Access Statistics for Olivier Scaillet

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Fast Subsampling Method for Nonlinear Dynamic Models 0 0 0 1 6 14 45 343
A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence 2 5 17 119 10 23 117 509
A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives 0 2 6 25 2 7 32 233
A New Index of Belgian Shares 0 0 2 49 1 8 32 424
A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics 8 21 82 465 15 53 166 932
A Specification Test For Nonparametric Instrumental Variable Regression 1 4 21 21 4 12 46 46
A fast Subsampling Method for Nonlinear Dynamic Models 0 0 0 0 1 5 15 186
A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements 5 7 30 137 10 29 118 439
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 0 3 17 100 923
An Autoregressive Conditional Binomial Option Pricing Model 0 2 22 316 4 11 64 750
An Empirical Estimation in Credit Spread Indices 1 2 15 83 2 4 22 168
An Empirical Investigation in Credit Spread Indices 0 1 17 299 0 8 48 582
An Empirical Investigation in Credit Spread Indices 0 0 0 1 2 6 32 346
An Empirical Investigation in Credit Spread Indices 3 9 47 541 13 32 137 1,253
An autoregressive conditional binomial option pricing model under stochastic rates 0 0 0 0 0 2 10 197
Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility 0 2 10 10 2 6 28 28
Bartlett Identities Tests 0 0 0 0 2 5 14 226
Bartlett Identities Tests 0 3 12 107 5 16 72 512
Bartlett Identities Tests 0 0 0 0 4 7 28 266
Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates 0 0 0 0 2 8 43 483
Convergence of Discrete Time Option Pricing Models under Stochastic Interest Rates 0 1 8 197 0 2 21 613
Convergence of Discrete Time Options Pricing Models under Stochastic Rates 0 0 0 0 0 0 9 1,188
Convergence of discrete time options pricing models under stochastic 0 0 0 0 0 0 3 80
Density Estimation Using Inverse and Reciprocal Inverse Gaussian Kernels 1 3 16 117 5 16 65 426
Density Estimation Using Inverse and Reciprocal Inverse Guassian Kernels 0 2 12 217 3 17 85 1,058
Estimation of the term structure from bond data 0 0 0 0 1 5 24 319
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 2 16 32 58 6 54 111 159
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 17 71 131 228 33 183 305 564
Indirect Inference, Nuisance Parameter and Threshold Moving Average 2 5 16 159 6 13 81 1,288
Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters 4 12 41 174 7 23 84 387
Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility 3 12 40 148 8 29 102 441
Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility 1 3 22 83 1 10 60 228
Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators 0 0 6 26 0 2 26 95
Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators 0 1 6 59 0 7 34 258
Local Transformation Kernel Density Estimation of Loss Distributions 3 3 24 24 6 9 35 35
Mortality Risk and Real Optimal Asset Allocation for Pension Funds 1 7 14 220 3 12 36 583
Multiariate Wavelet-based sahpe preserving estimation for dependant observation 0 0 5 30 2 6 35 148
Multiregime Term Structure Models 0 0 5 120 1 2 11 364
Non-Nested Hypothesis and Instrumental Models 0 0 0 0 1 2 8 233
Nonparametric Estimation of Conditional Expected Shortfall 1 5 45 238 5 21 91 451
Nonparametric Estimation of Copulas for Time Series 7 31 86 245 10 49 138 450
Nonparametric Instrumental Variable Estimators of Quantile Structural Effects 4 4 18 18 8 12 20 20
Nonparametric Tests Dependence For Positive Quadrant 0 0 4 19 0 4 20 107
Nonparametric Tests for Positive Quadrant Dependence 3 4 17 185 8 26 82 635
Nonparametric specification analysis of dynamic parametric models 1 2 5 5 1 3 14 14
On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities 4 11 27 132 6 20 64 317
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 1 1 4 66 2 8 23 165
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 2 8 33 251 8 25 92 716
Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases 2 7 35 172 20 42 157 651
Option Pricing with Discrete Rebalancing 0 0 0 0 0 4 22 228
Option Pricing with Discrete Rebalancing 0 2 12 278 4 9 38 553
Option Pricing with Discrete Rebalancing 1 7 26 86 2 9 43 222
Option pricing with discrete rebalancing 0 0 0 0 1 3 6 96
Path Dependant Options on Yields in the Affine Term Structure Model 0 0 0 0 1 3 19 294
Pricing Interest Rate-SensitiveCredit Portfolio Derivatives 1 3 13 13 3 7 25 25
Reversed Score and Likelihood Ratio Tests 0 0 0 0 2 3 22 112
Reversed Score and Likelihood Ratio Tests 1 2 6 71 2 7 36 500
Reversed Score and Likelihood Ratio Tests 0 0 0 44 5 7 28 249
Robust Subsampling 1 2 18 18 2 5 41 41
SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS 6 14 45 412 9 23 90 694
Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements 1 4 19 258 6 50 134 955
Sensitivity Analysis of Values at Risk 0 0 0 4 7 33 363 2,213
Sensitivity Analysis of Values at Risk 4 16 82 1,096 25 81 320 2,741
Sensitivity Analysis of Values at Risk 4 11 50 616 4 15 80 1,131
Sensitivity analysis of values at risk 0 0 0 1 5 12 42 286
Technical Trading Revisited: Persistence Tests, Transaction Costs, and False Discoveries 5 8 21 21 8 16 40 40
Testing For Equality Between Two Copulas 3 5 12 12 6 13 35 35
Testing foe Stochastic Dominance Efficiency 0 0 0 0 1 2 12 21
Testing for Concordance Ordering 0 2 8 28 3 9 36 138
Testing for Continuous-Time Models of the Short-Term Interest Rate 0 0 0 0 0 1 17 215
Testing for Stochastic Dominance Efficiency 0 0 16 112 1 7 44 284
Theory and Calibration of Swap Market Models 12 54 183 1,118 42 124 477 2,271
Tikhonov Regularization for Functional Minimum Distance Estimators 4 10 36 36 7 27 88 88
Variance Optimal Cap Pricing Models 5 7 25 291 12 37 120 942
Variance Optimal Cap Pricing Models 0 0 0 1 2 9 50 547
Weak Convergence of Hedging Strategies of Contingent Claims 1 1 1 38 1 3 12 115
Weak Convergence of Hedging Strategies of Contingent Claims 1 3 15 41 3 6 31 124
Total Working Papers 129 418 1,521 9,960 403 1,400 5,276 35,999

