Access Statistics for Olivier Scaillet

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Diagnostic Criterion for Approximate Factor Structure 0 0 0 5 0 0 6 50
A Fast Subsampling Method for Nonlinear Dynamic Models 0 0 0 10 0 0 9 415
A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data 0 0 0 29 0 0 18 69
A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data 0 0 0 4 0 0 14 76
A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence 0 0 0 164 0 0 10 803
A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives 0 0 1 50 0 0 14 373
A New Index of Belgian Shares 0 0 1 58 0 0 9 550
A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics 0 0 0 852 0 1 15 1,904
A Specification Test For Nonparametric Instrumental Variable Regression 0 0 0 64 0 1 11 208
A diagnostic criterion for approximate factor structure 0 0 1 21 0 0 17 66
A fast Subsampling Method for Nonlinear Dynamic Models 0 0 0 0 0 1 12 255
A higher-order correct fast moving-average bootstrap for dependent data 0 0 0 0 0 0 19 25
A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements 0 0 0 234 0 0 6 805
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 0 0 1 18 21
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 84 0 1 13 57
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 11 0 1 13 21
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 446 1 1 3 1,117
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 86 1 1 17 258
An Empirical Estimation in Credit Spread Indices 0 0 0 117 0 1 8 277
An Empirical Investigation in Credit Spread Indices 0 0 2 710 0 0 7 1,647
An Empirical Investigation in Credit Spread Indices 0 0 0 340 0 0 14 744
An Empirical Investigation in Credit Spread Indices 0 0 0 14 1 2 7 426
An auto-regressive conditional binomial option pricing model 0 0 0 0 0 0 7 9
An autoregressive conditional binomial option pricing model under stochastic rates 0 0 0 0 0 0 9 268
Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility 0 0 0 76 0 2 10 231
Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data 0 0 0 17 1 1 3 96
Asset Pricing Robustness in Venture Capital 0 0 0 0 0 1 4 4
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 0 0 1 3 11 27
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 1 55 2 2 17 103
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 0 0 1 2 15 62
Backtesting marginal expected shortfalland related systemic risk measures 0 1 4 7 1 4 22 34
Bartlett Identities Tests 0 0 0 163 1 1 16 779
Bartlett Identities Tests 0 0 1 24 0 0 19 161
Bartlett identities tests 0 0 0 11 0 0 6 335
Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy 0 0 0 34 0 0 5 51
Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy 0 0 0 0 0 1 5 7
Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates 0 0 0 29 0 0 20 123
Convergence of Discrete Time Options Pricing Models under Stochastic Rates 0 0 0 0 0 0 18 1,261
Convergence of discrete time option pricing models under stochastic interest rates 0 0 0 0 1 1 5 6
Convergence of discrete time options pricing models under stochastic 0 0 0 0 0 0 8 114
Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets 0 0 0 9 1 1 10 46
Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets 0 0 0 2 0 0 10 13
Density Estimation Using Inverse and Reciprocal Inverse Gaussian Kernels 0 1 1 176 0 2 12 642
Density Estimation Using Inverse and Reciprocal Inverse Guassian Kernels 0 1 2 258 0 2 29 1,357
Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps 0 0 0 11 0 2 21 114
Early exercise decision in American options with dividends, stochastic volatility and jumps 0 0 0 12 0 1 30 91
Econométrie de la Finance: approches historiques 0 0 0 0 0 2 11 123
Eigenvalue tests for the number of latent factors in short panels 0 0 1 1 0 1 9 16
Eigenvalue tests for the number of latent factors in short panels 0 0 0 15 0 1 8 20
Estimation of Large Dimensional Conditional Factor Models in Finance 0 0 2 48 0 0 9 79
Estimation of large dimensional conditional factor models in finance 0 0 0 3 0 1 17 28
Estimation of the term structure from bond data 0 0 2 20 0 0 11 495
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 0 0 130 0 1 20 538
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 0 0 157 0 1 25 603
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 0 3 604 0 1 21 2,166
False discoveries in mutual fund performance: Measuring luck in estimated alphas 0 0 0 55 0 0 12 231
