| A Heterogeneous-Quantile Global VAR for Tail-Risk Transmission | | | | 2026 | 2 | 5 |
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| Optimal Maximin GMM Tests for Sphericity in Latent Factor Analysis of Short Panels | | | | 2025 | 41 | 371 |
|
| Mean reversion trading on the naphtha crack | Energy economics | | | 2025 | 19 | 344 |
|
| Green Silence: Double machine learning carbon emissions under sample selection bias | Review | | | 2025 | 19 | 68 |
|
| Dynamic Portfolio Allocation Under Market Incompleteness and Wealth Effects | Operations research | | | 2025 | 15 | 611 |
|
| High-frequency estimation of Itô semimartingale baseline for Hawkes processes | Annals of Statistics | | | 2025 | 49 | 428 |
|
| Mean reversion trading on the naphtha crack | Energy economics | | | 2024 | 90 | 212 |
|
| Sparse spanning portfolios and under-diversification with second-order stochastic dominance | Social Science Research Network | | | 2024 | 66 | 505 |
|
| Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration | | | | 2023 | 114 | 340 |
|
| Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified | | | | 2023 | 117 | 802 |
|
| Latent Factor Analysis in Short Panels | | | | 2023 | 101 | 748 |
|
| A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data | | | | 2022 | 94 | 114 |
|
| A penalized two-pass regression to predict stock returns with time-varying risk premia | | | | 2022 | 83 | 330 |
|
| Weak Convergence of Hedging Strategies of Contingent Claims | | | | 2022 | 3 | 28 |
|
| Eigenvalue Tests for the Number of Latent Factors in Short Panels | Journal of financial econometrics | | | 2022 | 2 | 4 |
|
| A Penalized Two-Pass Regression to Predict Stock Returns with Time-Varying Risk Premia | Journal of econometrics | | | 2021 | 1 | 4 |
|
| Saddlepoint approximations for spatial panel data models | | | | 2021 | 83 | 298 |
|
| Skill, scale, and value creation in the mutual fund industry | | | | 2021 | 337 | 1,198 |
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| Saddlepoint Approximations for Spatial Panel Data Models | Journal of the American Statistical Association | | | 2021 | 97 | 421 |
|
| Reassessing false discoveries in mutual fund performance: skill, luck, or lack of power? a reply | Journal of Finance | | | 2020 | 434 | 925 |
|
| A higher-order correct fast moving-average bootstrap for dependent data | | | | 2020 | 327 | 260 |
|
| Saddlepoint approximations for spatial panel data models | | | | 2020 | 384 | 519 |
|
| Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets | | | | 2020 | 353 | 624 |
|
| Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified | Social Science Research Network | | | 2020 | 99 | 784 |
|
| Factors and risk premia in individual international stock returns | | | | 2020 | 79 | 479 |
|
| Spanning analysis of stock market anomalies under prospect stochastic dominance | | | | 2020 | 466 | 552 |
|
| Backtesting marginal expected shortfalland related systemic risk measures | | | | 2020 | 319 | 1,739 |
|
| A diagnostic criterion for approximate factor structure | Journal of econometrics | | | 2019 | 702 | 357 |
|
| Estimation of large dimensional conditional factor models in finance | | | | 2019 | 341 | 1,376 |
|
| Saddlepoint Approximations for Spatial Panel Data Models | Journal of the American Statistical Association | | | 2019 | 1 | 4 |
|
| Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures | Management Science Journal | | | 2019 | 1 | 7 |
|
| Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply | The Journal of finance | | | 2019 | 1 | 3 |
|
| The Cross-Sectional Distribution of Fund Skill Measures | | | | 2018 | 642 | 744 |
|
| Spanning tests for markowitz stochastic dominance | | | | 2018 | 657 | 585 |
|
| High-frequency jump analysis of the bitcoin market | | | | 2017 | 835 | 4,223 |
|
| High-Frequency Jump Analysis of the Bitcoin Market | Journal of financial econometrics | | | 2017 | 2 | 57 |
|
| Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy | Journal of financial econometrics | | | 2017 | 618 | 539 |
|
| A Diagnostic Criterion for Approximate Factor Structure | Journal of econometrics | | | 2016 | 1 | 3 |
