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 1 3 6 49
A Fast Subsampling Method for Nonlinear Dynamic Models 0 0 0 10 1 4 8 412
A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data 0 0 0 4 6 9 9 71
A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data 0 0 0 29 10 11 13 64
A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence 0 0 0 164 3 6 8 800
A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives 0 0 1 50 3 7 10 367
A New Index of Belgian Shares 0 0 0 57 3 5 5 546
A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics 0 0 1 852 2 4 6 1,894
A Specification Test For Nonparametric Instrumental Variable Regression 0 0 0 64 7 7 7 204
A diagnostic criterion for approximate factor structure 0 0 0 20 4 6 12 59
A fast Subsampling Method for Nonlinear Dynamic Models 0 0 0 0 6 8 10 252
A higher-order correct fast moving-average bootstrap for dependent data 0 0 0 0 5 8 11 15
A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements 0 0 0 234 2 3 5 804
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 84 3 7 9 53
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 11 3 5 10 16
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 0 3 15 18 19
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 446 0 1 1 1,115
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 86 4 10 12 252
An Empirical Estimation in Credit Spread Indices 0 0 0 117 1 2 2 271
An Empirical Investigation in Credit Spread Indices 0 0 0 340 4 6 9 737
An Empirical Investigation in Credit Spread Indices 0 0 1 709 1 1 4 1,642
An Empirical Investigation in Credit Spread Indices 0 0 0 14 2 4 4 423
An auto-regressive conditional binomial option pricing model 0 0 0 0 2 2 3 5
An autoregressive conditional binomial option pricing model under stochastic rates 0 0 0 0 3 5 5 264
Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility 0 0 0 76 1 4 5 225
Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data 0 0 0 17 0 0 1 94
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 0 0 3 4 5 20
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 1 55 4 7 10 95
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 0 0 5 8 13 57
Backtesting marginal expected shortfalland related systemic risk measures 0 0 1 4 1 4 12 23
Bartlett Identities Tests 0 0 1 24 5 9 12 154
Bartlett Identities Tests 0 0 0 163 5 6 9 771
Bartlett identities tests 0 0 0 11 1 3 5 334
Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy 0 0 0 34 3 4 4 50
Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy 0 0 0 0 0 3 5 6
Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates 0 0 0 29 4 6 7 110
Convergence of Discrete Time Options Pricing Models under Stochastic Rates 0 0 0 0 8 9 9 1,252
Convergence of discrete time option pricing models under stochastic interest rates 0 0 0 0 3 3 3 4
Convergence of discrete time options pricing models under stochastic 0 0 0 0 4 4 4 110
Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets 0 0 0 9 4 4 6 41
Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets 0 0 0 2 5 7 7 10
Density Estimation Using Inverse and Reciprocal Inverse Gaussian Kernels 0 0 0 175 2 4 6 636
Density Estimation Using Inverse and Reciprocal Inverse Guassian Kernels 1 1 1 257 5 10 22 1,350
Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps 0 0 0 11 1 3 5 97
Early exercise decision in American options with dividends, stochastic volatility and jumps 0 0 0 12 10 12 15 75
Econométrie de la Finance: approches historiques 0 0 0 0 2 2 4 116
Eigenvalue tests for the number of latent factors in short panels 0 0 0 15 2 2 2 14
Eigenvalue tests for the number of latent factors in short panels 0 0 1 1 3 3 5 12
Estimation of Large Dimensional Conditional Factor Models in Finance 0 0 2 47 1 4 8 75
Estimation of large dimensional conditional factor models in finance 0 0 0 3 2 7 10 19
Estimation of the term structure from bond data 0 1 3 20 3 7 10 493
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 1 1 3 602 4 6 16 2,156
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 0 0 130 3 7 16 527
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 0 1 157 9 14 21 598
False discoveries in mutual fund performance: Measuring luck in estimated alphas 0 0 0 55 3 7 9 228
