Olivier Scaillet : Citation Profile

Are you Olivier Scaillet?

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

22

H index

41

i10 index

1791

Citations

RESEARCH PRODUCTION:

54

Articles

147

Papers

1

Chapters

RESEARCH ACTIVITY:

   31 years (1993 - 2024). See details.
   Cites by year: 57
   Journals where Olivier Scaillet has often published
   Relations with other researchers
   Recent citing documents: 125.    Total self citations: 56 (3.03 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psc56
   Updated: 2024-07-05    RAS profile: 2024-01-04    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Hurlin, Christophe (7)

Gehrig, Thomas (3)

Topaloglou, Nikolas (3)

Mihet, Roxana (3)

Schuerhoff, Norman (3)

Ossola, Elisa (3)

Korajczyk, Robert (2)

van Kervel, Vincent (2)

Wong, Wing-Keung (2)

FERROUHI, EL MEHDI (2)

Horenstein, Alex (2)

Voigt, Stefan (2)

Dumitrescu, Ariadna (2)

Xia, Shuo (2)

Nielsson, Ulf (2)

Chernov, Mikhail (2)

Pastor, Lubos (2)

Söderlind, Paul (2)

Wilhelmsson, Anders (2)

Taylor, Nick (2)

Lof, Matthijs (2)

Shachar, Or (2)

LINTON, OLIVER (2)

Smales, Lee (2)

Hautsch, Nikolaus (2)

Dreber, Anna (2)

Ødegaard, Bernt (2)

Verousis, Thanos (2)

Talavera, Oleksandr (2)

Deku, Solomon (2)

Patton, Andrew (2)

Roy, Saurabh (2)

Schenk-Hoppé, Klaus (2)

Hjalmarsson, Erik (2)

Kassner, Bernhard (2)

Liew, Chee (2)

Rakowski, David (2)

Foucault, Thierry (2)

Patel, Vinay (2)

Holzmeister, Felix (2)

Frijns, Bart (2)

Adrian, Tobias (2)

Gerritsen, Dirk (2)

Stefanova, Denitsa (2)

Schwarz, Marco (2)

Xiu, Dacheng (2)

Bouri, Elie (2)

Bos, Charles (2)

Sarno, Lucio (2)

Abudy, Menachem (2)

Huang, Wenqian (2)

Deev, Oleg (2)

Dimpfl, Thomas (2)

Sojli, Elvira (2)

Chow, Nikolai Sheung-Chi (2)

Zhang, S. Sarah (2)

Davies, Ryan (2)

Roy, Saurabh (2)

Regis, Luca (2)

Vilkov, Grigory (2)

Frömmel, Michael (2)

Degryse, Hans (2)

Walther, Thomas (2)

Füllbrunn, Sascha (2)

Prokopczuk, Marcel (2)

Tonks, Ian (2)

Vogel, Sebastian (2)

Brownlees, Christian (2)

Johannesson, Magnus (2)

Pelizzon, Loriana (2)

Heath, Davidson (2)

Ferrara, Gerardo (2)

Ait-Sahalia, Yacine (2)

Ranaldo, Angelo (2)

PASCUAL, ROBERTO (2)

He, Xuezhong (Tony) (2)

Bjønnes, Geir (2)

Harris, Jeffrey (2)

Pasquariello, Paolo (2)

Colliard, Jean-Edouard (2)

Renault, Thomas (2)

Palan, Stefan (2)

Park, Andreas (2)

Wolff, Christian (2)

Zhou, Chen (2)

Theissen, Erik (2)

Jalkh, Naji (2)

CAPELLE-BLANCARD, Gunther (2)

Jurkatis, Simon (2)

Alexeev, Vitali (2)

Putnins, Talis (2)

Menkveld, Albert (2)

Lopez-Lira, Alejandro (2)

Rinne, Kalle (2)

Lajaunie, Quentin (2)

Reitz, Stefan (2)

Bohorquez Correa, Santiago (2)

Caporin, Massimiliano (2)

Kearney, Fearghal (2)

Gorbenko, Arseny (2)

Moinas, Sophie (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 (25)