|
| Early exercise decision in american options with dividends, stochastic volatility and jumps | | | | 2016 | 603 | 6,417 |
|
| On ill-posedness of nonparametric instrumental variable regression with convexity constraints | Econometrics journal | | | 2016 | 645 | 1,251 |
|
| Valuing American options using fast recursive projections | | | | 2016 | 710 | 858 |
|
| Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy | | | | 2016 | 610 | 409 |
|
| Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets | Econometrica | | | 2016 | 851 | 4 |
|
| Time-varying risk premium in large cross-sectional equity datasets | | | | 2015 | 1,140 | 1,986 |
|
| Jumps in high-frequency data : spurious detections, dynamics, and news | Management science | | | 2015 | 969 | 1,697 |
|
| Hedge fund managers: luck and dynamic assessment | Bankers, Markets & Investors | | | 2014 | 562 | 8 |
|
| Testing for symmetry and conditional symmetry using asymmetric kernels | Annals of the Institute of Statistical Mathematics | | | 2014 | 677 | 1 |
|
| Valuing American options using fast recursive projections | | | | 2012 | 948 | 1,005 |
|
| Technical trading revisited: false discoveries,persistence tests, and transaction costs | Journal of financial economics | | | 2012 | 722 | 2,489 |
|
| Nonparametric Instrumental Variable Estimation of Structural Quantile Effects | Econometrica | | | 2012 | 513 | 425 |
|
| Tikhonov regularization for nonparametric instrumental variable estimators | Journal of econometrics | | | 2012 | 564 | 666 |
|
| Robust subsampling | Journal of econometrics | | | 2012 | 528 | 396 |
|
| Technical trading revisited: False discoveries, persistence tests, and transaction costs | Journal of financial economics | | | 2012 | 596 | 3,363 |
|
| False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas | The Journal of finance | | | 2010 | 833 | 4,053 |
|
| Time-varying risk premium in large cross-sectional equity datasets | Discussion Papers (Swiss Finance Institute) | | | 2010 | 908 | 1,974 |
|
| CMS spread products | Encyclopedia of quantitative finance | | | 2010 | 622 | 0 |
|
| Testing for Stochastic Dominance Efficiency | Journal of business & economic statistics | | | 2010 | 517 | 836 |
|
| Pricing American options under stochastic volatility and stochastic interest rates | Journal of financial economics | | | 2010 | 511 | 783 |
|
| A primer on weather derivatives | International series in operations research & management science | | | 2010 | 867 | 731 |
|
| Assessing multivariate predictors of financial market movements : a latent factor framework for ordinal data | The annals of applied statistics | | | 2009 | 964 | 821 |
|
| Predictability hidden by Anomalous Observations in Financial Data | Econometrics and statistics | | | 2009 | 1 | 7 |
|
| Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News | Management Science Journal | | | 2009 | 1 | 4 |
|
| Testing for equality between two copulas | Journal of Multivariate Analysis | | | 2009 | 506 | 702 |
|
| Local Transformation Kernel Density Estimation of Loss Distributions | Journal of business & economic statistics | | | 2009 | 539 | 706 |
|
| Testing for threshold effect in ARFIMA models: Application to US unemployment rate data | International journal of forecasting | | | 2009 | 503 | 318 |
|
| Technical trading revisited: false discoveries, persistence tests, and transaction costs | | | | 2008 | 624 | 3,039 |
|
| Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data | | | | 2008 | 839 | 606 |
|
| Nonparametric Instrumental Variable Estimation of Structural Quantile effects | | | | 2008 | 633 | 1,459 |
|
| Assessing Multivariate Predictors of Financial Market Movements: A Latent Factor Frame Work for Ordinal Data | Annals of Applied Statistics | | | 2008 | 1 | 2 |
|
| Business and Financial Indicators: What are the Determinants of Default Probability Changes? | | | | 2008 | 612 | 2,015 |
|
| Testing for threshold effect in ARFIMA models: Application to US unemployment rate data | | | | 2008 | 743 | 864 |
|
| Testing for Threshold Effect in ARFIMA Models: Application to US Unemployment Rate Data | International journal of forecasting | | | 2008 | 1 | 6 |