Forecast Intervals in ARCH Exponential Smoothing 0 0 0 13 0 1 5 111
From Funds to Families: Organizational Scale in Value Creation 0 1 1 1 0 2 3 3
Green Silence: Double Machine Learning Carbon Emissions Under Sample Selection Bias 0 4 18 18 1 9 33 33
High-Frequency Estimation of ITÔ Semimartingale Baseline for Hawkes Processes 0 0 0 7 0 3 16 22
High-Frequency Jump Analysis of the Bitcoin Market 0 0 0 38 0 2 20 134
High-Frequency Jump Analysis of the Bitcoin Market 0 0 0 28 0 0 6 76
High-frequency jump analysis of the bitcoin market 0 1 3 4 0 4 54 58
Indirect Inference, Nuisance Parameter and Threshold Moving Average 0 0 0 188 0 0 6 1,592
Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified 0 0 1 17 0 2 24 88
Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters 0 0 0 232 0 0 23 638
Latent Factor Analysis in Short Panels 0 0 1 24 0 4 16 36
Latent Factor Analysis in Short Panels 0 0 0 2 0 2 11 20
Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility 0 0 1 240 1 1 8 777
Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility 0 0 0 119 0 2 8 371
Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators 0 0 0 39 0 0 7 204
Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators 0 0 0 79 0 2 15 406
Local Transformation Kernel Density Estimation of Loss Distributions 0 0 0 75 0 0 9 297
Mean Reversion Trading on the Naphtha Crack 0 0 2 5 0 4 13 23
Mortality Risk and Real Optimal Asset Allocation for Pension Funds 0 0 0 284 0 0 14 746
Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration 0 0 0 3 0 1 6 11
Multiariate Wavelet-based sahpe preserving estimation for dependant observation 0 0 0 42 0 1 14 244
Multiregime Term Structure Models 0 0 0 131 0 0 3 431
Multiregime Term Structure Models 0 0 0 5 0 0 6 57
Natural Hazards and Financial Activity: Evidence from Solar Storms Impact on BTC Mining 0 0 0 0 1 6 19 19
Non-Standard Errors 0 0 0 27 0 3 20 171
Non-Standard Errors 0 0 0 44 1 8 44 484
Non-Standard Errors 0 1 2 112 0 3 19 317
Nonparametric Estimation of Conditional Expected Shortfall 0 0 0 533 0 2 8 1,173
Nonparametric Estimation of Copulas for Time Series 0 0 0 462 0 0 17 913
Nonparametric Instrumental Variable Estimators of Structural Quantile Effects 0 0 0 60 0 0 15 184
Nonparametric Tests Dependence For Positive Quadrant 0 0 0 36 0 1 12 203
Nonparametric Tests for Positive Quadrant Dependence 0 0 0 253 0 4 22 975
Nonparametric estimation of copulas for time series 0 0 0 3 0 1 5 14
Nonstandard Errors 0 0 1 4 2 4 27 47
Nonstandard Errors 0 0 0 0 3 5 22 24
Nonstandard Errors 0 0 0 0 0 3 30 35
Nonstandard errors 0 0 1 12 1 3 31 82
On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints 0 0 0 2 0 0 12 36
On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities 0 0 0 253 0 1 9 694
Optimal Maximin GMM Tests for Sphericity in Latent Factor Analysis of Short Panels 0 0 0 2 0 0 12 16
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 0 0 0 100 0 0 15 291
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 0 0 0 322 0 0 12 1,281
Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases 0 0 0 256 1 1 16 1,185
Option Pricing with Discrete Rebalancing 0 0 0 312 1 4 8 691
Option Pricing with Discrete Rebalancing 0 0 0 11 0 1 8 66
Option Pricing with Discrete Rebalancing 0 0 0 137 0 2 14 443
Option pricing with discrete rebalancing 0 0 0 0 0 1 7 7
Option pricing with discrete rebalancing 0 0 0 0 1 1 10 164
Predictability Hidden by Anomalous Observations 0 0 0 1 0 1 9 46
Predictability Hidden by Anomalous Observations 0 0 0 19 0 1 12 63
Predictability Hidden by Anomalous Observations 0 0 0 1 0 0 14 61
Quasi Indirect Inference for Diffusion Processes 0 0 0 9 0 2 9 62
Quasi-indirect inference for diffusion processes 0 0 0 0 0 0 8 34
Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply 0 0 1 16 0 1 20 81
Reversed Score and Likelihood Ratio Tests 0 0 0 48 0 0 4 337
Reversed Score and Likelihood Ratio Tests 0 0 0 7 0 0 11 157
Reversed Score and Likelihood Ratio Tests 0 0 0 91 0 2 8 619
Robust Resampling Methods for Time Series 0 0 0 68 0 0 6 219
Robust Subsampling 0 0 1 51 0 1 18 232
SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS 0 0 1 541 0 3 17 1,074
Saddlepoint Approximations for Spatial Panel Data Models 0 0 0 16 0 1 12 31
Saddlepoint approximations for spatial panel data models 0 0 0 4 0 0 6 23
Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements 0 0 0 358 0 0 6 1,392
