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 3 4 0 0 10 357
A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence 1 2 10 130 4 6 53 568
A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives 1 3 6 31 4 7 24 259
A New Index of Belgian Shares 0 1 2 51 3 9 33 462
A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics 12 31 103 572 30 77 245 1,188
A Specification Test For Nonparametric Instrumental Variable Regression 1 2 7 28 1 3 12 60
A fast Subsampling Method for Nonlinear Dynamic Models 0 0 0 0 0 0 7 193
A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements 2 6 20 159 6 17 80 529
An Autoregressive Conditional Binomial Option Pricing Model 2 9 20 20 3 13 33 33
An Autoregressive Conditional Binomial Option Pricing Model 3 9 30 347 7 30 90 841
An Empirical Estimation in Credit Spread Indices 1 3 14 98 1 5 24 194
An Empirical Investigation in Credit Spread Indices 1 4 9 310 2 14 29 616
An Empirical Investigation in Credit Spread Indices 4 16 57 602 9 32 125 1,388
An Empirical Investigation in Credit Spread Indices 0 1 1 2 0 3 9 357
An autoregressive conditional binomial option pricing model under stochastic rates 0 0 0 0 1 5 12 209
Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility 2 7 24 35 4 12 48 80
Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data 2 4 8 8 3 6 15 15
Bartlett Identities Tests 0 0 0 0 1 2 6 6
Bartlett Identities Tests 3 6 18 125 5 12 61 574
Bartlett identities tests 0 1 1 1 1 3 13 244
Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates 0 0 3 3 1 2 5 5
Convergence of Discrete Time Option Pricing Models under Stochastic Interest Rates 2 4 6 205 4 9 27 642
Convergence of Discrete Time Options Pricing Models under Stochastic Rates 0 0 0 0 1 2 11 1,199
Convergence of discrete time options pricing models under stochastic 0 0 0 0 0 0 5 85
Density Estimation Using Inverse and Reciprocal Inverse Gaussian Kernels 3 3 7 124 9 14 41 471
Density Estimation Using Inverse and Reciprocal Inverse Guassian Kernels 2 3 10 228 12 23 75 1,141
Econométrie de la finance: approches historiques 0 0 0 0 3 5 28 28
Estimation of the term structure from bond data 0 0 0 0 3 11 32 351
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 3 5 25 86 6 20 79 246
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 2 10 43 43 4 24 102 102
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 10 14 75 310 22 55 249 836
Indirect Inference, Nuisance Parameter and Threshold Moving Average 1 3 11 170 5 14 60 1,350
Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters 1 3 18 192 5 11 56 445
Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility 3 10 36 189 6 19 91 543
Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility 3 9 18 103 5 14 50 283
Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators 0 2 5 31 0 6 19 117
Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators 0 0 1 60 1 2 18 277
Local Transformation Kernel Density Estimation of Loss Distributions 0 1 16 40 3 6 41 79
Mortality Risk and Real Optimal Asset Allocation for Pension Funds 1 2 20 241 4 6 29 615
Multiariate Wavelet-based sahpe preserving estimation for dependant observation 1 1 4 35 2 2 12 162
Multiregime Term Structure Models 0 1 4 125 1 3 10 375
Multiregime Term Structure Models 0 0 0 0 1 1 11 11
Nonparametric Estimation of Conditional Expected Shortfall 4 8 50 292 7 16 89 548
Nonparametric Estimation of Copulas for Time Series 5 17 58 308 9 23 93 551
Nonparametric Instrumental Variable Estimators of Structural Quantile Effects 1 1 3 24 2 4 10 37
Nonparametric Tests Dependence For Positive Quadrant 1 1 4 23 4 4 16 123
Nonparametric Tests for Positive Quadrant Dependence 6 6 21 207 14 31 83 721
Nonparametric specification analysis of dynamic parametric models 1 1 3 10 2 3 12 28
On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities 2 9 32 167 4 15 56 380
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 0 1 6 72 0 1 18 183
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 2 5 20 271 8 15 73 790
Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases 0 10 37 211 18 57 228 897
