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 | 28 | 56 | |||
| Mean reversion trading on the naphtha crack | Energy economics | | 2025 | 6 | 1 | ||
| Green Silence: Double machine learning carbon emissions under sample selection bias | Review | | 2025 | 5 | 1 | ||
| Dynamic Portfolio Allocation Under Market Incompleteness and Wealth Effects | Operations research | | 2025 | 6 | 2 | ||
| High-frequency estimation of Itô semimartingale baseline for Hawkes processes | Annals of Statistics | | 2025 | 43 | 74 | ||
| Mean reversion trading on the naphtha crack | Energy economics | | 2024 | 80 | 86 | ||
| Sparse spanning portfolios and under-diversification with second-order stochastic dominance | Social Science Research Network | | 2024 | 60 | 101 | ||
| Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration | | 2023 | 107 | 132 | |||
| Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified | | 2023 | 105 | 141 | |||
| Latent Factor Analysis in Short Panels | | 2023 | 88 | 167 | |||
| A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data | | 2022 | 87 | 74 | |||
| A penalized two-pass regression to predict stock returns with time-varying risk premia | | 2022 | 75 | 112 | |||
| Saddlepoint approximations for spatial panel data models | | 2021 | 75 | 76 | |||
| Skill, scale, and value creation in the mutual fund industry | | 2021 | 325 | 507 | |||
| Saddlepoint Approximations for Spatial Panel Data Models | Journal of the American Statistical Association | | 2021 | 81 | 146 | ||
| Reassessing false discoveries in mutual fund performance: skill, luck, or lack of power? a reply | Journal of Finance | | 2020 | 425 | 481 | ||
| A higher-order correct fast moving-average bootstrap for dependent data | | 2020 | 317 | 217 | |||
| Saddlepoint approximations for spatial panel data models | | 2020 | 374 | 384 | |||
| Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets | | 2020 | 343 | 280 | |||
| Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified | Social Science Research Network | | 2020 | 92 | 414 | ||
| Factors and risk premia in individual international stock returns | | 2020 | 73 | 134 | |||
| Spanning analysis of stock market anomalies under prospect stochastic dominance | | 2020 | 459 | 308 | |||
| Backtesting marginal expected shortfalland related systemic risk measures | | 2020 | 305 | 984 | |||
| A diagnostic criterion for approximate factor structure | Journal of econometrics |  | 2019 | 694 | 357 | ||
| Estimation of large dimensional conditional factor models in finance | | 2019 | 335 | 822 | |||
| The Cross-Sectional Distribution of Fund Skill Measures | | 2018 | 637 | 626 | |||
| Spanning tests for markowitz stochastic dominance | | 2018 | 644 | 457 | |||
| High-frequency jump analysis of the bitcoin market | | 2017 | 824 | 759 | |||
| Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy | Journal of financial econometrics | | 2017 | 606 | 407 | ||
| Early exercise decision in american options with dividends, stochastic volatility and jumps | | 2016 | 595 | 1,959 | |||
| On ill-posedness of nonparametric instrumental variable regression with convexity constraints | Econometrics journal | | 2016 | 629 | 1,152 | ||
| Valuing American options using fast recursive projections | | 2016 | 699 | 552 | |||
| Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy | | 2016 | 603 | 349 | |||
| Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets | Econometrica | | 2016 | 842 | 4 | ||
| Time-varying risk premium in large cross-sectional equity datasets | | 2015 | 1,126 | 1,757 | |||
| Jumps in high-frequency data : spurious detections, dynamics, and news | Management science | | 2015 | 960 | 1,064 | ||
| Hedge fund managers: luck and dynamic assessment | Bankers, Markets & Investors | | 2014 | 551 | 8 | ||
| Testing for symmetry and conditional symmetry using asymmetric kernels | Annals of the Institute of Statistical Mathematics | | 2014 | 665 | 1 | ||
| Valuing American options using fast recursive projections | | 2012 | 940 | 676 | |||
| Technical trading revisited: false discoveries,persistence tests, and transaction costs | Journal of financial economics | | 2012 | 710 | 783 | ||
| Nonparametric Instrumental Variable Estimation of Structural Quantile Effects | Econometrica | | 2012 | 507 | 364 | ||
