OS
Scaillet, Olivier
| Title | Published in | Access level | OA Policy | Year | Views | Downloads | |
|---|---|---|---|---|---|---|---|
| High-frequency estimation of Itô semimartingale baseline for Hawkes processes | Annals of Statistics |  | 2025 | 17 | 19 | ||
| Mean reversion trading on the naphtha crack | Energy economics | | 2024 | 31 | 27 | ||
| Sparse spanning portfolios and under-diversification with second-order stochastic dominance | Social Science Research Network | | 2024 | 31 | 38 | ||
| Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration | | 2023 | 59 | 41 | |||
| Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified | | 2023 | 68 | 34 | |||
| Latent Factor Analysis in Short Panels | | 2023 | 59 | 71 | |||
| A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data | | 2022 | 48 | 28 | |||
| A penalized two-pass regression to predict stock returns with time-varying risk premia | | 2022 | 47 | 44 | |||
| Saddlepoint approximations for spatial panel data models | | 2021 | 46 | 31 | |||
| Skill, scale, and value creation in the mutual fund industry | | 2021 | 271 | 423 | |||
| Saddlepoint Approximations for Spatial Panel Data Models | Journal of the American Statistical Association | | 2021 | 51 | 80 | ||
| Reassessing false discoveries in mutual fund performance: skill, luck, or lack of power? a reply | Journal of Finance | | 2020 | 374 | 380 | ||
| A higher-order correct fast moving-average bootstrap for dependent data | | 2020 | 291 | 200 | |||
| Saddlepoint approximations for spatial panel data models | | 2020 | 340 | 308 | |||
| Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets | | 2020 | 319 | 230 | |||
| Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified | Social Science Research Network | | 2020 | 50 | 235 | ||
| Factors and risk premia in individual international stock returns | | 2020 | 45 | 45 | |||
| Spanning analysis of stock market anomalies under prospect stochastic dominance | | 2020 | 413 | 217 | |||
| Backtesting marginal expected shortfalland related systemic risk measures | | 2020 | 267 | 790 | |||
| A diagnostic criterion for approximate factor structure | Journal of econometrics |  | 2019 | 645 | 357 | ||
| Estimation of large dimensional conditional factor models in finance | | 2019 | 298 | 688 | |||
| The Cross-Sectional Distribution of Fund Skill Measures | | 2018 | 572 | 512 | |||
| Spanning tests for markowitz stochastic dominance | | 2018 | 554 | 350 | |||
| High-frequency jump analysis of the bitcoin market | | 2017 | 761 | 424 | |||
| Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy | Journal of financial econometrics | | 2017 | 562 | 349 | ||
| Early exercise decision in american options with dividends, stochastic volatility and jumps | | 2016 | 540 | 176 | |||
| On ill-posedness of nonparametric instrumental variable regression with convexity constraints | Econometrics journal | | 2016 | 602 | 1,116 | ||
| Valuing American options using fast recursive projections | | 2016 | 643 | 469 | |||
| Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy | | 2016 | 567 | 317 | |||
| Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets | Econometrica | | 2016 | 746 | 4 | ||
| Time-varying risk premium in large cross-sectional equity datasets | | 2015 | 1,081 | 1,699 | |||
| Jumps in high-frequency data : spurious detections, dynamics, and news | Management science | | 2015 | 891 | 909 | ||
| Hedge fund managers: luck and dynamic assessment | Bankers, Markets & Investors | | 2014 | 520 | 8 | ||
| Testing for symmetry and conditional symmetry using asymmetric kernels | Annals of the Institute of Statistical Mathematics | | 2014 | 621 | 1 | ||
| Valuing American options using fast recursive projections | | 2012 | 893 | 587 | |||
| Technical trading revisited: false discoveries,persistence tests, and transaction costs | Journal of financial economics | | 2012 | 579 | 670 | ||
| Nonparametric Instrumental Variable Estimation of Structural Quantile Effects | Econometrica | | 2012 | 480 | 308 | ||
| Tikhonov regularization for nonparametric instrumental variable estimators | Journal of econometrics | | 2012 | 518 | 298 | ||
| Robust subsampling | Journal of econometrics | | 2012 | 476 | 225 | ||