Rombouts, Jeroen (20)

Chernozhukov, Victor (17)

Ossola, Elisa (16)

gourieroux, christian (15)

Pinar, Mehmet (15)

Stengos, Thanasis (15)

Topaloglou, Nikolas (14)

Gospodinov, Nikolay (14)

Hansen, Christian (13)

Ardia, David (13)

Cites to:

Shanken, Jay (20)

French, Kenneth (18)

Wu, Liuren (16)

Campbell, John (16)

Detemple, Jerome (16)

Ait-Sahalia, Yacine (15)

Bai, Jushan (15)

Connor, Gregory (14)

merton, robert (14)

Xiu, Dacheng (12)

LINTON, OLIVER (12)

Main data

Where Olivier Scaillet has published?

Journals with more than one article published# docs
Journal of Econometrics9
Journal of Financial Econometrics3
Finance and Stochastics3
Journal of Empirical Finance3
Journal of Financial Economics3
Journal of Business & Economic Statistics3
Mathematical Finance3
Econometrica2
Journal of Banking & Finance2
Econometric Theory2
Journal of Finance2
Journal of Multivariate Analysis2

Working Papers Series with more than one paper published# docs
Swiss Finance Institute Research Paper Series / Swiss Finance Institute39
FAME Research Paper Series / International Center for Financial Asset Management and Engineering22
Working Papers / University of Geneva, Geneva School of Economics and Management14
Papers / arXiv.org12
Working Papers / Center for Research in Economics and Statistics11
LIDAM Discussion Papers IRES / Universit catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)11
THEMA Working Papers / THEMA (THorie Economique, Modlisation et Applications), Universit de Cergy-Pontoise9
Post-Print / HAL5
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2

Recent works citing Olivier Scaillet (2024 and 2023)

YearTitle of citing document
2023Identification of multi-valued treatment effects with unobserved heterogeneity. (2020). Fusejima, Koki. In: Papers. RePEc:arx:papers:2010.04385.

Full description at Econpapers || Download paper

2023Option 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

2023The 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

2023Inference 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

2023How 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

2023Standard 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

2023Encompassing Tests for Nonparametric Regressions. (2022). Lapenta, Elia ; Lavergne, Pascal. In: Papers. RePEc:arx:papers:2203.06685.

Full description at Econpapers || Download paper

2023Short-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

2024Do t-Statistic Hurdles Need to be Raised. (2022). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2204.10275.

Full description at Econpapers || Download paper

2024Most 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

2023Partly 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

2023Portfolio Optimization with Relative Tail Risk. (2023). Kim, Young Shin. In: Papers. RePEc:arx:papers:2303.12209.

Full description at Econpapers || Download paper

2023Sequential 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

2023Forecasting 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

2024One-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

2024Assessing the Solvency of Virtual Asset Service Providers: Are Current Standards Sufficient?. (2023). Segalla, Esther ; Saggese, Pietro ; Raunig, Burkhard ; Haslhofer, Bernhard ; Zangerl, Felix ; Sigmund, Michael. In: Papers. RePEc:arx:papers:2309.16408.

Full description at Econpapers || Download paper

2024Navigating 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

2024Crypto 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

2024Derivatives of Risk Measures. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2404.09646.

Full description at Econpapers || Download paper

2024Estimation for conditional moment models based on martingale difference divergence. (2024). Jiang, Feiyu ; Song, Kunyang ; Zhu, KE. In: Papers. RePEc:arx:papers:2404.11092.

Full description at Econpapers || Download paper

2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012.

Full description at Econpapers || Download paper

2024On 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

2024.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Global and local drivers of Bitcoin trading vis-à-vis fiat currencies. (2023). Habib, Maurizio Michael ; di Casola, Paola ; Tercero-Lucas, David. In: Working Paper Series. RePEc:ecb:ecbwps:20232868.

Full description at Econpapers || Download paper

2023Portfolio 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

2023Good 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

2023On the role of interest rate differentials in the dynamic asymmetry of exchange rates. (2023). Ulm, M ; Hambuckers, J. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003668.

