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 8 53
A Fast Subsampling Method for Nonlinear Dynamic Models 0 0 0 10 0 1 10 416
A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data 0 0 0 29 0 2 20 71
A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data 0 0 0 4 0 0 14 76
A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence 0 0 0 164 0 1 10 804
A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives 0 0 1 50 0 0 14 373
A New Index of Belgian Shares 0 0 1 58 0 0 9 550
A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics 0 0 0 852 0 0 15 1,904
A Specification Test For Nonparametric Instrumental Variable Regression 0 0 0 64 2 4 15 212
A diagnostic criterion for approximate factor structure 0 0 1 21 0 1 16 67
A fast Subsampling Method for Nonlinear Dynamic Models 0 0 0 0 0 0 12 255
A higher-order correct fast moving-average bootstrap for dependent data 0 0 0 0 0 0 18 25
A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements 0 0 0 234 0 0 5 805
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 11 1 2 14 23
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 0 0 3 20 24
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 84 0 2 14 59
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 446 1 2 4 1,118
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 86 1 3 18 260
An Empirical Estimation in Credit Spread Indices 0 0 0 117 0 0 8 277
An Empirical Investigation in Credit Spread Indices 0 0 1 710 1 1 7 1,648
An Empirical Investigation in Credit Spread Indices 0 0 0 340 1 1 14 745
An Empirical Investigation in Credit Spread Indices 0 0 0 14 0 1 7 426
An auto-regressive conditional binomial option pricing model 0 0 0 0 0 0 7 9
An autoregressive conditional binomial option pricing model under stochastic rates 0 0 0 0 2 2 11 270
Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility 0 0 0 76 0 0 10 231
Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data 0 0 0 17 0 1 3 96
Asset Pricing Robustness in Venture Capital 0 0 0 0 3 6 10 10
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 0 0 1 5 15 31
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 0 0 2 5 17 66
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 1 55 1 3 18 104
Backtesting marginal expected shortfalland related systemic risk measures 0 0 3 7 1 4 23 37
Bartlett Identities Tests 0 0 0 24 0 1 17 162
Bartlett Identities Tests 0 0 0 163 0 1 14 779
Bartlett identities tests 0 0 0 11 0 1 6 336
Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy 0 0 0 0 1 1 6 8
Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy 1 1 1 35 1 2 7 53
Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates 0 0 0 29 0 1 20 124
Convergence of Discrete Time Options Pricing Models under Stochastic Rates 0 0 0 0 0 0 18 1,261
Convergence of discrete time option pricing models under stochastic interest rates 0 0 0 0 1 2 6 7
Convergence of discrete time options pricing models under stochastic 0 0 0 0 0 0 8 114
Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets 0 0 0 9 0 1 10 46
Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets 0 0 0 2 1 1 11 14
Density Estimation Using Inverse and Reciprocal Inverse Gaussian Kernels 0 0 1 176 0 1 11 643
Density Estimation Using Inverse and Reciprocal Inverse Guassian Kernels 0 0 2 258 1 2 29 1,359
Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps 0 0 0 11 0 2 22 116
Early exercise decision in American options with dividends, stochastic volatility and jumps 0 0 0 12 0 2 31 93
Econométrie de la Finance: approches historiques 0 0 0 0 0 1 11 124
Eigenvalue tests for the number of latent factors in short panels 0 0 0 15 0 1 9 21
Eigenvalue tests for the number of latent factors in short panels 0 0 0 1 0 1 9 17
Estimation of Large Dimensional Conditional Factor Models in Finance 0 0 1 48 0 1 9 80
Estimation of large dimensional conditional factor models in finance 0 0 0 3 0 1 17 29
Estimation of the term structure from bond data 0 0 2 20 0 0 11 495
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 0 0 130 3 8 28 546
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 0 3 604 2 6 22 2,172
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 0 0 157 3 9 33 612
False discoveries in mutual fund performance: Measuring luck in estimated alphas 0 0 0 55 0 0 12 231
