OS
Scaillet, Olivier
| Title | Published in | Access level | OA Policy | Year | Views | Downloads | |
|---|---|---|---|---|---|---|---|
| Optimal Maximin GMM Tests for Sphericity in Latent Factor Analysis of Short Panels | 2025 | 37 | 197 | ||||
| Mean reversion trading on the naphtha crack | Energy economics | 2025 | 14 | 171 | |||
| Green Silence: Double machine learning carbon emissions under sample selection bias | Review | 2025 | 15 | 26 | |||
| Dynamic Portfolio Allocation Under Market Incompleteness and Wealth Effects | Operations research | 2025 | 12 | 314 | |||
| High-frequency estimation of Itô semimartingale baseline for Hawkes processes | Annals of Statistics | 2025 | 46 | 304 | |||
| Mean reversion trading on the naphtha crack | Energy economics | 2024 | 89 | 156 | |||
| Sparse spanning portfolios and under-diversification with second-order stochastic dominance | Social Science Research Network | 2024 | 63 | 327 | |||
| Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration | 2023 | 111 | 231 | ||||
| Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified | 2023 | 114 | 506 | ||||
| Latent Factor Analysis in Short Panels | 2023 | 91 | 448 | ||||
| A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data | 2022 | 90 | 103 | ||||
| A penalized two-pass regression to predict stock returns with time-varying risk premia | 2022 | 80 | 232 | ||||
| Saddlepoint approximations for spatial panel data models | 2021 | 79 | 184 | ||||
| Skill, scale, and value creation in the mutual fund industry | 2021 | 333 | 861 | ||||
| Saddlepoint Approximations for Spatial Panel Data Models | Journal of the American Statistical Association | 2021 | 94 | 281 | |||
| Reassessing false discoveries in mutual fund performance: skill, luck, or lack of power? a reply | Journal of Finance | 2020 | 431 | 762 | |||
| A higher-order correct fast moving-average bootstrap for dependent data | 2020 | 322 | 242 | ||||
| Saddlepoint approximations for spatial panel data models | 2020 | 380 | 440 | ||||
| Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets | 2020 | 350 | 391 | ||||
| Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified | Social Science Research Network | 2020 | 96 | 635 | |||
| Factors and risk premia in individual international stock returns | 2020 | 76 | 314 | ||||
| Spanning analysis of stock market anomalies under prospect stochastic dominance | 2020 | 463 | 425 | ||||
| Backtesting marginal expected shortfalland related systemic risk measures | 2020 | 316 | 1,392 | ||||
| A diagnostic criterion for approximate factor structure | Journal of econometrics | 2019 | 699 | 357 | |||
| Estimation of large dimensional conditional factor models in finance | 2019 | 337 | 1,179 | ||||
| The Cross-Sectional Distribution of Fund Skill Measures | 2018 | 639 | 707 | ||||
| Spanning tests for markowitz stochastic dominance | 2018 | 653 | 532 | ||||
| High-frequency jump analysis of the bitcoin market | 2017 | 831 | 2,488 | ||||
| Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy | Journal of financial econometrics | 2017 | 615 | 487 | |||
| Early exercise decision in american options with dividends, stochastic volatility and jumps | 2016 | 600 | 5,153 | ||||
| On ill-posedness of nonparametric instrumental variable regression with convexity constraints | Econometrics journal | 2016 | 635 | 1,217 | |||
| Valuing American options using fast recursive projections | 2016 | 707 | 743 | ||||
| Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy | 2016 | 607 | 392 | ||||
| Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets | Econometrica | 2016 | 848 | 4 | |||
| Time-varying risk premium in large cross-sectional equity datasets | 2015 | 1,135 | 1,876 | ||||
| Jumps in high-frequency data : spurious detections, dynamics, and news | Management science | 2015 | 966 | 1,430 | |||
| Hedge fund managers: luck and dynamic assessment | Bankers, Markets & Investors | 2014 | 557 | 8 | |||
| Testing for symmetry and conditional symmetry using asymmetric kernels | Annals of the Institute of Statistical Mathematics | 2014 | 672 | 1 | |||
| Valuing American options using fast recursive projections | 2012 | 945 | 909 | ||||
| Technical trading revisited: false discoveries,persistence tests, and transaction costs | Journal of financial economics | 2012 | 716 | 1,194 | |||
