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 | 43 | |||
| Mean reversion trading on the naphtha crack | Energy economics | | 2025 | 5 | 0 | ||
| Green Silence: Double machine learning carbon emissions under sample selection bias | Review | | 2025 | 5 | 0 | ||
| Dynamic Portfolio Allocation Under Market Incompleteness and Wealth Effects | Operations research | | 2025 | 6 | 1 | ||
| High-frequency estimation of Itô semimartingale baseline for Hawkes processes | Annals of Statistics | | 2025 | 42 | 56 | ||
| Mean reversion trading on the naphtha crack | Energy economics | | 2024 | 79 | 77 | ||
| Sparse spanning portfolios and under-diversification with second-order stochastic dominance | Social Science Research Network | | 2024 | 55 | 83 | ||
| Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration | | 2023 | 106 | 118 | |||
| Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified | | 2023 | 101 | 106 | |||
| Latent Factor Analysis in Short Panels | | 2023 | 87 | 149 | |||
| A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data | | 2022 | 84 | 65 | |||
| A penalized two-pass regression to predict stock returns with time-varying risk premia | | 2022 | 73 | 94 | |||
| Saddlepoint approximations for spatial panel data models | | 2021 | 74 | 69 | |||
| Skill, scale, and value creation in the mutual fund industry | | 2021 | 323 | 489 | |||
| Saddlepoint Approximations for Spatial Panel Data Models | Journal of the American Statistical Association | | 2021 | 81 | 133 | ||
| Reassessing false discoveries in mutual fund performance: skill, luck, or lack of power? a reply | Journal of Finance | | 2020 | 425 | 458 | ||
| A higher-order correct fast moving-average bootstrap for dependent data | | 2020 | 317 | 215 | |||
| Saddlepoint approximations for spatial panel data models | | 2020 | 369 | 373 | |||
| Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets | | 2020 | 341 | 270 | |||
| Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified | Social Science Research Network | | 2020 | 90 | 390 | ||
| Factors and risk premia in individual international stock returns | | 2020 | 71 | 111 | |||
| Spanning analysis of stock market anomalies under prospect stochastic dominance | | 2020 | 457 | 295 | |||
| Backtesting marginal expected shortfalland related systemic risk measures | | 2020 | 304 | 961 | |||
| A diagnostic criterion for approximate factor structure | Journal of econometrics |  | 2019 | 693 | 357 | ||
| Estimation of large dimensional conditional factor models in finance | | 2019 | 332 | 814 | |||
| The Cross-Sectional Distribution of Fund Skill Measures | | 2018 | 637 | 611 | |||
| Spanning tests for markowitz stochastic dominance | | 2018 | 641 | 434 | |||
| High-frequency jump analysis of the bitcoin market | | 2017 | 820 | 657 | |||
| Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy | Journal of financial econometrics | | 2017 | 605 | 397 | ||
| Early exercise decision in american options with dividends, stochastic volatility and jumps | | 2016 | 595 | 1,403 | |||
| On ill-posedness of nonparametric instrumental variable regression with convexity constraints | Econometrics journal | | 2016 | 628 | 1,146 | ||
| Valuing American options using fast recursive projections | | 2016 | 697 | 548 | |||
| Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy | | 2016 | 602 | 340 | |||
| Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets | Econometrica | | 2016 | 838 | 4 | ||
| Time-varying risk premium in large cross-sectional equity datasets | | 2015 | 1,124 | 1,750 | |||
| Jumps in high-frequency data : spurious detections, dynamics, and news | Management science | | 2015 | 956 | 1,037 | ||
| Hedge fund managers: luck and dynamic assessment | Bankers, Markets & Investors | | 2014 | 550 | 8 | ||
| Testing for symmetry and conditional symmetry using asymmetric kernels | Annals of the Institute of Statistical Mathematics | | 2014 | 659 | 1 | ||
| Valuing American options using fast recursive projections | | 2012 | 939 | 658 | |||
| Technical trading revisited: false discoveries,persistence tests, and transaction costs | Journal of financial economics | | 2012 | 708 | 757 | ||