Forecast Intervals in ARCH Exponential Smoothing 0 0 0 13 0 0 4 111
From Funds to Families: Organizational Scale in Value Creation 3 3 4 4 7 8 11 11
Green Silence: Double Machine Learning Carbon Emissions Under Sample Selection Bias 0 0 9 18 3 6 36 38
High-Frequency Estimation of ITÔ Semimartingale Baseline for Hawkes Processes 0 0 0 7 0 0 15 22
High-Frequency Jump Analysis of the Bitcoin Market 0 0 0 28 1 2 7 78
High-Frequency Jump Analysis of the Bitcoin Market 0 0 0 38 1 2 22 136
High-frequency jump analysis of the bitcoin market 0 0 3 4 0 1 54 59
Indirect Inference, Nuisance Parameter and Threshold Moving Average 0 0 0 188 0 1 7 1,593
Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified 0 0 0 17 2 4 26 92
Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters 0 0 0 232 0 0 23 638
Latent Factor Analysis in Short Panels 0 0 0 2 1 1 11 21
Latent Factor Analysis in Short Panels 0 0 0 24 1 2 17 38
Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility 0 0 1 240 0 2 9 778
Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility 0 0 0 119 0 2 10 373
Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators 0 0 0 39 0 0 7 204
Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators 0 0 0 79 0 0 14 406
Local Transformation Kernel Density Estimation of Loss Distributions 0 0 0 75 1 1 9 298
Mean Reversion Trading on the Naphtha Crack 0 0 2 5 1 5 18 28
Mortality Risk and Real Optimal Asset Allocation for Pension Funds 0 0 0 284 0 0 13 746
Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration 0 0 0 3 0 0 6 11
Multiariate Wavelet-based sahpe preserving estimation for dependant observation 0 0 0 42 0 0 14 244
Multiregime Term Structure Models 0 0 0 5 0 0 6 57
Multiregime Term Structure Models 0 0 0 131 0 0 3 431
Natural Hazards and Financial Activity: Evidence from Solar Storms Impact on BTC Mining 0 0 0 0 2 5 23 23
Non-Standard Errors 0 1 2 113 1 4 21 321
Non-Standard Errors 0 1 1 28 0 2 19 173
Non-Standard Errors 0 1 1 45 0 2 39 485
Nonparametric Estimation of Conditional Expected Shortfall 0 0 0 533 0 0 8 1,173
Nonparametric Estimation of Copulas for Time Series 0 0 0 462 1 1 18 914
Nonparametric Instrumental Variable Estimators of Structural Quantile Effects 0 0 0 60 0 1 15 185
Nonparametric Tests Dependence For Positive Quadrant 0 0 0 36 0 0 12 203
Nonparametric Tests for Positive Quadrant Dependence 0 0 0 253 0 1 22 976
Nonparametric estimation of copulas for time series 0 0 0 3 0 1 5 15
Nonstandard Errors 0 0 1 4 0 3 25 48
Nonstandard Errors 0 0 0 0 1 2 26 37
Nonstandard Errors 0 0 0 0 0 3 21 24
Nonstandard errors 0 1 1 13 0 3 28 84
On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints 0 0 0 2 0 0 12 36
On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities 0 0 0 253 0 2 11 696
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 0 322 0 0 12 1,281
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 0 0 0 100 0 0 15 291
Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases 0 0 0 256 0 2 17 1,186
Option Pricing with Discrete Rebalancing 0 0 0 312 1 3 10 693
Option Pricing with Discrete Rebalancing 0 0 0 11 1 1 9 67
Option Pricing with Discrete Rebalancing 0 0 0 137 0 1 15 444
Option pricing with discrete rebalancing 0 0 0 0 1 2 11 165
Option pricing with discrete rebalancing 0 0 0 0 0 1 8 8
Predictability Hidden by Anomalous Observations 0 0 0 1 1 1 10 47
Predictability Hidden by Anomalous Observations 0 0 0 1 2 3 17 64
Predictability Hidden by Anomalous Observations 0 0 0 19 0 1 13 64
Quasi Indirect Inference for Diffusion Processes 0 0 0 9 0 0 9 62
Quasi-indirect inference for diffusion processes 0 0 0 0 0 0 8 34
Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply 0 0 1 16 3 6 25 87
Reversed Score and Likelihood Ratio Tests 0 0 0 48 2 2 4 339
Reversed Score and Likelihood Ratio Tests 0 0 0 7 1 1 12 158
Reversed Score and Likelihood Ratio Tests 0 0 0 91 0 0 7 619
Robust Resampling Methods for Time Series 0 0 0 68 1 1 7 220
Robust Subsampling 0 0 0 51 0 1 18 233
SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS 0 0 1 541 0 0 16 1,074
Saddlepoint Approximations for Spatial Panel Data Models 0 0 0 16 0 0 12 31
Saddlepoint approximations for spatial panel data models 0 0 0 4 1 2 7 25
Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements 0 0 0 358 0 0 6 1,392
Sensitivity Analysis of Values at Risk 0 0 0 769 1 1 21 1,473
Sensitivity Analysis of Values at Risk 0 0 0 1,597 1 13 29 4,383
Sensitivity Analysis of Values at Risk 0 0 0 80 0 2 11 2,465
Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements 0 0 0 17 0 1 16 95
Sensitivity analysis of Values at Risk 0 0 0 0 0 0 10 15
Sensitivity analysis of values at risk 0 0 0 1 0 1 13 478
Skill, scale, and value creation in the mutual fund industry 0 0 0 8 0 0 22 54
Spanning Tests for Markowitz Stochastic Dominance 0 0 0 9 0 1 8 59
Spanning Tests for Markowitz Stochastic Dominance 0 0 0 16 0 1 7 45
Spanning analysis of stock market anomalies under Prospect Stochastic Dominance 0 0 0 8 1 2 19 48
Spanning analysis of stock market anomalies under Prospect Stochastic Dominance 0 0 0 5 1 4 26 54
Spanning analysis of stock market anomalies under prospect stochastic dominance 0 0 0 1 1 2 23 31
Spanning tests for markowitz stochastic dominance 0 0 0 0 0 5 22 25
Sparse spanning portfolios and under-diversification with second-order stochastic dominance 0 0 0 1 0 0 10 13
Sparse spanning portfolios and under-diversification with second-order stochastic dominance 0 0 0 5 1 2 9 16
Swag: A Wrapper Method for Sparse Learning 0 0 0 12 0 2 12 49
Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs 1 5 9 123 42 83 109 534
Testing For Equality Between Two Copulas 0 0 2 62 2 2 13 207
Testing foe Stochastic Dominance Efficiency 0 0 0 0 0 2 14 140
Testing for Concordance Ordering 0 0 0 69 1 2 21 345
Testing for Continuous-Time Models of the Short-Term Interest Rate 0 1 1 11 0 3 33 360
Testing for Stochastic Dominance Efficiency 0 0 1 156 0 0 13 465
Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels 0 0 0 11 0 1 6 64
Testing for continuous-time models of the short-term interest rate 0 0 0 3 1 1 8 44
Testing for threshold effect in ARFIMA models: Application to US unemployment rate data 0 0 0 81 0 0 11 306
The Cross-Sectional Distribution of Fund Skill Measures 0 0 0 5 0 1 14 35
The Cross-Sectional Distribution of Fund Skill Measures 0 0 0 1 0 0 9 19
Theory and Calibration of Swap Market Models 1 1 2 1,599 2 2 27 3,542
Tikhonov Regularization for Functional Minimum Distance Estimators 0 0 1 110 0 0 12 429
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 0 61 0 4 17 264
Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets 0 0 1 18 1 1 27 151
Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets 0 0 0 17 2 3 11 110
Time-varying risk premium in large cross-sectional equity datasets 0 0 2 70 0 1 28 145
Valuing American Options Using Fast Recursive Projections 0 0 0 8 1 2 9 26
Valuing American options using fast recursive projections 0 0 1 2 1 6 28 33
Valuing American options using fast recursive projections 0 0 0 22 0 0 12 78
Valuing American options using fast recursive projections 0 0 0 2 0 1 76 88
Variance Optimal Cap Pricing Models 0 0 0 7 0 1 12 48
Variance Optimal Cap Pricing Models 0 0 0 348 0 0 7 1,254
We propose a technique to avoid spurious detections of jumps in highfrequency data via an explicit thresholding on available test statistics 0 0 0 32 0 1 13 106
Weak Convergence of Hedging Strategies of Contingent Claims 0 0 0 82 0 0 14 261
Weak Convergence of Hedging Strategies of Contingent Claims 0 0 0 48 0 0 2 166
Wealth Effect on Portfolio Allocation in Incomplete Markets 0 0 1 9 0 1 10 36
Total Working Papers 6 15 66 16,492 127 349 2,508 59,535
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 1 10 0 1 17 67
A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary 0 0 0 763 0 0 6 2,081
A diagnostic criterion for approximate factor structure 1 1 1 43 1 3 14 130
A fast subsampling method for nonlinear dynamic models 0 0 0 52 0 0 12 158
A higher-order correct fast moving-average bootstrap for dependent data 0 1 1 3 0 1 11 19
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 0 0 3 14 22
An empirical investigation into credit spread indices 0 0 1 3 0 0 19 26
Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility 0 0 0 1 1 2 7 22
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 1 4 13 3 7 34 72
CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA 0 0 1 35 0 1 21 157
Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 6 1 1 13 42
