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 Diagnostic Criterion for Approximate Factor Structure 0 0 0 5 0 1 6 50
A Fast Subsampling Method for Nonlinear Dynamic Models 0 0 0 10 0 3 10 415
A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data 0 0 0 4 0 2 14 76
A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data 0 0 0 29 0 5 18 69
A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence 0 0 0 164 0 1 10 803
A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives 0 0 1 50 0 4 14 373
A New Index of Belgian Shares 0 1 1 58 0 4 9 550
A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics 0 0 0 852 0 7 15 1,904
A Specification Test For Nonparametric Instrumental Variable Regression 0 0 0 64 0 3 11 208
A diagnostic criterion for approximate factor structure 0 1 1 21 0 5 17 66
A fast Subsampling Method for Nonlinear Dynamic Models 0 0 0 0 0 2 12 255
A higher-order correct fast moving-average bootstrap for dependent data 0 0 0 0 0 3 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 11 0 4 13 21
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 0 0 2 18 21
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 84 0 2 13 57
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 86 0 2 16 257
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 446 0 0 2 1,116
An Empirical Estimation in Credit Spread Indices 0 0 0 117 1 3 8 277
An Empirical Investigation in Credit Spread Indices 0 0 0 340 0 6 14 744
An Empirical Investigation in Credit Spread Indices 0 1 2 710 0 4 8 1,647
An Empirical Investigation in Credit Spread Indices 0 0 0 14 0 2 6 425
An auto-regressive conditional binomial option pricing model 0 0 0 0 0 3 7 9
An autoregressive conditional binomial option pricing model under stochastic rates 0 0 0 0 0 2 9 268
Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility 0 0 0 76 2 5 11 231
Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data 0 0 0 17 0 1 2 95
Asset Pricing Robustness in Venture Capital 0 0 0 0 0 2 4 4
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 0 0 0 2 14 61
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 0 0 1 5 11 26
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 1 55 0 4 15 101
Backtesting marginal expected shortfalland related systemic risk measures 1 1 4 7 2 8 21 33
Bartlett Identities Tests 0 0 0 163 0 4 15 778
Bartlett Identities Tests 0 0 1 24 0 3 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 1 5 51
Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy 0 0 0 0 1 1 6 7
Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates 0 0 0 29 0 2 20 123
Convergence of Discrete Time Options Pricing Models under Stochastic Rates 0 0 0 0 0 8 18 1,261
Convergence of discrete time option pricing models under stochastic interest rates 0 0 0 0 0 0 4 5
Convergence of discrete time options pricing models under stochastic 0 0 0 0 0 3 8 114
Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets 0 0 0 9 0 3 9 45
Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets 0 0 0 2 0 2 10 13
Density Estimation Using Inverse and Reciprocal Inverse Gaussian Kernels 0 1 1 176 0 5 12 642
Density Estimation Using Inverse and Reciprocal Inverse Guassian Kernels 0 1 2 258 0 6 29 1,357
Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps 0 0 0 11 0 12 21 114
Early exercise decision in American options with dividends, stochastic volatility and jumps 0 0 0 12 0 10 31 91
Econométrie de la Finance: approches historiques 0 0 0 0 1 5 11 123
Eigenvalue tests for the number of latent factors in short panels 0 0 0 15 0 5 8 20
Eigenvalue tests for the number of latent factors in short panels 0 0 1 1 0 3 9 16
Estimation of Large Dimensional Conditional Factor Models in Finance 0 0 2 48 0 2 9 79
Estimation of large dimensional conditional factor models in finance 0 0 0 3 0 5 18 28
Estimation of the term structure from bond data 0 0 2 20 0 2 11 495
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 0 0 157 1 4 25 603
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 0 0 130 1 5 21 538
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 0 3 604 1 2 22 2,166
