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 | 38 | 226 | ||||
| Mean reversion trading on the naphtha crack | Energy economics | 2025 | 16 | 189 | |||
| Green Silence: Double machine learning carbon emissions under sample selection bias | Review | 2025 | 16 | 34 | |||
| Dynamic Portfolio Allocation Under Market Incompleteness and Wealth Effects | Operations research | 2025 | 13 | 392 | |||
| High-frequency estimation of Itô semimartingale baseline for Hawkes processes | Annals of Statistics | 2025 | 47 | 312 | |||
| Mean reversion trading on the naphtha crack | Energy economics | 2024 | 90 | 161 | |||
| Sparse spanning portfolios and under-diversification with second-order stochastic dominance | Social Science Research Network | 2024 | 64 | 373 | |||
| Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration | 2023 | 112 | 249 | ||||
| Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified | 2023 | 115 | 551 | ||||
| Latent Factor Analysis in Short Panels | 2023 | 94 | 515 | ||||
| A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data | 2022 | 92 | 106 | ||||
| A penalized two-pass regression to predict stock returns with time-varying risk premia | 2022 | 81 | 251 | ||||
| Saddlepoint approximations for spatial panel data models | 2021 | 80 | 199 | ||||
| Skill, scale, and value creation in the mutual fund industry | 2021 | 335 | 956 | ||||
| Saddlepoint Approximations for Spatial Panel Data Models | Journal of the American Statistical Association | 2021 | 95 | 308 | |||
| Reassessing false discoveries in mutual fund performance: skill, luck, or lack of power? a reply | Journal of Finance | 2020 | 432 | 782 | |||
| A higher-order correct fast moving-average bootstrap for dependent data | 2020 | 325 | 246 | ||||
| Saddlepoint approximations for spatial panel data models | 2020 | 381 | 448 | ||||
| Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets | 2020 | 351 | 445 | ||||
| Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified | Social Science Research Network | 2020 | 97 | 679 | |||
| Factors and risk premia in individual international stock returns | 2020 | 77 | 343 | ||||
| Spanning analysis of stock market anomalies under prospect stochastic dominance | 2020 | 464 | 437 | ||||
| Backtesting marginal expected shortfalland related systemic risk measures | 2020 | 317 | 1,450 | ||||
| A diagnostic criterion for approximate factor structure | Journal of econometrics | 2019 | 700 | 357 | |||
| Estimation of large dimensional conditional factor models in finance | 2019 | 339 | 1,215 | ||||
| The Cross-Sectional Distribution of Fund Skill Measures | 2018 | 640 | 716 | ||||
| Spanning tests for markowitz stochastic dominance | 2018 | 654 | 543 | ||||
| High-frequency jump analysis of the bitcoin market | 2017 | 832 | 2,971 | ||||
| Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy | Journal of financial econometrics | 2017 | 616 | 504 | |||
| Early exercise decision in american options with dividends, stochastic volatility and jumps | 2016 | 601 | 5,700 | ||||
| On ill-posedness of nonparametric instrumental variable regression with convexity constraints | Econometrics journal | 2016 | 636 | 1,225 | |||
| Valuing American options using fast recursive projections | 2016 | 708 | 760 | ||||
| Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy | 2016 | 608 | 395 | ||||
| Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets | Econometrica | 2016 | 849 | 4 | |||
| Time-varying risk premium in large cross-sectional equity datasets | 2015 | 1,136 | 1,891 | ||||
| Jumps in high-frequency data : spurious detections, dynamics, and news | Management science | 2015 | 967 | 1,458 | |||
| Hedge fund managers: luck and dynamic assessment | Bankers, Markets & Investors | 2014 | 560 | 8 | |||
| Testing for symmetry and conditional symmetry using asymmetric kernels | Annals of the Institute of Statistical Mathematics | 2014 | 675 | 1 | |||
| Valuing American options using fast recursive projections | 2012 | 946 | 947 | ||||
| Technical trading revisited: false discoveries,persistence tests, and transaction costs | Journal of financial economics | 2012 | 719 | 1,328 | |||
| Nonparametric Instrumental Variable Estimation of Structural Quantile Effects | Econometrica | 2012 | 511 | 398 | |||