Option Pricing with Discrete Rebalancing 4 7 19 297 6 13 42 595
Option Pricing with Discrete Rebalancing 1 3 6 6 2 4 7 7
Option Pricing with Discrete Rebalancing 3 4 15 101 4 9 27 249
Option pricing with discrete rebalancing 0 0 0 0 2 3 11 107
Pricing Interest Rate-SensitiveCredit Portfolio Derivatives 1 1 6 20 1 5 19 48
Reversed Score and Likelihood Ratio Tests 0 1 3 74 3 8 29 531
Reversed Score and Likelihood Ratio Tests 0 0 0 44 0 1 22 273
Reversed Score and Likelihood Ratio Tests 0 0 0 0 0 0 3 115
Robust Resampling Methods for Time Series 1 1 1 1 4 4 4 4
Robust Subsampling 0 0 9 27 3 7 31 74
SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS 2 8 30 444 9 23 81 779
Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements 4 7 27 287 6 18 89 1,056
Sensitivity Analysis of Values at Risk 24 58 145 1,252 50 125 409 3,181
Sensitivity Analysis of Values at Risk 2 6 17 21 5 11 44 2,263
Sensitivity Analysis of Values at Risk 4 16 42 663 6 26 72 1,212
Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements 0 0 2 2 0 0 4 4
Sensitivity analysis of values at risk 0 0 0 1 5 12 36 326
Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs 1 1 15 37 6 15 41 83
Testing For Equality Between Two Copulas 0 1 13 26 0 2 29 67
Testing foe Stochastic Dominance Efficiency 0 0 0 0 1 4 12 33
Testing for Concordance Ordering 1 1 5 33 2 3 23 161
Testing for Continuous-Time Models of the Short-Term Interest Rate 0 0 0 0 2 3 15 231
Testing for Stochastic Dominance Efficiency 2 3 10 122 2 5 23 311
Testing for threshold effect in ARFIMA models: Application to US unemployment rate data 2 3 12 12 5 9 40 40
Theory and Calibration of Swap Market Models 21 45 157 1,280 38 99 370 2,668
Tikhonov Regularization for Functional Minimum Distance Estimators 4 9 31 68 12 28 104 197
Variance Optimal Cap Pricing Models 0 1 3 3 1 3 8 8
Variance Optimal Cap Pricing Models 1 4 24 319 14 29 141 1,100
Weak Convergence of Hedging Strategies of Contingent Claims 0 0 3 41 0 0 9 124
Weak Convergence of Hedging Strategies of Contingent Claims 0 1 8 51 1 3 18 145
Total Working Papers 167 416 1,472 11,525 441 1,146 4,421 37,786

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 2 8 37 718 10 24 97 1,876
A fast subsampling method for nonlinear dynamic models 0 0 3 24 0 0 9 58
CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA 0 3 4 9 2 8 16 32
Convergence of discrete time option pricing models under stochastic interest rates 0 1 7 278 0 4 17 1,158
Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models 0 0 0 0 1 2 9 216
Instrumental Models and Indirect Encompassing 0 0 0 0 2 3 16 153
Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters 0 0 0 0 0 0 4 4
LINEAR-QUADRATIC JUMP-DIFFUSION MODELING 0 0 0 0 0 0 0 0
Local Transformation Kernel Density Estimation of Loss Distributions 0 3 3 3 0 8 8 8
Local multiplicative bias correction for asymmetric kernel density estimators 0 0 0 4 0 0 3 36
Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall 0 4 23 40 3 8 40 69
On the way to recovery: A nonparametric bias free estimation of recovery rate densities 0 2 6 45 2 5 14 122
Option pricing with discrete rebalancing 4 4 6 75 6 7 14 181
Path dependent options on yields in the affine term structure model 1 3 23 334 2 4 39 1,097
QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES 0 0 7 7 2 5 15 15
Semiparametric methods in econometrics 6 9 28 67 10 17 47 127
Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements 0 0 4 38 1 1 8 105
Sensitivity analysis of Values at Risk 1 4 18 303 3 9 34 657
THEORY AND CALIBRATION OF SWAP MARKET MODELS 3 6 13 33 3 6 24 73
Testing for continuous-time models of the short-term interest rate 1 4 15 87 3 6 27 164
Testing for equality between two copulas 0 1 7 7 1 5 17 17
Testing for threshold effect in ARFIMA models: Application to US unemployment rate data 5 9 13 13 6 21 39 39
Unemployment insurance and mortgages 0 1 1 12 1 4 12 60
Total Journal Articles 23 62 218 2,097 58 147 509 6,267

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Statistics updated 2009-11-04