Full description at Econpapers || Download paper

2023A 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

2023Identifying 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

2023Large 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

2023Bias 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

2023Bootstrap 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

2023Intraday cross-sectional distributions of systematic risk. (2023). Andersen, Torben ; Todorov, Viktor ; Thyrsgaard, Martin ; Riva, Raul. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1394-1418.

Full description at Econpapers || Download paper

2023A functional estimation approach to the first-price auction models. (2023). Sbai, Erwann ; Florens, Jean-Pierre ; Enache, Andreea. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1564-1588.

Full description at Econpapers || Download paper

2023Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models. (2023). Medeiros, Marcelo ; Caner, Mehmet. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:393-417.

Full description at Econpapers || Download paper

2023News-implied linkages and local dependency in the equity market. (2023). Linton, Oliver ; Ge, Shuyi. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:779-815.

Full description at Econpapers || Download paper

2023Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds. (2023). Melin, Olena ; Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001586.

Full description at Econpapers || Download paper

2023Uniform predictive inference for factor models with instrumental and idiosyncratic betas. (2023). Yang, Xiye ; Liao, Yuan ; Cheng, Mingmian. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002123.

Full description at Econpapers || Download paper

2023Score-driven asset pricing: Predicting time-varying risk premia based on cross-sectional model performance. (2023). Umlandt, Dennis. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001641.

Full description at Econpapers || Download paper

2024Identification 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

2024Quantile analysis of “hazard-rate” game models. (2024). Florens, Jean-Pierre ; Enache, Andreea. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623002981.

Full description at Econpapers || Download paper

2024Autoregressive 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

2024Estimation 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

2023Unrestricted 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

2023Incomplete 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

2023On 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

2024A simulation-based method for estimating systemic risk measures. (2024). Chen, Pengzhan ; Zhou, YI ; Ye, Wuyi ; 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

2023Detecting 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

2024International asset pricing with heterogeneous agents: Estimation and inference. (2024). Tinang, Jules ; Tedongap, Romeo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001263.

Full description at Econpapers || Download paper

2023Possibility 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

2023Good volatility, bad volatility, and the cross section of cryptocurrency returns. (2023). Zhao, Ran ; Zhang, Zehua. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002284.

Full description at Econpapers || Download paper

2023Dual role of the country factors in international asset pricing: The local factors and proxies for the global factors. (2023). Wei, Fengrong ; Lee, Kyuseok ; Eun, Cheol. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002764.

Full description at Econpapers || Download paper

2023Understanding mispricing in the travel and leisure industry. (2023). Sharma, Susan Sunila ; Narayan, Paresh Kumar. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s105752192300385x.

Full description at Econpapers || Download paper

2023When do investors go green? Evidence from a time-varying asset-pricing model. (2023). Panzica, Roberto ; Ossola, Elisa ; Alessi, Lucia. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004143.

Full description at Econpapers || Download paper

2023Optimal trend-following with transaction costs. (2023). Giner, Javier ; Zakamulin, Valeriy. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004441.

Full description at Econpapers || Download paper

2023Valuation of callable range accrual linked to CMS Spread under generalized swap market model. (2023). Huang, Zi-Wei ; Hsieh, Chang-Chieh ; He, Jie-Cao ; Lin, Shih-Kuei. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004726.

Full description at Econpapers || Download paper

2024Non-standard errors in the cryptocurrency world. (2024). Zaremba, Adam ; Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383.

Full description at Econpapers || Download paper

2023Measuring 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

2023Forecasting 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

2023Realized semibetas and international stock return predictability. (2023). Perez, Fernando ; Herrerias, Renata ; Amaya, Diego ; Vasquez, Aurelio. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323010139.

Full description at Econpapers || Download paper

2024A note on the Gumbel convergence for the Lee and Mykland jump tests. (2024). Ruas, Joo Pedro ; Vidal, Joo Pedro. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011868.

Full description at Econpapers || Download paper

2023Net 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

2023Are 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

2023A 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

2023The 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

2023Do big data mutual funds outperform?. (2023). Zeng, Yamin ; Peng, Zezhi ; Zhang, Junsheng ; Yang, Haisheng. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001105.

