| A Heterogeneous-Quantile Global VAR for Tail-Risk Transmission | |  | | 2026 | 7 | 10 |
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| Optimal Maximin GMM Tests for Sphericity in Latent Factor Analysis of Short Panels | | | | 2025 | 45 | 402 |
|
| Mean reversion trading on the naphtha crack | Energy economics | | | 2025 | 24 | 468 |
|
| Green Silence: Double machine learning carbon emissions under sample selection bias | Review | | | 2025 | 23 | 84 |
|
| Dynamic Portfolio Allocation Under Market Incompleteness and Wealth Effects | Operations research | | | 2025 | 19 | 739 |
|
| High-frequency estimation of Itô semimartingale baseline for Hawkes processes | Annals of Statistics | | | 2025 | 53 | 493 |
|
| Mean reversion trading on the naphtha crack | Energy economics | | | 2024 | 95 | 242 |
|
| Sparse spanning portfolios and under-diversification with second-order stochastic dominance | Social Science Research Network | | | 2024 | 70 | 543 |
|
| Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration | | | | 2023 | 118 | 370 |
|
| Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified | | | | 2023 | 122 | 892 |
|
| Latent Factor Analysis in Short Panels | | | | 2023 | 105 | 809 |
|
| A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data | | | | 2022 | 98 | 117 |
|
| A penalized two-pass regression to predict stock returns with time-varying risk premia | | | | 2022 | 87 | 344 |
|
| Weak Convergence of Hedging Strategies of Contingent Claims | | | | 2022 | 7 | 43 |
|
| Eigenvalue Tests for the Number of Latent Factors in Short Panels | Journal of financial econometrics | | | 2022 | 6 | 6 |
|
| A Penalized Two-Pass Regression to Predict Stock Returns with Time-Varying Risk Premia | Journal of econometrics | | | 2021 | 5 | 18 |
|
| Saddlepoint approximations for spatial panel data models | | | | 2021 | 88 | 397 |
|
| Skill, scale, and value creation in the mutual fund industry | | | | 2021 | 342 | 1,335 |
|
| Saddlepoint Approximations for Spatial Panel Data Models | Journal of the American Statistical Association | | | 2021 | 102 | 465 |
|
| Reassessing false discoveries in mutual fund performance: skill, luck, or lack of power? a reply | Journal of Finance | | | 2020 | 439 | 1,000 |
|
| A higher-order correct fast moving-average bootstrap for dependent data | | | | 2020 | 332 | 270 |
|
| Saddlepoint approximations for spatial panel data models | | | | 2020 | 389 | 532 |
|
| Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets | | | | 2020 | 358 | 654 |
|
| Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified | Social Science Research Network | | | 2020 | 103 | 822 |
|
| Factors and risk premia in individual international stock returns | | | | 2020 | 83 | 575 |
|
| Spanning analysis of stock market anomalies under prospect stochastic dominance | | | | 2020 | 471 | 595 |
|
| Backtesting marginal expected shortfalland related systemic risk measures | | | | 2020 | 324 | 1,894 |
|
| A diagnostic criterion for approximate factor structure | Journal of econometrics |  | | 2019 | 708 | 357 |
|
| Estimation of large dimensional conditional factor models in finance | | | | 2019 | 346 | 1,451 |
|
| Saddlepoint Approximations for Spatial Panel Data Models | Journal of the American Statistical Association | | | 2019 | 5 | 4 |
|
| Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures | Management Science Journal | | | 2019 | 5 | 22 |
|
| Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply | The Journal of finance | | | 2019 | 5 | 22 |
|
| The Cross-Sectional Distribution of Fund Skill Measures | | | | 2018 | 647 | 795 |
|
| Spanning tests for markowitz stochastic dominance | | | | 2018 | 661 | 610 |
|
| High-frequency jump analysis of the bitcoin market | | | | 2017 | 842 | 4,470 |
|
| High-Frequency Jump Analysis of the Bitcoin Market | Journal of financial econometrics | | | 2017 | 7 | 202 |
|
| Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy | Journal of financial econometrics | | | 2017 | 624 | 564 |
|
| A Diagnostic Criterion for Approximate Factor Structure | Journal of econometrics | | | 2016 | 6 | 10 |
|