Forecast Intervals in ARCH Exponential Smoothing 0 0 0 13 1 2 6 110
Green Silence: Double Machine Learning Carbon Emissions Under Sample Selection Bias 0 1 11 11 5 12 15 15
High-Frequency Estimation of ITÔ Semimartingale Baseline for Hawkes Processes 0 0 7 7 3 7 14 14
High-Frequency Jump Analysis of the Bitcoin Market 0 0 0 28 2 3 6 74
High-Frequency Jump Analysis of the Bitcoin Market 0 0 0 38 8 11 12 125
High-frequency jump analysis of the bitcoin market 0 0 0 1 27 33 37 39
Indirect Inference, Nuisance Parameter and Threshold Moving Average 0 0 0 188 1 2 2 1,588
Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified 0 0 1 17 4 9 14 76
Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters 0 0 1 232 7 13 17 630
Latent Factor Analysis in Short Panels 0 0 1 24 6 8 11 30
Latent Factor Analysis in Short Panels 0 0 0 2 2 6 7 16
Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility 1 1 2 240 4 4 6 773
Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility 0 0 1 119 5 5 7 369
Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators 0 0 0 39 1 3 4 201
Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators 0 0 0 79 5 11 12 403
Local Transformation Kernel Density Estimation of Loss Distributions 0 0 0 75 3 7 8 296
Mean Reversion Trading on the Naphtha Crack 0 1 3 5 3 6 11 17
Mortality Risk and Real Optimal Asset Allocation for Pension Funds 0 0 0 284 3 9 11 742
Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration 0 0 0 3 1 3 5 9
Multiariate Wavelet-based sahpe preserving estimation for dependant observation 0 0 0 42 1 1 3 232
Multiregime Term Structure Models 0 0 0 5 1 3 3 54
Multiregime Term Structure Models 0 0 0 131 0 0 1 428
Non-Standard Errors 0 0 0 27 2 8 24 163
Non-Standard Errors 0 0 2 44 8 20 40 466
Non-Standard Errors 0 0 2 111 2 10 21 312
Nonparametric Estimation of Conditional Expected Shortfall 0 0 0 533 2 4 9 1,169
Nonparametric Estimation of Copulas for Time Series 0 0 0 462 6 9 11 907
Nonparametric Instrumental Variable Estimators of Structural Quantile Effects 0 0 0 60 0 3 4 173
Nonparametric Tests Dependence For Positive Quadrant 0 0 0 36 3 6 9 199
Nonparametric Tests for Positive Quadrant Dependence 0 0 0 253 6 10 14 966
Nonparametric estimation of copulas for time series 0 0 1 3 1 1 6 12
Nonstandard Errors 0 0 0 0 1 7 15 15
Nonstandard Errors 0 1 2 4 5 11 24 38
Nonstandard Errors 0 0 0 0 1 9 23 23
Nonstandard errors 0 0 1 12 6 12 30 69
On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints 0 0 0 2 5 9 10 34
On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities 0 0 0 253 2 5 6 691
Optimal Maximin GMM Tests for Sphericity in Latent Factor Analysis of Short Panels 0 0 2 2 5 10 14 14
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 0 0 0 100 2 5 6 281
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 0 0 0 322 7 11 15 1,281
Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases 0 0 1 256 3 8 10 1,177
Option Pricing with Discrete Rebalancing 0 0 0 312 0 1 1 684
Option Pricing with Discrete Rebalancing 0 0 0 11 3 4 4 62
Option Pricing with Discrete Rebalancing 0 0 0 137 2 7 8 437
Option pricing with discrete rebalancing 0 0 0 0 3 5 5 159
Option pricing with discrete rebalancing 0 0 0 0 5 6 6 6
Predictability Hidden by Anomalous Observations 0 0 0 19 6 9 9 60
Predictability Hidden by Anomalous Observations 0 0 0 1 3 5 8 43
Predictability Hidden by Anomalous Observations 0 0 0 1 4 7 8 55
Quasi Indirect Inference for Diffusion Processes 0 0 0 9 1 4 6 57
Quasi-indirect inference for diffusion processes 0 0 0 0 4 5 6 31
Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply 0 0 0 15 3 8 12 71
Reversed Score and Likelihood Ratio Tests 0 0 0 48 1 1 4 337
Reversed Score and Likelihood Ratio Tests 0 0 0 91 2 3 4 615
Reversed Score and Likelihood Ratio Tests 0 0 0 7 4 8 8 154
Robust Resampling Methods for Time Series 0 0 0 68 1 2 4 215
Robust Subsampling 0 0 1 51 3 10 12 226
SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS 0 0 0 540 3 6 7 1,064
Saddlepoint Approximations for Spatial Panel Data Models 0 0 0 16 3 6 6 25
Saddlepoint approximations for spatial panel data models 0 0 0 4 2 2 4 21
Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements 0 0 0 358 2 4 5 1,390
Sensitivity Analysis of Values at Risk 0 0 2 1,597 1 5 10 4,360
Sensitivity Analysis of Values at Risk 0 0 2 769 2 7 10 1,460
Sensitivity Analysis of Values at Risk 0 0 2 80 3 4 8 2,458
Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements 0 0 0 17 3 5 10 87
Sensitivity analysis of Values at Risk 0 0 0 0 3 6 8 12
Sensitivity analysis of values at risk 0 0 0 1 3 5 7 471
Skill, scale, and value creation in the mutual fund industry 0 0 1 8 11 13 24 48
Spanning Tests for Markowitz Stochastic Dominance 0 0 0 16 2 3 4 41
Spanning Tests for Markowitz Stochastic Dominance 0 0 0 9 1 4 6 55
Spanning analysis of stock market anomalies under Prospect Stochastic Dominance 0 0 0 5 9 12 14 40
Spanning analysis of stock market anomalies under Prospect Stochastic Dominance 0 0 1 8 5 7 12 38
Spanning analysis of stock market anomalies under prospect stochastic dominance 0 0 0 1 10 14 19 23
Spanning tests for markowitz stochastic dominance 0 0 0 0 5 9 10 12
Sparse spanning portfolios and under-diversification with second-order stochastic dominance 0 0 0 5 1 5 7 12
Sparse spanning portfolios and under-diversification with second-order stochastic dominance 0 0 0 1 4 4 4 7
Swag: A Wrapper Method for Sparse Learning 0 0 1 12 3 4 9 41
Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs 0 0 3 114 5 9 18 436
Testing For Equality Between Two Copulas 0 0 0 60 2 2 4 198
Testing foe Stochastic Dominance Efficiency 0 0 0 0 6 7 8 133
Testing for Concordance Ordering 0 0 0 69 7 11 11 335
Testing for Continuous-Time Models of the Short-Term Interest Rate 0 0 0 10 16 23 24 350
Testing for Stochastic Dominance Efficiency 0 0 0 155 5 6 6 458
Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels 0 0 0 11 0 4 5 63
Testing for continuous-time models of the short-term interest rate 0 0 0 3 5 6 6 42
Testing for threshold effect in ARFIMA models: Application to US unemployment rate data 0 0 0 81 4 5 7 301
The Cross-Sectional Distribution of Fund Skill Measures 0 0 0 5 6 9 11 31
The Cross-Sectional Distribution of Fund Skill Measures 0 0 0 1 1 4 10 14
Theory and Calibration of Swap Market Models 0 1 2 1,598 6 19 20 3,534
Tikhonov Regularization for Functional Minimum Distance Estimators 0 0 1 109 5 5 9 423
Time-Varying Risk Premia in Large International Equity Markets 0 0 1 61 4 8 13 256
Time-Varying Risk Premia in Large International Equity Markets 0 0 0 17 2 3 3 82
Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets 0 0 0 17 4 5 9 104
Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets 1 1 1 18 10 14 16 139
Time-varying risk premium in large cross-sectional equity datasets 0 0 1 68 3 11 16 129
Valuing American Options Using Fast Recursive Projections 0 0 1 8 2 3 4 20
Valuing American options using fast recursive projections 0 0 1 1 8 11 17 19
Valuing American options using fast recursive projections 0 0 1 2 21 60 66 73
Valuing American options using fast recursive projections 0 0 0 22 3 6 8 73
Variance Optimal Cap Pricing Models 0 0 0 7 3 5 7 43
Variance Optimal Cap Pricing Models 0 0 0 348 1 2 3 1,249
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 3 6 8 100
Weak Convergence of Hedging Strategies of Contingent Claims 0 0 0 48 0 1 2 166
Weak Convergence of Hedging Strategies of Contingent Claims 0 0 0 82 8 12 12 259
Wealth Effect on Portfolio Allocation in Incomplete Markets 1 1 1 9 2 5 5 31
Total Working Papers 5 10 79 16,441 608 1,100 1,573 58,255
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 2 4 4 54
A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary 0 0 2 763 3 5 12 2,080
A diagnostic criterion for approximate factor structure 0 0 2 42 2 5 12 124
A fast subsampling method for nonlinear dynamic models 0 0 0 52 5 7 7 153
A higher-order correct fast moving-average bootstrap for dependent data 0 0 0 2 5 6 9 15
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 0 3 6 12 15
An empirical investigation into credit spread indices 0 1 3 3 2 6 13 13
Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility 0 0 0 1 1 3 4 18
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 2 9 3 7 24 47
CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA 0 0 0 34 4 6 12 145
Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 6 4 6 8 37
Compound and exchange options in the affine term structure model 0 0 1 13 1 2 4 50
Convergence of discrete time option pricing models under stochastic interest rates 0 0 0 286 2 4 5 1,226
Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps 0 0 1 10 2 3 5 53
Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 4 3 6 8 27
Estimation de modèles de la structure par terme des taux d'intérêt 0 0 0 17 2 2 4 76
Factors and risk premia in individual international stock returns 0 0 0 20 5 9 15 76
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 1 2 248 16 29 56 848
Hedge Fund Managers: Luck and Dynamic Assessment 0 0 3 32 0 3 15 147
High-Frequency Jump Analysis of the Bitcoin Market* 0 1 4 22 7 13 21 105
Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models 0 0 0 0 5 6 6 261
Instrumental Models and Indirect Encompassing 0 0 0 0 0 2 5 273
Is it alpha or beta? Decomposing hedge fund returns when models are misspecified 0 0 2 6 1 11 23 44
Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News 0 0 4 51 4 5 15 291
Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters 0 0 0 4 6 7 9 112
LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING 0 0 0 19 4 4 6 73
Local Transformation Kernel Density Estimation of Loss Distributions 0 0 0 32 1 4 7 122
Local multiplicative bias correction for asymmetric kernel density estimators 0 0 0 32 4 5 6 167
Mean reversion trading on the naphtha crack 0 0 0 0 4 7 7 7
Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall 0 1 3 118 6 8 13 275
Nonparametric Instrumental Variable Estimation of Structural Quantile Effects 0 0 0 26 2 4 5 190
Nonparametric estimation of copulas for time series 0 0 0 0 5 7 7 7
Nonstandard Errors 0 1 13 42 5 13 63 161
On ill‐posedness of nonparametric instrumental variable regression with convexity constraints 0 0 0 3 3 6 7 35
On the way to recovery: A nonparametric bias free estimation of recovery rate densities 0 0 2 211 5 7 11 519
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 0 1 2 12 2 3 6 48
Option pricing with discrete rebalancing 0 0 1 86 3 5 6 252
Path dependent options on yields in the affine term structure model 0 0 0 367 1 5 5 1,212
Pricing American options under stochastic volatility and stochastic interest rates 0 0 0 61 3 8 17 223
QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES 0 0 0 25 7 8 10 94
Robust subsampling 0 0 0 27 3 7 10 127
Saddlepoint Approximations for Spatial Panel Data Models 0 0 0 1 4 8 11 17
Semiparametric methods in econometrics 0 0 0 109 0 1 2 235
Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements 0 0 1 64 6 10 13 227
Sensitivity analysis of Values at Risk 0 0 1 463 8 15 17 1,061
Skill, Scale, and Value Creation in the Mutual Fund Industry 0 0 2 29 2 5 16 112
Spanning Analysis of Stock Market Anomalies Under Prospect Stochastic Dominance 0 0 0 0 8 11 12 12
Spanning tests for Markowitz stochastic dominance 0 0 0 2 3 4 6 28
THEORY AND CALIBRATION OF SWAP MARKET MODELS 0 0 2 57 1 5 9 165
Technical trading revisited: False discoveries, persistence tests, and transaction costs 0 1 11 144 4 9 46 551
Testing for Concordance Ordering 0 0 0 2 2 3 5 29
Testing for Stochastic Dominance Efficiency 0 0 1 60 2 11 15 202
Testing for continuous-time models of the short-term interest rate 0 1 1 132 6 16 16 311
Testing for equality between two copulas 0 0 1 72 2 2 7 196
Testing for symmetry and conditional symmetry using asymmetric kernels 0 0 0 4 1 8 9 43
Testing for threshold effect in ARFIMA models: Application to US unemployment rate data 0 0 0 50 4 4 5 172
Tikhonov regularization for nonparametric instrumental variable estimators 1 1 1 29 2 5 9 159
Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets 0 0 3 54 8 13 23 206
Unemployment insurance and mortgages 0 0 0 18 1 1 3 112
Total Journal Articles 1 9 71 3,985 210 395 718 13,640
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 9 12 12 27
Estimation of large dimensional conditional factor models in finance 0 0 1 1 15 25 31 31
Total Chapters 0 0 1 1 24 37 43 58

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Statistics updated 2026-02-12