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 2 4 46
A Fast Subsampling Method for Nonlinear Dynamic Models 0 0 0 10 2 2 4 408
A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data 0 0 0 29 2 2 2 53
A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data 0 0 0 4 0 0 0 62
A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence 0 0 0 164 0 1 2 794
A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives 1 1 1 50 1 1 4 360
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 0 1 852 1 1 2 1,890
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 0 20 2 4 7 53
A fast Subsampling Method for Nonlinear Dynamic Models 0 0 0 0 1 1 2 244
A higher-order correct fast moving-average bootstrap for dependent data 0 0 0 0 0 1 4 7
A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements 0 0 0 234 1 2 2 801
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 0 0 1 3 4
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 11 2 3 5 11
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 84 1 2 2 46
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 86 0 1 3 242
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 1 1 709 0 1 6 1,641
An Empirical Investigation in Credit Spread Indices 0 0 0 340 0 1 3 731
An auto-regressive conditional binomial option pricing model 0 0 0 0 1 1 1 3
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 1 221
Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data 0 0 0 17 1 1 1 94
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 0 0 0 2 6 49
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 1 1 1 55 2 2 3 88
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 0 0 0 0 1 16
Backtesting marginal expected shortfalland related systemic risk measures 0 1 1 4 5 7 9 19
Bartlett Identities Tests 0 1 1 24 0 3 3 145
Bartlett Identities Tests 0 0 0 163 0 2 4 765
Bartlett identities tests 0 0 0 11 1 2 3 331
Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy 0 0 0 0 1 1 2 3
Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy 0 0 0 34 0 0 0 46
Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates 0 0 0 29 0 1 2 104
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 1 1 2 37
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 2 3 632
Density Estimation Using Inverse and Reciprocal Inverse Guassian Kernels 0 0 0 256 10 12 13 1,340
Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps 0 0 0 11 0 1 2 94
Early exercise decision in American options with dividends, stochastic volatility and jumps 0 0 0 12 1 2 3 63
Econométrie de la Finance: approches historiques 0 0 0 0 1 2 4 114
Eigenvalue tests for the number of latent factors in short panels 0 0 0 15 0 0 1 12
Eigenvalue tests for the number of latent factors in short panels 0 1 1 1 1 2 2 9
Estimation of Large Dimensional Conditional Factor Models in Finance 0 1 2 47 0 1 4 71
Estimation of large dimensional conditional factor models in finance 0 0 0 3 0 1 4 12
Estimation of the term structure from bond data 1 1 2 19 2 2 3 486
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 0 0 130 2 2 9 520
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 0 3 601 0 5 16 2,150
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 0 2 157 5 6 10 584
False discoveries in mutual fund performance: Measuring luck in estimated alphas 0 0 0 55 2 2 2 221
Forecast Intervals in ARCH Exponential Smoothing 0 0 0 13 1 2 4 108
Green Silence: Double Machine Learning Carbon Emissions Under Sample Selection Bias 1 10 10 10 1 3 3 3
High-Frequency Estimation of ITÔ Semimartingale Baseline for Hawkes Processes 0 0 7 7 0 1 7 7
High-Frequency Jump Analysis of the Bitcoin Market 0 0 0 38 0 0 2 114
High-Frequency Jump Analysis of the Bitcoin Market 0 0 0 28 0 1 4 71
High-frequency jump analysis of the bitcoin market 0 0 0 1 1 2 5 6
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 1 1 17 1 3 6 67
Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters 0 0 1 232 2 2 4 617
Latent Factor Analysis in Short Panels 0 1 1 24 1 2 5 22
Latent Factor Analysis in Short Panels 0 0 0 2 0 1 2 10
Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility 0 0 1 239 0 0 2 769
Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility 0 0 1 119 1 1 2 364
Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators 0 0 0 39 1 1 2 198
Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators 0 0 0 79 0 1 1 392
Local Transformation Kernel Density Estimation of Loss Distributions 0 0 0 75 0 1 1 289
Mean Reversion Trading on the Naphtha Crack 1 1 4 4 1 1 11 11
Mortality Risk and Real Optimal Asset Allocation for Pension Funds 0 0 0 284 0 1 2 733
Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration 0 0 0 3 1 1 2 6
Multiariate Wavelet-based sahpe preserving estimation for dependant observation 0 0 0 42 1 1 3 231
Multiregime Term Structure Models 0 0 0 5 0 0 1 51
Multiregime Term Structure Models 0 0 0 131 0 0 2 428
Non-Standard Errors 0 1 2 111 2 4 14 302