| Early exercise decision in american options with dividends, stochastic volatility and jumps | | | | 2016 | 610 | 6,597 |
|
| On ill-posedness of nonparametric instrumental variable regression with convexity constraints | Econometrics journal | | | 2016 | 651 | 1,275 |
|
| Valuing American options using fast recursive projections | | | | 2016 | 716 | 899 |
|
| Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy | | | | 2016 | 616 | 416 |
|
| Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets | Econometrica | | | 2016 | 858 | 4 |
|
| Time-varying risk premium in large cross-sectional equity datasets | | | | 2015 | 1,147 | 2,030 |
|
| Jumps in high-frequency data : spurious detections, dynamics, and news | Management science | | | 2015 | 976 | 1,873 |
|
| Hedge fund managers: luck and dynamic assessment | Bankers, Markets & Investors | | | 2014 | 570 | 8 |
|
| Testing for symmetry and conditional symmetry using asymmetric kernels | Annals of the Institute of Statistical Mathematics | | | 2014 | 684 | 1 |
|
| Valuing American options using fast recursive projections | | | | 2012 | 956 | 1,036 |
|
| Technical trading revisited: false discoveries,persistence tests, and transaction costs | Journal of financial economics | | | 2012 | 730 | 3,587 |
|
| Nonparametric Instrumental Variable Estimation of Structural Quantile Effects | Econometrica | | | 2012 | 521 | 459 |
|
| Tikhonov regularization for nonparametric instrumental variable estimators | Journal of econometrics | | | 2012 | 570 | 706 |
|
| Robust subsampling | Journal of econometrics | | | 2012 | 535 | 425 |
|
| Technical trading revisited: False discoveries, persistence tests, and transaction costs | Journal of financial economics | | | 2012 | 626 | 5,173 |
|
| False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas | The Journal of finance | | | 2010 | 840 | 4,343 |
|
| Time-varying risk premium in large cross-sectional equity datasets | Discussion Papers (Swiss Finance Institute) | | | 2010 | 917 | 2,156 |
|
| CMS spread products | Encyclopedia of quantitative finance | | | 2010 | 629 | 0 |
|
| Testing for Stochastic Dominance Efficiency | Journal of business & economic statistics | | | 2010 | 523 | 902 |
|
| Pricing American options under stochastic volatility and stochastic interest rates | Journal of financial economics | | | 2010 | 517 | 823 |
|
| A primer on weather derivatives | International series in operations research & management science | | | 2010 | 874 | 759 |
|
| Assessing multivariate predictors of financial market movements : a latent factor framework for ordinal data | The annals of applied statistics | | | 2009 | 970 | 840 |
|
| Predictability hidden by Anomalous Observations in Financial Data | Econometrics and statistics | | | 2009 | 5 | 36 |
|
| Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News | Management Science Journal | | | 2009 | 5 | 38 |
|
| Testing for equality between two copulas | Journal of Multivariate Analysis | | | 2009 | 512 | 732 |
|
| Local Transformation Kernel Density Estimation of Loss Distributions | Journal of business & economic statistics | | | 2009 | 545 | 802 |
|
| Testing for threshold effect in ARFIMA models: Application to US unemployment rate data | International journal of forecasting | | | 2009 | 509 | 328 |
|
| Technical trading revisited: false discoveries, persistence tests, and transaction costs | | | | 2008 | 630 | 3,403 |
|
| Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data | | | | 2008 | 845 | 609 |
|
| Nonparametric Instrumental Variable Estimation of Structural Quantile effects | | | | 2008 | 639 | 1,499 |
|
| Assessing Multivariate Predictors of Financial Market Movements: A Latent Factor Frame Work for Ordinal Data | Annals of Applied Statistics | | | 2008 | 5 | 9 |
|
| Business and Financial Indicators: What are the Determinants of Default Probability Changes? | | | | 2008 | 618 | 2,023 |
|
| Testing for threshold effect in ARFIMA models: Application to US unemployment rate data | | | | 2008 | 749 | 870 |
|
| Testing for Threshold Effect in ARFIMA Models: Application to US Unemployment Rate Data | International journal of forecasting | | | 2008 | 5 | 13 |
