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 TitleAuthors / EditorsDate
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Forecast intervals in ARCH exponential smoothing Broze, Laurence; Melard, Guy; Scaillet, Olivier 1994
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Testing for continuous-time models of the short-term interest rate Broze, Laurence; Scaillet, Olivier; Zakoïan, Jean-Michel 1995
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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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Compound and exchange options in the affine term structure model Scaillet, Olivier 1996
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Path dependent options on yields in the affine term structure model Leblanc, Boris; Scaillet, Olivier 1998
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Instrumental models and indirect encompassing Dhaene, Geert; Gourieroux, Christian; Scaillet, Olivier 1998
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Quasi indirect inference for diffusion processes Broze, Laurence; Scaillet, Olivier; Zakoïan, Jean-Michel 1998
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Bartlett identities tests Chesher, Andrew; Dhaene, Geert; Gourieroux, Christian; Scaillet, Olivier 1999
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Reverse score and likelihood ratio tests Dhaene, Geert; Scaillet, Olivier 1999
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Variance optimal cap pricing models Laurent, Jean Paul; Scaillet, Olivier 1999
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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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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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Sensitivity analysis of values at risk Gourieroux, Christian; Laurent, Jean-Paul; Scaillet, Olivier 2000
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A fast subsampling method for nonlinear dynamic models Hong, H.; Scaillet, Olivier; Tamer, E. 2001
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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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Nonparametric tests for positive quadrant dependence Denuit, Michel; Scaillet, Olivier 2002
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Weak Convergence of Hedging Strategies of Contingent Claims Prigent, Jean-Luc; Scaillet, Olivier 2002
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Mortality risk and real optimal asset allocation for pension funds Menoncin, Francesco; Scaillet, Olivier 2003
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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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Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimator Hagmann, Matthias; Scaillet, Olivier 2003
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Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements Fermanian, Jean-David; Scaillet, Olivier 2003
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On the Way to Recovery : A Nonparametric Bias Free Estimation of Recovery Rate Densities Renault, Olivier; Scaillet, Olivier 2003
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Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases Battocchio, Paolo; Menoncin, Francesco; Scaillet, Olivier 2003
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Indirect inference, nuisance parameter and threshold moving average models Guay, Alain; Scaillet, Olivier 2003
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Nonparametric estimation of copulas for time series Fermanian, Jean-David; Scaillet, Olivier 2003
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Some Statistical Pitfalls in Copula Modeling for Financial Applications Fermanian, Jean-David; Scaillet, Olivier 2004
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Theory and Calibration of Swap Market Models Galluccio, Stefano; Huang, Zhijhang; Ly, Jean-Michel; Scaillet, Olivier 2004
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Density estimation using inverse and reciprocal inverse Gaussian kernels Scaillet, Olivier 2004
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Option pricing with discrete rebalancing Scaillet, Olivier; Prigent, Jean-Luc; Renault, Olivier 2004
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Nonparametric estimation and sensitivity analysis of expected shortfall Scaillet, Olivier 2004
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Testing for Concordance Ordering Cebrian, Ana C.; Denuit, Michel; Scaillet, Olivier 2004
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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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False Discoveries in Mutual Fund Performance : Measuring Luck in Estimated Alphas Barras, Laurent Richard; Scaillet, Olivier; Wermers, R. 2005
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Testing for stochastic dominance efficiency Scaillet, Olivier; Topaloglou, Nikolaos 2005
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Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters Scaillet, Olivier 2005
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Multivariate wavelet-based shape preserving estimation for dependent observations Cosma, Antonio; Scaillet, Olivier; Sachs, Rainervon 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 positive quadrant dependence Scaillet, Olivier 2005
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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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Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements Fermanian, Jean-David; Scaillet, Olivier 2005
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Nonparametric estimation of conditional expected shortfall Scaillet, Olivier 2005
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A kolmogorov-smirnov type test for positive quadrant dependence Scaillet, Olivier 2005
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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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Robust Subsampling Camponovo, L.; Scaillet, Olivier; Trojani, Fabio 2006
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Tikhonov Regularization for Nonparametric Instrumental Variable Estimators Gagliardini, P.; Scaillet, Olivier 2006
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Testing for Equality Between Two Copulas Rémillard, Bruno; Scaillet, Olivier 2006
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Linear-Quadratic Jump-Diffusion Modeling Cheng, P.; Scaillet, Olivier 2006
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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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Optimal asset management for pension funds Menoncin, Francesco; Scaillet, Olivier 2006
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