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 5 48
A Fast Subsampling Method for Nonlinear Dynamic Models 0 0 0 10 2 5 7 411
A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data 0 0 0 4 1 3 3 65
A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data 0 0 0 29 0 3 3 54
A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence 0 0 0 164 2 3 5 797
A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives 0 1 1 50 2 5 8 364
A New Index of Belgian Shares 0 0 0 57 2 2 2 543
A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics 0 0 1 852 2 3 4 1,892
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 8 55
A fast Subsampling Method for Nonlinear Dynamic Models 0 0 0 0 1 3 4 246
A higher-order correct fast moving-average bootstrap for dependent data 0 0 0 0 2 3 7 10
A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements 0 0 0 234 0 2 3 802
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 0 4 12 15 16
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 84 2 5 6 50
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 11 0 4 7 13
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 86 4 6 8 248
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 446 1 1 1 1,115
An Empirical Estimation in Credit Spread Indices 0 0 0 117 0 1 1 270
An Empirical Investigation in Credit Spread Indices 0 0 0 14 2 2 2 421
An Empirical Investigation in Credit Spread Indices 0 0 1 709 0 0 5 1,641
An Empirical Investigation in Credit Spread Indices 0 0 0 340 2 2 5 733
An auto-regressive conditional binomial option pricing model 0 0 0 0 0 1 1 3
An autoregressive conditional binomial option pricing model under stochastic rates 0 0 0 0 1 2 2 261
Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility 0 0 0 76 3 3 4 224
Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data 0 0 0 17 0 1 1 94
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 0 0 1 1 2 17
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 1 1 55 0 5 6 91
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 0 0 3 3 8 52
Backtesting marginal expected shortfalland related systemic risk measures 0 0 1 4 1 8 12 22
Bartlett Identities Tests 0 0 1 24 3 4 7 149
Bartlett Identities Tests 0 0 0 163 1 1 5 766
Bartlett identities tests 0 0 0 11 2 3 5 333
Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy 0 0 0 34 1 1 1 47
Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy 0 0 0 0 2 4 5 6
Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates 0 0 0 29 1 2 3 106
Convergence of Discrete Time Options Pricing Models under Stochastic Rates 0 0 0 0 0 1 1 1,244
Convergence of discrete time option pricing models under stochastic interest rates 0 0 0 0 0 0 0 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 0 1 2 37
Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets 0 0 0 2 0 2 2 5
Density Estimation Using Inverse and Reciprocal Inverse Gaussian Kernels 0 0 0 175 2 2 4 634
Density Estimation Using Inverse and Reciprocal Inverse Guassian Kernels 0 0 0 256 4 15 17 1,345
Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps 0 0 0 11 2 2 4 96
Early exercise decision in American options with dividends, stochastic volatility and jumps 0 0 0 12 2 3 5 65
Econométrie de la Finance: approches historiques 0 0 0 0 0 1 3 114
Eigenvalue tests for the number of latent factors in short panels 0 0 1 1 0 1 2 9
Eigenvalue tests for the number of latent factors in short panels 0 0 0 15 0 0 0 12
Estimation of Large Dimensional Conditional Factor Models in Finance 0 0 2 47 1 3 7 74
Estimation of large dimensional conditional factor models in finance 0 0 0 3 2 5 8 17
Estimation of the term structure from bond data 1 2 3 20 2 6 7 490
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 0 2 601 2 2 13 2,152
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 0 0 130 2 6 13 524
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 0 1 157 3 10 13 589
False discoveries in mutual fund performance: Measuring luck in estimated alphas 0 0 0 55 2 6 6 225
Forecast Intervals in ARCH Exponential Smoothing 0 0 0 13 0 2 5 109
