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 | 35 | 138 | ||||
| Mean reversion trading on the naphtha crack | Energy economics | 2025 | 11 | 85 | |||
| Green Silence: Double machine learning carbon emissions under sample selection bias | Review | 2025 | 11 | 19 | |||
| Dynamic Portfolio Allocation Under Market Incompleteness and Wealth Effects | Operations research | 2025 | 8 | 173 | |||
| High-frequency estimation of Itô semimartingale baseline for Hawkes processes | Annals of Statistics | 2025 | 45 | 241 | |||
| Mean reversion trading on the naphtha crack | Energy economics | 2024 | 88 | 122 | |||
| Sparse spanning portfolios and under-diversification with second-order stochastic dominance | Social Science Research Network | 2024 | 62 | 208 | |||
| Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration | 2023 | 111 | 184 | ||||
| Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified | 2023 | 111 | 335 | ||||
| Latent Factor Analysis in Short Panels | 2023 | 89 | 313 | ||||
| A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data | 2022 | 89 | 82 | ||||
| A penalized two-pass regression to predict stock returns with time-varying risk premia | 2022 | 78 | 187 | ||||
| Saddlepoint approximations for spatial panel data models | 2021 | 77 | 136 | ||||
| Skill, scale, and value creation in the mutual fund industry | 2021 | 331 | 670 | ||||
| Saddlepoint Approximations for Spatial Panel Data Models | Journal of the American Statistical Association | 2021 | 86 | 216 | |||
| Reassessing false discoveries in mutual fund performance: skill, luck, or lack of power? a reply | Journal of Finance | 2020 | 429 | 690 | |||
| A higher-order correct fast moving-average bootstrap for dependent data | 2020 | 320 | 227 | ||||
| Saddlepoint approximations for spatial panel data models | 2020 | 377 | 420 | ||||
| Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets | 2020 | 348 | 339 | ||||
| Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified | Social Science Research Network | 2020 | 95 | 501 | |||
| Factors and risk premia in individual international stock returns | 2020 | 75 | 239 | ||||
| Spanning analysis of stock market anomalies under prospect stochastic dominance | 2020 | 462 | 368 | ||||
| Backtesting marginal expected shortfalland related systemic risk measures | 2020 | 311 | 1,202 | ||||
| A diagnostic criterion for approximate factor structure | Journal of econometrics | 2019 | 696 | 357 | |||
| Estimation of large dimensional conditional factor models in finance | 2019 | 336 | 988 | ||||
| The Cross-Sectional Distribution of Fund Skill Measures | 2018 | 638 | 678 | ||||
| Spanning tests for markowitz stochastic dominance | 2018 | 652 | 483 | ||||
| High-frequency jump analysis of the bitcoin market | 2017 | 828 | 1,325 | ||||
| Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy | Journal of financial econometrics | 2017 | 613 | 451 | |||
| Early exercise decision in american options with dividends, stochastic volatility and jumps | 2016 | 598 | 3,814 | ||||
| On ill-posedness of nonparametric instrumental variable regression with convexity constraints | Econometrics journal | 2016 | 633 | 1,201 | |||
| Valuing American options using fast recursive projections | 2016 | 701 | 666 | ||||
| Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy | 2016 | 604 | 375 | ||||
| Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets | Econometrica | 2016 | 845 | 4 | |||
| Time-varying risk premium in large cross-sectional equity datasets | 2015 | 1,132 | 1,822 | ||||
| Jumps in high-frequency data : spurious detections, dynamics, and news | Management science | 2015 | 963 | 1,224 | |||
| Hedge fund managers: luck and dynamic assessment | Bankers, Markets & Investors | 2014 | 555 | 8 | |||
| Testing for symmetry and conditional symmetry using asymmetric kernels | Annals of the Institute of Statistical Mathematics | 2014 | 671 | 1 | |||
| Valuing American options using fast recursive projections | 2012 | 943 | 770 | ||||
| Technical trading revisited: false discoveries,persistence tests, and transaction costs | Journal of financial economics | 2012 | 714 | 939 | |||
| Nonparametric Instrumental Variable Estimation of Structural Quantile Effects | Econometrica | 2012 | 509 | 386 | |||