Full description at Econpapers || Download paper

2024Not 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

2023Technical 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

2023Non-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

2023Compensation regulation in banking: Executive director behavior and bank performance after the EU bonus cap. (2023). Koetter, Michael ; Wagner, Konstantin ; Colonnello, Stefano. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:76:y:2023:i:1:s0165410122000994.

Full description at Econpapers || Download paper

2023CEO social connections and bank systemic risk: The “dark side” of social networks. (2023). Qi, Yaxuan ; Manu, Sylvester Adasi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:156:y:2023:i:c:s0378426623001863.

Full description at Econpapers || Download paper

2023Decreasing returns to scale and skill in hedge funds. (2023). Yao, Juan ; Satchell, Stephen ; Ling, Yun. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:156:y:2023:i:c:s0378426623002005.

Full description at Econpapers || Download paper

2023Arbitrageurs in the Bitcoin ecosystem: Evidence from user-level trading patterns in the Mt. Gox exchange platform. (2023). Saggese, Pietro ; Bohme, Rainer ; Facchini, Angelo ; Dimitri, Nicola ; Belmonte, Alessandro. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:213:y:2023:i:c:p:251-270.

Full description at Econpapers || Download paper

2023Barking up the wrong tree: Return-chasing in 401(k) plans. (2023). Wang, Pingle ; Tran, Anh. In: Journal of Financial Economics. RePEc:eee:jfinec:v:148:y:2023:i:1:p:69-90.

Full description at Econpapers || Download paper

2023What matters in a characteristic?. (2023). Langlois, Hugues. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:1:p:52-72.

Full description at Econpapers || Download paper

2023Priced risk in corporate bonds. (2023). Mueller, Philippe ; Dickerson, Alexander ; Robotti, Cesare. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:2:s0304405x23001393.

Full description at Econpapers || Download paper

2023Machine learning and fund characteristics help to select mutual funds with positive alpha. (2023). Gil-Bazo, Javier ; Demiguel, Victor ; Nogales, Francisco J. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:3:s0304405x23001770.

Full description at Econpapers || Download paper

2023Conditional independence testing via weighted partial copulas. (2023). Portier, Franois ; Elgui, Kevin ; Bianchi, Pascal. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:193:y:2023:i:c:s0047259x22001117.

Full description at Econpapers || Download paper

2023Minimax properties of Dirichlet kernel density estimators. (2023). Ouimet, Frederic ; Klutchnikoff, Nicolas ; Genest, Christian ; Bertin, Karine. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:195:y:2023:i:c:s0047259x23000040.

Full description at Econpapers || Download paper

2024A novel positive dependence property and its impact on a popular class of concordance measures. (2024). Tschimpke, Marco ; Fuchs, Sebastian. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:200:y:2024:i:c:s0047259x23001057.

Full description at Econpapers || Download paper

2023Futures trading activity and the jump risk of spot market: Evidence from the bitcoin market. (2023). Liao, Xiaosai ; Ma, Huan ; Zhang, Chuanhai. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:78:y:2023:i:c:s0927538x23000161.

Full description at Econpapers || Download paper

2023Robust reward-risk performance measures with weakly second-order stochastic dominance constraints. (2023). Kouaissah, Noureddine. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:53-62.

Full description at Econpapers || Download paper

2023The role of environmental and financial motivations in the adoption of energy-saving technologies: Evidence from European Union data. (2023). Canepa, Alessandra ; Fontana, Magda ; Chersoni, Giulia. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:91:y:2023:i:c:p:1-14.

Full description at Econpapers || Download paper

2023Ex-post facto analysis of cryptocurrency literature over a decade using bibliometric technique. (2023). Hassan, M. Kabir ; Devji, Shridev ; Tiwari, Aviral ; Dsouza, Arun ; Pattnaik, Debidutta. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:189:y:2023:i:c:s0040162523000240.

Full description at Econpapers || Download paper

2024Inference for Two-Stage Extremum Estimators. (2024). Maoude, Abdoul Haki ; Houndetoungan, Aristide. In: THEMA Working Papers. RePEc:ema:worpap:2024-01.