Compound and exchange options in the affine term structure model 0 0 0 13 0 1 4 52
Convergence of discrete time option pricing models under stochastic interest rates 0 0 0 286 0 1 12 1,234
Dynamic Portfolio Allocation Under Market Incompleteness and Wealth Effects 1 1 2 2 2 2 6 6
Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps 0 0 0 10 0 0 11 61
Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 4 0 1 12 31
Estimation de modèles de la structure par terme des taux d'intérêt 0 0 0 17 1 2 8 81
Factors and risk premia in individual international stock returns 0 0 0 20 1 2 29 94
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 1 2 7 254 9 22 84 890
Hedge Fund Managers: Luck and Dynamic Assessment 0 0 1 32 0 0 10 150
High-Frequency Jump Analysis of the Bitcoin Market* 0 0 3 24 1 1 23 114
Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models 0 0 0 0 0 1 15 270
Instrumental Models and Indirect Encompassing 0 0 0 0 1 1 9 280
Is it alpha or beta? Decomposing hedge fund returns when models are misspecified 0 0 0 6 1 1 27 56
Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News 0 1 4 53 3 10 64 345
Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters 0 0 0 4 1 1 12 117
LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING 0 0 1 20 0 0 9 77
Latent factor analysis in short panels 0 0 0 0 2 3 7 7
Local Transformation Kernel Density Estimation of Loss Distributions 0 0 0 32 0 0 9 126
Local multiplicative bias correction for asymmetric kernel density estimators 0 0 0 32 0 0 13 174
Mean reversion trading on the naphtha crack 0 0 0 0 2 14 39 39
Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall 0 1 2 119 0 5 18 283
Nonparametric Instrumental Variable Estimation of Structural Quantile Effects 0 0 0 26 0 0 8 193
Nonparametric estimation of copulas for time series 0 1 1 1 0 2 20 20
Nonstandard Errors 0 1 7 46 5 16 58 196
On ill‐posedness of nonparametric instrumental variable regression with convexity constraints 0 0 0 3 0 0 9 37
On the way to recovery: A nonparametric bias free estimation of recovery rate densities 0 0 0 211 2 4 18 529
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 0 0 1 12 0 1 6 50
Option pricing with discrete rebalancing 0 0 0 86 0 1 9 256
Path dependent options on yields in the affine term structure model 0 0 0 367 1 1 11 1,218
Pricing American options under stochastic volatility and stochastic interest rates 0 0 0 61 0 2 20 231
QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES 0 0 0 25 0 0 15 100
Robust subsampling 1 1 2 29 1 1 14 132
Saddlepoint Approximations for Spatial Panel Data Models 0 0 0 1 0 0 10 19
Semiparametric methods in econometrics 0 0 0 109 0 0 4 238
Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements 0 0 1 65 0 1 17 234
Sensitivity analysis of Values at Risk 1 2 4 467 3 4 35 1,080
Skill, Scale, and Value Creation in the Mutual Fund Industry 2 2 4 33 3 7 21 126
Spanning Analysis of Stock Market Anomalies Under Prospect Stochastic Dominance 0 0 0 0 0 4 22 23
Spanning tests for Markowitz stochastic dominance 0 0 0 2 1 1 11 34
THEORY AND CALIBRATION OF SWAP MARKET MODELS 0 0 0 57 2 2 9 168
Technical trading revisited: False discoveries, persistence tests, and transaction costs 2 7 12 152 76 168 228 762
Testing for Concordance Ordering 0 0 0 2 0 3 14 38
Testing for Stochastic Dominance Efficiency 0 0 0 60 0 1 19 209
Testing for continuous-time models of the short-term interest rate 0 1 2 133 0 3 23 318
Testing for equality between two copulas 0 0 0 72 1 3 15 208
Testing for symmetry and conditional symmetry using asymmetric kernels 0 0 0 4 0 1 15 49
Testing for threshold effect in ARFIMA models: Application to US unemployment rate data 0 0 0 50 0 2 12 180
Tikhonov regularization for nonparametric instrumental variable estimators 0 0 1 29 1 2 14 166
Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets 0 1 2 56 1 2 39 230
Unemployment insurance and mortgages 0 0 0 18 0 0 3 114
Total Journal Articles 9 24 66 4,034 127 319 1,288 14,441
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 1 17 32
Estimation of large dimensional conditional factor models in finance 0 0 0 1 1 3 48 52
Total Chapters 0 0 0 1 1 4 65 84

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