| Nonparametric Instrumental Variable Estimation of Structural Quantile Effects | Econometrica | 2012 | 510 | 393 | |||
| Tikhonov regularization for nonparametric instrumental variable estimators | Journal of econometrics | 2012 | 561 | 621 | |||
| Robust subsampling | Journal of econometrics | 2012 | 525 | 349 | |||
| Technical trading revisited: False discoveries, persistence tests, and transaction costs | Journal of financial economics | 2012 | 587 | 1,229 | |||
| False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas | The Journal of finance | 2010 | 826 | 2,859 | |||
| Time-varying risk premium in large cross-sectional equity datasets | Discussion Papers (Swiss Finance Institute) | 2010 | 905 | 1,582 | |||
| CMS spread products | Encyclopedia of quantitative finance | 2010 | 619 | 0 | |||
| Testing for Stochastic Dominance Efficiency | Journal of business & economic statistics | 2010 | 513 | 670 | |||
| Pricing American options under stochastic volatility and stochastic interest rates | Journal of financial economics | 2010 | 508 | 709 | |||
| A primer on weather derivatives | International series in operations research & management science | 2010 | 860 | 639 | |||
| Assessing multivariate predictors of financial market movements : a latent factor framework for ordinal data | The annals of applied statistics | 2009 | 957 | 781 | |||
| Testing for equality between two copulas | Journal of Multivariate Analysis | 2009 | 503 | 596 | |||
| Local Transformation Kernel Density Estimation of Loss Distributions | Journal of business & economic statistics | 2009 | 536 | 645 | |||
| Testing for threshold effect in ARFIMA models: Application to US unemployment rate data | International journal of forecasting | 2009 | 500 | 295 | |||
| Technical trading revisited: false discoveries, persistence tests, and transaction costs | 2008 | 618 | 2,608 | ||||
| Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data | 2008 | 836 | 586 | ||||
| Nonparametric Instrumental Variable Estimation of Structural Quantile effects | 2008 | 627 | 1,318 | ||||
| Business and Financial Indicators: What are the Determinants of Default Probability Changes? | 2008 | 609 | 2,007 | ||||
| Testing for threshold effect in ARFIMA models: Application to US unemployment rate data | 2008 | 737 | 852 | ||||
| Weather derivatives | Encyclopedia of quantitative finance | 2008 | 544 | 0 | |||
| Swap market models | Encyclopedia of quantitative finance | 2008 | 507 | 1 | |||
| Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases | Annals of operation research | 2007 | 517 | 552 | |||
| A Kolmogorov–Smirnov-Type Test for Shortfall Dominance Against Parametric Alternatives | Technometrics | 2007 | 543 | 627 | |||
| Pricing american options under stochastic volatility and stochastic interest rates | 2007 | 638 | 1,305 | ||||
| Local multiplicative bias correction for asymmetric kernel density estimators | Journal of econometrics | 2007 | 544 | 722 | |||
| Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters | Journal of Multivariate Analysis | 2007 | 439 | 510 | |||
| Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility | The Review of financial studies | 2007 | 518 | 597 | |||
| Multivariate wavelet-based shape-preserving estimation for dependent observations | Bernoulli | 2007 | 483 | 333 | |||
| A specification test for nonparametric instrumental variable regression | 2007 | 626 | 844 | ||||
| The estimation of copulas : theory and practice | Copulas: from theory to application in finance | 2007 | 1,729 | 1,985 | |||
| Linear-quadratic jump-diffusion modeling | Mathematical finance | 2007 | 507 | 512 | |||
| Robust Subsampling | 2006 | 586 | 600 | ||||
| Linear-Quadratic Jump-Diffusion Modeling | 2006 | 682 | 990 | ||||
| Approximation and Calibration of Short-Term implied Volatilities under Jump-Diffusion Stochastic Volatility | 2006 | 635 | 1,116 | ||||
| Optimal asset management for pension funds | Managerial finance | 2006 | 559 | 2 | |||
| Local Transformation Kernel Density Estimation of Loss | 2006 | 611 | 581 | ||||
| Tikhonov Regularization for Nonparametric Instrumental Variable Estimators | 2006 | 688 | 973 | ||||
| Testing for Equality Between Two Copulas | 2006 | 669 | 920 | ||||
| False Discoveries in Mutual Fund Performance : Measuring Luck in Estimated Alphas | 2005 | 664 | 3,621 | ||||
| Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data | Econometric theory | 2005 | 909 | 1,194 | |||
| Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements | Journal of banking & finance | 2005 | 542 | 715 | |||
| A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements | 2005 | 873 | 793 | ||||
| Multivariate wavelet-based shape preserving estimation for dependent observations | 2005 | 615 | 818 | ||||
| Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters | 2005 | 936 | 5,671 | ||||
| Nonparametric estimation of conditional expected shortfall | Insurance and risk management journal | 2005 | 912 | 1,143 | |||
| A Kolmogorov-Smirnov type test for positive quadrant dependence | 2005 | 612 | 1,119 | ||||
| A kolmogorov-smirnov type test for positive quadrant dependence | Canadian journal of statistics | 2005 | 482 | 585 | |||
| Testing for stochastic dominance efficiency | 2005 | 667 | 2,575 | ||||
| A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives | 2005 | 653 | 1,289 | ||||
| Some Statistical Pitfalls in Copula Modeling for Financial Applications | 2004 | 673 | 1,338 | ||||
| Theory and Calibration of Swap Market Models | 2004 | 819 | 2,210 | ||||
| Option pricing with discrete rebalancing | Journal of empirical finance | 2004 | 807 | 737 | |||
| Nonparametric estimation and sensitivity analysis of expected shortfall | Mathematical finance | 2004 | 886 | 1,538 | |||
| Testing for Concordance Ordering | ASTIN bulletin | 2004 | 566 | 1,572 | |||
| Density estimation using inverse and reciprocal inverse Gaussian kernels | Journal of nonparametric statistics | 2004 | 936 | 1,173 | |||
| Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimator | 2003 | 626 | 1,020 | ||||
| Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements | 2003 | 882 | 1,049 | ||||
| Indirect inference, nuisance parameter and threshold moving average models | Journal of business & economic statistics | 2003 | 815 | 381 | |||
| Mortality risk and real optimal asset allocation for pension funds | 2003 | 571 | 1,204 | ||||
| Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases | 2003 | 928 | 839 | ||||
| A simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics | 2003 | 681 | 1,044 | ||||
| On the Way to Recovery : A Nonparametric Bias Free Estimation of Recovery Rate Densities | 2003 | 626 | 1,490 | ||||
| Nonparametric estimation of copulas for time series | 2003 | 1,033 | 1,401 | ||||
| Weak Convergence of Hedging Strategies of Contingent Claims | 2002 | 569 | 891 | ||||
| Nonparametric tests for positive quadrant dependence | 2002 | 563 | 1,777 | ||||
| A fast subsampling method for nonlinear dynamic models | 2001 | 502 | 1,584 | ||||
| An empirical investigation in credit spread indices | The journal of risk | 2001 | 851 | 893 | |||
| An auto-regressive conditional binomial option pricing model | Selected Papers from the First World Congress of the Bachelier Finance Society | 2001 | 537 | 0 | |||
| Sensitivity analysis of values at risk | Journal of empirical finance | 2000 | 902 | 2,180 | |||
| A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary | Finance and stochastics | 2000 | 939 | 548 | |||
| Convergence of discrete time option pricing models under stochastic interest rates | Finance and stochastics | 2000 | 774 | 458 | |||
| Reverse score and likelihood ratio tests | Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) | 1999 | 465 | 1 | |||
| Bartlett identities tests | Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) | 1999 | 749 | 442 | |||
| Variance optimal cap pricing models | Discussion Papers (IRES -Institut de recherches économiques et sociales) | 1999 | 692 | 289 | |||
| Instrumental models and indirect encompassing | Econometrica | 1998 | 824 | 948 | |||
| Path dependent options on yields in the affine term structure model | Finance and stochastics | 1998 | 878 | 826 | |||
| Quasi indirect inference for diffusion processes | Econometric theory | 1998 | 535 | 2 | |||
| Compound and exchange options in the affine term structure model | Applied mathematical finance | 1996 | 491 | 0 | |||
| Estimation de modèles de la structure par terme des taux d'intérêt | Revue économique | 1996 | 830 | 535 | |||
| Testing for continuous-time models of the short-term interest rate | Journal of empirical finance | 1995 | 559 | 0 | |||
| Forecast intervals in ARCH exponential smoothing | Discussion Papers (CORE - Center for Operations research & econometrics) | 1994 | 795 | 110 |