|
| Weather derivatives | Encyclopedia of quantitative finance | | | 2008 | 547 | 0 |
|
| Swap market models | Encyclopedia of quantitative finance | | | 2008 | 510 | 1 |
|
| Pricing American Options under Stochastic Volatility and Stochastic Interest Rates | Journal of financial economics | | | 2007 | 1 | 7 |
|
| Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases | Annals of operation research | | | 2007 | 525 | 611 |
|
| Testing for Equality between Two Copulas | Journal of Multivariate Statistics | | | 2007 | 1 | 2 |
|
| A Kolmogorov–Smirnov-Type Test for Shortfall Dominance Against Parametric Alternatives | Technometrics | | | 2007 | 546 | 677 |
|
| Pricing american options under stochastic volatility and stochastic interest rates | | | | 2007 | 643 | 1,331 |
|
| Local multiplicative bias correction for asymmetric kernel density estimators | Journal of econometrics | | | 2007 | 548 | 805 |
|
| A Specification Test for Nonparametric Instrumental Variable Regression | Annals of economics and statistics | | | 2007 | 1 | 4 |
|
| Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters | Journal of Multivariate Analysis | | | 2007 | 443 | 556 |
|
| Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility | The Review of financial studies | | | 2007 | 523 | 690 |
|
| Multivariate wavelet-based shape-preserving estimation for dependent observations | Bernoulli | | | 2007 | 486 | 368 |
|
| A specification test for nonparametric instrumental variable regression | | | | 2007 | 631 | 897 |
|
| The estimation of copulas : theory and practice | Copulas: from theory to application in finance | | | 2007 | 1,734 | 2,420 |
|
| Linear-quadratic jump-diffusion modeling | Mathematical finance | | | 2007 | 510 | 813 |
|
| Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility | The Review of financial studies | | | 2006 | 1 | 6 |
|
| Robust Subsampling | | | | 2006 | 589 | 608 |
|
| Local Transformation Kernel Density Estimation of Loss Distributions | Journal of business & economic statistics | | | 2006 | 1 | 4 |
|
| Linear-Quadratic Jump-Diffusion Modeling | | | | 2006 | 685 | 996 |
|
| Tikhonov Regularization for Nonparametric Instrumental Variable Estimators | Journal of econometrics | | | 2006 | 1 | 12 |
|
| Approximation and Calibration of Short-Term implied Volatilities under Jump-Diffusion Stochastic Volatility | | | | 2006 | 640 | 1,203 |
|
| Optimal asset management for pension funds | Managerial finance | | | 2006 | 562 | 2 |
|
| Local Transformation Kernel Density Estimation of Loss | | | | 2006 | 614 | 584 |
|
| Tikhonov Regularization for Nonparametric Instrumental Variable Estimators | | | | 2006 | 691 | 982 |
|
| Testing for Equality Between Two Copulas | | | | 2006 | 672 | 953 |
|
| False Discoveries in Mutual Fund Performance : Measuring Luck in Estimated Alphas | | | | 2005 | 667 | 3,809 |
|
| Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data | Econometric theory | | | 2005 | 913 | 1,289 |
|
| Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements | Journal of banking & finance | | | 2005 | 548 | 828 |
|
| A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements | | | | 2005 | 877 | 892 |
|
| Multivariate wavelet-based shape preserving estimation for dependent observations | | | | 2005 | 623 | 867 |
|
| A Kolmogorov-Smirnov Type Test for Shortfall Dominance Against Parametric Alternatives | Technometrics | | | 2005 | 4 | 0 |
|
| Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters | | | | 2005 | 940 | 5,677 |
|
| Nonparametric estimation of conditional expected shortfall | Insurance and risk management journal | | | 2005 | 916 | 1,230 |
|
| A Kolmogorov-Smirnov type test for positive quadrant dependence | | | | 2005 | 615 | 1,161 |
|
| A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence | Canadian journal of statistics | | | 2005 | 5 | 2 |
|
| A kolmogorov-smirnov type test for positive quadrant dependence | Canadian journal of statistics | | | 2005 | 486 | 697 |
|
| Multivariate Wavelet-Based Shape Preserving Estimation for Dependent Observations | Bernoulli | | | 2005 | 4 | 11 |