|
| Weather derivatives | Encyclopedia of quantitative finance | | | 2008 | 554 | 0 |
|
| Swap market models | Encyclopedia of quantitative finance | | | 2008 | 517 | 1 |
|
| Pricing American Options under Stochastic Volatility and Stochastic Interest Rates | Journal of financial economics | | | 2007 | 5 | 18 |
|
| Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases | Annals of operation research | | | 2007 | 531 | 639 |
|
| Testing for Equality between Two Copulas | Journal of Multivariate Statistics | | | 2007 | 5 | 12 |
|
| A Kolmogorov–Smirnov-Type Test for Shortfall Dominance Against Parametric Alternatives | Technometrics | | | 2007 | 552 | 695 |
|
| Pricing american options under stochastic volatility and stochastic interest rates | | | | 2007 | 649 | 1,359 |
|
| Local multiplicative bias correction for asymmetric kernel density estimators | Journal of econometrics | | | 2007 | 555 | 835 |
|
| A Specification Test for Nonparametric Instrumental Variable Regression | Annals of economics and statistics | | | 2007 | 5 | 10 |
|
| Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters | Journal of Multivariate Analysis | | | 2007 | 449 | 573 |
|
| Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility | The Review of financial studies | | | 2007 | 529 | 765 |
|
| Multivariate wavelet-based shape-preserving estimation for dependent observations | Bernoulli | | | 2007 | 492 | 376 |
|
| A specification test for nonparametric instrumental variable regression | | | | 2007 | 637 | 919 |
|
| The estimation of copulas : theory and practice | Copulas: from theory to application in finance | | | 2007 | 1,743 | 2,495 |
|
| Linear-quadratic jump-diffusion modeling | Mathematical finance | | | 2007 | 516 | 865 |
|
| Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility | The Review of financial studies | | | 2006 | 5 | 14 |
|
| Robust Subsampling | | | | 2006 | 595 | 616 |
|
| Local Transformation Kernel Density Estimation of Loss Distributions | Journal of business & economic statistics | | | 2006 | 5 | 15 |
|
| Linear-Quadratic Jump-Diffusion Modeling | | | | 2006 | 691 | 1,005 |
|
| Tikhonov Regularization for Nonparametric Instrumental Variable Estimators | Journal of econometrics | | | 2006 | 5 | 24 |
|
| Approximation and Calibration of Short-Term implied Volatilities under Jump-Diffusion Stochastic Volatility | | | | 2006 | 646 | 1,241 |
|
| Optimal asset management for pension funds | Managerial finance | | | 2006 | 569 | 2 |
|
| Local Transformation Kernel Density Estimation of Loss | | | | 2006 | 620 | 589 |
|
| Tikhonov Regularization for Nonparametric Instrumental Variable Estimators | | | | 2006 | 697 | 992 |
|
| Testing for Equality Between Two Copulas | | | | 2006 | 678 | 963 |
|
| False Discoveries in Mutual Fund Performance : Measuring Luck in Estimated Alphas | | | | 2005 | 673 | 3,892 |
|
| Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data | Econometric theory | | | 2005 | 920 | 1,313 |
|
| Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements | Journal of banking & finance | | | 2005 | 554 | 863 |
|
| A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements | | | | 2005 | 883 | 928 |
|
| Multivariate wavelet-based shape preserving estimation for dependent observations | | | | 2005 | 629 | 878 |
|
| A Kolmogorov-Smirnov Type Test for Shortfall Dominance Against Parametric Alternatives | Technometrics | | | 2005 | 8 | 10 |
|
| Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters | | | | 2005 | 946 | 5,679 |
|
| Nonparametric estimation of conditional expected shortfall | Insurance and risk management journal | | | 2005 | 923 | 1,250 |
|
| A Kolmogorov-Smirnov type test for positive quadrant dependence | | | | 2005 | 621 | 1,165 |
|
| A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence | Canadian journal of statistics | | | 2005 | 9 | 2 |
|
| A kolmogorov-smirnov type test for positive quadrant dependence | Canadian journal of statistics | | | 2005 | 492 | 732 |
|
| Multivariate Wavelet-Based Shape Preserving Estimation for Dependent Observations | Bernoulli | | | 2005 | 8 | 18 |
