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 2 6 49
A Fast Subsampling Method for Nonlinear Dynamic Models 0 0 0 10 0 3 8 412
A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data 0 0 0 29 0 10 13 64
A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data 0 0 0 4 3 10 12 74
A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence 0 0 0 164 2 7 9 802
A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives 0 0 1 50 1 6 11 368
A New Index of Belgian Shares 0 0 0 57 0 5 5 546
A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics 0 0 0 852 1 5 6 1,895
A Specification Test For Nonparametric Instrumental Variable Regression 0 0 0 64 0 7 7 204
A diagnostic criterion for approximate factor structure 0 0 0 20 1 7 12 60
A fast Subsampling Method for Nonlinear Dynamic Models 0 0 0 0 0 7 9 252
A higher-order correct fast moving-average bootstrap for dependent data 0 0 0 0 5 12 15 20
A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements 0 0 0 234 1 3 6 805
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 0 0 7 18 19
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 84 2 7 11 55
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 11 1 4 11 17
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 86 3 11 14 255
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 446 0 1 1 1,115
An Empirical Estimation in Credit Spread Indices 0 0 0 117 2 3 4 273
An Empirical Investigation in Credit Spread Indices 0 0 0 340 0 6 8 737
An Empirical Investigation in Credit Spread Indices 0 0 0 14 0 4 4 423
An Empirical Investigation in Credit Spread Indices 0 0 1 709 0 1 4 1,642
An auto-regressive conditional binomial option pricing model 0 0 0 0 1 3 4 6
An autoregressive conditional binomial option pricing model under stochastic rates 0 0 0 0 2 6 7 266
Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility 0 0 0 76 1 5 6 226
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 1 55 2 6 12 97
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 0 0 0 4 5 20
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 0 0 2 10 14 59
Backtesting marginal expected shortfalland related systemic risk measures 1 1 2 5 1 3 13 24
Bartlett Identities Tests 0 0 1 24 4 12 16 158
Bartlett Identities Tests 0 0 0 163 2 8 11 773
Bartlett identities tests 0 0 0 11 1 4 6 335
Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy 0 0 0 34 0 4 4 50
Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy 0 0 0 0 0 2 5 6
Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates 0 0 0 29 3 8 10 113
Convergence of Discrete Time Options Pricing Models under Stochastic Rates 0 0 0 0 1 9 10 1,253
Convergence of discrete time option pricing models under stochastic interest rates 0 0 0 0 0 3 3 4
Convergence of discrete time options pricing models under stochastic 0 0 0 0 1 5 5 111
Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets 0 0 0 9 0 4 5 41
Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets 0 0 0 2 1 6 8 11
Density Estimation Using Inverse and Reciprocal Inverse Gaussian Kernels 0 0 0 175 1 5 7 637
Density Estimation Using Inverse and Reciprocal Inverse Guassian Kernels 0 1 1 257 1 10 23 1,351
Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps 0 0 0 11 2 5 7 99
Early exercise decision in American options with dividends, stochastic volatility and jumps 0 0 0 12 4 16 19 79
Econométrie de la Finance: approches historiques 0 0 0 0 1 3 5 117
Eigenvalue tests for the number of latent factors in short panels 0 0 1 1 0 3 5 12
Eigenvalue tests for the number of latent factors in short panels 0 0 0 15 0 2 2 14
Estimation of Large Dimensional Conditional Factor Models in Finance 1 1 3 48 2 4 9 77
Estimation of large dimensional conditional factor models in finance 0 0 0 3 3 7 12 22
Estimation of the term structure from bond data 0 1 3 20 0 5 10 493
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 1 2 3 603 3 9 17 2,159
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 0 0 130 3 8 19 530
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 0 1 157 0 12 21 598
False discoveries in mutual fund performance: Measuring luck in estimated alphas 0 0 0 55 1 6 10 229