Full description at Econpapers || Download paper

2024Linear Factor Models and the Estimation of Expected Returns. (2024). , Bas ; Sarisoy, Cisil. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2024-14.

Full description at Econpapers || Download paper

2023Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2023). Yang, Xiye ; Neely, Christopher J ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490.

Full description at Econpapers || Download paper

2024Sluggish news reactions: A combinatorial approach for synchronizing stock jumps. (2024). Neely, Christopher ; Laurent, Sebastien ; Boudt, Kris ; Bouamara, Nabil. In: Working Papers. RePEc:fip:fedlwp:97969.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Monitoring Value-at-Risk and Expected Shortfall Forecasts. (2023). Demetrescu, Matei ; Hoga, Yannick. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:5:p:2954-2971.

Full description at Econpapers || Download paper

2023Black-Litterman model with copula-based views in mean-CVaR portfolio optimization framework with weight constraints. (2023). Pivnitskaya, Nataliya ; Munir, Qaiser ; Evgeniia, Mikova ; Teplova, Tamara. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:1:d:10.1007_s10644-022-09435-y.

Full description at Econpapers || Download paper

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.
[Full Text][Citation analysis]		article6
2007A Specification Test For Nonparametric Instrumental Variable Regression.(2007) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2016Early exercise decision in American options with dividends, stochastic volatility and jumps In: Papers.
[Full Text][Citation analysis]		paper3
2016Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps.(2016) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2020Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps.(2020) In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2017A diagnostic criterion for approximate factor structure In: Papers.
[Full Text][Citation analysis]		paper23
2016A Diagnostic Criterion for Approximate Factor Structure.(2016) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 23		paper
2019A diagnostic criterion for approximate factor structure.(2019) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 23		article
2016Predictability Hidden by Anomalous Observations In: Papers.
[Full Text][Citation analysis]		paper11
2013Predictability Hidden by Anomalous Observations.(2013) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2018Predictability Hidden by Anomalous Observations.(2018) In: School of Economics Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2017High-Frequency Jump Analysis of the Bitcoin Market In: Papers.
[Full Text][Citation analysis]		paper37
2017High-Frequency Jump Analysis of the Bitcoin Market.(2017) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 37		paper
2017High-frequency jump analysis of the bitcoin market.(2017) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 37		paper
2020High-Frequency Jump Analysis of the Bitcoin Market*.(2020) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 37		article
2018Spanning Tests for Markowitz Stochastic Dominance In: Papers.
[Full Text][Citation analysis]		paper2
2018Spanning Tests for Markowitz Stochastic Dominance.(2018) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2020Spanning tests for Markowitz stochastic dominance.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2018Spanning tests for markowitz stochastic dominance.(2018) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2022A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data In: Papers.
[Full Text][Citation analysis]		paper1
2020A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data.(2020) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2023A higher-order correct fast moving-average bootstrap for dependent data.(2023) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2020A higher-order correct fast moving-average bootstrap for dependent data.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2021Saddlepoint approximations for spatial panel data models In: Papers.
[Full Text][Citation analysis]		paper0
2019Saddlepoint Approximations for Spatial Panel Data Models.(2019) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2023Saddlepoint Approximations for Spatial Panel Data Models.(2023) In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2020Spanning analysis of stock market anomalies under Prospect Stochastic Dominance In: Papers.
[Full Text][Citation analysis]		paper0
2020Spanning analysis of stock market anomalies under Prospect Stochastic Dominance.(2020) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2020Spanning analysis of stock market anomalies under prospect stochastic dominance.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2021Wealth Effect on Portfolio Allocation in Incomplete Markets In: Papers.
[Full Text][Citation analysis]		paper0
2022A penalized two-pass regression to predict stock returns with time-varying risk premia In: Papers.
[Full Text][Citation analysis]		paper1
2021A penalized two-pass regression to predict stock returns with time-varying risk premia.(2021) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2023A penalized two-pass regression to predict stock returns with time-varying risk premia.(2023) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2023A penalized two-pass regression to predict stock returns with time-varying risk premia.(2023) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2022Eigenvalue tests for the number of latent factors in short panels In: Papers.
[Full Text][Citation analysis]		paper0
2022Eigenvalue tests for the number of latent factors in short panels.(2022) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2024Latent Factor Analysis in Short Panels In: Papers.
[Full Text][Citation analysis]		paper0
2023Latent Factor Analysis in Short Panels.(2023) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2003Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models. In: Journal of Business & Economic Statistics.
