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 TitleAuthors / EditorsDate
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A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary Leblanc, Barbara; Renault, Olivier; Scaillet, Olivier 2000
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A diagnostic criterion for approximate factor structure Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier 2016
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A fast subsampling method for nonlinear dynamic models Hong, H.; Scaillet, Olivier; Tamer, E. 2001
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A Kolmogorov-Smirnov type test for positive quadrant dependence Scaillet, Olivier 2005
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A kolmogorov-smirnov type test for positive quadrant dependence Scaillet, Olivier 2005
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A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives Denuit, M.; Goderniaux, A.-C.; Scaillet, Olivier 2005
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A Kolmogorov–Smirnov-Type Test for Shortfall Dominance Against Parametric Alternatives Denuit, Michel; Goderniaux, Anne-Cécile; Scaillet, Olivier 2007
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A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements Huber, Philippe; Scaillet, Olivier; Victoria-Feser, Maria-Pia 2005
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A primer on weather derivatives Barrieu, Pauline; Scaillet, Olivier 2010
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A simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics Medvedev, Alexey; Scaillet, Olivier 2003
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A specification test for nonparametric instrumental variable regression Gagliardini, P.; Scaillet, Olivier 2007
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An auto-regressive conditional binomial option pricing model Prigent, Jean-Luc; Renault, Olivier; Scaillet, Olivier 2001
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An empirical investigation in credit spread indices Prigent, Jean-Luc; Renault, Olivier; Scaillet, Olivier 2001
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Approximation and Calibration of Short-Term implied Volatilities under Jump-Diffusion Stochastic Volatility Medvedev, Alexey; Scaillet, Olivier 2006
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Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility Medvedev, Alexey; Scaillet, Olivier 2007
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Assessing multivariate predictors of financial market movements : a latent factor framework for ordinal data Huber, Philippe; Victoria-Feser, Maria-Pia; Scaillet, Olivier 2009
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Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data Huber, Philippe; Scaillet, Olivier; Victoria-Feser, Maria-Pia 2008
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Bartlett identities tests Chesher, Andrew; Dhaene, Geert; Gourieroux, Christian; Scaillet, Olivier 1999
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Business and Financial Indicators: What are the Determinants of Default Probability Changes? Couderc, Fabien; Renault, Olivier; Scaillet, Olivier 2008
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CMS spread products Galluccio, Stefano; Scaillet, Olivier 2010
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Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy Scaillet, Olivier; Trojani, Fabio; Camponovo, Lorenzo 2016
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Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio 2017
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Compound and exchange options in the affine term structure model Scaillet, Olivier 1996
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Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data Bouezmarni, Taoufik; Scaillet, Olivier 2005
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Convergence of discrete time option pricing models under stochastic interest rates Lesne, Jean-Philippe; Prigent, Jean-Luc; Scaillet, Olivier 2000
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Density estimation using inverse and reciprocal inverse Gaussian kernels Scaillet, Olivier 2004
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Early exercise decision in american options with dividends, stochastic volatility and jumps Cosma, Antonio; Galluccio, Stefano; Pederzoli, Paola; Scaillet, Olivier 2016
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Estimation de modèles de la structure par terme des taux d'intérêt Broze, Laurence; Scaillet, Olivier; Zakoïan, Jean-Michel 1996
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False Discoveries in Mutual Fund Performance : Measuring Luck in Estimated Alphas Barras, Laurent Richard; Scaillet, Olivier; Wermers, R. 2005
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False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas Barras, Laurent; Scaillet, Olivier; Wermers, Russ 2010
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Forecast intervals in ARCH exponential smoothing Broze, Laurence; Melard, Guy; Scaillet, Olivier 1994
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Hedge fund managers: luck and dynamic assessment Scaillet, Olivier; Criton, Gilles 2014
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High-frequency jump analysis of the bitcoin market Scaillet, Olivier; Treccani, Adrien; Trevisan, Christopher 2017
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Indirect inference, nuisance parameter and threshold moving average models Guay, Alain; Scaillet, Olivier 2003
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Instrumental models and indirect encompassing Dhaene, Geert; Gourieroux, Christian; Scaillet, Olivier 1998
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Jumps in high-frequency data : spurious detections, dynamics, and news Bajgrowicz, Pierre Georges; Scaillet, Olivier; Treccani, Adrien 2015
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Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters Scaillet, Olivier 2005
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Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters Scaillet, Olivier 2007
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Linear-Quadratic Jump-Diffusion Modeling Cheng, P.; Scaillet, Olivier 2006
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Linear-quadratic jump-diffusion modeling Cheng, Peng; Scaillet, Olivier 2007
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Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimator Hagmann, Matthias; Scaillet, Olivier 2003
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Local multiplicative bias correction for asymmetric kernel density estimators Hagmann, M.; Scaillet, Olivier 2007
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Local Transformation Kernel Density Estimation of Loss Gustafsson, J.; Hagmann, Matthias; Nielsen, J.P.; Scaillet, Olivier 2006
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Local Transformation Kernel Density Estimation of Loss Distributions Gustafsson, J.; Hagmann, M.; Nielsen, J. P.; Scaillet, Olivier 2009
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Mortality risk and real optimal asset allocation for pension funds Menoncin, Francesco; Scaillet, Olivier 2003
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Multivariate wavelet-based shape preserving estimation for dependent observations Cosma, Antonio; Scaillet, Olivier; Sachs, Rainervon 2005
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Multivariate wavelet-based shape-preserving estimation for dependent observations Cosma, Antonio; Scaillet, Olivier; von Sachs, Rainer 2007
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Nonparametric estimation and sensitivity analysis of expected shortfall Scaillet, Olivier 2004
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Nonparametric estimation of conditional expected shortfall Scaillet, Olivier 2005
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Nonparametric estimation of copulas for time series Fermanian, Jean-David; Scaillet, Olivier 2003
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