| Tikhonov regularization for nonparametric instrumental variable estimators | Journal of econometrics | 2012 | 562 | 630 | |||
| Robust subsampling | Journal of econometrics | 2012 | 526 | 360 | |||
| Technical trading revisited: False discoveries, persistence tests, and transaction costs | Journal of financial economics | 2012 | 589 | 1,321 | |||
| False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas | The Journal of finance | 2010 | 828 | 3,187 | |||
| Time-varying risk premium in large cross-sectional equity datasets | Discussion Papers (Swiss Finance Institute) | 2010 | 906 | 1,620 | |||
| CMS spread products | Encyclopedia of quantitative finance | 2010 | 620 | 0 | |||
| Testing for Stochastic Dominance Efficiency | Journal of business & economic statistics | 2010 | 514 | 686 | |||
| Pricing American options under stochastic volatility and stochastic interest rates | Journal of financial economics | 2010 | 509 | 730 | |||
| A primer on weather derivatives | International series in operations research & management science | 2010 | 865 | 667 | |||
| Assessing multivariate predictors of financial market movements : a latent factor framework for ordinal data | The annals of applied statistics | 2009 | 962 | 792 | |||
| Testing for equality between two copulas | Journal of Multivariate Analysis | 2009 | 504 | 621 | |||
| Local Transformation Kernel Density Estimation of Loss Distributions | Journal of business & economic statistics | 2009 | 537 | 660 | |||
| Testing for threshold effect in ARFIMA models: Application to US unemployment rate data | International journal of forecasting | 2009 | 501 | 300 | |||
| Technical trading revisited: false discoveries, persistence tests, and transaction costs | 2008 | 620 | 2,642 | ||||
| Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data | 2008 | 837 | 588 | ||||
| Nonparametric Instrumental Variable Estimation of Structural Quantile effects | 2008 | 631 | 1,359 | ||||
| Business and Financial Indicators: What are the Determinants of Default Probability Changes? | 2008 | 610 | 2,009 | ||||
| Testing for threshold effect in ARFIMA models: Application to US unemployment rate data | 2008 | 741 | 857 | ||||
| Weather derivatives | Encyclopedia of quantitative finance | 2008 | 545 | 0 | |||
| Swap market models | Encyclopedia of quantitative finance | 2008 | 508 | 1 | |||
| Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases | Annals of operation research | 2007 | 518 | 567 | |||
| A Kolmogorov–Smirnov-Type Test for Shortfall Dominance Against Parametric Alternatives | Technometrics | 2007 | 544 | 633 | |||
| Pricing american options under stochastic volatility and stochastic interest rates | 2007 | 641 | 1,306 | ||||
| Local multiplicative bias correction for asymmetric kernel density estimators | Journal of econometrics | 2007 | 545 | 730 | |||
| Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters | Journal of Multivariate Analysis | 2007 | 441 | 514 | |||
| Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility | The Review of financial studies | 2007 | 519 | 610 | |||
| Multivariate wavelet-based shape-preserving estimation for dependent observations | Bernoulli | 2007 | 484 | 339 | |||
| A specification test for nonparametric instrumental variable regression | 2007 | 627 | 854 | ||||
| The estimation of copulas : theory and practice | Copulas: from theory to application in finance | 2007 | 1,730 | 2,059 | |||
| Linear-quadratic jump-diffusion modeling | Mathematical finance | 2007 | 508 | 560 | |||
| Robust Subsampling | 2006 | 587 | 602 | ||||
| Linear-Quadratic Jump-Diffusion Modeling | 2006 | 683 | 991 | ||||
| Approximation and Calibration of Short-Term implied Volatilities under Jump-Diffusion Stochastic Volatility | 2006 | 638 | 1,137 | ||||
| Optimal asset management for pension funds | Managerial finance | 2006 | 560 | 2 | |||
| Local Transformation Kernel Density Estimation of Loss | 2006 | 612 | 581 | ||||
| Tikhonov Regularization for Nonparametric Instrumental Variable Estimators | 2006 | 689 | 975 | ||||
| Testing for Equality Between Two Copulas | 2006 | 670 | 926 | ||||
| False Discoveries in Mutual Fund Performance : Measuring Luck in Estimated Alphas | 2005 | 665 | 3,676 | ||||
| Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data | Econometric theory | 2005 | 910 | 1,212 | |||
| Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements | Journal of banking & finance | 2005 | 543 | 743 | |||
| A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements | 2005 | 875 | 827 | ||||
| Multivariate wavelet-based shape preserving estimation for dependent observations | 2005 | 616 | 834 | ||||
| Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters | 2005 | 938 | 5,673 | ||||
| Nonparametric estimation of conditional expected shortfall | Insurance and risk management journal | 2005 | 913 | 1,159 | |||
| A Kolmogorov-Smirnov type test for positive quadrant dependence | 2005 | 613 | 1,137 | ||||
| A kolmogorov-smirnov type test for positive quadrant dependence | Canadian journal of statistics | 2005 | 483 | 608 | |||
| Testing for stochastic dominance efficiency | 2005 | 670 | 2,586 | ||||
| A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives | 2005 | 654 | 1,293 | ||||
| Some Statistical Pitfalls in Copula Modeling for Financial Applications | 2004 | 675 | 1,341 | ||||
| Theory and Calibration of Swap Market Models | 2004 | 820 | 2,344 | ||||
| Option pricing with discrete rebalancing | Journal of empirical finance | 2004 | 808 | 751 | |||
| Nonparametric estimation and sensitivity analysis of expected shortfall | Mathematical finance | 2004 | 887 | 1,570 | |||
| Testing for Concordance Ordering | ASTIN bulletin | 2004 | 567 | 1,584 | |||
| Density estimation using inverse and reciprocal inverse Gaussian kernels | Journal of nonparametric statistics | 2004 | 937 | 1,258 | |||
| Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimator | 2003 | 627 | 1,022 | ||||
| Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements | 2003 | 883 | 1,059 | ||||
| Indirect inference, nuisance parameter and threshold moving average models | Journal of business & economic statistics | 2003 | 816 | 386 | |||
| Mortality risk and real optimal asset allocation for pension funds | 2003 | 572 | 1,205 | ||||
| Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases | 2003 | 929 | 847 | ||||
| A simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics | 2003 | 684 | 1,049 | ||||
| On the Way to Recovery : A Nonparametric Bias Free Estimation of Recovery Rate Densities | 2003 | 627 | 1,499 | ||||
| Nonparametric estimation of copulas for time series | 2003 | 1,034 | 1,541 | ||||
| Weak Convergence of Hedging Strategies of Contingent Claims | 2002 | 570 | 897 | ||||
| Nonparametric tests for positive quadrant dependence | 2002 | 565 | 1,827 | ||||
| A fast subsampling method for nonlinear dynamic models | 2001 | 503 | 1,587 | ||||
| An empirical investigation in credit spread indices | The journal of risk | 2001 | 852 | 903 | |||
| An auto-regressive conditional binomial option pricing model | Selected Papers from the First World Congress of the Bachelier Finance Society | 2001 | 538 | 0 | |||
| Sensitivity analysis of values at risk | Journal of empirical finance | 2000 | 903 | 2,200 | |||
| A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary | Finance and stochastics | 2000 | 940 | 550 | |||
| Convergence of discrete time option pricing models under stochastic interest rates | Finance and stochastics | 2000 | 775 | 464 | |||
| Reverse score and likelihood ratio tests | Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) | 1999 | 466 | 1 | |||
| Bartlett identities tests | Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) | 1999 | 750 | 456 | |||
| Variance optimal cap pricing models | Discussion Papers (IRES -Institut de recherches économiques et sociales) | 1999 | 693 | 298 | |||
| Instrumental models and indirect encompassing | Econometrica | 1998 | 825 | 950 | |||
| Path dependent options on yields in the affine term structure model | Finance and stochastics | 1998 | 879 | 855 | |||
| Quasi indirect inference for diffusion processes | Econometric theory | 1998 | 536 | 2 | |||
| Compound and exchange options in the affine term structure model | Applied mathematical finance | 1996 | 493 | 0 | |||
| Estimation de modèles de la structure par terme des taux d'intérêt | Revue économique | 1996 | 831 | 539 | |||
| Testing for continuous-time models of the short-term interest rate | Journal of empirical finance | 1995 | 560 | 0 | |||
| Forecast intervals in ARCH exponential smoothing | Discussion Papers (CORE - Center for Operations research & econometrics) | 1994 | 796 | 112 |