False discoveries in mutual fund performance: Measuring luck in estimated alphas 0 0 0 55 0 1 12 231
Forecast Intervals in ARCH Exponential Smoothing 0 0 0 13 1 1 5 111
From Funds to Families: Organizational Scale in Value Creation 1 1 1 1 1 3 3 3
Green Silence: Double Machine Learning Carbon Emissions Under Sample Selection Bias 2 5 18 18 5 11 32 32
High-Frequency Estimation of ITÔ Semimartingale Baseline for Hawkes Processes 0 0 0 7 1 5 17 22
High-Frequency Jump Analysis of the Bitcoin Market 0 0 0 28 0 2 7 76
High-Frequency Jump Analysis of the Bitcoin Market 0 0 0 38 2 4 20 134
High-frequency jump analysis of the bitcoin market 0 2 3 4 0 8 54 58
Indirect Inference, Nuisance Parameter and Threshold Moving Average 0 0 0 188 0 3 6 1,592
Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified 0 0 1 17 1 7 25 88
Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters 0 0 0 232 0 5 23 638
Latent Factor Analysis in Short Panels 0 0 1 24 0 6 16 36
Latent Factor Analysis in Short Panels 0 0 0 2 0 3 11 20
Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility 0 0 1 240 0 3 7 776
Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility 0 0 0 119 1 2 8 371
Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators 0 0 0 39 0 1 7 204
Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators 0 0 0 79 0 3 15 406
Local Transformation Kernel Density Estimation of Loss Distributions 0 0 0 75 0 1 9 297
Mean Reversion Trading on the Naphtha Crack 0 0 2 5 3 5 13 23
Mortality Risk and Real Optimal Asset Allocation for Pension Funds 0 0 0 284 0 4 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 3 15 244
Multiregime Term Structure Models 0 0 0 5 0 3 6 57
Multiregime Term Structure Models 0 0 0 131 0 2 3 431
Natural Hazards and Financial Activity: Evidence from Solar Storms Impact on BTC Mining 0 0 0 0 1 17 18 18
Non-Standard Errors 0 0 0 44 2 12 43 483
Non-Standard Errors 1 1 2 112 1 4 19 317
Non-Standard Errors 0 0 0 27 3 5 21 171
Nonparametric Estimation of Conditional Expected Shortfall 0 0 0 533 1 4 8 1,173
Nonparametric Estimation of Copulas for Time Series 0 0 0 462 0 6 17 913
Nonparametric Instrumental Variable Estimators of Structural Quantile Effects 0 0 0 60 0 4 15 184
Nonparametric Tests Dependence For Positive Quadrant 0 0 0 36 1 4 12 203
Nonparametric Tests for Positive Quadrant Dependence 0 0 0 253 3 7 22 975
Nonparametric estimation of copulas for time series 0 0 0 3 0 1 5 14
Nonstandard Errors 0 0 1 4 1 4 25 45
Nonstandard Errors 0 0 0 0 0 7 30 35
Nonstandard Errors 0 0 0 0 1 5 19 21
Nonstandard errors 0 0 1 12 2 5 34 81
On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints 0 0 0 2 0 1 12 36
On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities 0 0 0 253 1 2 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 1 15 291
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 0 0 0 322 0 0 13 1,281
Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases 0 0 0 256 0 5 15 1,184
Option Pricing with Discrete Rebalancing 0 0 0 137 0 3 14 443
Option Pricing with Discrete Rebalancing 0 0 0 11 0 1 8 66
Option Pricing with Discrete Rebalancing 0 0 0 312 1 4 7 690
Option pricing with discrete rebalancing 0 0 0 0 0 1 7 7
Option pricing with discrete rebalancing 0 0 0 0 0 4 9 163
Predictability Hidden by Anomalous Observations 0 0 0 19 1 3 12 63
Predictability Hidden by Anomalous Observations 0 0 0 1 0 2 14 61
Predictability Hidden by Anomalous Observations 0 0 0 1 0 3 10 46
Quasi Indirect Inference for Diffusion Processes 0 0 0 9 0 3 9 62
Quasi-indirect inference for diffusion processes 0 0 0 0 0 3 8 34
Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply 0 0 1 16 0 4 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 91 1 4 8 619
Reversed Score and Likelihood Ratio Tests 0 0 0 7 0 3 11 157
Robust Resampling Methods for Time Series 0 0 0 68 0 2 6 219
Robust Subsampling 0 0 1 51 0 5 18 232
SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS 0 1 1 541 2 6 17 1,074
Saddlepoint Approximations for Spatial Panel Data Models 0 0 0 16 0 5 12 31
Saddlepoint approximations for spatial panel data models 0 0 0 4 0 2 6 23
Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements 0 0 0 358 0 1 6 1,392
Sensitivity Analysis of Values at Risk 0 0 0 1,597 2 8 17 4,370
Sensitivity Analysis of Values at Risk 0 0 0 769 1 4 20 1,472
Sensitivity Analysis of Values at Risk 0 0 0 80 0 1 10 2,463
Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements 0 0 0 17 0 3 17 94
Sensitivity analysis of Values at Risk 0 0 0 0 1 2 11 15
Sensitivity analysis of values at risk 0 0 0 1 0 5 12 477
Skill, scale, and value creation in the mutual fund industry 0 0 0 8 3 4 24 54
Spanning Tests for Markowitz Stochastic Dominance 0 0 0 16 0 2 7 44
Spanning Tests for Markowitz Stochastic Dominance 0 0 0 9 0 1 9 58
Spanning analysis of stock market anomalies under Prospect Stochastic Dominance 0 0 0 5 0 4 24 50
Spanning analysis of stock market anomalies under Prospect Stochastic Dominance 0 0 0 8 0 5 17 46
Spanning analysis of stock market anomalies under prospect stochastic dominance 0 0 0 1 0 4 23 29
Spanning tests for markowitz stochastic dominance 0 0 0 0 0 5 17 20
Sparse spanning portfolios and under-diversification with second-order stochastic dominance 0 0 0 5 1 1 7 14
Sparse spanning portfolios and under-diversification with second-order stochastic dominance 0 0 0 1 0 2 10 13
Swag: A Wrapper Method for Sparse Learning 0 0 0 12 0 4 10 47
Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs 1 2 6 118 3 7 29 451
Testing For Equality Between Two Copulas 0 1 2 62 0 6 11 205
Testing foe Stochastic Dominance Efficiency 0 0 0 0 0 2 12 138
Testing for Concordance Ordering 0 0 0 69 0 2 19 343
Testing for Continuous-Time Models of the Short-Term Interest Rate 0 0 0 10 0 2 31 357
Testing for Stochastic Dominance Efficiency 1 1 1 156 1 2 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 2 12 306
The Cross-Sectional Distribution of Fund Skill Measures 0 0 0 5 0 3 14 34
The Cross-Sectional Distribution of Fund Skill Measures 0 0 0 1 0 5 10 19
Theory and Calibration of Swap Market Models 0 0 2 1,598 1 4 26 3,540
Tikhonov Regularization for Functional Minimum Distance Estimators 0 0 1 110 0 2 13 429
Time-Varying Risk Premia in Large International Equity Markets 0 0 0 17 0 0 4 83
Time-Varying Risk Premia in Large International Equity Markets 0 0 1 61 0 2 16 260
Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets 0 0 0 17 0 1 9 107
Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets 0 0 1 18 4 10 26 150
Time-varying risk premium in large cross-sectional equity datasets 0 2 3 70 2 11 29 144
Valuing American Options Using Fast Recursive Projections 0 0 0 8 0 1 7 24
Valuing American options using fast recursive projections 0 0 0 2 0 6 76 87
Valuing American options using fast recursive projections 0 0 0 22 0 4 13 78
Valuing American options using fast recursive projections 0 0 1 2 0 4 24 27
Variance Optimal Cap Pricing Models 0 0 0 348 0 3 8 1,254
Variance Optimal Cap Pricing Models 0 0 0 7 1 4 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 1 32 0 4 13 105
Weak Convergence of Hedging Strategies of Contingent Claims 0 0 0 48 0 0 2 166
Weak Convergence of Hedging Strategies of Contingent Claims 0 0 0 82 0 2 14 261
Wealth Effect on Portfolio Allocation in Incomplete Markets 0 0 1 9 0 4 9 35
Total Working Papers 7 22 76 16,477 68 578 2,302 59,186
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 1 1 1 10 1 8 16 66
A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary 0 0 1 763 0 1 12 2,081
A diagnostic criterion for approximate factor structure 0 0 1 42 1 2 12 127
A fast subsampling method for nonlinear dynamic models 0 0 0 52 0 4 12 158
A higher-order correct fast moving-average bootstrap for dependent data 0 0 0 2 0 1 11 18
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 0 0 4 13 19
An empirical investigation into credit spread indices 0 0 2 3 1 5 21 26
Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility 0 0 0 1 0 1 6 20
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 3 12 4 14 32 65
CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA 0 0 1 35 0 8 20 156
Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 6 0 3 12 41
Compound and exchange options in the affine term structure model 0 0 1 13 0 1 5 51