Non-Standard Errors 0 0 1 27 1 4 29 155
Non-Standard Errors 0 0 2 44 0 6 31 446
Nonparametric Estimation of Conditional Expected Shortfall 0 0 0 533 0 0 5 1,165
Nonparametric Estimation of Copulas for Time Series 0 0 0 462 2 2 2 898
Nonparametric Instrumental Variable Estimators of Structural Quantile Effects 0 0 0 60 0 1 1 170
Nonparametric Tests Dependence For Positive Quadrant 0 0 0 36 2 2 4 193
Nonparametric Tests for Positive Quadrant Dependence 0 0 0 253 2 3 5 956
Nonparametric estimation of copulas for time series 0 0 1 3 1 2 5 11
Nonstandard Errors 0 0 0 0 5 6 8 8
Nonstandard Errors 0 0 3 3 4 7 27 27
Nonstandard Errors 0 0 0 0 3 9 14 14
Nonstandard errors 0 1 2 12 1 6 28 57
On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints 0 0 0 2 1 1 1 25
On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities 0 0 0 253 1 1 1 686
Optimal Maximin GMM Tests for Sphericity in Latent Factor Analysis of Short Panels 0 0 2 2 0 0 4 4
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 0 0 0 100 0 0 2 276
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 0 0 0 322 1 1 6 1,270
Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases 0 0 1 256 0 0 2 1,169
Option Pricing with Discrete Rebalancing 0 0 0 11 0 0 0 58
Option Pricing with Discrete Rebalancing 0 0 0 312 0 0 0 683
Option Pricing with Discrete Rebalancing 0 0 0 137 1 1 3 430
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 1 1 1 48
Predictability Hidden by Anomalous Observations 0 0 0 1 1 1 3 38
Predictability Hidden by Anomalous Observations 0 0 0 19 0 0 0 51
Quasi Indirect Inference for Diffusion Processes 0 0 0 9 0 0 3 53
Quasi-indirect inference for diffusion processes 0 0 0 0 0 0 3 26
Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply 0 0 0 15 1 2 5 63
Reversed Score and Likelihood Ratio Tests 0 0 0 7 0 0 0 146
Reversed Score and Likelihood Ratio Tests 0 0 0 91 0 1 2 612
Reversed Score and Likelihood Ratio Tests 0 0 0 48 1 3 4 336
Robust Resampling Methods for Time Series 0 0 0 68 0 0 2 213
Robust Subsampling 0 1 1 51 1 2 2 216
SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS 0 0 1 540 0 1 3 1,058
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 1 2 2 19
Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements 0 0 0 358 0 0 2 1,386
Sensitivity Analysis of Values at Risk 0 0 3 80 0 1 5 2,454
Sensitivity Analysis of Values at Risk 0 0 2 769 1 1 5 1,453
Sensitivity Analysis of Values at Risk 0 0 2 1,597 1 2 5 4,355
Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements 0 0 0 17 3 5 5 82
Sensitivity analysis of Values at Risk 0 0 0 0 1 2 3 6
Sensitivity analysis of values at risk 0 0 0 1 1 1 2 466
Skill, scale, and value creation in the mutual fund industry 0 0 1 8 3 5 12 35
Spanning Tests for Markowitz Stochastic Dominance 0 0 0 9 0 1 2 51
Spanning Tests for Markowitz Stochastic Dominance 0 0 0 16 0 1 1 38
Spanning analysis of stock market anomalies under Prospect Stochastic Dominance 0 0 1 8 2 2 6 31
Spanning analysis of stock market anomalies under Prospect Stochastic Dominance 0 0 0 5 0 1 3 28
Spanning analysis of stock market anomalies under prospect stochastic dominance 0 0 0 1 1 3 5 9
Spanning tests for markowitz stochastic dominance 0 0 0 0 0 0 1 3
Sparse spanning portfolios and under-diversification with second-order stochastic dominance 0 0 0 5 0 0 3 7
Sparse spanning portfolios and under-diversification with second-order stochastic dominance 0 0 0 1 0 0 0 3
Swag: A Wrapper Method for Sparse Learning 0 0 1 12 0 0 5 37
Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs 0 2 3 114 2 5 10 427
Testing For Equality Between Two Copulas 0 0 0 60 2 2 2 196
Testing foe Stochastic Dominance Efficiency 0 0 0 0 0 0 1 126
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 1 1 327
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 1 1 1 59
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 1 2 2 296
The Cross-Sectional Distribution of Fund Skill Measures 0 0 0 1 0 0 7 10
The Cross-Sectional Distribution of Fund Skill Measures 0 0 0 5 1 2 2 22
Theory and Calibration of Swap Market Models 0 0 1 1,597 0 0 1 3,515
Tikhonov Regularization for Functional Minimum Distance Estimators 0 0 1 109 1 1 5 418
Time-Varying Risk Premia in Large International Equity Markets 0 0 0 17 0 0 0 79
Time-Varying Risk Premia in Large International Equity Markets 0 0 1 61 1 1 6 248
Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets 0 0 0 17 0 0 6 99
Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets 0 0 0 17 1 1 4 125
Time-varying risk premium in large cross-sectional equity datasets 0 1 1 68 1 3 8 118
Valuing American Options Using Fast Recursive Projections 0 0 1 8 0 0 1 17
Valuing American options using fast recursive projections 0 0 1 1 3 3 6 8
Valuing American options using fast recursive projections 0 0 0 22 1 2 2 67
Valuing American options using fast recursive projections 0 0 1 2 1 2 8 13