| Tikhonov regularization for nonparametric instrumental variable estimators | Journal of econometrics | 2012 | 558 | 565 | |||
| Robust subsampling | Journal of econometrics | 2012 | 522 | 321 | |||
| Technical trading revisited: False discoveries, persistence tests, and transaction costs | Journal of financial economics | 2012 | 581 | 1,007 | |||
| False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas | The Journal of finance | 2010 | 823 | 2,405 | |||
| Time-varying risk premium in large cross-sectional equity datasets | Discussion Papers (Swiss Finance Institute) | 2010 | 903 | 1,371 | |||
| CMS spread products | Encyclopedia of quantitative finance | 2010 | 617 | 0 | |||
| Testing for Stochastic Dominance Efficiency | Journal of business & economic statistics | 2010 | 512 | 601 | |||
| Pricing American options under stochastic volatility and stochastic interest rates | Journal of financial economics | 2010 | 502 | 613 | |||
| A primer on weather derivatives | International series in operations research & management science | 2010 | 858 | 581 | |||
| Assessing multivariate predictors of financial market movements : a latent factor framework for ordinal data | The annals of applied statistics | 2009 | 955 | 755 | |||
| Testing for equality between two copulas | Journal of Multivariate Analysis | 2009 | 500 | 546 | |||
| Local Transformation Kernel Density Estimation of Loss Distributions | Journal of business & economic statistics | 2009 | 531 | 600 | |||
| Testing for threshold effect in ARFIMA models: Application to US unemployment rate data | International journal of forecasting | 2009 | 498 | 278 | |||
| Technical trading revisited: false discoveries, persistence tests, and transaction costs | 2008 | 615 | 2,269 | ||||
| Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data | 2008 | 835 | 571 | ||||
| Nonparametric Instrumental Variable Estimation of Structural Quantile effects | 2008 | 624 | 1,176 | ||||
| Business and Financial Indicators: What are the Determinants of Default Probability Changes? | 2008 | 604 | 1,994 | ||||
| Testing for threshold effect in ARFIMA models: Application to US unemployment rate data | 2008 | 736 | 841 | ||||
| Weather derivatives | Encyclopedia of quantitative finance | 2008 | 542 | 0 | |||
| Swap market models | Encyclopedia of quantitative finance | 2008 | 505 | 1 | |||
| Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases | Annals of operation research | 2007 | 514 | 483 | |||
| A Kolmogorov–Smirnov-Type Test for Shortfall Dominance Against Parametric Alternatives | Technometrics | 2007 | 537 | 598 | |||
| Pricing american options under stochastic volatility and stochastic interest rates | 2007 | 637 | 1,288 | ||||
| Local multiplicative bias correction for asymmetric kernel density estimators | Journal of econometrics | 2007 | 542 | 661 | |||
| Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters | Journal of Multivariate Analysis | 2007 | 438 | 482 | |||
| Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility | The Review of financial studies | 2007 | 514 | 521 | |||
| Multivariate wavelet-based shape-preserving estimation for dependent observations | Bernoulli | 2007 | 482 | 299 | |||
| A specification test for nonparametric instrumental variable regression | 2007 | 623 | 815 | ||||
| The estimation of copulas : theory and practice | Copulas: from theory to application in finance | 2007 | 1,725 | 1,879 | |||
| Linear-quadratic jump-diffusion modeling | Mathematical finance | 2007 | 505 | 455 | |||
| Robust Subsampling | 2006 | 585 | 597 | ||||
| Linear-Quadratic Jump-Diffusion Modeling | 2006 | 676 | 977 | ||||
| Approximation and Calibration of Short-Term implied Volatilities under Jump-Diffusion Stochastic Volatility | 2006 | 632 | 1,063 | ||||
| Optimal asset management for pension funds | Managerial finance | 2006 | 556 | 2 | |||
| Local Transformation Kernel Density Estimation of Loss | 2006 | 606 | 577 | ||||
| Tikhonov Regularization for Nonparametric Instrumental Variable Estimators | 2006 | 683 | 941 | ||||
| Testing for Equality Between Two Copulas | 2006 | 665 | 892 | ||||
| False Discoveries in Mutual Fund Performance : Measuring Luck in Estimated Alphas | 2005 | 659 | 3,447 | ||||
| Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data | Econometric theory | 2005 | 905 | 1,120 | |||
| Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements | Journal of banking & finance | 2005 | 539 | 626 | |||
| A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements | 2005 | 870 | 709 | ||||
| Multivariate wavelet-based shape preserving estimation for dependent observations | 2005 | 610 | 758 | ||||
| Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters | 2005 | 935 | 5,658 | ||||
| Nonparametric estimation of conditional expected shortfall | Insurance and risk management journal | 2005 | 910 | 1,112 | |||
| A Kolmogorov-Smirnov type test for positive quadrant dependence | 2005 | 608 | 1,088 | ||||
| A kolmogorov-smirnov type test for positive quadrant dependence | Canadian journal of statistics | 2005 | 481 | 493 | |||
| Testing for stochastic dominance efficiency | 2005 | 666 | 2,541 | ||||
| A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives | 2005 | 652 | 1,238 | ||||
| Some Statistical Pitfalls in Copula Modeling for Financial Applications | 2004 | 672 | 1,306 | ||||
| Theory and Calibration of Swap Market Models | 2004 | 815 | 1,940 | ||||
| Option pricing with discrete rebalancing | Journal of empirical finance | 2004 | 803 | 691 | |||
| Nonparametric estimation and sensitivity analysis of expected shortfall | Mathematical finance | 2004 | 884 | 1,448 | |||
| Testing for Concordance Ordering | ASTIN bulletin | 2004 | 565 | 1,448 | |||
| Density estimation using inverse and reciprocal inverse Gaussian kernels | Journal of nonparametric statistics | 2004 | 935 | 1,067 | |||
| Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimator | 2003 | 625 | 984 | ||||
| Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements | 2003 | 878 | 1,037 | ||||
| Indirect inference, nuisance parameter and threshold moving average models | Journal of business & economic statistics | 2003 | 812 | 373 | |||
| Mortality risk and real optimal asset allocation for pension funds | 2003 | 564 | 1,203 | ||||
| Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases | 2003 | 927 | 825 | ||||
| A simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics | 2003 | 680 | 1,002 | ||||
| On the Way to Recovery : A Nonparametric Bias Free Estimation of Recovery Rate Densities | 2003 | 625 | 1,429 | ||||
| Nonparametric estimation of copulas for time series | 2003 | 1,031 | 1,247 | ||||
| Weak Convergence of Hedging Strategies of Contingent Claims | 2002 | 568 | 848 | ||||
| Nonparametric tests for positive quadrant dependence | 2002 | 560 | 1,652 | ||||
| A fast subsampling method for nonlinear dynamic models | 2001 | 500 | 1,571 | ||||
| An empirical investigation in credit spread indices | The journal of risk | 2001 | 849 | 857 | |||
| An auto-regressive conditional binomial option pricing model | Selected Papers from the First World Congress of the Bachelier Finance Society | 2001 | 535 | 0 | |||
| Sensitivity analysis of values at risk | Journal of empirical finance | 2000 | 900 | 2,143 | |||
| A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary | Finance and stochastics | 2000 | 934 | 544 | |||
| Convergence of discrete time option pricing models under stochastic interest rates | Finance and stochastics | 2000 | 769 | 433 | |||
| Reverse score and likelihood ratio tests | Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) | 1999 | 463 | 1 | |||
| Bartlett identities tests | Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) | 1999 | 747 | 389 | |||
| Variance optimal cap pricing models | Discussion Papers (IRES -Institut de recherches économiques et sociales) | 1999 | 690 | 253 | |||
| Instrumental models and indirect encompassing | Econometrica | 1998 | 820 | 921 | |||
| Path dependent options on yields in the affine term structure model | Finance and stochastics | 1998 | 875 | 767 | |||
| Quasi indirect inference for diffusion processes | Econometric theory | 1998 | 530 | 2 | |||
| Compound and exchange options in the affine term structure model | Applied mathematical finance | 1996 | 488 | 0 | |||
| Estimation de modèles de la structure par terme des taux d'intérêt | Revue économique | 1996 | 827 | 499 | |||
| Testing for continuous-time models of the short-term interest rate | Journal of empirical finance | 1995 | 557 | 0 | |||
| Forecast intervals in ARCH exponential smoothing | Discussion Papers (CORE - Center for Operations research & econometrics) | 1994 | 793 | 108 |