Green Silence: Double Machine Learning Carbon Emissions Under Sample Selection Bias 1 2 11 11 6 8 10 10
High-Frequency Estimation of ITÔ Semimartingale Baseline for Hawkes Processes 0 0 7 7 3 4 11 11
High-Frequency Jump Analysis of the Bitcoin Market 0 0 0 28 1 1 5 72
High-Frequency Jump Analysis of the Bitcoin Market 0 0 0 38 1 3 5 117
High-frequency jump analysis of the bitcoin market 0 0 0 1 6 7 11 12
Indirect Inference, Nuisance Parameter and Threshold Moving Average 0 0 0 188 1 1 1 1,587
Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified 0 0 1 17 4 6 10 72
Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters 0 0 1 232 3 8 10 623
Latent Factor Analysis in Short Panels 0 0 1 24 2 3 6 24
Latent Factor Analysis in Short Panels 0 0 0 2 2 4 5 14
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 0 1 2 364
Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators 0 0 0 39 1 3 3 200
Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators 0 0 0 79 2 6 7 398
Local Transformation Kernel Density Estimation of Loss Distributions 0 0 0 75 3 4 5 293
Mean Reversion Trading on the Naphtha Crack 0 2 4 5 1 4 8 14
Mortality Risk and Real Optimal Asset Allocation for Pension Funds 0 0 0 284 2 6 8 739
Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration 0 0 0 3 1 3 4 8
Multiariate Wavelet-based sahpe preserving estimation for dependant observation 0 0 0 42 0 1 2 231
Multiregime Term Structure Models 0 0 0 131 0 0 2 428
Multiregime Term Structure Models 0 0 0 5 2 2 3 53
Non-Standard Errors 0 0 2 111 4 10 22 310
Non-Standard Errors 0 0 2 44 6 12 35 458
Non-Standard Errors 0 0 1 27 4 7 27 161
Nonparametric Estimation of Conditional Expected Shortfall 0 0 0 533 0 2 7 1,167
Nonparametric Estimation of Copulas for Time Series 0 0 0 462 2 5 5 901
Nonparametric Instrumental Variable Estimators of Structural Quantile Effects 0 0 0 60 1 3 4 173
Nonparametric Tests Dependence For Positive Quadrant 0 0 0 36 3 5 7 196
Nonparametric Tests for Positive Quadrant Dependence 0 0 0 253 1 6 9 960
Nonparametric estimation of copulas for time series 0 0 1 3 0 1 5 11
Nonstandard Errors 0 0 0 0 6 11 14 14
Nonstandard Errors 0 0 0 0 4 11 22 22
Nonstandard Errors 1 1 4 4 4 10 25 33
Nonstandard errors 0 0 1 12 3 7 28 63
On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints 0 0 0 2 1 5 5 29
On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities 0 0 0 253 2 4 4 689
Optimal Maximin GMM Tests for Sphericity in Latent Factor Analysis of Short Panels 0 0 2 2 4 5 9 9
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 0 0 0 322 3 5 8 1,274
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 0 0 0 100 3 3 4 279
Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases 0 0 1 256 4 5 7 1,174
Option Pricing with Discrete Rebalancing 0 0 0 312 1 1 1 684
Option Pricing with Discrete Rebalancing 0 0 0 11 0 1 1 59
Option Pricing with Discrete Rebalancing 0 0 0 137 3 6 6 435
Option pricing with discrete rebalancing 0 0 0 0 1 2 2 156
Option pricing with discrete rebalancing 0 0 0 0 1 1 1 1
Predictability Hidden by Anomalous Observations 0 0 0 19 0 3 3 54
Predictability Hidden by Anomalous Observations 0 0 0 1 2 4 4 51
Predictability Hidden by Anomalous Observations 0 0 0 1 1 3 5 40
Quasi Indirect Inference for Diffusion Processes 0 0 0 9 3 3 6 56
Quasi-indirect inference for diffusion processes 0 0 0 0 1 1 3 27
Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply 0 0 0 15 4 6 9 68
Reversed Score and Likelihood Ratio Tests 0 0 0 7 2 4 4 150
Reversed Score and Likelihood Ratio Tests 0 0 0 48 0 1 3 336
Reversed Score and Likelihood Ratio Tests 0 0 0 91 1 1 2 613
Robust Resampling Methods for Time Series 0 0 0 68 1 1 3 214
Robust Subsampling 0 0 1 51 3 8 9 223
SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS 0 0 1 540 1 3 5 1,061
Saddlepoint Approximations for Spatial Panel Data Models 0 0 0 16 1 3 3 22
Saddlepoint approximations for spatial panel data models 0 0 0 4 0 1 2 19
Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements 0 0 0 358 1 2 3 1,388