| Technical trading revisited: False discoveries, persistence tests, and transaction costs | Journal of financial economics | | 2012 | 506 | 604 | ||
| False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas | The Journal of finance | | 2010 | 608 | 1,110 | ||
| Time-varying risk premium in large cross-sectional equity datasets | Discussion Papers (Swiss Finance Institute) | | 2010 | 853 | 959 | ||
| CMS spread products | Encyclopedia of quantitative finance | | 2010 | 595 | 0 | ||
| Testing for Stochastic Dominance Efficiency | Journal of business & economic statistics | | 2010 | 475 | 345 | ||
| Pricing American options under stochastic volatility and stochastic interest rates | Journal of financial economics | | 2010 | 461 | 397 | ||
| A primer on weather derivatives | International series in operations research & management science | | 2010 | 815 | 393 | ||
| Assessing multivariate predictors of financial market movements : a latent factor framework for ordinal data | The annals of applied statistics | | 2009 | 905 | 627 | ||
| Testing for equality between two copulas | Journal of Multivariate Analysis | | 2009 | 448 | 344 | ||
| Local Transformation Kernel Density Estimation of Loss Distributions | Journal of business & economic statistics | | 2009 | 480 | 435 | ||
| Testing for threshold effect in ARFIMA models: Application to US unemployment rate data | International journal of forecasting | | 2009 | 460 | 207 | ||
| Technical trading revisited: false discoveries, persistence tests, and transaction costs | | 2008 | 571 | 1,779 | |||
| Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data | | 2008 | 787 | 507 | |||
| Nonparametric Instrumental Variable Estimation of Structural Quantile effects | | 2008 | 586 | 846 | |||
| Business and Financial Indicators: What are the Determinants of Default Probability Changes? | | 2008 | 558 | 1,884 | |||
| Testing for threshold effect in ARFIMA models: Application to US unemployment rate data | | 2008 | 684 | 799 | |||
| Weather derivatives | Encyclopedia of quantitative finance | | 2008 | 504 | 0 | ||
| Swap market models | Encyclopedia of quantitative finance | | 2008 | 477 | 1 | ||
| Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases | Annals of operation research | | 2007 | 477 | 398 | ||
| A Kolmogorov–Smirnov-Type Test for Shortfall Dominance Against Parametric Alternatives | Technometrics | | 2007 | 507 | 498 | ||
| Pricing american options under stochastic volatility and stochastic interest rates | | 2007 | 584 | 1,173 | |||
| Local multiplicative bias correction for asymmetric kernel density estimators | Journal of econometrics | | 2007 | 502 | 480 | ||
| Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters | Journal of Multivariate Analysis | | 2007 | 401 | 376 | ||
| Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility | The Review of financial studies | | 2007 | 460 | 318 | ||
| Multivariate wavelet-based shape-preserving estimation for dependent observations | Bernoulli | | 2007 | 455 | 195 | ||
| A specification test for nonparametric instrumental variable regression | | 2007 | 570 | 707 | |||
| The estimation of copulas : theory and practice | Copulas: from theory to application in finance | | 2007 | 1,550 | 1,528 | ||
| Linear-quadratic jump-diffusion modeling | Mathematical finance | | 2007 | 468 | 313 | ||
| Robust Subsampling | | 2006 | 553 | 588 | |||
| Linear-Quadratic Jump-Diffusion Modeling | | 2006 | 616 | 916 | |||
| Approximation and Calibration of Short-Term implied Volatilities under Jump-Diffusion Stochastic Volatility | | 2006 | 596 | 1,029 | |||
| Optimal asset management for pension funds | Managerial finance | | 2006 | 533 | 2 | ||
| Local Transformation Kernel Density Estimation of Loss | | 2006 | 558 | 569 | |||
| Tikhonov Regularization for Nonparametric Instrumental Variable Estimators | | 2006 | 644 | 877 | |||
| Testing for Equality Between Two Copulas | | 2006 | 602 | 845 | |||
| False Discoveries in Mutual Fund Performance : Measuring Luck in Estimated Alphas | | 2005 | 533 | 3,164 | |||
| Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data | Econometric theory | | 2005 | 850 | 886 | ||
| Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements | Journal of banking & finance | | 2005 | 504 | 349 | ||