| Nonparametric Instrumental Variable Estimation of Structural Quantile Effects | Econometrica | | 2012 | 506 | 357 | ||
| Tikhonov regularization for nonparametric instrumental variable estimators | Journal of econometrics | | 2012 | 553 | 419 | ||
| Robust subsampling | Journal of econometrics | | 2012 | 518 | 280 | ||
| Technical trading revisited: False discoveries, persistence tests, and transaction costs | Journal of financial economics | | 2012 | 578 | 721 | ||
| False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas | The Journal of finance | | 2010 | 818 | 1,510 | ||
| Time-varying risk premium in large cross-sectional equity datasets | Discussion Papers (Swiss Finance Institute) | | 2010 | 897 | 1,111 | ||
| CMS spread products | Encyclopedia of quantitative finance | | 2010 | 612 | 0 | ||
| Testing for Stochastic Dominance Efficiency | Journal of business & economic statistics | | 2010 | 509 | 444 | ||
| Pricing American options under stochastic volatility and stochastic interest rates | Journal of financial economics | | 2010 | 496 | 463 | ||
| A primer on weather derivatives | International series in operations research & management science | | 2010 | 854 | 453 | ||
| Assessing multivariate predictors of financial market movements : a latent factor framework for ordinal data | The annals of applied statistics | | 2009 | 950 | 670 | ||
| Testing for equality between two copulas | Journal of Multivariate Analysis | | 2009 | 496 | 454 | ||
| Local Transformation Kernel Density Estimation of Loss Distributions | Journal of business & economic statistics | | 2009 | 526 | 510 | ||
| Testing for threshold effect in ARFIMA models: Application to US unemployment rate data | International journal of forecasting | | 2009 | 492 | 243 | ||
| Technical trading revisited: false discoveries, persistence tests, and transaction costs | | 2008 | 609 | 1,876 | |||
| Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data | | 2008 | 828 | 541 | |||
| Nonparametric Instrumental Variable Estimation of Structural Quantile effects | | 2008 | 617 | 942 | |||
| Business and Financial Indicators: What are the Determinants of Default Probability Changes? | | 2008 | 596 | 1,953 | |||
| Testing for threshold effect in ARFIMA models: Application to US unemployment rate data | | 2008 | 731 | 819 | |||
| Weather derivatives | Encyclopedia of quantitative finance | | 2008 | 535 | 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 | 445 | ||
| A Kolmogorov–Smirnov-Type Test for Shortfall Dominance Against Parametric Alternatives | Technometrics | | 2007 | 532 | 540 | ||
| Pricing american options under stochastic volatility and stochastic interest rates | | 2007 | 631 | 1,228 | |||
| Local multiplicative bias correction for asymmetric kernel density estimators | Journal of econometrics | | 2007 | 535 | 567 | ||
| Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters | Journal of Multivariate Analysis | | 2007 | 435 | 435 | ||
| Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility | The Review of financial studies | | 2007 | 512 | 399 | ||
| Multivariate wavelet-based shape-preserving estimation for dependent observations | Bernoulli | | 2007 | 479 | 255 | ||
| A specification test for nonparametric instrumental variable regression | | 2007 | 614 | 771 | |||
| The estimation of copulas : theory and practice | Copulas: from theory to application in finance | | 2007 | 1,705 | 1,654 | ||
| Linear-quadratic jump-diffusion modeling | Mathematical finance | | 2007 | 501 | 374 | ||
| Robust Subsampling | | 2006 | 579 | 591 | |||
| Linear-Quadratic Jump-Diffusion Modeling | | 2006 | 661 | 954 | |||
| Approximation and Calibration of Short-Term implied Volatilities under Jump-Diffusion Stochastic Volatility | | 2006 | 629 | 1,052 | |||
| Optimal asset management for pension funds | Managerial finance | | 2006 | 553 | 2 | ||
| Local Transformation Kernel Density Estimation of Loss | | 2006 | 598 | 572 | |||
| Tikhonov Regularization for Nonparametric Instrumental Variable Estimators | | 2006 | 674 | 914 | |||
| Testing for Equality Between Two Copulas | | 2006 | 656 | 869 | |||
