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 1 1 6 50
A Fast Subsampling Method for Nonlinear Dynamic Models 0 0 0 10 3 3 10 415
A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data 0 0 0 4 2 5 14 76
A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data 0 0 0 29 5 5 18 69
A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence 0 0 0 164 1 3 10 803
A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives 0 0 1 50 4 6 15 373
A New Index of Belgian Shares 1 1 1 58 4 4 9 550
A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics 0 0 0 852 6 9 14 1,903
A Specification Test For Nonparametric Instrumental Variable Regression 0 0 0 64 2 3 10 207
A diagnostic criterion for approximate factor structure 1 1 1 21 5 7 17 66
A fast Subsampling Method for Nonlinear Dynamic Models 0 0 0 0 1 2 11 254
A higher-order correct fast moving-average bootstrap for dependent data 0 0 0 0 3 10 19 25
A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements 0 0 0 234 0 1 6 805
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 84 1 3 12 56
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 0 1 1 17 20
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 11 3 4 14 20
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 86 2 5 16 257
An Autoregressive Conditional Binomial Option Pricing Model 0 0 0 446 0 1 2 1,116
An Empirical Estimation in Credit Spread Indices 0 0 0 117 2 5 7 276
An Empirical Investigation in Credit Spread Indices 1 1 2 710 4 5 8 1,647
An Empirical Investigation in Credit Spread Indices 0 0 0 340 6 7 15 744
An Empirical Investigation in Credit Spread Indices 0 0 0 14 1 1 5 424
An auto-regressive conditional binomial option pricing model 0 0 0 0 3 4 7 9
An autoregressive conditional binomial option pricing model under stochastic rates 0 0 0 0 2 4 9 268
Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility 0 0 0 76 3 4 9 229
Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data 0 0 0 17 1 1 2 95
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 0 0 1 3 15 60
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 1 55 4 6 15 101
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 0 0 0 3 4 9 24
Backtesting marginal expected shortfalland related systemic risk measures 0 2 3 6 5 7 19 30
Bartlett Identities Tests 0 0 1 24 3 7 19 161
Bartlett Identities Tests 0 0 0 163 4 7 16 778
Bartlett identities tests 0 0 0 11 0 1 6 335
Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy 0 0 0 0 0 0 5 6
Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy 0 0 0 34 1 1 5 51
Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates 0 0 0 29 2 13 20 123
Convergence of Discrete Time Options Pricing Models under Stochastic Rates 0 0 0 0 8 9 18 1,261
Convergence of discrete time option pricing models under stochastic interest rates 0 0 0 0 0 1 4 5
Convergence of discrete time options pricing models under stochastic 0 0 0 0 3 4 8 114
Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets 0 0 0 9 3 4 9 45
Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets 0 0 0 2 2 3 10 13
Density Estimation Using Inverse and Reciprocal Inverse Gaussian Kernels 0 0 0 175 3 4 10 640
Density Estimation Using Inverse and Reciprocal Inverse Guassian Kernels 0 0 1 257 4 5 27 1,355
Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps 0 0 0 11 10 15 19 112
Early exercise decision in American options with dividends, stochastic volatility and jumps 0 0 0 12 9 15 30 90
Econométrie de la Finance: approches historiques 0 0 0 0 3 5 9 121
Eigenvalue tests for the number of latent factors in short panels 0 0 0 15 4 5 7 19
Eigenvalue tests for the number of latent factors in short panels 0 0 1 1 2 3 8 15
Estimation of Large Dimensional Conditional Factor Models in Finance 0 1 2 48 2 4 10 79
Estimation of large dimensional conditional factor models in finance 0 0 0 3 4 8 17 27
Estimation of the term structure from bond data 0 0 2 20 2 2 11 495
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 0 1 157 3 4 25 602
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 0 0 130 4 10 24 537
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 2 4 604 1 9 23 2,165
False discoveries in mutual fund performance: Measuring luck in estimated alphas 0 0 0 55 1 3 12 231
