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 4 0 2 8 30
A Fast Subsampling Method for Nonlinear Dynamic Models 0 0 0 10 3 4 7 397
A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data 0 0 3 3 0 2 10 10
A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data 0 0 26 26 1 3 9 9
A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence 0 0 1 164 0 0 8 787
A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives 0 0 1 48 0 1 6 343
A New Index of Belgian Shares 0 0 0 56 2 2 4 533
A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics 0 2 4 844 4 6 15 1,869
A Specification Test For Nonparametric Instrumental Variable Regression 0 0 1 62 0 0 5 187
A diagnostic criterion for approximate factor structure 0 1 1 16 0 1 8 32
A fast Subsampling Method for Nonlinear Dynamic Models 0 0 0 0 1 2 5 237
A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements 0 0 0 233 0 0 4 793
An Autoregressive Conditional Binomial Option Pricing Model 1 1 1 76 2 2 9 219
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 441 1 2 13 1,087
An Empirical Estimation in Credit Spread Indices 0 0 0 115 0 1 3 262
An Empirical Investigation in Credit Spread Indices 0 0 0 12 2 4 8 406
An Empirical Investigation in Credit Spread Indices 0 2 2 338 0 3 10 714
An Empirical Investigation in Credit Spread Indices 0 1 1 703 1 3 6 1,617
An autoregressive conditional binomial option pricing model under stochastic rates 0 0 0 0 0 1 4 253
Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility 1 1 1 75 2 3 5 202
Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data 0 0 0 17 1 1 6 90
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 37 37 1 4 26 26
Bartlett Identities Tests 0 0 0 20 0 0 5 120
Bartlett Identities Tests 0 0 0 162 1 1 8 744
Bartlett identities tests 0 0 1 11 3 3 7 306
Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy 0 0 0 33 0 1 4 42
Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates 0 0 0 29 1 1 4 92
Convergence of Discrete Time Options Pricing Models under Stochastic Rates 0 0 0 0 0 0 4 1,240
Convergence of discrete time options pricing models under stochastic 0 0 0 0 1 1 2 104
Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets 0 2 6 6 0 4 7 7
Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets 0 0 5 5 3 5 8 8
Density Estimation Using Inverse and Reciprocal Inverse Gaussian Kernels 0 1 1 172 1 6 12 611
Density Estimation Using Inverse and Reciprocal Inverse Guassian Kernels 0 0 1 254 1 2 5 1,317
Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps 1 1 4 7 2 6 23 56
Early exercise decision in American options with dividends, stochastic volatility and jumps 0 0 2 10 0 0 24 38
Econométrie de la Finance: approches historiques 0 0 0 0 1 3 13 99
Estimation of Large Dimensional Conditional Factor Models in Finance 0 0 36 36 0 2 42 42
Estimation of the term structure from bond data 0 0 2 11 2 2 8 464
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 0 1 150 4 4 21 542
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 1 4 584 4 13 40 2,039
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 0 0 126 2 2 15 418
False discoveries in mutual fund performance: Measuring luck in estimated alphas 0 1 6 39 2 3 19 170
Forecast Intervals in ARCH Exponential Smoothing 0 0 0 11 0 1 6 94
High-Frequency Jump Analysis of the Bitcoin Market 0 1 1 27 2 3 17 51
High-Frequency Jump Analysis of the Bitcoin Market 0 0 7 29 5 7 38 71
Indirect Inference, Nuisance Parameter and Threshold Moving Average 0 0 0 187 0 1 8 1,570
Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters 0 0 0 231 1 1 7 608
Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility 0 0 0 238 0 0 11 758
Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility 0 0 0 116 1 1 4 353
Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators 0 0 0 39 2 5 10 189
Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators 0 0 1 79 0 0 9 380
Local Transformation Kernel Density Estimation of Loss Distributions 0 0 1 74 0 0 5 279
Mortality Risk and Real Optimal Asset Allocation for Pension Funds 0 0 2 284 3 3 10 722
Multiariate Wavelet-based sahpe preserving estimation for dependant observation 0 0 0 42 1 1 6 227
Multiregime Term Structure Models 0 0 0 5 1 1 3 45
Multiregime Term Structure Models 0 0 0 131 0 0 1 422