| False Discoveries in Mutual Fund Performance : Measuring Luck in Estimated Alphas | | 2005 | 652 | 3,258 | |||
| Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data | Econometric theory | | 2005 | 901 | 972 | ||
| Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements | Journal of banking & finance | | 2005 | 535 | 449 | ||
| A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements | | 2005 | 867 | 628 | |||
| Multivariate wavelet-based shape preserving estimation for dependent observations | | 2005 | 599 | 733 | |||
| 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 | 901 | 1,031 | ||
| A Kolmogorov-Smirnov type test for positive quadrant dependence | | 2005 | 601 | 1,061 | |||
| A kolmogorov-smirnov type test for positive quadrant dependence | Canadian journal of statistics | | 2005 | 476 | 417 | ||
| Testing for stochastic dominance efficiency | | 2005 | 659 | 2,501 | |||
| A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives | | 2005 | 629 | 1,146 | |||
| Some Statistical Pitfalls in Copula Modeling for Financial Applications | | 2004 | 662 | 1,282 | |||
| Theory and Calibration of Swap Market Models | | 2004 | 806 | 1,388 | |||
| Option pricing with discrete rebalancing | Journal of empirical finance | | 2004 | 796 | 581 | ||
| Nonparametric estimation and sensitivity analysis of expected shortfall | Mathematical finance | | 2004 | 878 | 1,254 | ||
| Testing for Concordance Ordering | ASTIN bulletin | | 2004 | 558 | 1,350 | ||
| Density estimation using inverse and reciprocal inverse Gaussian kernels | Journal of nonparametric statistics | | 2004 | 929 | 917 | ||
| Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimator | | 2003 | 618 | 938 | |||
| Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements | | 2003 | 872 | 970 | |||
| Indirect inference, nuisance parameter and threshold moving average models | Journal of business & economic statistics | | 2003 | 808 | 345 | ||
| Mortality risk and real optimal asset allocation for pension funds | | 2003 | 557 | 1,198 | |||
| Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases | | 2003 | 920 | 798 | |||
| A simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics | | 2003 | 673 | 968 | |||
| On the Way to Recovery : A Nonparametric Bias Free Estimation of Recovery Rate Densities | | 2003 | 620 | 1,343 | |||
| Nonparametric estimation of copulas for time series | | 2003 | 1,026 | 1,044 | |||
| Weak Convergence of Hedging Strategies of Contingent Claims | | 2002 | 561 | 816 | |||
| Nonparametric tests for positive quadrant dependence | | 2002 | 554 | 1,478 | |||
| A fast subsampling method for nonlinear dynamic models | | 2001 | 490 | 1,530 | |||
| An empirical investigation in credit spread indices | The journal of risk | | 2001 | 843 | 828 | ||
| 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 | 2,081 | ||
| A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary | Finance and stochastics | | 2000 | 927 | 538 | ||
| Convergence of discrete time option pricing models under stochastic interest rates | Finance and stochastics | | 2000 | 764 | 396 | ||
| Reverse score and likelihood ratio tests | Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) | | 1999 | 459 | 1 | ||
| Bartlett identities tests | Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) | | 1999 | 741 | 250 | ||
| Variance optimal cap pricing models | Discussion Papers (IRES -Institut de recherches économiques et sociales) | | 1999 | 685 | 191 | ||
| Instrumental models and indirect encompassing | Econometrica | | 1998 | 813 | 859 | ||
| Path dependent options on yields in the affine term structure model | Finance and stochastics | | 1998 | 871 | 692 | ||
| 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 | 480 | 0 | ||
| Estimation de modèles de la structure par terme des taux d'intérêt | Revue économique | | 1996 | 822 | 457 | ||
| Testing for continuous-time models of the short-term interest rate | Journal of empirical finance | | 1995 | 552 | 0 | ||
| Forecast intervals in ARCH exponential smoothing | Discussion Papers (CORE - Center for Operations research & econometrics) | | 1994 | 786 | 103 |