[Citation analysis]		article8
2009Local Transformation Kernel Density Estimation of Loss Distributions In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article14
2007Local Transformation Kernel Density Estimation of Loss Distributions.(2007) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2010Testing for Stochastic Dominance Efficiency In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article59
2005Testing for Stochastic Dominance Efficiency.(2005) In: FAME Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 59		paper
2006Testing foe Stochastic Dominance Efficiency.(2006) In: Computing in Economics and Finance 2006.
[Citation analysis]
This paper has nother version. Agregated cites: 59		paper
2010False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas In: Journal of Finance.
[Full Text][Citation analysis]		article260
2008False 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: 260		paper
2005False 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: 260		paper
2005False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas..(2005) In: Working Papers CEB.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 260		paper
2009False 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: 260		paper
2022Skill, Scale, and Value Creation in the Mutual Fund Industry In: Journal of Finance.
[Full Text][Citation analysis]		article4
2021Skill, scale, and value creation in the mutual fund industry.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2004Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall In: Mathematical Finance.
[Full Text][Citation analysis]		article81
2007THEORY AND CALIBRATION OF SWAP MARKET MODELS In: Mathematical Finance.
[Full Text][Citation analysis]		article12
2005Theory and Calibration of Swap Market Models.(2005) In: FAME Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
2007LINEAR?QUADRATIC JUMP?DIFFUSION MODELING In: Mathematical Finance.
[Full Text][Citation analysis]		article31
2006Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper36
2007Approximation 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: 36		article
2006Tikhonov Regularization for Functional Minimum Distance Estimators In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper6
2006Robust Subsampling In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper6
2012Robust subsampling.(2012) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2007Testing For Equality Between Two Copulas In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper60
2009Testing for equality between two copulas.(2009) In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 60		article
2009Nonparametric Instrumental Variable Estimators of Structural Quantile Effects In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper8
2009Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper86
2012Technical 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: 86		article
2008Testing for threshold effect in ARFIMA models: Application to US unemployment rate data In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper12
2009Testing 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
2008Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data. In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper2
2009Robust Resampling Methods for Time Series In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper5
2011Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper4
2015Testing 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
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.
[Full Text][Citation analysis]		paper0
2011Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper82
2011Time-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: 82		paper
2015Time-varying risk premium in large cross-sectional equity datasets.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 82		paper
2016Time?Varying Risk Premium in Large Cross?Sectional Equity Data Sets.(2016) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 82		article
2012Valuing American Options Using Fast Recursive Projections In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2012Valuing American options using fast recursive projections.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2016Valuing American options using fast recursive projections.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2015Valuing American options using fast recursive projections.(2015) In: DEM Discussion Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2016On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper4
2016On 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
2016Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper1
2016Comments 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
2017Comment 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
2018Time-Varying Risk Premia in Large International Equity Markets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper8
2019Time-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
2018The Cross-Sectional Distribution of Fund Skill Measures In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper2
2018The Cross-Sectional Distribution of Fund Skill Measures.(2018) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2019Estimation of Large Dimensional Conditional Factor Models in Finance In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper4
2019Estimation of large dimensional conditional factor models in finance.(2019) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2019Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper15
2020Backtesting marginal expected shortfalland related systemic risk measures.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2021Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures.(2021) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2020Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures.(2020) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2021Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures.(2021) In: Management Science.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		article
