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 1 5 0 1 3 44
A Fast Subsampling Method for Nonlinear Dynamic Models 0 0 0 10 1 1 1 405
A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data 0 0 1 4 0 0 1 62
A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data 0 0 0 29 0 0 0 51
A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence 0 0 0 164 0 1 1 793
A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives 0 0 0 49 1 1 2 358
A New Index of Belgian Shares 0 0 0 57 0 0 1 541
A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics 0 1 5 852 0 1 7 1,889
A Specification Test For Nonparametric Instrumental Variable Regression 0 0 0 64 0 0 0 197
A diagnostic criterion for approximate factor structure 0 0 1 20 1 2 5 49
A fast Subsampling Method for Nonlinear Dynamic Models 0 0 0 0 0 1 2 243
A higher-order correct fast moving-average bootstrap for dependent data 0 0 0 0 0 2 4 6
A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements 0 0 0 234 0 0 0 799
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 1 84 0 0 1 44
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 0 0 2 3 3
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 11 0 0 1 6
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 86 0 1 2 241
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 446 0 0 0 1,114
An Empirical Estimation in Credit Spread Indices 0 0 0 117 0 0 0 269
An Empirical Investigation in Credit Spread Indices 0 0 0 14 0 0 0 419
An Empirical Investigation in Credit Spread Indices 0 0 0 708 0 1 7 1,639
An Empirical Investigation in Credit Spread Indices 0 0 1 340 0 1 4 729
An auto-regressive conditional binomial option pricing model 0 0 0 0 0 0 0 2
An autoregressive conditional binomial option pricing model under stochastic rates 0 0 0 0 0 0 0 259
Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility 0 0 0 76 0 0 2 220
Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data 0 0 0 17 0 0 0 93
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 0 0 0 1 5 45
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 0 54 1 1 2 86
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 0 0 0 0 0 15
Backtesting marginal expected shortfalland related systemic risk measures 0 0 0 3 0 0 2 11
Bartlett Identities Tests 0 0 0 163 0 0 3 762
Bartlett Identities Tests 0 0 0 23 0 0 0 142
Bartlett identities tests 0 0 0 11 0 0 2 329
Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy 0 0 0 34 0 0 0 46
Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy 0 0 0 0 0 0 1 1
Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates 0 0 0 29 0 0 1 103
Convergence of Discrete Time Options Pricing Models under Stochastic Rates 0 0 0 0 0 0 0 1,243
Convergence of discrete time option pricing models under stochastic interest rates 0 0 0 0 0 0 1 1
Convergence of discrete time options pricing models under stochastic 0 0 0 0 0 0 0 106
Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets 0 0 0 9 0 1 2 36
Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets 0 0 0 2 0 0 0 3
Density Estimation Using Inverse and Reciprocal Inverse Gaussian Kernels 0 0 0 175 0 0 2 630
Density Estimation Using Inverse and Reciprocal Inverse Guassian Kernels 0 0 1 256 0 0 2 1,328
Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps 0 0 1 11 1 1 4 93
Early exercise decision in American options with dividends, stochastic volatility and jumps 0 0 0 12 0 0 3 60
Econométrie de la Finance: approches historiques 0 0 0 0 0 0 2 112
Eigenvalue tests for the number of latent factors in short panels 0 0 0 15 0 0 4 12
Eigenvalue tests for the number of latent factors in short panels 0 0 0 0 0 0 0 7
Estimation of Large Dimensional Conditional Factor Models in Finance 0 1 2 46 0 2 3 69
Estimation of large dimensional conditional factor models in finance 0 0 0 3 0 1 2 10
Estimation of the term structure from bond data 0 1 1 18 0 1 2 484
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 1 2 600 0 2 12 2,142
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 0 0 130 1 2 2 513
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 0 2 156 0 0 4 577