| Tikhonov regularization for nonparametric instrumental variable estimators | Journal of econometrics | | 2012 | 553 | 436 | ||
| Robust subsampling | Journal of econometrics | | 2012 | 519 | 283 | ||
| Technical trading revisited: False discoveries, persistence tests, and transaction costs | Journal of financial economics | | 2012 | 579 | 760 | ||
| False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas | The Journal of finance | | 2010 | 818 | 1,683 | ||
| Time-varying risk premium in large cross-sectional equity datasets | Discussion Papers (Swiss Finance Institute) | | 2010 | 899 | 1,145 | ||
| CMS spread products | Encyclopedia of quantitative finance | | 2010 | 613 | 0 | ||
| Testing for Stochastic Dominance Efficiency | Journal of business & economic statistics | | 2010 | 510 | 484 | ||
| Pricing American options under stochastic volatility and stochastic interest rates | Journal of financial economics | | 2010 | 496 | 474 | ||
| A primer on weather derivatives | International series in operations research & management science | | 2010 | 854 | 476 | ||
| Assessing multivariate predictors of financial market movements : a latent factor framework for ordinal data | The annals of applied statistics | | 2009 | 950 | 682 | ||
| Testing for equality between two copulas | Journal of Multivariate Analysis | | 2009 | 496 | 477 | ||
| Local Transformation Kernel Density Estimation of Loss Distributions | Journal of business & economic statistics | | 2009 | 528 | 520 | ||
| Testing for threshold effect in ARFIMA models: Application to US unemployment rate data | International journal of forecasting | | 2009 | 494 | 251 | ||
| Technical trading revisited: false discoveries, persistence tests, and transaction costs | | 2008 | 611 | 1,883 | |||
| Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data | | 2008 | 830 | 543 | |||
| Nonparametric Instrumental Variable Estimation of Structural Quantile effects | | 2008 | 619 | 976 | |||
| Business and Financial Indicators: What are the Determinants of Default Probability Changes? | | 2008 | 598 | 1,963 | |||
| Testing for threshold effect in ARFIMA models: Application to US unemployment rate data | | 2008 | 732 | 822 | |||
| Weather derivatives | Encyclopedia of quantitative finance | | 2008 | 536 | 0 | ||
| Swap market models | Encyclopedia of quantitative finance | | 2008 | 498 | 1 | ||
| Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases | Annals of operation research | | 2007 | 511 | 455 | ||
| A Kolmogorov–Smirnov-Type Test for Shortfall Dominance Against Parametric Alternatives | Technometrics | | 2007 | 533 | 558 | ||
| Pricing american options under stochastic volatility and stochastic interest rates | | 2007 | 631 | 1,237 | |||
| Local multiplicative bias correction for asymmetric kernel density estimators | Journal of econometrics | | 2007 | 536 | 587 | ||
| Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters | Journal of Multivariate Analysis | | 2007 | 436 | 445 | ||
| Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility | The Review of financial studies | | 2007 | 513 | 425 | ||
| Multivariate wavelet-based shape-preserving estimation for dependent observations | Bernoulli | | 2007 | 480 | 266 | ||
| A specification test for nonparametric instrumental variable regression | | 2007 | 616 | 780 | |||
| The estimation of copulas : theory and practice | Copulas: from theory to application in finance | | 2007 | 1,709 | 1,681 | ||
| Linear-quadratic jump-diffusion modeling | Mathematical finance | | 2007 | 502 | 397 | ||
| Robust Subsampling | | 2006 | 580 | 591 | |||
| Linear-Quadratic Jump-Diffusion Modeling | | 2006 | 663 | 955 | |||
| Approximation and Calibration of Short-Term implied Volatilities under Jump-Diffusion Stochastic Volatility | | 2006 | 629 | 1,055 | |||
| Optimal asset management for pension funds | Managerial finance | | 2006 | 554 | 2 | ||
| Local Transformation Kernel Density Estimation of Loss | | 2006 | 600 | 572 | |||
| Tikhonov Regularization for Nonparametric Instrumental Variable Estimators | | 2006 | 675 | 920 | |||
| Testing for Equality Between Two Copulas | | 2006 | 658 | 874 | |||
| False Discoveries in Mutual Fund Performance : Measuring Luck in Estimated Alphas | | 2005 | 653 | 3,280 | |||
| Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data | Econometric theory | | 2005 | 901 | 984 | ||
| Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements | Journal of banking & finance | | 2005 | 535 | 483 | ||
| A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements | | 2005 | 867 | 644 | |||
| Multivariate wavelet-based shape preserving estimation for dependent observations | | 2005 | 601 | 734 | |||
| Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters | | 2005 | 931 | 5,647 | |||
| Nonparametric estimation of conditional expected shortfall | Insurance and risk management journal | | 2005 | 902 | 1,047 | ||
| A Kolmogorov-Smirnov type test for positive quadrant dependence | | 2005 | 601 | 1,063 | |||
| A kolmogorov-smirnov type test for positive quadrant dependence | Canadian journal of statistics | | 2005 | 478 | 428 | ||
| Testing for stochastic dominance efficiency | | 2005 | 660 | 2,506 | |||
| A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives | | 2005 | 634 | 1,163 | |||
| Some Statistical Pitfalls in Copula Modeling for Financial Applications | | 2004 | 663 | 1,284 | |||
| Theory and Calibration of Swap Market Models | | 2004 | 809 | 1,419 | |||
| Option pricing with discrete rebalancing | Journal of empirical finance | | 2004 | 800 | 596 | ||
| Nonparametric estimation and sensitivity analysis of expected shortfall | Mathematical finance | | 2004 | 878 | 1,297 | ||
| Testing for Concordance Ordering | ASTIN bulletin | | 2004 | 558 | 1,367 | ||
| Density estimation using inverse and reciprocal inverse Gaussian kernels | Journal of nonparametric statistics | | 2004 | 931 | 952 | ||
| Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimator | | 2003 | 618 | 951 | |||
| Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements | | 2003 | 874 | 979 | |||
| Indirect inference, nuisance parameter and threshold moving average models | Journal of business & economic statistics | | 2003 | 808 | 351 | ||
| Mortality risk and real optimal asset allocation for pension funds | | 2003 | 559 | 1,198 | |||
| Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases | | 2003 | 921 | 801 | |||
| A simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics | | 2003 | 676 | 975 | |||
| On the Way to Recovery : A Nonparametric Bias Free Estimation of Recovery Rate Densities | | 2003 | 622 | 1,362 | |||
| Nonparametric estimation of copulas for time series | | 2003 | 1,027 | 1,076 | |||
| Weak Convergence of Hedging Strategies of Contingent Claims | | 2002 | 564 | 825 | |||
| Nonparametric tests for positive quadrant dependence | | 2002 | 554 | 1,502 | |||
| A fast subsampling method for nonlinear dynamic models | | 2001 | 494 | 1,536 | |||
| An empirical investigation in credit spread indices | The journal of risk | | 2001 | 844 | 837 | ||
| An auto-regressive conditional binomial option pricing model | Selected Papers from the First World Congress of the Bachelier Finance Society | | 2001 | 532 | 0 | ||
| Sensitivity analysis of values at risk | Journal of empirical finance | | 2000 | 895 | 2,089 | ||
| A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary | Finance and stochastics | | 2000 | 928 | 543 | ||
| Convergence of discrete time option pricing models under stochastic interest rates | Finance and stochastics | | 2000 | 766 | 402 | ||
| Reverse score and likelihood ratio tests | Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) | | 1999 | 461 | 1 | ||
| Bartlett identities tests | Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) | | 1999 | 741 | 271 | ||
| Variance optimal cap pricing models | Discussion Papers (IRES -Institut de recherches économiques et sociales) | | 1999 | 685 | 204 | ||
| Instrumental models and indirect encompassing | Econometrica | | 1998 | 814 | 866 | ||
| Path dependent options on yields in the affine term structure model | Finance and stochastics | | 1998 | 871 | 711 | ||
| Quasi indirect inference for diffusion processes | Econometric theory | | 1998 | 523 | 2 | ||
| Compound and exchange options in the affine term structure model | Applied mathematical finance | | 1996 | 481 | 0 | ||
| Estimation de modèles de la structure par terme des taux d'intérêt | Revue économique | | 1996 | 822 | 462 | ||
| Testing for continuous-time models of the short-term interest rate | Journal of empirical finance | | 1995 | 555 | 0 | ||
| Forecast intervals in ARCH exponential smoothing | Discussion Papers (CORE - Center for Operations research & econometrics) | | 1994 | 787 | 103 |