2019Reassessing 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]		paper3
2020Swag: A Wrapper Method for Sparse Learning In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2023Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2021Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2022Non-Standard Errors In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper11
2021Non-Standard Errors.(2021) In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
1993Testing for Continuous-Time Models of the Short-Term Interest Rate In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper54
1995Testing for continuous-time models of the short-term interest rate.(1995) In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 54		paper
1995Testing 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: 54		article
1994Forecast Intervals in ARCH Exponential Smoothing In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper0
1995Quasi Indirect Inference for Diffusion Processes In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper31
1998Quasi-indirect inference for diffusion processes.(1998) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 31		paper
1998QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES.(1998) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 31		article
1999Bartlett identities tests In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper6
1999Bartlett Identities Tests.(1999) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
1999Bartlett Identities Tests.(1999) In: LIDAM Discussion Papers IRES.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
1994Estimation of the term structure from bond data In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper6
1999Indirect Inference, Nuisance Parameter and Threshold Moving Average In: Cahiers de recherche CREFE / CREFE Working Papers.
[Full Text][Citation analysis]		paper6
2000Sensitivity Analysis of Values at Risk In: Working Papers.
[Full Text][Citation analysis]		paper135
2000Sensitivity Analysis of Values at Risk.(2000) In: LIDAM Discussion Papers IRES.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 135		paper
2000Sensitivity Analysis of Values at Risk.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 135		paper
2000Sensitivity analysis of Values at Risk.(2000) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 135		article
2000Sensitivity analysis of values at risk.(2000) In: THEMA Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 135		paper
2000Sensitivity analysis of Values at Risk.(2000) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 135		paper
2000An Empirical Investigation in Credit Spread Indices In: Working Papers.
[Full Text][Citation analysis]		paper5
2000An Empirical Investigation in Credit Spread Indices.(2000) In: LIDAM Discussion Papers IRES.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2000Reversed Score and Likelihood Ratio Tests In: Working Papers.
[Full Text][Citation analysis]		paper2
2000Reversed Score and Likelihood Ratio Tests.(2000) In: LIDAM Discussion Papers IRES.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2000Reversed Score and Likelihood Ratio Tests.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2001A Fast Subsampling Method for Nonlinear Dynamic Models In: Working Papers.
[Full Text][Citation analysis]		paper17
2006A fast subsampling method for nonlinear dynamic models.(2006) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		article
2001A fast Subsampling Method for Nonlinear Dynamic Models..(2001) In: Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
[Citation analysis]
This paper has nother version. Agregated cites: 17		paper
2003Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements In: Working Papers.
[Full Text][Citation analysis]		paper19
2005Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements.(2005) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		article
1997Multiregime Term Structure Models In: Working Papers.
[Full Text][Citation analysis]		paper2
1997Multiregime Term Structure Models.(1997) In: LIDAM Discussion Papers IRES.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
1998Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates In: Working Papers.
[Full Text][Citation analysis]		paper7
2000Convergence of discrete time option pricing models under stochastic interest rates.(2000) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 7		paper
1999Convergence of discrete time option pricing models under stochastic interest rates.(1999) In: Finance and Stochastics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
1999Variance Optimal Cap Pricing Models In: Working Papers.
[Full Text][Citation analysis]		paper1
1999Variance Optimal Cap Pricing Models.(1999) In: LIDAM Discussion Papers IRES.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
1999Option Pricing with Discrete Rebalancing In: Working Papers.
[Full Text][Citation analysis]		paper1
1999Option Pricing with Discrete Rebalancing.(1999) In: LIDAM Discussion Papers IRES.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2004Option pricing with discrete rebalancing.(2004) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
1999Option pricing with discrete rebalancing.(1999) In: THEMA Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2002Option Pricing with Discrete Rebalancing.(2002) In: FAME Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2004Option pricing with discrete rebalancing.(2004) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 1		paper
1999An Autoregressive Conditional Binomial Option Pricing Model In: Working Papers.
[Full Text][Citation analysis]		paper12
2000An auto-regressive conditional binomial option pricing model.(2000) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
1997A New Index of Belgian Shares In: LIDAM Discussion Papers IRES.
[Full Text][Citation analysis]		paper0
2001Nonparametric Tests for Positive Quadrant Dependence In: LIDAM Discussion Papers IRES.