False discoveries in mutual fund performance: Measuring luck in estimated alphas 0 0 0 55 0 0 0 219
Forecast Intervals in ARCH Exponential Smoothing 0 0 0 13 0 2 2 106
High-Frequency Estimation of ITÔ Semimartingale Baseline for Hawkes Processes 1 7 7 7 1 5 5 5
High-Frequency Jump Analysis of the Bitcoin Market 0 0 0 38 0 1 4 114
High-Frequency Jump Analysis of the Bitcoin Market 0 0 0 28 0 0 3 68
High-frequency jump analysis of the bitcoin market 0 0 0 1 0 1 2 3
Indirect Inference, Nuisance Parameter and Threshold Moving Average 0 0 0 188 0 0 0 1,586
Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified 0 0 1 16 0 0 5 62
Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters 0 0 0 231 0 1 2 614
Latent Factor Analysis in Short Panels 0 0 0 2 0 0 2 9
Latent Factor Analysis in Short Panels 0 0 1 23 0 0 4 19
Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility 0 0 0 238 0 1 3 768
Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility 0 0 0 118 0 0 1 362
Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators 0 0 0 39 0 0 1 197
Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators 0 0 0 79 0 0 0 391
Local Transformation Kernel Density Estimation of Loss Distributions 0 0 0 75 0 0 1 288
Mean Reversion Trading on the Naphtha Crack 0 1 3 3 0 4 10 10
Mortality Risk and Real Optimal Asset Allocation for Pension Funds 0 0 0 284 1 1 1 732
Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration 0 0 0 3 0 1 1 5
Multiariate Wavelet-based sahpe preserving estimation for dependant observation 0 0 0 42 0 0 1 229
Multiregime Term Structure Models 0 0 0 5 0 0 2 51
Multiregime Term Structure Models 0 0 0 131 0 1 2 428
Non-Standard Errors 2 2 3 44 5 12 52 438
Non-Standard Errors 0 0 4 27 0 6 76 145
Non-Standard Errors 0 0 4 109 2 5 22 296
Nonparametric Estimation of Conditional Expected Shortfall 0 0 1 533 1 4 7 1,164
Nonparametric Estimation of Copulas for Time Series 0 0 1 462 0 0 1 896
Nonparametric Instrumental Variable Estimators of Structural Quantile Effects 0 0 0 60 0 0 0 169
Nonparametric Tests Dependence For Positive Quadrant 0 0 0 36 0 1 2 191
Nonparametric Tests for Positive Quadrant Dependence 0 0 0 253 1 1 2 953
Nonparametric estimation of copulas for time series 0 0 0 2 1 1 2 7
Nonstandard Errors 0 0 2 2 5 5 19 19
Nonstandard errors 0 0 11 11 0 5 44 44
On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints 0 0 0 2 0 0 0 24
On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities 0 0 1 253 0 0 2 685
Optimal Maximin GMM Tests for Sphericity in Latent Factor Analysis of Short Panels 0 0 0 0 0 1 1 1
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 0 0 0 322 0 1 3 1,267
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 0 0 0 100 0 1 2 276
Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases 1 1 1 256 2 2 3 1,169
Option Pricing with Discrete Rebalancing 0 0 0 312 0 0 1 683
Option Pricing with Discrete Rebalancing 0 0 1 11 0 0 1 58
Option Pricing with Discrete Rebalancing 0 0 0 137 0 0 3 429
Option pricing with discrete rebalancing 0 0 0 0 0 0 0 154
Option pricing with discrete rebalancing 0 0 0 0 0 0 0 0
Predictability Hidden by Anomalous Observations 0 0 0 1 0 0 0 47
Predictability Hidden by Anomalous Observations 0 0 0 19 0 0 0 51
Predictability Hidden by Anomalous Observations 0 0 0 1 0 1 1 36
Quasi Indirect Inference for Diffusion Processes 0 0 0 9 2 2 3 53
Quasi-indirect inference for diffusion processes 0 0 0 0 1 1 3 26
Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply 0 0 1 15 0 1 5 60
Reversed Score and Likelihood Ratio Tests 0 0 0 7 0 0 0 146
Reversed Score and Likelihood Ratio Tests 0 0 0 48 0 0 3 333
Reversed Score and Likelihood Ratio Tests 0 0 0 91 0 0 1 611
Robust Resampling Methods for Time Series 0 0 1 68 1 1 3 212
Robust Subsampling 0 0 0 50 0 0 0 214
SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS 0 0 1 540 0 0 3 1,057
Saddlepoint Approximations for Spatial Panel Data Models 0 0 0 16 0 0 0 19
Saddlepoint approximations for spatial panel data models 0 0 0 4 0 0 0 17
Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements 0 0 0 358 0 1 2 1,386
Sensitivity Analysis of Values at Risk 0 2 3 1,597 0 3 5 4,353