Forecast Intervals in ARCH Exponential Smoothing 0 0 0 13 0 0 4 110
Green Silence: Double Machine Learning Carbon Emissions Under Sample Selection Bias 1 3 14 14 3 9 24 24
High-Frequency Estimation of ITÔ Semimartingale Baseline for Hawkes Processes 0 0 0 7 2 5 14 19
High-Frequency Jump Analysis of the Bitcoin Market 0 0 0 28 2 2 8 76
High-Frequency Jump Analysis of the Bitcoin Market 0 0 0 38 2 7 18 132
High-frequency jump analysis of the bitcoin market 1 2 2 3 4 15 51 54
Indirect Inference, Nuisance Parameter and Threshold Moving Average 0 0 0 188 3 4 6 1,592
Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified 0 0 1 17 5 10 24 86
Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters 0 0 1 232 5 8 24 638
Latent Factor Analysis in Short Panels 0 0 0 2 1 2 9 18
Latent Factor Analysis in Short Panels 0 0 1 24 2 2 13 32
Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility 0 0 2 240 3 3 8 776
Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility 0 0 1 119 0 0 7 369
Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators 0 0 0 39 1 3 7 204
Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators 0 0 0 79 1 1 13 404
Local Transformation Kernel Density Estimation of Loss Distributions 0 0 0 75 1 1 9 297
Mean Reversion Trading on the Naphtha Crack 0 0 2 5 1 2 9 19
Mortality Risk and Real Optimal Asset Allocation for Pension Funds 0 0 0 284 4 4 14 746
Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration 0 0 0 3 0 1 5 10
Multiariate Wavelet-based sahpe preserving estimation for dependant observation 0 0 0 42 2 11 14 243
Multiregime Term Structure Models 0 0 0 131 2 3 3 431
Multiregime Term Structure Models 0 0 0 5 3 3 6 57
Natural Hazards and Financial Activity: Evidence from Solar Storms Impact on BTC Mining 0 0 0 0 12 13 13 13
Non-Standard Errors 0 0 0 27 2 5 23 168
Non-Standard Errors 0 0 0 44 5 10 38 476
Non-Standard Errors 0 0 2 111 1 2 18 314
Nonparametric Estimation of Conditional Expected Shortfall 0 0 0 533 2 2 7 1,171
Nonparametric Estimation of Copulas for Time Series 0 0 0 462 6 6 17 913
Nonparametric Instrumental Variable Estimators of Structural Quantile Effects 0 0 0 60 4 11 15 184
Nonparametric Tests Dependence For Positive Quadrant 0 0 0 36 3 3 11 202
Nonparametric Tests for Positive Quadrant Dependence 0 0 0 253 3 5 18 971
Nonparametric estimation of copulas for time series 0 0 1 3 0 1 6 13
Nonstandard Errors 0 0 0 0 3 4 19 19
Nonstandard Errors 0 0 0 0 4 9 32 32
Nonstandard Errors 0 0 2 4 2 5 24 43
Nonstandard errors 0 0 1 12 3 10 35 79
On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints 0 0 0 2 1 2 12 36
On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities 0 0 0 253 1 2 8 693
Optimal Maximin GMM Tests for Sphericity in Latent Factor Analysis of Short Panels 0 0 2 2 0 2 15 16
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 0 0 0 100 1 10 15 291
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 0 0 0 322 0 0 14 1,281
Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases 0 0 0 256 5 7 15 1,184
Option Pricing with Discrete Rebalancing 0 0 0 312 1 3 4 687
Option Pricing with Discrete Rebalancing 0 0 0 11 0 3 7 65
Option Pricing with Discrete Rebalancing 0 0 0 137 1 4 12 441
Option pricing with discrete rebalancing 0 0 0 0 0 0 6 6
Option pricing with discrete rebalancing 0 0 0 0 4 4 9 163
Predictability Hidden by Anomalous Observations 0 0 0 19 2 2 11 62
Predictability Hidden by Anomalous Observations 0 0 0 1 2 6 14 61
Predictability Hidden by Anomalous Observations 0 0 0 1 2 2 9 45
Quasi Indirect Inference for Diffusion Processes 0 0 0 9 1 3 7 60
Quasi-indirect inference for diffusion processes 0 0 0 0 3 3 8 34
Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply 0 1 1 16 3 9 20 80
Reversed Score and Likelihood Ratio Tests 0 0 0 91 2 2 6 617
Reversed Score and Likelihood Ratio Tests 0 0 0 7 3 3 11 157
Reversed Score and Likelihood Ratio Tests 0 0 0 48 0 0 4 337
Robust Resampling Methods for Time Series 0 0 0 68 2 4 7 219
Robust Subsampling 0 0 1 51 4 5 17 231
SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS 1 1 1 541 3 7 14 1,071
Saddlepoint Approximations for Spatial Panel Data Models 0 0 0 16 4 5 11 30
Saddlepoint approximations for spatial panel data models 0 0 0 4 2 2 6 23
Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements 0 0 0 358 1 2 6 1,392
Sensitivity Analysis of Values at Risk 0 0 0 1,597 4 6 13 4,366
Sensitivity Analysis of Values at Risk 0 0 0 769 1 9 17 1,469
Sensitivity Analysis of Values at Risk 0 0 0 80 1 5 11 2,463
Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements 0 0 0 17 3 7 17 94
Sensitivity analysis of Values at Risk 0 0 0 0 0 1 9 13
Sensitivity analysis of values at risk 0 0 0 1 2 3 9 474
Skill, scale, and value creation in the mutual fund industry 0 0 0 8 1 3 24 51
Spanning Tests for Markowitz Stochastic Dominance 0 0 0 16 2 3 7 44
Spanning Tests for Markowitz Stochastic Dominance 0 0 0 9 1 3 9 58
Spanning analysis of stock market anomalies under Prospect Stochastic Dominance 0 0 0 5 3 9 23 49
Spanning analysis of stock market anomalies under Prospect Stochastic Dominance 0 0 0 8 3 6 16 44
Spanning analysis of stock market anomalies under prospect stochastic dominance 0 0 0 1 4 6 25 29
Spanning tests for markowitz stochastic dominance 0 0 0 0 4 7 16 19
Sparse spanning portfolios and under-diversification with second-order stochastic dominance 0 0 0 1 0 4 8 11
Sparse spanning portfolios and under-diversification with second-order stochastic dominance 0 0 0 5 0 1 6 13
Swag: A Wrapper Method for Sparse Learning 0 0 0 12 4 6 11 47
Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs 1 3 6 117 1 9 27 445
Testing For Equality Between Two Copulas 0 1 1 61 5 6 10 204
Testing foe Stochastic Dominance Efficiency 0 0 0 0 1 4 11 137
Testing for Concordance Ordering 0 0 0 69 2 8 19 343
Testing for Continuous-Time Models of the Short-Term Interest Rate 0 0 0 10 2 7 31 357
Testing for Stochastic Dominance Efficiency 0 0 0 155 1 6 12 464
Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels 0 0 0 11 0 0 5 63
Testing for continuous-time models of the short-term interest rate 0 0 0 3 0 1 7 43
Testing for threshold effect in ARFIMA models: Application to US unemployment rate data 0 0 0 81 2 5 12 306
The Cross-Sectional Distribution of Fund Skill Measures 0 0 0 1 4 4 12 18
The Cross-Sectional Distribution of Fund Skill Measures 0 0 0 5 2 2 13 33
Theory and Calibration of Swap Market Models 0 0 2 1,598 2 4 24 3,538
Tikhonov Regularization for Functional Minimum Distance Estimators 0 1 1 110 2 6 13 429
Time-Varying Risk Premia in Large International Equity Markets 0 0 1 61 2 4 16 260
Time-Varying Risk Premia in Large International Equity Markets 0 0 0 17 0 1 4 83
Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets 0 0 0 17 1 3 10 107
Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets 0 0 1 18 5 6 21 145
Time-varying risk premium in large cross-sectional equity datasets 1 1 2 69 7 11 25 140
Valuing American Options Using Fast Recursive Projections 0 0 1 8 1 4 8 24
Valuing American options using fast recursive projections 0 0 0 22 4 5 13 78
Valuing American options using fast recursive projections 0 1 2 2 3 7 24 26
Valuing American options using fast recursive projections 0 0 0 2 4 12 76 85
Variance Optimal Cap Pricing Models 0 0 0 7 3 3 10 46
Variance Optimal Cap Pricing Models 0 0 0 348 3 5 8 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 1 32 4 5 13 105
Weak Convergence of Hedging Strategies of Contingent Claims 0 0 0 48 0 0 2 166
Weak Convergence of Hedging Strategies of Contingent Claims 0 0 0 82 2 2 14 261
Wealth Effect on Portfolio Allocation in Incomplete Markets 0 0 1 9 4 4 9 35
Total Working Papers 8 22 75 16,463 402 753 2,196 59,008
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 6 10 14 64
A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary 0 0 1 763 1 1 12 2,081
A diagnostic criterion for approximate factor structure 0 0 1 42 1 2 11 126
A fast subsampling method for nonlinear dynamic models 0 0 0 52 4 5 12 158
A higher-order correct fast moving-average bootstrap for dependent data 0 0 0 2 1 3 11 18
A penalized two-pass regression to predict stock returns with time-varying risk premia 0 0 0 0 4 4 15 19
An empirical investigation into credit spread indices 0 0 2 3 4 12 22 25
Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility 0 0 0 1 1 2 6 20
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures 0 3 3 12 8 12 30 59
CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA 0 1 1 35 7 10 20 155
Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 6 2 3 11 40
Compound and exchange options in the affine term structure model 0 0 1 13 1 1 5 51
Convergence of discrete time option pricing models under stochastic interest rates 0 0 0 286 3 7 11 1,233
Dynamic Portfolio Allocation Under Market Incompleteness and Wealth Effects 1 1 1 1 1 3 3 3
Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps 0 0 1 10 2 6 11 59
Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 4 1 2 10 29
Estimation de modèles de la structure par terme des taux d'intérêt 0 0 0 17 2 2 6 78
Factors and risk premia in individual international stock returns 0 0 0 20 6 13 27 89
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas 0 2 4 250 1 14 67 862
Hedge Fund Managers: Luck and Dynamic Assessment 0 0 2 32 3 3 16 150
High-Frequency Jump Analysis of the Bitcoin Market* 1 1 4 23 4 7 26 112
Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models 0 0 0 0 2 6 12 267
Instrumental Models and Indirect Encompassing 0 0 0 0 4 5 10 278
Is it alpha or beta? Decomposing hedge fund returns when models are misspecified 0 0 2 6 1 9 30 53
Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News 1 1 4 52 16 29 42 320
Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters 0 0 0 4 3 4 13 116
LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING 0 1 1 20 1 3 9 76
Local Transformation Kernel Density Estimation of Loss Distributions 0 0 0 32 3 4 11 126
Local multiplicative bias correction for asymmetric kernel density estimators 0 0 0 32 5 7 13 174
Mean reversion trading on the naphtha crack 0 0 0 0 9 13 20 20
Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall 0 0 2 118 1 2 13 277
Nonparametric Instrumental Variable Estimation of Structural Quantile Effects 0 0 0 26 0 1 6 191
Nonparametric estimation of copulas for time series 0 0 0 0 2 11 18 18
Nonstandard Errors 0 2 8 44 4 15 58 176
On ill‐posedness of nonparametric instrumental variable regression with convexity constraints 0 0 0 3 1 1 8 36
On the way to recovery: A nonparametric bias free estimation of recovery rate densities 0 0 1 211 3 4 14 523
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 0 0 2 12 0 1 6 49
Option pricing with discrete rebalancing 0 0 0 86 1 3 8 255
Path dependent options on yields in the affine term structure model 0 0 0 367 4 5 10 1,217
Pricing American options under stochastic volatility and stochastic interest rates 0 0 0 61 4 4 18 227
QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES 0 0 0 25 1 2 11 96
Robust subsampling 0 0 0 27 2 3 12 130
Saddlepoint Approximations for Spatial Panel Data Models 0 0 0 1 1 1 12 18
Semiparametric methods in econometrics 0 0 0 109 2 2 3 237
Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements 0 1 2 65 3 6 19 233
Sensitivity analysis of Values at Risk 0 1 1 464 2 11 27 1,072
Skill, Scale, and Value Creation in the Mutual Fund Industry 0 0 2 29 1 4 19 116
Spanning Analysis of Stock Market Anomalies Under Prospect Stochastic Dominance 0 0 0 0 3 5 17 17
Spanning tests for Markowitz stochastic dominance 0 0 0 2 3 4 10 32
THEORY AND CALIBRATION OF SWAP MARKET MODELS 0 0 1 57 1 1 9 166
Technical trading revisited: False discoveries, persistence tests, and transaction costs 0 1 9 145 8 18 55 569
Testing for Concordance Ordering 0 0 0 2 0 4 9 33
Testing for Stochastic Dominance Efficiency 0 0 0 60 2 5 18 207
Testing for continuous-time models of the short-term interest rate 0 0 1 132 1 3 19 314
Testing for equality between two copulas 0 0 1 72 4 6 12 202
Testing for symmetry and conditional symmetry using asymmetric kernels 0 0 0 4 2 4 13 47
Testing for threshold effect in ARFIMA models: Application to US unemployment rate data 0 0 0 50 0 5 10 177
Tikhonov regularization for nonparametric instrumental variable estimators 0 0 1 29 0 4 13 163
Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets 0 1 2 55 14 19 40 225
Unemployment insurance and mortgages 0 0 0 18 2 2 5 114
Total Journal Articles 3 16 61 4,001 179 358 998 13,998
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 15 30
Estimation of large dimensional conditional factor models in finance 0 0 1 1 6 15 45 46
Total Chapters 0 0 1 1 8 18 60 76

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