Nonparametric Estimation of Conditional Expected Shortfall 0 0 1 524 0 2 11 1,130
Nonparametric Estimation of Copulas for Time Series 0 0 3 455 2 3 13 863
Nonparametric Instrumental Variable Estimators of Structural Quantile Effects 0 1 1 59 1 2 6 158
Nonparametric Tests Dependence For Positive Quadrant 0 0 1 35 0 0 3 184
Nonparametric Tests for Positive Quadrant Dependence 0 0 0 249 0 0 0 936
On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints 0 0 0 2 0 1 5 19
On ill-posedness of nonparametric instrumental variable regression with convexity constraints 0 0 0 20 0 1 9 34
On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities 0 0 3 244 0 0 18 652
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 0 0 0 98 1 2 10 263
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 0 0 1 321 0 1 6 1,246
Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases 0 0 0 255 0 3 13 1,154
Option Pricing with Discrete Rebalancing 0 0 0 10 0 0 5 52
Option Pricing with Discrete Rebalancing 0 0 0 136 0 2 9 403
Option Pricing with Discrete Rebalancing 0 0 0 311 3 3 8 676
Option pricing with discrete rebalancing 0 0 0 0 2 3 7 145
Predictability Hidden by Anomalous Observations 0 0 0 19 0 1 6 18
Predictability Hidden by Anomalous Observations 0 0 0 1 1 2 13 18
Predictability Hidden by Anomalous Observations 0 0 1 1 0 1 6 7
Quasi Indirect Inference for Diffusion Processes 0 0 1 8 3 3 8 44
Quasi-indirect inference for diffusion processes 0 0 0 0 3 6 7 16
Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply 0 0 0 0 0 1 3 3
Reversed Score and Likelihood Ratio Tests 0 0 1 48 0 0 3 327
Reversed Score and Likelihood Ratio Tests 0 1 1 89 0 2 9 602
Reversed Score and Likelihood Ratio Tests 0 0 0 7 0 2 6 142
Robust Resampling Methods for Time Series 0 1 5 60 1 12 32 180
Robust Subsampling 0 0 0 49 1 2 5 198
SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS 1 1 2 538 1 1 6 1,048
Saddlepoint Approximations for Spatial Panel Data Models 0 0 1 14 1 1 8 11
Saddlepoint approximations for spatial panel data models 0 0 2 2 2 3 6 6
Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements 0 4 5 354 3 9 22 1,362
Sensitivity Analysis of Values at Risk 0 1 6 69 1 5 24 2,413
Sensitivity Analysis of Values at Risk 1 1 4 1,591 5 23 42 4,247
Sensitivity Analysis of Values at Risk 0 0 3 761 0 2 13 1,433
Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements 0 0 0 16 1 2 5 68
Sensitivity analysis of values at risk 0 0 0 1 0 0 11 453
Spanning Tests for Markowitz Stochastic Dominance 0 0 0 15 0 2 14 31
Spanning Tests for Markowitz Stochastic Dominance 0 0 2 9 1 3 17 26
Spanning analysis of stock market anomalies under Prospect Stochastic Dominance 0 0 5 5 1 5 9 9
Spanning analysis of stock market anomalies under Prospect Stochastic Dominance 0 0 0 0 1 5 7 7
Swag: A Wrapper Method for Sparse Learning 4 11 11 11 7 14 14 14
Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs 0 0 1 103 4 7 22 354
Testing For Equality Between Two Copulas 0 0 0 59 1 3 6 179
Testing foe Stochastic Dominance Efficiency 0 0 0 0 0 1 6 113
Testing for Concordance Ordering 0 0 1 66 2 3 14 311
Testing for Continuous-Time Models of the Short-Term Interest Rate 0 0 0 9 2 3 12 318
Testing for Stochastic Dominance Efficiency 0 0 0 153 0 0 4 440
Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels 0 0 0 10 1 1 9 50
Testing for continuous-time models of the short-term interest rate 0 0 0 2 2 4 14 27
Testing for threshold effect in ARFIMA models: Application to US unemployment rate data 0 0 0 80 1 2 3 284
The Cross-Sectional Distribution of Fund Skill Measures 0 0 0 2 1 1 5 9
Theory and Calibration of Swap Market Models 0 0 0 1,595 0 1 9 3,500
Tikhonov Regularization for Functional Minimum Distance Estimators 0 0 0 105 0 0 2 397
Time-Varying Risk Premia in Large International Equity Markets 0 1 11 54 0 6 29 216
Time-Varying Risk Premia in Large International Equity Markets 0 0 2 11 5 9 25 40
Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets 1 1 2 13 1 3 15 107
Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets 0 0 0 8 3 5 14 70
Time-varying risk premium in large cross-sectional equity datasets 1 1 4 59 2 3 13 76
Valuing American Options Using Fast Recursive Projections 0 0 0 7 0 0 6 7
Valuing American options using fast recursive projections 0 0 1 18 1 2 12 50