Sensitivity Analysis of Values at Risk 0 2 3 769 0 2 6 1,452
Sensitivity Analysis of Values at Risk 0 2 4 80 0 2 5 2,452
Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements 0 0 0 17 0 0 0 77
Sensitivity analysis of Values at Risk 0 0 0 0 0 0 1 4
Sensitivity analysis of values at risk 0 0 0 1 0 1 1 465
Skill, scale, and value creation in the mutual fund industry 0 1 2 8 1 3 9 27
Spanning Tests for Markowitz Stochastic Dominance 0 0 0 16 0 0 0 37
Spanning Tests for Markowitz Stochastic Dominance 0 0 0 9 0 0 0 49
Spanning analysis of stock market anomalies under Prospect Stochastic Dominance 0 1 1 8 0 2 4 28
Spanning analysis of stock market anomalies under Prospect Stochastic Dominance 0 0 1 5 0 0 2 26
Spanning analysis of stock market anomalies under prospect stochastic dominance 0 0 1 1 0 0 1 4
Spanning tests for markowitz stochastic dominance 0 0 0 0 0 1 1 3
Sparse spanning portfolios and under-diversification with second-order stochastic dominance 0 0 0 1 0 0 1 3
Sparse spanning portfolios and under-diversification with second-order stochastic dominance 0 0 0 5 0 2 3 7
Swag: A Wrapper Method for Sparse Learning 0 1 1 12 1 4 6 36
Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs 0 0 0 111 0 0 4 418
Testing For Equality Between Two Copulas 0 0 0 60 0 0 1 194
Testing foe Stochastic Dominance Efficiency 0 0 0 0 0 1 2 126
Testing for Concordance Ordering 0 0 0 69 0 0 1 324
Testing for Continuous-Time Models of the Short-Term Interest Rate 0 0 0 10 0 0 0 326
Testing for Stochastic Dominance Efficiency 0 0 0 155 0 0 1 452
Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels 0 0 0 11 0 0 2 58
Testing for continuous-time models of the short-term interest rate 0 0 0 3 0 0 0 36
Testing for threshold effect in ARFIMA models: Application to US unemployment rate data 0 0 0 81 0 0 1 294
The Cross-Sectional Distribution of Fund Skill Measures 0 0 0 5 0 0 0 20
The Cross-Sectional Distribution of Fund Skill Measures 0 0 0 1 0 2 4 6
Theory and Calibration of Swap Market Models 0 0 0 1,596 0 0 1 3,514
Tikhonov Regularization for Functional Minimum Distance Estimators 0 1 1 109 1 2 3 416
Time-Varying Risk Premia in Large International Equity Markets 0 0 2 60 0 1 4 244
Time-Varying Risk Premia in Large International Equity Markets 0 0 0 17 0 0 1 79
Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets 0 0 0 17 1 1 3 124
Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets 0 0 0 17 0 2 6 97
Time-varying risk premium in large cross-sectional equity datasets 0 0 1 67 0 2 8 115
Valuing American Options Using Fast Recursive Projections 0 0 0 7 0 0 0 16
Valuing American options using fast recursive projections 0 1 1 2 0 2 7 9
Valuing American options using fast recursive projections 0 0 0 0 0 0 2 2
Valuing American options using fast recursive projections 0 0 0 22 0 0 1 65
Variance Optimal Cap Pricing Models 0 0 0 7 0 0 0 36
Variance Optimal Cap Pricing Models 0 0 0 348 0 0 0 1,246
We propose a technique to avoid spurious detections of jumps in highfrequency data via an explicit thresholding on available test statistics 0 0 0 31 0 0 0 92
Weak Convergence of Hedging Strategies of Contingent Claims 0 0 0 82 0 0 1 247
Weak Convergence of Hedging Strategies of Contingent Claims 0 0 0 48 0 0 1 164
Wealth Effect on Portfolio Allocation in Incomplete Markets 0 0 2 8 0 0 3 26
Total Working Papers 4 26 86 16,388 33 130 529 56,812
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 0 0 9 0 0 2 50
A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary 1 1 1 762 1 1 2 2,069
A diagnostic criterion for approximate factor structure 1 1 7 41 1 3 20 115
A fast subsampling method for nonlinear dynamic models 0 0 0 52 0 0 0 146
A higher-order correct fast moving-average bootstrap for dependent data 0 0 2 2 0 1 4 7
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 0 0 1 4 4
An empirical investigation into credit spread indices 0 1 1 1 0 3 3 3
Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility 0 0 0 1 0 0 0 14
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 2 2 3 9 6 6 13 29
CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA 0 0 1 34 1 2 4 135
Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 6 0 0 0 29
Compound and exchange options in the affine term structure model 0 0 0 12 0 0 0 46
Convergence of discrete time option pricing models under stochastic interest rates 0 0 0 286 0 1 1 1,222
Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps 0 0 0 9 0 0 3 48
Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 4 0 0 1 19
Estimation de modèles de la structure par terme des taux d'intérêt 0 0 1 17 0 0 1 72
Factors and risk premia in individual international stock returns 0 0 2 20 0 1 9 62
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 0 6 246 1 3 21 795
Hedge Fund Managers: Luck and Dynamic Assessment 1 1 2 30 1 2 5 134
High-Frequency Jump Analysis of the Bitcoin Market* 0 1 2 19 0 2 12 86
Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models 0 0 0 0 0 0 0 255
Instrumental Models and Indirect Encompassing 0 0 0 0 0 0 2 268
Is it alpha or beta? Decomposing hedge fund returns when models are misspecified 0 0 2 4 1 2 19 23
Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News 0 1 3 48 0 2 11 278
Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters 0 0 0 4 0 0 1 103
LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING 0 0 0 19 0 0 0 67
Local Transformation Kernel Density Estimation of Loss Distributions 0 0 0 32 0 0 0 115
Local multiplicative bias correction for asymmetric kernel density estimators 0 0 0 32 0 0 0 161
Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall 1 1 1 116 1 2 4 264
Nonparametric Instrumental Variable Estimation of Structural Quantile Effects 0 0 0 26 0 0 2 185
Nonparametric estimation of copulas for time series 0 0 0 0 0 0 0 0
Nonstandard Errors 5 7 36 36 8 20 118 118
On ill‐posedness of nonparametric instrumental variable regression with convexity constraints 0 0 0 3 0 0 1 28
On the way to recovery: A nonparametric bias free estimation of recovery rate densities 0 1 2 210 0 1 5 509
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 0 0 0 10 0 1 2 43
Option pricing with discrete rebalancing 0 1 1 86 0 1 1 247
Path dependent options on yields in the affine term structure model 0 0 1 367 0 0 3 1,207
Pricing American options under stochastic volatility and stochastic interest rates 0 0 1 61 2 3 9 209
QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES 0 0 1 25 0 1 2 85
Robust subsampling 0 0 0 27 0 1 1 118
Saddlepoint Approximations for Spatial Panel Data Models 0 0 0 1 0 0 1 6
Semiparametric methods in econometrics 0 0 0 109 0 1 3 234
Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements 0 0 0 63 0 0 3 214
Sensitivity analysis of Values at Risk 0 1 8 463 0 1 14 1,045
Skill, Scale, and Value Creation in the Mutual Fund Industry 0 0 2 27 1 1 16 97
Spanning Analysis of Stock Market Anomalies Under Prospect Stochastic Dominance 0 0 0 0 0 0 0 0
Spanning tests for Markowitz stochastic dominance 0 0 0 2 0 0 1 22
THEORY AND CALIBRATION OF SWAP MARKET MODELS 0 1 2 56 0 1 4 157
Technical trading revisited: False discoveries, persistence tests, and transaction costs 1 3 8 136 3 9 25 514
Testing for Concordance Ordering 0 0 0 2 0 0 0 24
Testing for Stochastic Dominance Efficiency 0 1 1 60 0 2 4 189
Testing for continuous-time models of the short-term interest rate 0 0 0 131 0 0 1 295
Testing for equality between two copulas 0 0 0 71 0 1 2 190
Testing for symmetry and conditional symmetry using asymmetric kernels 0 0 0 4 0 0 0 34
Testing for threshold effect in ARFIMA models: Application to US unemployment rate data 0 0 0 50 0 0 0 167
Tikhonov regularization for nonparametric instrumental variable estimators 0 0 0 28 0 0 2 150
Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets 2 2 5 53 2 2 12 185
Unemployment insurance and mortgages 0 0 0 18 0 0 1 109
Total Journal Articles 14 26 102 3,940 29 78 375 13,000
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 0 0 0 15
Estimation of large dimensional conditional factor models in finance 0 0 0 0 0 1 1 1
Total Chapters 0 0 0 0 0 1 1 16

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Statistics updated 2025-05-12