Convergence of discrete time option pricing models under stochastic interest rates 0 0 0 286 0 3 11 1,233
Dynamic Portfolio Allocation Under Market Incompleteness and Wealth Effects 0 1 1 1 0 2 4 4
Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps 0 0 0 10 1 4 12 61
Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 4 0 2 11 30
Estimation de modèles de la structure par terme des taux d'intérêt 0 0 0 17 0 3 7 79
Factors and risk premia in individual international stock returns 0 0 0 20 1 9 29 92
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 1 2 6 252 2 7 70 868
Hedge Fund Managers: Luck and Dynamic Assessment 0 0 2 32 0 3 15 150
High-Frequency Jump Analysis of the Bitcoin Market* 1 2 4 24 1 5 26 113
Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models 0 0 0 0 1 4 14 269
Instrumental Models and Indirect Encompassing 0 0 0 0 0 5 11 279
Is it alpha or beta? Decomposing hedge fund returns when models are misspecified 0 0 1 6 1 3 30 55
Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News 0 1 3 52 5 31 56 335
Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters 0 0 0 4 0 3 11 116
LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING 0 0 1 20 1 2 10 77
Latent factor analysis in short panels 0 0 0 0 2 4 4 4
Local Transformation Kernel Density Estimation of Loss Distributions 0 0 0 32 0 3 11 126
Local multiplicative bias correction for asymmetric kernel density estimators 0 0 0 32 0 5 13 174
Mean reversion trading on the naphtha crack 0 0 0 0 2 14 25 25
Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall 0 0 1 118 1 2 13 278
Nonparametric Instrumental Variable Estimation of Structural Quantile Effects 0 0 0 26 1 2 8 193
Nonparametric estimation of copulas for time series 0 0 0 0 0 2 18 18
Nonstandard Errors 1 1 7 45 4 8 53 180
On ill‐posedness of nonparametric instrumental variable regression with convexity constraints 0 0 0 3 0 2 9 37
On the way to recovery: A nonparametric bias free estimation of recovery rate densities 0 0 1 211 1 5 16 525
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 1 8 255
Path dependent options on yields in the affine term structure model 0 0 0 367 0 4 10 1,217
Pricing American options under stochastic volatility and stochastic interest rates 0 0 0 61 0 6 19 229
QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES 0 0 0 25 0 5 15 100
Robust subsampling 0 1 1 28 0 3 13 131
Saddlepoint Approximations for Spatial Panel Data Models 0 0 0 1 0 2 12 19
Semiparametric methods in econometrics 0 0 0 109 1 3 4 238
Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements 0 0 2 65 0 3 18 233
Sensitivity analysis of Values at Risk 0 1 2 465 2 6 31 1,076
Skill, Scale, and Value Creation in the Mutual Fund Industry 0 2 3 31 0 4 18 119
Spanning Analysis of Stock Market Anomalies Under Prospect Stochastic Dominance 0 0 0 0 1 5 18 19
Spanning tests for Markowitz stochastic dominance 0 0 0 2 0 4 11 33
THEORY AND CALIBRATION OF SWAP MARKET MODELS 0 0 1 57 0 1 9 166
Technical trading revisited: False discoveries, persistence tests, and transaction costs 0 0 9 145 18 33 75 594
Testing for Concordance Ordering 0 0 0 2 0 2 11 35
Testing for Stochastic Dominance Efficiency 0 0 0 60 1 3 19 208
Testing for continuous-time models of the short-term interest rate 0 0 1 132 0 2 20 315
Testing for equality between two copulas 0 0 0 72 0 7 14 205
Testing for symmetry and conditional symmetry using asymmetric kernels 0 0 0 4 1 3 14 48
Testing for threshold effect in ARFIMA models: Application to US unemployment rate data 0 0 0 50 1 1 10 178
Tikhonov regularization for nonparametric instrumental variable estimators 0 0 1 29 0 1 13 164
Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets 0 0 2 55 1 17 41 228
Unemployment insurance and mortgages 0 0 0 18 0 2 5 114
Total Journal Articles 4 12 61 4,010 57 303 1,073 14,122
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 3 16 31
Estimation of large dimensional conditional factor models in finance 0 0 1 1 1 9 46 49
Total Chapters 0 0 1 1 1 12 62 80

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-07-10