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Spanning tests for markowitz stochastic dominance Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas 2018
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The Cross-Sectional Distribution of Fund Skill Measures Barras, Laurent; Gagliardini, Patrick; Scaillet, Olivier 2018
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High-frequency jump analysis of the bitcoin market Scaillet, Olivier; Treccani, Adrien; Trevisan, Christopher 2017
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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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Valuing American options using fast recursive projections Cosma, Antonio; Galluccio, Stefano; Pederzoli, Paola; Scaillet, Olivier 2016
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Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier 2016
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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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On ill-posedness of nonparametric instrumental variable regression with convexity constraints Scaillet, Olivier 2016
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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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A diagnostic criterion for approximate factor structure Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier 2016
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Time-varying risk premium in large cross-sectional equity datasets Ossola, Elisa; Gagilardini, Patrick; Scaillet, Olivier 2015
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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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Hedge fund managers: luck and dynamic assessment Scaillet, Olivier; Criton, Gilles 2014
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Testing for symmetry and conditional symmetry using asymmetric kernels Fernandes, Marcelo; Mendes, Eduardo F.; Scaillet, Olivier 2014
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Valuing American options using fast recursive projections Cosma, Antonio; Galluccio, Stefano; Scaillet, Olivier 2012
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Technical trading revisited: false discoveries,persistence tests, and transaction costs Scaillet, Olivier; Bajgrowicz, Pierre 2012
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Robust subsampling Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio 2012
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Technical trading revisited: False discoveries, persistence tests, and transaction costs Bajgrowicz, Pierre; Scaillet, Olivier 2012
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Tikhonov regularization for nonparametric instrumental variable estimators Gagliardini, Patrick; Scaillet, Olivier 2012
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Nonparametric Instrumental Variable Estimation of Structural Quantile Effects Scaillet, Olivier; Gagilardini, Patrick 2012
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A primer on weather derivatives Barrieu, Pauline; Scaillet, Olivier 2010
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Pricing American options under stochastic volatility and stochastic interest rates Medvedev, Alexey; Scaillet, Olivier 2010
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Time-varying risk premium in large cross-sectional equity datasets Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier 2010
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CMS spread products Galluccio, Stefano; Scaillet, Olivier 2010
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Testing for Stochastic Dominance Efficiency Scaillet, Olivier; Topaloglou, Nikolas 2010
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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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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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Testing for threshold effect in ARFIMA models: Application to US unemployment rate data Lahiani, A.; Scaillet, Olivier 2009
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Testing for equality between two copulas Rémillard, Bruno; Scaillet, Olivier 2009
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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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Nonparametric Instrumental Variable Estimation of Structural Quantile effects Chernozhukov, V.; Gagliardini, P.; Scaillet, Olivier 2008
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Technical trading revisited: false discoveries, persistence tests, and transaction costs Bajgrowicz, Pierre Georges; Scaillet, Olivier 2008
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Testing for threshold effect in ARFIMA models: Application to US unemployment rate data Lahiani, A.; Scaillet, Olivier 2008
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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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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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Swap market models Galluccio, Stefano; Scaillet, Olivier 2008
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Weather derivatives Barrieu, Pauline; Scaillet, Olivier 2008
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Pricing american options under stochastic volatility and stochastic interest rates Medvedev, Alexey; Scaillet, Olivier 2007
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A specification test for nonparametric instrumental variable regression Gagliardini, P.; Scaillet, Olivier 2007
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Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters Scaillet, Olivier 2007
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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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Local multiplicative bias correction for asymmetric kernel density estimators Hagmann, M.; Scaillet, Olivier 2007
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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 2007
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The estimation of copulas : theory and practice Charpentier, Arthur; Fermanian, Jean-David; Scaillet, Olivier 2007
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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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Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility Medvedev, Alexey; Scaillet, Olivier 2007
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Linear-quadratic jump-diffusion modeling Cheng, Peng; 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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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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