Sensitivity Analysis of Values at Risk 0 0 2 769 5 6 10 1,458
Sensitivity Analysis of Values at Risk 0 0 2 1,597 2 5 9 4,359
Sensitivity Analysis of Values at Risk 0 0 3 80 1 1 6 2,455
Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements 0 0 0 17 0 5 7 84
Sensitivity analysis of Values at Risk 0 0 0 0 1 4 6 9
Sensitivity analysis of values at risk 0 0 0 1 0 3 4 468
Skill, scale, and value creation in the mutual fund industry 0 0 1 8 0 5 13 37
Spanning Tests for Markowitz Stochastic Dominance 0 0 0 16 0 1 2 39
Spanning Tests for Markowitz Stochastic Dominance 0 0 0 9 1 3 5 54
Spanning analysis of stock market anomalies under Prospect Stochastic Dominance 0 0 1 8 2 4 7 33
Spanning analysis of stock market anomalies under Prospect Stochastic Dominance 0 0 0 5 1 3 5 31
Spanning analysis of stock market anomalies under prospect stochastic dominance 0 0 0 1 3 5 9 13
Spanning tests for markowitz stochastic dominance 0 0 0 0 1 4 5 7
Sparse spanning portfolios and under-diversification with second-order stochastic dominance 0 0 0 1 0 0 0 3
Sparse spanning portfolios and under-diversification with second-order stochastic dominance 0 0 0 5 2 4 6 11
Swag: A Wrapper Method for Sparse Learning 0 0 1 12 1 1 6 38
Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs 0 0 3 114 0 6 13 431
Testing For Equality Between Two Copulas 0 0 0 60 0 2 2 196
Testing foe Stochastic Dominance Efficiency 0 0 0 0 1 1 2 127
Testing for Concordance Ordering 0 0 0 69 2 4 5 328
Testing for Continuous-Time Models of the Short-Term Interest Rate 0 0 0 10 4 7 8 334
Testing for Stochastic Dominance Efficiency 0 0 0 155 0 1 2 453
Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels 0 0 0 11 4 5 5 63
Testing for continuous-time models of the short-term interest rate 0 0 0 3 1 1 1 37
Testing for threshold effect in ARFIMA models: Application to US unemployment rate data 0 0 0 81 1 2 3 297
The Cross-Sectional Distribution of Fund Skill Measures 0 0 0 5 3 4 5 25
The Cross-Sectional Distribution of Fund Skill Measures 0 0 0 1 1 3 9 13
Theory and Calibration of Swap Market Models 1 1 2 1,598 11 13 14 3,528
Tikhonov Regularization for Functional Minimum Distance Estimators 0 0 1 109 0 1 5 418
Time-Varying Risk Premia in Large International Equity Markets 0 0 1 61 2 5 9 252
Time-Varying Risk Premia in Large International Equity Markets 0 0 0 17 0 1 1 80
Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets 0 0 0 17 0 1 6 100
Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets 0 0 0 17 1 5 6 129
Time-varying risk premium in large cross-sectional equity datasets 0 0 1 68 4 9 16 126
Valuing American Options Using Fast Recursive Projections 0 0 1 8 1 1 2 18
Valuing American options using fast recursive projections 0 0 1 2 38 40 46 52
Valuing American options using fast recursive projections 0 0 0 22 1 4 5 70
Valuing American options using fast recursive projections 0 0 1 1 0 6 9 11
Variance Optimal Cap Pricing Models 0 0 0 7 2 4 4 40
Variance Optimal Cap Pricing Models 0 0 0 348 0 1 2 1,248
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 2 4 5 97
Weak Convergence of Hedging Strategies of Contingent Claims 0 0 0 48 1 2 2 166
Weak Convergence of Hedging Strategies of Contingent Claims 0 0 0 82 2 4 4 251
Wealth Effect on Portfolio Allocation in Incomplete Markets 0 0 1 8 1 3 5 29
Total Working Papers 4 10 81 16,436 301 620 1,021 57,647
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 1 2 2 52
A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary 0 0 2 763 2 2 9 2,077
A diagnostic criterion for approximate factor structure 0 0 2 42 2 6 10 122
A fast subsampling method for nonlinear dynamic models 0 0 0 52 1 2 2 148
A higher-order correct fast moving-average bootstrap for dependent data 0 0 0 2 1 2 5 10
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 0 1 4 9 12
An empirical investigation into credit spread indices 1 1 3 3 2 4 11 11
Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility 0 0 0 1 1 2 3 17
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 3 9 1 6 25 44
CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA 0 0 0 34 0 5 8 141
Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 6 1 4 4 33
Compound and exchange options in the affine term structure model 0 0 1 13 0 1 3 49
Convergence of discrete time option pricing models under stochastic interest rates 0 0 0 286 1 2 3 1,224
Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps 0 0 1 10 1 1 3 51
Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 4 1 5 5 24
Estimation de modèles de la structure par terme des taux d'intérêt 0 0 0 17 0 1 2 74
Factors and risk premia in individual international stock returns 0 0 0 20 3 6 10 71
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 1 2 248 3 26 42 832
Hedge Fund Managers: Luck and Dynamic Assessment 0 1 3 32 1 7 15 147
High-Frequency Jump Analysis of the Bitcoin Market* 1 1 4 22 4 7 15 98
Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models 0 0 0 0 1 1 1 256
Instrumental Models and Indirect Encompassing 0 0 0 0 0 2 6 273
Is it alpha or beta? Decomposing hedge fund returns when models are misspecified 0 0 2 6 6 14 22 43
Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News 0 2 4 51 0 6 11 287
Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters 0 0 0 4 0 1 3 106
LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING 0 0 0 19 0 1 2 69
Local Transformation Kernel Density Estimation of Loss Distributions 0 0 0 32 1 4 6 121
Local multiplicative bias correction for asymmetric kernel density estimators 0 0 0 32 1 2 2 163
Mean reversion trading on the naphtha crack 0 0 0 0 1 3 3 3
Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall 0 1 3 118 0 4 8 269
Nonparametric Instrumental Variable Estimation of Structural Quantile Effects 0 0 0 26 0 3 3 188
Nonparametric estimation of copulas for time series 0 0 0 0 0 2 2 2
Nonstandard Errors 1 3 16 42 5 18 65 156
On ill‐posedness of nonparametric instrumental variable regression with convexity constraints 0 0 0 3 1 4 4 32
On the way to recovery: A nonparametric bias free estimation of recovery rate densities 0 0 2 211 0 3 6 514
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 0 1 2 12 0 2 4 46
Option pricing with discrete rebalancing 0 0 1 86 2 2 3 249
Path dependent options on yields in the affine term structure model 0 0 0 367 3 4 4 1,211
Pricing American options under stochastic volatility and stochastic interest rates 0 0 0 61 4 9 14 220
QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES 0 0 0 25 1 2 3 87
Robust subsampling 0 0 0 27 0 6 7 124
Saddlepoint Approximations for Spatial Panel Data Models 0 0 0 1 3 4 7 13
Semiparametric methods in econometrics 0 0 0 109 1 1 3 235
Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements 0 0 1 64 0 4 8 221
Sensitivity analysis of Values at Risk 0 0 3 463 3 8 13 1,053
Skill, Scale, and Value Creation in the Mutual Fund Industry 0 0 2 29 2 5 15 110
Spanning Analysis of Stock Market Anomalies Under Prospect Stochastic Dominance 0 0 0 0 2 3 4 4
Spanning tests for Markowitz stochastic dominance 0 0 0 2 0 2 3 25
THEORY AND CALIBRATION OF SWAP MARKET MODELS 0 0 2 57 4 5 8 164
Technical trading revisited: False discoveries, persistence tests, and transaction costs 0 4 11 144 2 13 43 547
Testing for Concordance Ordering 0 0 0 2 1 3 3 27
Testing for Stochastic Dominance Efficiency 0 0 1 60 4 10 14 200
Testing for continuous-time models of the short-term interest rate 1 1 1 132 3 10 10 305
Testing for equality between two copulas 0 0 1 72 0 1 5 194
Testing for symmetry and conditional symmetry using asymmetric kernels 0 0 0 4 0 8 8 42
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 0 5 7 157
Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets 0 0 5 54 3 7 17 198
Unemployment insurance and mortgages 0 0 0 18 0 0 3 111
Total Journal Articles 4 16 78 3,984 81 277 537 13,430
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 2 3 3 18
Estimation of large dimensional conditional factor models in finance 0 0 1 1 0 12 16 16
Total Chapters 0 0 1 1 2 15 19 34

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Statistics updated 2026-01-09