Variance Optimal Cap Pricing Models 0 0 0 7 0 1 2 31
Variance Optimal Cap Pricing Models 0 0 0 346 0 0 2 1,240
We propose a technique to avoid spurious detections of jumps in highfrequency data via an explicit thresholding on available test statistics 0 0 0 28 4 4 8 77
Weak Convergence of Hedging Strategies of Contingent Claims 0 0 0 48 0 1 6 159
Weak Convergence of Hedging Strategies of Contingent Claims 0 0 0 82 1 1 5 244
Total Working Papers 11 39 242 15,680 138 321 1,247 53,228


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 2 0 1 10 34
A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary 0 0 0 758 1 2 4 2,054
A diagnostic criterion for approximate factor structure 0 1 2 2 0 3 16 16
A fast subsampling method for nonlinear dynamic models 0 0 0 47 0 0 3 136
Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility 0 0 1 1 0 0 5 6
CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA 0 0 0 30 0 1 6 116
Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 1 2 2 6 1 3 6 22
Compound and exchange options in the affine term structure model 0 0 0 6 0 0 1 30
Convergence of discrete time option pricing models under stochastic interest rates 0 0 0 285 0 0 3 1,216
Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps 2 2 2 2 2 4 11 11
Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 4 0 1 3 14
Estimation de modèles de la structure par terme des taux d'intérêt 0 0 0 16 0 0 3 66
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 1 1 16 187 6 13 66 591
Hedge Fund Managers: Luck and Dynamic Assessment 0 2 5 17 0 4 17 84
High-Frequency Jump Analysis of the Bitcoin Market* 0 0 0 0 0 1 1 1
Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models 0 0 0 0 0 1 3 251
Instrumental Models and Indirect Encompassing 0 0 0 0 0 2 7 254
Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News 1 5 14 30 7 21 65 122
Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters 0 0 0 4 0 0 3 83
LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING 0 0 0 17 1 1 6 57
Local Transformation Kernel Density Estimation of Loss Distributions 0 0 0 32 0 0 6 104
Local multiplicative bias correction for asymmetric kernel density estimators 0 0 0 32 1 2 7 154
Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall 1 1 4 103 2 3 12 233
Nonparametric Instrumental Variable Estimation of Structural Quantile Effects 0 0 0 23 1 2 11 155
On ill‐posedness of nonparametric instrumental variable regression with convexity constraints 0 0 0 3 0 1 7 25
On the way to recovery: A nonparametric bias free estimation of recovery rate densities 0 1 10 188 1 3 27 448
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 0 0 0 7 0 1 10 27
Option pricing with discrete rebalancing 0 0 0 85 0 0 5 242
Path dependent options on yields in the affine term structure model 0 1 2 364 0 1 4 1,195
Pricing American options under stochastic volatility and stochastic interest rates 0 0 0 53 0 0 15 178
QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES 0 0 0 22 0 0 4 74
Robust subsampling 0 1 1 25 0 2 2 94
Semiparametric methods in econometrics 0 0 1 108 0 0 3 226
Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements 0 0 0 63 1 3 8 201
Sensitivity analysis of Values at Risk 1 3 11 420 1 7 32 937
Spanning tests for Markowitz stochastic dominance 0 0 0 0 0 3 3 3
THEORY AND CALIBRATION OF SWAP MARKET MODELS 0 0 0 53 0 0 1 142
Technical trading revisited: False discoveries, persistence tests, and transaction costs 1 3 16 64 2 10 48 307
Testing for Concordance Ordering 0 0 0 2 0 0 1 19
Testing for Stochastic Dominance Efficiency 0 0 2 57 0 0 6 163
Testing for continuous-time models of the short-term interest rate 0 0 1 131 0 1 14 280
Testing for equality between two copulas 0 1 3 68 1 3 10 167
Testing for symmetry and conditional symmetry using asymmetric kernels 0 0 1 3 0 1 6 29
Testing for threshold effect in ARFIMA models: Application to US unemployment rate data 0 0 0 48 1 1 3 159
Tikhonov regularization for nonparametric instrumental variable estimators 0 0 1 22 0 1 7 124
Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets 2 2 7 25 3 5 32 103
Unemployment insurance and mortgages 0 0 0 17 0 0 6 101
Total Journal Articles 10 26 103 3,432 32 108 529 11,054


Statistics updated 2020-09-04