Forecast Intervals in ARCH Exponential Smoothing 0 0 0 13 0 1 5 110
Green Silence: Double Machine Learning Carbon Emissions Under Sample Selection Bias 1 2 12 12 3 14 18 18
High-Frequency Estimation of ITÔ Semimartingale Baseline for Hawkes Processes 0 0 7 7 2 8 15 16
High-Frequency Jump Analysis of the Bitcoin Market 0 0 0 38 1 10 13 126
High-Frequency Jump Analysis of the Bitcoin Market 0 0 0 28 0 3 6 74
High-frequency jump analysis of the bitcoin market 0 0 0 1 3 36 39 42
Indirect Inference, Nuisance Parameter and Threshold Moving Average 0 0 0 188 1 3 3 1,589
Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified 0 0 1 17 3 11 17 79
Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters 0 0 1 232 3 13 20 633
Latent Factor Analysis in Short Panels 0 0 1 24 0 8 11 30
Latent Factor Analysis in Short Panels 0 0 0 2 1 5 8 17
Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility 0 1 2 240 0 4 6 773
Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility 0 0 1 119 0 5 7 369
Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators 0 0 0 39 1 3 5 202
Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators 0 0 0 79 0 7 12 403
Local Transformation Kernel Density Estimation of Loss Distributions 0 0 0 75 0 6 8 296
Mean Reversion Trading on the Naphtha Crack 0 0 3 5 1 5 11 18
Mortality Risk and Real Optimal Asset Allocation for Pension Funds 0 0 0 284 0 5 11 742
Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration 0 0 0 3 0 2 5 9
Multiariate Wavelet-based sahpe preserving estimation for dependant observation 0 0 0 42 7 8 10 239
Multiregime Term Structure Models 0 0 0 5 0 3 3 54
Multiregime Term Structure Models 0 0 0 131 0 0 0 428
Non-Standard Errors 0 0 2 44 4 18 38 470
Non-Standard Errors 0 0 2 111 0 6 21 312
Non-Standard Errors 0 0 0 27 0 6 20 163
Nonparametric Estimation of Conditional Expected Shortfall 0 0 0 533 0 2 6 1,169
Nonparametric Estimation of Copulas for Time Series 0 0 0 462 0 8 11 907
Nonparametric Instrumental Variable Estimators of Structural Quantile Effects 0 0 0 60 4 5 8 177
Nonparametric Tests Dependence For Positive Quadrant 0 0 0 36 0 6 8 199
Nonparametric Tests for Positive Quadrant Dependence 0 0 0 253 0 7 14 966
Nonparametric estimation of copulas for time series 0 0 1 3 0 1 6 12
Nonstandard Errors 0 0 0 0 0 5 23 23
Nonstandard Errors 0 1 2 4 1 10 25 39
Nonstandard Errors 0 0 0 0 1 8 16 16
Nonstandard errors 0 0 1 12 2 11 28 71
On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints 0 0 0 2 0 6 10 34
On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities 0 0 0 253 1 5 7 692
Optimal Maximin GMM Tests for Sphericity in Latent Factor Analysis of Short Panels 0 0 2 2 1 10 15 15
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 0 0 0 322 0 10 14 1,281
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 0 0 0 100 8 13 13 289
Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases 0 0 1 256 1 8 11 1,178
Option Pricing with Discrete Rebalancing 0 0 0 11 1 4 5 63
Option Pricing with Discrete Rebalancing 0 0 0 312 0 1 1 684
Option Pricing with Discrete Rebalancing 0 0 0 137 3 8 11 440
Option pricing with discrete rebalancing 0 0 0 0 0 4 5 159
Option pricing with discrete rebalancing 0 0 0 0 0 6 6 6
Predictability Hidden by Anomalous Observations 0 0 0 19 0 6 9 60
Predictability Hidden by Anomalous Observations 0 0 0 1 0 4 8 43
Predictability Hidden by Anomalous Observations 0 0 0 1 0 6 8 55
Quasi Indirect Inference for Diffusion Processes 0 0 0 9 2 6 8 59
Quasi-indirect inference for diffusion processes 0 0 0 0 0 5 6 31
Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply 0 0 0 15 3 10 15 74
Reversed Score and Likelihood Ratio Tests 0 0 0 48 0 1 4 337
Reversed Score and Likelihood Ratio Tests 0 0 0 91 0 3 4 615
Reversed Score and Likelihood Ratio Tests 0 0 0 7 0 6 8 154
Robust Resampling Methods for Time Series 0 0 0 68 0 2 4 215
Robust Subsampling 0 0 1 51 0 6 12 226
SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS 0 0 0 540 2 6 9 1,066
Saddlepoint Approximations for Spatial Panel Data Models 0 0 0 16 1 5 7 26