Sensitivity Analysis of Values at Risk 0 0 0 1,597 2 6 19 4,372
Sensitivity Analysis of Values at Risk 0 0 0 769 0 3 20 1,472
Sensitivity Analysis of Values at Risk 0 0 0 80 0 0 10 2,463
Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements 0 0 0 17 0 0 17 94
Sensitivity analysis of Values at Risk 0 0 0 0 0 2 11 15
Sensitivity analysis of values at risk 0 0 0 1 0 3 12 477
Skill, scale, and value creation in the mutual fund industry 0 0 0 8 0 3 24 54
Spanning Tests for Markowitz Stochastic Dominance 0 0 0 16 1 1 8 45
Spanning Tests for Markowitz Stochastic Dominance 0 0 0 9 0 0 8 58
Spanning analysis of stock market anomalies under Prospect Stochastic Dominance 0 0 0 8 1 3 18 47
Spanning analysis of stock market anomalies under Prospect Stochastic Dominance 0 0 0 5 1 2 24 51
Spanning analysis of stock market anomalies under prospect stochastic dominance 0 0 0 1 0 0 23 29
Spanning tests for markowitz stochastic dominance 0 0 0 0 2 3 19 22
Sparse spanning portfolios and under-diversification with second-order stochastic dominance 0 0 0 1 0 2 10 13
Sparse spanning portfolios and under-diversification with second-order stochastic dominance 0 0 0 5 0 1 7 14
Swag: A Wrapper Method for Sparse Learning 0 0 0 12 0 0 10 47
Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs 2 3 8 120 17 23 46 468
Testing For Equality Between Two Copulas 0 1 2 62 0 1 11 205
Testing foe Stochastic Dominance Efficiency 0 0 0 0 1 2 13 139
Testing for Concordance Ordering 0 0 0 69 1 1 20 344
Testing for Continuous-Time Models of the Short-Term Interest Rate 1 1 1 11 1 1 32 358
Testing for Stochastic Dominance Efficiency 0 1 1 156 0 1 13 465
Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels 0 0 0 11 0 0 5 63
Testing for continuous-time models of the short-term interest rate 0 0 0 3 0 0 7 43
Testing for threshold effect in ARFIMA models: Application to US unemployment rate data 0 0 0 81 0 0 12 306
The Cross-Sectional Distribution of Fund Skill Measures 0 0 0 5 0 1 14 34
The Cross-Sectional Distribution of Fund Skill Measures 0 0 0 1 0 1 9 19
Theory and Calibration of Swap Market Models 0 0 1 1,598 0 2 25 3,540
Tikhonov Regularization for Functional Minimum Distance Estimators 0 0 1 110 0 0 12 429
Time-Varying Risk Premia in Large International Equity Markets 0 0 0 61 0 0 13 260
Time-Varying Risk Premia in Large International Equity Markets 0 0 0 17 0 0 4 83
Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets 0 0 1 18 0 5 26 150
Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets 0 0 0 17 0 0 8 107
Time-varying risk premium in large cross-sectional equity datasets 0 1 3 70 1 5 30 145
Valuing American Options Using Fast Recursive Projections 0 0 0 8 0 0 7 24
Valuing American options using fast recursive projections 0 0 1 2 1 2 23 28
Valuing American options using fast recursive projections 0 0 0 22 0 0 13 78
Valuing American options using fast recursive projections 0 0 0 2 0 2 76 87
Variance Optimal Cap Pricing Models 0 0 0 348 0 0 8 1,254
Variance Optimal Cap Pricing Models 0 0 0 7 0 1 11 47
We propose a technique to avoid spurious detections of jumps in highfrequency data via an explicit thresholding on available test statistics 0 0 0 32 0 0 12 105
Weak Convergence of Hedging Strategies of Contingent Claims 0 0 0 82 0 0 14 261
Weak Convergence of Hedging Strategies of Contingent Claims 0 0 0 48 0 0 2 166
Wealth Effect on Portfolio Allocation in Incomplete Markets 0 0 1 9 0 0 9 35
Total Working Papers 3 17 76 16,480 54 228 2,324 59,240
1 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Specification Test for Nonparametric Instrumental Variable Regression 0 1 1 10 0 2 16 66
A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary 0 0 1 763 0 0 12 2,081
A diagnostic criterion for approximate factor structure 0 0 1 42 0 1 12 127
A fast subsampling method for nonlinear dynamic models 0 0 0 52 0 0 12 158
A higher-order correct fast moving-average bootstrap for dependent data 0 0 0 2 0 0 10 18
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 0 1 1 14 20
An empirical investigation into credit spread indices 0 0 2 3 0 1 21 26
Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility 0 0 0 1 0 0 5 20
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 3 12 2 8 34 67
CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA 0 0 1 35 1 2 21 157
Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 6 0 1 12 41
Compound and exchange options in the affine term structure model 0 0 1 13 1 1 6 52
Convergence of discrete time option pricing models under stochastic interest rates 0 0 0 286 0 0 11 1,233
Dynamic Portfolio Allocation Under Market Incompleteness and Wealth Effects 0 0 1 1 0 1 4 4
Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps 0 0 0 10 0 2 12 61
Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 4 0 1 11 30
Estimation de modèles de la structure par terme des taux d'intérêt 0 0 0 17 1 2 7 80
Factors and risk premia in individual international stock returns 0 0 0 20 0 3 28 92
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 2 6 252 6 12 74 874
Hedge Fund Managers: Luck and Dynamic Assessment 0 0 2 32 0 0 15 150
High-Frequency Jump Analysis of the Bitcoin Market* 0 1 4 24 0 1 26 113
Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models 0 0 0 0 1 3 15 270
Instrumental Models and Indirect Encompassing 0 0 0 0 0 1 9 279
Is it alpha or beta? Decomposing hedge fund returns when models are misspecified 0 0 1 6 0 2 29 55
Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News 1 1 4 53 4 19 60 339
Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters 0 0 0 4 0 0 11 116
LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING 0 0 1 20 0 1 10 77
Latent factor analysis in short panels 0 0 0 0 1 5 5 5
Local Transformation Kernel Density Estimation of Loss Distributions 0 0 0 32 0 0 10 126
Local multiplicative bias correction for asymmetric kernel density estimators 0 0 0 32 0 0 13 174
Mean reversion trading on the naphtha crack 0 0 0 0 10 15 35 35
Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall 1 1 2 119 2 3 15 280
Nonparametric Instrumental Variable Estimation of Structural Quantile Effects 0 0 0 26 0 2 8 193
Nonparametric estimation of copulas for time series 1 1 1 1 2 2 20 20
Nonstandard Errors 1 2 8 46 5 9 53 185
On ill‐posedness of nonparametric instrumental variable regression with convexity constraints 0 0 0 3 0 1 9 37
On the way to recovery: A nonparametric bias free estimation of recovery rate densities 0 0 1 211 1 3 17 526
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 0 0 2 12 0 0 6 49
Option pricing with discrete rebalancing 0 0 0 86 0 0 8 255
Path dependent options on yields in the affine term structure model 0 0 0 367 0 0 10 1,217
Pricing American options under stochastic volatility and stochastic interest rates 0 0 0 61 1 3 20 230
QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES 0 0 0 25 0 4 15 100
Robust subsampling 0 1 1 28 0 1 13 131
Saddlepoint Approximations for Spatial Panel Data Models 0 0 0 1 0 1 12 19
Semiparametric methods in econometrics 0 0 0 109 0 1 4 238
Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements 0 0 2 65 0 0 18 233
Sensitivity analysis of Values at Risk 0 1 2 465 0 4 31 1,076
Skill, Scale, and Value Creation in the Mutual Fund Industry 0 2 2 31 3 6 18 122
Spanning Analysis of Stock Market Anomalies Under Prospect Stochastic Dominance 0 0 0 0 1 3 19 20
Spanning tests for Markowitz stochastic dominance 0 0 0 2 0 1 10 33
THEORY AND CALIBRATION OF SWAP MARKET MODELS 0 0 0 57 0 0 7 166
Technical trading revisited: False discoveries, persistence tests, and transaction costs 3 3 12 148 33 58 105 627
Testing for Concordance Ordering 0 0 0 2 2 4 13 37
Testing for Stochastic Dominance Efficiency 0 0 0 60 1 2 20 209
Testing for continuous-time models of the short-term interest rate 1 1 2 133 1 2 21 316
Testing for equality between two copulas 0 0 0 72 0 3 12 205
Testing for symmetry and conditional symmetry using asymmetric kernels 0 0 0 4 0 1 14 48
Testing for threshold effect in ARFIMA models: Application to US unemployment rate data 0 0 0 50 1 2 11 179
Tikhonov regularization for nonparametric instrumental variable estimators 0 0 1 29 0 1 12 164
Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets 1 1 3 56 1 4 40 229
Unemployment insurance and mortgages 0 0 0 18 0 0 3 114
Total Journal Articles 9 18 68 4,019 82 206 1,124 14,204
1 registered items for which data could not be found

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Primer on Weather Derivatives 0 0 0 0 1 2 17 32
Estimation of large dimensional conditional factor models in finance 0 0 1 1 0 3 46 49
Total Chapters 0 0 1 1 1 5 63 81

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