Variance Optimal Cap Pricing Models 0 0 0 7 2 2 2 38
Variance Optimal Cap Pricing Models 0 0 0 348 0 1 1 1,247
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 1 1 2 94
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 1 1 2 165
Wealth Effect on Portfolio Allocation in Incomplete Markets 0 0 1 8 0 0 2 26
Total Working Papers 5 27 80 16,431 128 239 614 57,155
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 1 50
A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary 0 1 2 763 0 6 7 2,075
A diagnostic criterion for approximate factor structure 0 1 3 42 3 4 9 119
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 0 2 1 1 4 9
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 0 1 3 7 9
An empirical investigation into credit spread indices 0 1 2 2 0 2 7 7
Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility 0 0 0 1 0 0 1 15
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 3 9 2 7 23 40
CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA 0 0 0 34 3 3 6 139
Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 6 2 2 2 31
Compound and exchange options in the affine term structure model 0 1 1 13 0 2 2 48
Convergence of discrete time option pricing models under stochastic interest rates 0 0 0 286 0 0 1 1,222
Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps 0 0 1 10 0 1 2 50
Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 4 2 2 3 21
Estimation de modèles de la structure par terme des taux d'intérêt 0 0 1 17 1 1 3 74
Factors and risk premia in individual international stock returns 0 0 0 20 2 3 8 67
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 1 2 247 13 19 33 819
Hedge Fund Managers: Luck and Dynamic Assessment 1 2 3 32 4 9 12 144
High-Frequency Jump Analysis of the Bitcoin Market* 0 1 3 21 1 5 11 92
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 1 4 271
Is it alpha or beta? Decomposing hedge fund returns when models are misspecified 0 1 3 6 4 7 19 33
Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News 2 2 5 51 5 7 13 286
Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters 0 0 0 4 0 0 2 105
LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING 0 0 0 19 1 2 2 69
Local Transformation Kernel Density Estimation of Loss Distributions 0 0 0 32 1 2 3 118
Local multiplicative bias correction for asymmetric kernel density estimators 0 0 0 32 1 1 1 162
Mean reversion trading on the naphtha crack 0 0 0 0 0 0 0 0
Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall 0 0 2 117 2 2 6 267
Nonparametric Instrumental Variable Estimation of Structural Quantile Effects 0 0 0 26 1 1 2 186
Nonparametric estimation of copulas for time series 0 0 0 0 0 0 0 0
Nonstandard Errors 2 3 20 41 10 16 76 148
On ill‐posedness of nonparametric instrumental variable regression with convexity constraints 0 0 0 3 1 1 1 29
On the way to recovery: A nonparametric bias free estimation of recovery rate densities 0 1 2 211 1 3 4 512
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 0 1 1 11 1 2 3 45
Option pricing with discrete rebalancing 0 0 1 86 0 0 1 247
Path dependent options on yields in the affine term structure model 0 0 0 367 0 0 2 1,207
Pricing American options under stochastic volatility and stochastic interest rates 0 0 0 61 4 5 9 215
QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES 0 0 1 25 1 1 3 86
Robust subsampling 0 0 0 27 2 2 3 120
Saddlepoint Approximations for Spatial Panel Data Models 0 0 0 1 0 2 4 9
Semiparametric methods in econometrics 0 0 0 109 0 0 3 234
Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements 0 1 1 64 0 2 4 217
Sensitivity analysis of Values at Risk 0 0 4 463 1 1 8 1,046
Skill, Scale, and Value Creation in the Mutual Fund Industry 0 0 3 29 2 3 14 107
Spanning Analysis of Stock Market Anomalies Under Prospect Stochastic Dominance 0 0 0 0 0 0 1 1
Spanning tests for Markowitz stochastic dominance 0 0 0 2 1 1 2 24
THEORY AND CALIBRATION OF SWAP MARKET MODELS 0 0 2 57 1 1 5 160
Technical trading revisited: False discoveries, persistence tests, and transaction costs 3 7 12 143 8 20 43 542
Testing for Concordance Ordering 0 0 0 2 2 2 2 26
Testing for Stochastic Dominance Efficiency 0 0 1 60 1 2 6 191
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 1 72 1 1 5 194
Testing for symmetry and conditional symmetry using asymmetric kernels 0 0 0 4 1 1 1 35
Testing for threshold effect in ARFIMA models: Application to US unemployment rate data 0 0 0 50 0 0 1 168
Tikhonov regularization for nonparametric instrumental variable estimators 0 0 0 28 2 2 4 154
Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets 0 1 5 54 2 4 14 193
Unemployment insurance and mortgages 0 0 0 18 0 0 3 111
Total Journal Articles 8 25 85 3,976 92 165 417 13,245
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 1 1 1 2 3 6 6
Total Chapters 0 1 1 1 2 3 6 21

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Statistics updated 2025-11-08