Saddlepoint approximations for spatial panel data models 0 0 0 4 0 2 4 21
Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements 0 0 0 358 1 4 5 1,391
Sensitivity Analysis of Values at Risk 0 0 2 1,597 1 4 10 4,361
Sensitivity Analysis of Values at Risk 0 0 2 80 1 5 9 2,459
Sensitivity Analysis of Values at Risk 0 0 2 769 7 14 17 1,467
Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements 0 0 0 17 1 4 11 88
Sensitivity analysis of Values at Risk 0 0 0 0 0 4 8 12
Sensitivity analysis of values at risk 0 0 0 1 1 4 7 472
Skill, scale, and value creation in the mutual fund industry 0 0 1 8 1 12 25 49
Spanning Tests for Markowitz Stochastic Dominance 0 0 0 16 1 3 5 42
Spanning Tests for Markowitz Stochastic Dominance 0 0 0 9 0 2 6 55
Spanning analysis of stock market anomalies under Prospect Stochastic Dominance 0 0 0 8 2 9 13 40
Spanning analysis of stock market anomalies under Prospect Stochastic Dominance 0 0 0 5 3 13 17 43
Spanning analysis of stock market anomalies under prospect stochastic dominance 0 0 0 1 0 13 19 23
Spanning tests for markowitz stochastic dominance 0 0 0 0 1 7 10 13
Sparse spanning portfolios and under-diversification with second-order stochastic dominance 0 0 0 1 2 6 6 9
Sparse spanning portfolios and under-diversification with second-order stochastic dominance 0 0 0 5 0 3 6 12
Swag: A Wrapper Method for Sparse Learning 0 0 0 12 0 4 6 41
Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs 1 1 4 115 3 8 21 439
Testing For Equality Between Two Copulas 1 1 1 61 1 3 5 199
Testing foe Stochastic Dominance Efficiency 0 0 0 0 1 8 8 134
Testing for Concordance Ordering 0 0 0 69 6 15 17 341
Testing for Continuous-Time Models of the Short-Term Interest Rate 0 0 0 10 3 23 27 353
Testing for Stochastic Dominance Efficiency 0 0 0 155 4 9 10 462
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 1 7 7 43
Testing for threshold effect in ARFIMA models: Application to US unemployment rate data 0 0 0 81 1 6 8 302
The Cross-Sectional Distribution of Fund Skill Measures 0 0 0 1 0 2 9 14
The Cross-Sectional Distribution of Fund Skill Measures 0 0 0 5 0 9 11 31
Theory and Calibration of Swap Market Models 0 1 2 1,598 1 18 21 3,535
Tikhonov Regularization for Functional Minimum Distance Estimators 0 0 0 109 1 6 9 424
Time-Varying Risk Premia in Large International Equity Markets 0 0 1 61 2 8 14 258
Time-Varying Risk Premia in Large International Equity Markets 0 0 0 17 1 3 4 83
Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets 0 0 0 17 2 6 10 106
Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets 0 1 1 18 1 12 17 140
Time-varying risk premium in large cross-sectional equity datasets 0 0 1 68 3 10 17 132
Valuing American Options Using Fast Recursive Projections 0 0 1 8 2 5 6 22
Valuing American options using fast recursive projections 0 0 0 22 0 4 8 73
Valuing American options using fast recursive projections 1 1 2 2 3 11 20 22
Valuing American options using fast recursive projections 0 0 0 2 4 63 68 77
Variance Optimal Cap Pricing Models 0 0 0 348 0 1 3 1,249
Variance Optimal Cap Pricing Models 0 0 0 7 0 5 7 43
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 6 9 101
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 0 10 12 259
Wealth Effect on Portfolio Allocation in Incomplete Markets 0 1 1 9 0 3 5 31
Total Working Papers 7 16 80 16,448 189 1,098 1,706 58,444
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 3 6 7 57
A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary 0 0 2 763 0 5 12 2,080
A diagnostic criterion for approximate factor structure 0 0 2 42 0 4 12 124
A fast subsampling method for nonlinear dynamic models 0 0 0 52 1 7 8 154
A higher-order correct fast moving-average bootstrap for dependent data 0 0 0 2 1 7 9 16
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 0 0 4 11 15
An empirical investigation into credit spread indices 0 1 2 3 6 10 17 19
Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility 0 0 0 1 1 3 5 19
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 1 1 3 10 1 5 25 48
CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA 1 1 1 35 2 6 13 147
Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 6 0 5 8 37
Compound and exchange options in the affine term structure model 0 0 1 13 0 1 4 50
Convergence of discrete time option pricing models under stochastic interest rates 0 0 0 286 3 6 7 1,229
Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps 0 0 1 10 3 6 8 56
Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 4 1 5 9 28
Estimation de modèles de la structure par terme des taux d'intérêt 0 0 0 17 0 2 4 76
Factors and risk premia in individual international stock returns 0 0 0 20 4 12 18 80
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 2 2 4 250 9 28 64 857
Hedge Fund Managers: Luck and Dynamic Assessment 0 0 3 32 0 1 14 147
High-Frequency Jump Analysis of the Bitcoin Market* 0 1 3 22 3 14 22 108
Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models 0 0 0 0 4 10 10 265
Instrumental Models and Indirect Encompassing 0 0 0 0 0 0 5 273
Is it alpha or beta? Decomposing hedge fund returns when models are misspecified 0 0 2 6 2 9 24 46
Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News 0 0 4 51 6 10 20 297
Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters 0 0 0 4 0 6 9 112
LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING 0 0 0 19 0 4 6 73
Local Transformation Kernel Density Estimation of Loss Distributions 0 0 0 32 0 2 7 122
Local multiplicative bias correction for asymmetric kernel density estimators 0 0 0 32 0 5 6 167
Mean reversion trading on the naphtha crack 0 0 0 0 2 7 9 9
Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall 0 0 3 118 0 6 12 275
Nonparametric Instrumental Variable Estimation of Structural Quantile Effects 0 0 0 26 1 3 6 191
Nonparametric estimation of copulas for time series 0 0 0 0 6 11 13 13
Nonstandard Errors 0 1 11 42 6 16 61 167
On ill‐posedness of nonparametric instrumental variable regression with convexity constraints 0 0 0 3 0 4 7 35
On the way to recovery: A nonparametric bias free estimation of recovery rate densities 0 0 2 211 1 6 12 520
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 0 0 2 12 0 2 5 48
Option pricing with discrete rebalancing 0 0 1 86 0 5 6 252
Path dependent options on yields in the affine term structure model 0 0 0 367 1 5 6 1,213
Pricing American options under stochastic volatility and stochastic interest rates 0 0 0 61 0 7 16 223
QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES 0 0 0 25 1 9 10 95
Robust subsampling 0 0 0 27 0 3 9 127
Saddlepoint Approximations for Spatial Panel Data Models 0 0 0 1 0 7 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 1 1 2 65 1 7 14 228
Sensitivity analysis of Values at Risk 0 0 1 463 5 16 22 1,066
Skill, Scale, and Value Creation in the Mutual Fund Industry 0 0 2 29 2 6 18 114
Spanning Analysis of Stock Market Anomalies Under Prospect Stochastic Dominance 0 0 0 0 1 11 13 13
Spanning tests for Markowitz stochastic dominance 0 0 0 2 0 3 6 28
THEORY AND CALIBRATION OF SWAP MARKET MODELS 0 0 1 57 0 5 8 165
Technical trading revisited: False discoveries, persistence tests, and transaction costs 1 1 11 145 5 11 47 556
Testing for Concordance Ordering 0 0 0 2 3 6 8 32
Testing for Stochastic Dominance Efficiency 0 0 1 60 2 8 16 204
Testing for continuous-time models of the short-term interest rate 0 1 1 132 1 10 17 312
Testing for equality between two copulas 0 0 1 72 1 3 7 197
Testing for symmetry and conditional symmetry using asymmetric kernels 0 0 0 4 2 3 11 45
Testing for threshold effect in ARFIMA models: Application to US unemployment rate data 0 0 0 50 2 6 7 174
Tikhonov regularization for nonparametric instrumental variable estimators 0 1 1 29 2 4 11 161
Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets 1 1 4 55 4 15 27 210
Unemployment insurance and mortgages 0 0 0 18 0 1 3 112
Total Journal Articles 7 12 72 3,992 99 390 784 13,739
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 1 12 13 28
Estimation of large dimensional conditional factor models in finance 0 0 1 1 7 22 37 38
Total Chapters 0 0 1 1 8 34 50 66

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Statistics updated 2026-03-04