|
| Testing for stochastic dominance efficiency | | | | 2005 | 672 | 2,622 |
|
| A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives | | | | 2005 | 656 | 1,366 |
|
| Some Statistical Pitfalls in Copula Modeling for Financial Applications | | | | 2004 | 677 | 1,371 |
|
| Theory and Calibration of Swap Market Models | | | | 2004 | 822 | 2,742 |
|
| Option pricing with discrete rebalancing | Journal of empirical finance | | | 2004 | 810 | 843 |
|
| Nonparametric estimation and sensitivity analysis of expected shortfall | Mathematical finance | | | 2004 | 889 | 1,713 |
|
| Testing for Concordance Ordering | ASTIN bulletin | | | 2004 | 569 | 1,642 |
|
| Density estimation using inverse and reciprocal inverse Gaussian kernels | Journal of nonparametric statistics | | | 2004 | 939 | 1,458 |
|
| Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimator | | | | 2003 | 629 | 1,036 |
|
| Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility | Mathematical finance | | | 2003 | 1 | 6 |
|
| Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements | | | | 2003 | 889 | 1,075 |
|
| Indirect inference, nuisance parameter and threshold moving average models | Journal of business & economic statistics | | | 2003 | 818 | 413 |
|
| Nonparametric Estimation of Copulas for Time Series | The journal of risk | | | 2003 | 1 | 5 |
|
| Sensitivity Analysis of VAR Expected Shortfall for Portfolios Under Netting Agreements | Journal of Banking and Finance | | | 2003 | 1 | 4 |
|
| Mortality risk and real optimal asset allocation for pension funds | | | | 2003 | 576 | 1,213 |
|
| Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases | | | | 2003 | 931 | 863 |
|
| A simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics | | | | 2003 | 686 | 1,098 |
|
| On the Way to Recovery : A Nonparametric Bias Free Estimation of Recovery Rate Densities | | | | 2003 | 629 | 1,565 |
|
| Nonparametric estimation of copulas for time series | | | | 2003 | 1,039 | 1,919 |
|
| Weak Convergence of Hedging Strategies of Contingent Claims | | | | 2002 | 572 | 916 |
|
| Nonparametric tests for positive quadrant dependence | | | | 2002 | 567 | 2,151 |
|
| A fast subsampling method for nonlinear dynamic models | | | | 2001 | 505 | 1,612 |
|
| An empirical investigation in credit spread indices | The journal of risk | | | 2001 | 856 | 938 |
|
| An auto-regressive conditional binomial option pricing model | Selected Papers from the First World Congress of the Bachelier Finance Society | | | 2001 | 540 | 0 |
|
| Sensitivity analysis of values at risk | Journal of empirical finance | | | 2000 | 906 | 2,325 |
|
| A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary | Finance and stochastics | | | 2000 | 942 | 553 |
|
| Convergence of discrete time option pricing models under stochastic interest rates | Finance and stochastics | | | 2000 | 777 | 492 |
|
| Reverse score and likelihood ratio tests | Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) | | | 1999 | 468 | 1 |
|
| Bartlett identities tests | Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) | | | 1999 | 752 | 558 |
|
| Variance optimal cap pricing models | Discussion Papers (IRES -Institut de recherches économiques et sociales) | | | 1999 | 695 | 333 |
|
| Instrumental models and indirect encompassing | Econometrica | | | 1998 | 827 | 979 |
|
| Path dependent options on yields in the affine term structure model | Finance and stochastics | | | 1998 | 881 | 929 |
|
| Quasi indirect inference for diffusion processes | Econometric theory | | | 1998 | 538 | 2 |
|
| Compound and exchange options in the affine term structure model | Applied mathematical finance | | | 1996 | 495 | 0 |
|
| Estimation de modèles de la structure par terme des taux d'intérêt | Revue économique | | | 1996 | 833 | 559 |
|
| Testing for continuous-time models of the short-term interest rate | Journal of empirical finance | | | 1995 | 562 | 0 |
|
| Forecast intervals in ARCH exponential smoothing | Discussion Papers (CORE - Center for Operations research & econometrics) | | | 1994 | 798 | 118 |
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