[Full Text][Citation analysis]		paper11
2001Density Estimation Using Inverse and Reciprocal Inverse Guassian Kernels In: LIDAM Discussion Papers IRES.
[Full Text][Citation analysis]		paper22
2001Density Estimation Using Inverse and Reciprocal Inverse Gaussian Kernels.(2001) In: THEMA Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		paper
2003Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases In: LIDAM Discussion Papers IRES.
[Full Text][Citation analysis]		paper25
2003Optimal 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: 25		paper
2003Optimal 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: 25		paper
2007Optimal 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: 25		article
2004Testing for Concordance Ordering In: ASTIN Bulletin.
[Full Text][Citation analysis]		article7
2002Testing for Concordance Ordering.(2002) In: FAME Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2005CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA In: Econometric Theory.
[Full Text][Citation analysis]		article40
2004Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators In: Royal Economic Society Annual Conference 2004.
[Full Text][Citation analysis]		paper19
2007Local 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
2003Local 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
1998Instrumental Models and Indirect Encompassing In: Econometrica.
[Citation analysis]		article9
2012Nonparametric Instrumental Variable Estimation of Structural Quantile Effects In: Econometrica.
[Full Text][Citation analysis]		article53
2007Semiparametric methods in econometrics In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2012Tikhonov regularization for nonparametric instrumental variable estimators In: Journal of Econometrics.
[Full Text][Citation analysis]		article47
1997Unemployment insurance and mortgages In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article0
2004On the way to recovery: A nonparametric bias free estimation of recovery rate densities In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article46
2003On 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: 46		paper
2021Factors and risk premia in individual international stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article13
2010Pricing American options under stochastic volatility and stochastic interest rates In: Journal of Financial Economics.
[Full Text][Citation analysis]		article30
2007Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article20
2005Kernel 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: 20		paper
2000Weak Convergence of Hedging Strategies of Contingent Claims In: THEMA Working Papers.
[Full Text][Citation analysis]		paper5
2002Weak 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
2000An Empirical Estimation in Credit Spread Indices In: THEMA Working Papers.
[Full Text][Citation analysis]		paper0
2003Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility In: THEMA Working Papers.
[Full Text][Citation analysis]		paper14
2002Linear-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
1997Convergence of discrete time options pricing models under stochastic In: THEMA Working Papers.
[Citation analysis]		paper0
1999An autoregressive conditional binomial option pricing model under stochastic rates In: THEMA Working Papers.
[Citation analysis]		paper2
In: .
[Full Text][Citation analysis]		article0
2003Mortality Risk and Real Optimal Asset Allocation for Pension Funds In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper1
2004SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper15
2004Nonparametric Estimation of Conditional Expected Shortfall In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper12
2005A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper29
2005A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper1
2005Multiariate Wavelet-based sahpe preserving estimation for dependant observation In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper7
2005A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper0
2002Nonparametric Tests Dependence For Positive Quadrant In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper0
2003Nonparametric Estimation of Copulas for Time Series In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper77
2003Nonparametric estimation of copulas for time series.(2003) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 77		paper
2003Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper0
2004A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper4
1997Convergence of Discrete Time Options Pricing Models under Stochastic Rates In: Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
[Citation analysis]		paper0
2020Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets In: Working Papers.
[Full Text][Citation analysis]		paper1
2016Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News In: Management Science.
[Full Text][Citation analysis]		article32
2017Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article1
1996Estimation de modèles de la structure par terme des taux dintérêt. In: Revue Économique.
[Full Text][Citation analysis]		article0
2014Hedge Fund Managers: Luck and Dynamic Assessment In: Bankers, Markets & Investors.
[Full Text][Citation analysis]		article3
1998Path dependent options on yields in the affine term structure model In: Finance and Stochastics.
[Full Text][Citation analysis]		article15
1999A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary In: Finance and Stochastics.
[Full Text][Citation analysis]		article2
2009A Primer on Weather Derivatives In: International Series in Operations Research & Management Science.
[Citation analysis]		chapter4
1996Compound and exchange options in the affine term structure model In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article1
1997Econométrie de la Finance: approches historiques In: ULB Institutional Repository.
[Citation analysis]		paper10

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated June, 27 2024. Contact: CitEc Team