2007 | Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility.(2007) In: The Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 40 | article | |
2006 | Tikhonov Regularization for Functional Minimum Distance Estimators In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 6 |
2006 | Robust Subsampling In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 6 |
2012 | Robust subsampling.(2012) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2007 | Testing For Equality Between Two Copulas In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 62 |
2009 | Testing for equality between two copulas.(2009) In: Journal of Multivariate Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 62 | article | |
2009 | Nonparametric Instrumental Variable Estimators of Structural Quantile Effects In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 8 |
2009 | Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 94 |
2012 | Technical trading revisited: False discoveries, persistence tests, and transaction costs.(2012) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 94 | article | |
2008 | Testing for threshold effect in ARFIMA models: Application to US unemployment rate data In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 12 |
2009 | Testing for threshold effect in ARFIMA models: Application to US unemployment rate data.(2009) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
2008 | Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data. In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
2009 | Robust Resampling Methods for Time Series In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 5 |
2011 | Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
2015 | Testing for symmetry and conditional symmetry using asymmetric kernels.(2015) In: Annals of the Institute of Statistical Mathematics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2011 | We 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. [Full Text][Citation analysis] | paper | 0 |
2011 | Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 88 |
2011 | Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets.(2011) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 88 | paper | |
2015 | Time-varying risk premium in large cross-sectional equity datasets.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 88 | paper | |
2016 | Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets.(2016) In: Econometrica. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 88 | article | |
2012 | Valuing American Options Using Fast Recursive Projections In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2012 | Valuing American options using fast recursive projections.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2016 | Valuing American options using fast recursive projections.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
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2016 | On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
2016 | On ill‐posedness of nonparametric instrumental variable regression with convexity constraints.(2016) In: Econometrics Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2016 | Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
2016 | Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2017 | Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy.(2017) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2018 | Time-Varying Risk Premia in Large International Equity Markets In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 8 |
2019 | Time-Varying Risk Premia in Large International Equity Markets.(2019) In: HEC Research Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2018 | The Cross-Sectional Distribution of Fund Skill Measures In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
2018 | The Cross-Sectional Distribution of Fund Skill Measures.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2019 | Estimation of Large Dimensional Conditional Factor Models in Finance In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
2020 | Estimation of large dimensional conditional factor models in finance.(2020) In: Handbook of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | chapter | |
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2019 | Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 23 |
2020 | Backtesting marginal expected shortfalland related systemic risk measures.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
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2019 | Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
2020 | Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
2020 | Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2020 | Swag: A Wrapper Method for Sparse Learning In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2023 | Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2024 | Is it alpha or beta? Decomposing hedge fund returns when models are misspecified.(2024) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2021 | Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2024 | Mean Reversion Trading on the Naphtha Crack In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
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1995 | Testing for continuous-time models of the short-term interest rate.(1995) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 53 | paper | |
1995 | Testing for continuous-time models of the short-term interest rate.(1995) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 53 | article | |
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1995 | Quasi Indirect Inference for Diffusion Processes In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 30 |
1998 | Quasi-indirect inference for diffusion processes.(1998) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 30 | paper | |
1998 | QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES.(1998) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | article | |
1999 | Bartlett identities tests In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 6 |
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2000 | Sensitivity Analysis of Values at Risk.(2000) In: LIDAM Discussion Papers IRES. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 144 | paper | |
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2000 | Sensitivity analysis of values at risk.(2000) In: THEMA Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 144 | paper | |
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1999 | Option Pricing with Discrete Rebalancing In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
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2004 | Option pricing with discrete rebalancing.(2004) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
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2003 | Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases In: LIDAM Discussion Papers IRES. [Full Text][Citation analysis] | paper | 27 |
2003 | Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases.(2003) In: THEMA Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
2003 | Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases.(2003) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
2007 | Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases.(2007) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | article | |
2004 | Testing for Concordance Ordering In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 7 |
2002 | Testing for Concordance Ordering.(2002) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2005 | CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA In: Econometric Theory. [Full Text][Citation analysis] | article | 41 |
2004 | Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators In: Royal Economic Society Annual Conference 2004. [Full Text][Citation analysis] | paper | 19 |
2007 | Local multiplicative bias correction for asymmetric kernel density estimators.(2007) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | article | |
2003 | Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators.(2003) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
1998 | Instrumental Models and Indirect Encompassing In: Econometrica. [Citation analysis] | article | 9 |
2012 | Nonparametric Instrumental Variable Estimation of Structural Quantile Effects In: Econometrica. [Full Text][Citation analysis] | article | 55 |
2007 | Semiparametric methods in econometrics In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
2012 | Tikhonov regularization for nonparametric instrumental variable estimators In: Journal of Econometrics. [Full Text][Citation analysis] | article | 51 |
1997 | Unemployment insurance and mortgages In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 0 |
2004 | On the way to recovery: A nonparametric bias free estimation of recovery rate densities In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 48 |
2003 | On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities.(2003) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 48 | paper | |
2021 | Factors and risk premia in individual international stock returns In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 15 |
2010 | Pricing American options under stochastic volatility and stochastic interest rates In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 34 |
2007 | Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 21 |
2005 | Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters.(2005) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
2000 | Weak Convergence of Hedging Strategies of Contingent Claims In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 5 |
2002 | Weak Convergence of Hedging Strategies of Contingent Claims.(2002) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2000 | An Empirical Estimation in Credit Spread Indices In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 0 |
2003 | Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 14 |
2002 | Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility.(2002) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
1997 | Convergence of discrete time options pricing models under stochastic In: THEMA Working Papers. [Citation analysis] | paper | 0 |
1999 | An autoregressive conditional binomial option pricing model under stochastic rates In: THEMA Working Papers. [Citation analysis] | paper | 2 |
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2003 | Mortality Risk and Real Optimal Asset Allocation for Pension Funds In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
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 | 30 |
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 | 82 |
2003 | Nonparametric estimation of copulas for time series.(2003) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 82 | paper | |
Nonparametric estimation of copulas for time series.() In: Journal of Risk. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 82 | article | ||
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 |
1997 | Convergence of Discrete Time Options Pricing Models under Stochastic Rates In: Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.. [Citation analysis] | paper | 0 |
2021 | Non-Standard Errors In: Working Paper Series, Social and Economic Sciences. [Full Text][Citation analysis] | paper | 5 |
2016 | Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News In: Management Science. [Full Text][Citation analysis] | article | 40 |
2017 | Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 1 |
2017 | Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy.(2017) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
1996 | Estimation de modèles de la structure par terme des taux dintérêt. In: Revue Économique. [Full Text][Citation analysis] | article | 2 |
2014 | Hedge Fund Managers: Luck and Dynamic Assessment In: Bankers, Markets & Investors. [Full Text][Citation analysis] | article | 3 |
1998 | Path dependent options on yields in the affine term structure model In: Finance and Stochastics. [Full Text][Citation analysis] | article | 15 |
1999 | A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary In: Finance and Stochastics. [Full Text][Citation analysis] | article | 2 |
2009 | A Primer on Weather Derivatives In: International Series in Operations Research & Management Science. [Citation analysis] | chapter | 4 |
1996 | Compound and exchange options in the affine term structure model In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 1 |
1997 | Econométrie de la Finance: approches historiques In: ULB Institutional Repository. [Citation analysis] | paper | 11 |
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