|
| Testing for stochastic dominance efficiency | | | | 2005 | 678 | 2,643 |
|
| A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives | | | | 2005 | 662 | 1,378 |
|
| Some Statistical Pitfalls in Copula Modeling for Financial Applications | | | | 2004 | 683 | 1,395 |
|
| Theory and Calibration of Swap Market Models | | | | 2004 | 828 | 2,801 |
|
| Option pricing with discrete rebalancing | Journal of empirical finance | | | 2004 | 817 | 920 |
|
| Nonparametric estimation and sensitivity analysis of expected shortfall | Mathematical finance | | | 2004 | 896 | 1,778 |
|
| Testing for Concordance Ordering | ASTIN bulletin | | | 2004 | 575 | 1,658 |
|
| Density estimation using inverse and reciprocal inverse Gaussian kernels | Journal of nonparametric statistics | | | 2004 | 945 | 1,531 |
|
| Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimator | | | | 2003 | 635 | 1,045 |
|
| Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility | Mathematical finance | | | 2003 | 6 | 41 |
|
| Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements | | | | 2003 | 895 | 1,099 |
|
| Indirect inference, nuisance parameter and threshold moving average models | Journal of business & economic statistics | | | 2003 | 825 | 425 |
|
| Nonparametric Estimation of Copulas for Time Series | The journal of risk | | | 2003 | 5 | 15 |
|
| Sensitivity Analysis of VAR Expected Shortfall for Portfolios Under Netting Agreements | Journal of Banking and Finance | | | 2003 | 5 | 18 |
|
| Mortality risk and real optimal asset allocation for pension funds | | | | 2003 | 583 | 1,231 |
|
| Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases | | | | 2003 | 937 | 868 |
|
| A simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics | | | | 2003 | 692 | 1,147 |
|
| On the Way to Recovery : A Nonparametric Bias Free Estimation of Recovery Rate Densities | | | | 2003 | 635 | 1,583 |
|
| Nonparametric estimation of copulas for time series | | | | 2003 | 1,047 | 2,020 |
|
| Weak Convergence of Hedging Strategies of Contingent Claims | | | | 2002 | 578 | 959 |
|
| Nonparametric tests for positive quadrant dependence | | | | 2002 | 573 | 2,229 |
|
| A fast subsampling method for nonlinear dynamic models | | | | 2001 | 511 | 1,620 |
|
| An empirical investigation in credit spread indices | The journal of risk | | | 2001 | 863 | 959 |
|
| An auto-regressive conditional binomial option pricing model | Selected Papers from the First World Congress of the Bachelier Finance Society | | | 2001 | 548 | 0 |
|
| Sensitivity analysis of values at risk | Journal of empirical finance | | | 2000 | 913 | 2,372 |
|
| A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary | Finance and stochastics | | | 2000 | 949 | 566 |
|
| Convergence of discrete time option pricing models under stochastic interest rates | Finance and stochastics | | | 2000 | 784 | 528 |
|
| Reverse score and likelihood ratio tests | Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) | | | 1999 | 475 | 1 |
|
| Bartlett identities tests | Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) | | | 1999 | 759 | 598 |
|
| Variance optimal cap pricing models | Discussion Papers (IRES -Institut de recherches économiques et sociales) | | | 1999 | 703 | 353 |
|
| Instrumental models and indirect encompassing | Econometrica | | | 1998 | 835 | 1,028 |
|
| Path dependent options on yields in the affine term structure model | Finance and stochastics | | | 1998 | 888 | 947 |
|
| Quasi indirect inference for diffusion processes | Econometric theory | | | 1998 | 545 | 2 |
|
| Compound and exchange options in the affine term structure model | Applied mathematical finance | | | 1996 | 502 | 0 |
|
| Estimation de modèles de la structure par terme des taux d'intérêt | Revue économique | | | 1996 | 841 | 572 |
|
| Testing for continuous-time models of the short-term interest rate | Journal of empirical finance | | | 1995 | 569 | 0 |
|
| Forecast intervals in ARCH exponential smoothing | Discussion Papers (CORE - Center for Operations research & econometrics) | | | 1994 | 805 | 129 |
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