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary 3 15 55 677 7 31 129 1,773
A fast subsampling method for nonlinear dynamic models 0 3 6 21 1 4 12 49
CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA 1 3 12 17 5 12 53 78
Convergence of discrete time option pricing models under stochastic interest rates 1 1 20 271 1 4 57 1,140
Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models 0 0 0 0 1 2 14 207
Instrumental Models and Indirect Encompassing 0 0 0 0 0 2 7 134
Local multiplicative bias correction for asymmetric kernel density estimators 1 2 4 4 3 11 33 33
Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall 1 3 15 16 1 5 25 27
On the way to recovery: A nonparametric bias free estimation of recovery rate densities 0 1 9 39 3 5 21 108
Option pricing with discrete rebalancing 0 3 7 68 1 5 22 166
Path dependent options on yields in the affine term structure model 2 3 23 310 2 6 55 1,055
QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES 0 0 5 10 1 2 11 26
Semiparametric methods in econometrics 3 5 38 38 3 10 79 79
Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements 0 2 2 34 0 5 11 97
Sensitivity analysis of Values at Risk 1 4 31 283 4 16 80 618
THEORY AND CALIBRATION OF SWAP MARKET MODELS 2 2 15 19 3 9 40 48
Testing for continuous-time models of the short-term interest rate 2 5 13 71 2 6 21 133
Unemployment insurance and mortgages 0 0 2 10 0 0 5 47
Total Journal Articles 17 52 257 1,888 38 135 675 5,818

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Statistics updated 2008-10-02