| A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements | | 2005 | 830 | 564 | |||
| Multivariate wavelet-based shape preserving estimation for dependent observations | | 2005 | 555 | 708 | |||
| Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters | | 2005 | 903 | 5,640 | |||
| Nonparametric estimation of conditional expected shortfall | Insurance and risk management journal | | 2005 | 855 | 982 | ||
| A Kolmogorov-Smirnov type test for positive quadrant dependence | | 2005 | 568 | 1,036 | |||
| A kolmogorov-smirnov type test for positive quadrant dependence | Canadian journal of statistics | | 2005 | 438 | 355 | ||
| Testing for stochastic dominance efficiency | | 2005 | 617 | 2,459 | |||
| A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives | | 2005 | 598 | 1,106 | |||
| Some Statistical Pitfalls in Copula Modeling for Financial Applications | | 2004 | 630 | 1,246 | |||
| Theory and Calibration of Swap Market Models | | 2004 | 734 | 1,318 | |||
| Option pricing with discrete rebalancing | Journal of empirical finance | | 2004 | 753 | 442 | ||
| Nonparametric estimation and sensitivity analysis of expected shortfall | Mathematical finance | | 2004 | 815 | 1,090 | ||
| Testing for Concordance Ordering | ASTIN bulletin | | 2004 | 531 | 1,274 | ||
| Density estimation using inverse and reciprocal inverse Gaussian kernels | Journal of nonparametric statistics | | 2004 | 879 | 767 | ||
| Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimator | | 2003 | 583 | 901 | |||
| Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements | | 2003 | 840 | 921 | |||
| Indirect inference, nuisance parameter and threshold moving average models | Journal of business & economic statistics | | 2003 | 777 | 305 | ||
| Mortality risk and real optimal asset allocation for pension funds | | 2003 | 528 | 1,142 | |||
| Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases | | 2003 | 858 | 779 | |||
| A simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics | | 2003 | 637 | 930 | |||
| On the Way to Recovery : A Nonparametric Bias Free Estimation of Recovery Rate Densities | | 2003 | 581 | 1,262 | |||
| Nonparametric estimation of copulas for time series | | 2003 | 986 | 931 | |||
| Weak Convergence of Hedging Strategies of Contingent Claims | | 2002 | 529 | 746 | |||
| Nonparametric tests for positive quadrant dependence | | 2002 | 510 | 1,373 | |||
| A fast subsampling method for nonlinear dynamic models | | 2001 | 446 | 1,479 | |||
| An empirical investigation in credit spread indices | The journal of risk | | 2001 | 771 | 780 | ||
| An auto-regressive conditional binomial option pricing model | Selected Papers from the First World Congress of the Bachelier Finance Society | | 2001 | 515 | 0 | ||
| Sensitivity analysis of values at risk | Journal of empirical finance | | 2000 | 800 | 2,018 | ||
| A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary | Finance and stochastics | | 2000 | 869 | 508 | ||
| Convergence of discrete time option pricing models under stochastic interest rates | Finance and stochastics | | 2000 | 709 | 363 | ||
| Reverse score and likelihood ratio tests | Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) | | 1999 | 430 | 1 | ||
| Bartlett identities tests | Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) | | 1999 | 699 | 153 | ||
| Variance optimal cap pricing models | Discussion Papers (IRES -Institut de recherches économiques et sociales) | | 1999 | 641 | 139 | ||
| Instrumental models and indirect encompassing | Econometrica | | 1998 | 759 | 792 | ||
| Path dependent options on yields in the affine term structure model | Finance and stochastics | | 1998 | 826 | 632 | ||
| Quasi indirect inference for diffusion processes | Econometric theory | | 1998 | 504 | 2 | ||
| Compound and exchange options in the affine term structure model | Applied mathematical finance | | 1996 | 454 | 0 | ||
| Estimation de modèles de la structure par terme des taux d'intérêt | Revue économique | | 1996 | 782 | 381 | ||
| Testing for continuous-time models of the short-term interest rate | Journal of empirical finance | | 1995 | 533 | 0 | ||
| Forecast intervals in ARCH exponential smoothing | Discussion Papers (CORE - Center for Operations research & econometrics) | | 1994 | 739 | 95 |
