Details about Olivier Scaillet

Homepage:	https://scaillet.ch
Phone:	00 41 22 379 88 16
Postal address:	GSEM UNI MAIL 102 Bd Carl Vogt CH 1211 Geneve 4 Suisse
Workplace:	Swiss Finance Institute, (more information at EDIRC) Geneva Finance Research Institute (GFRI), Université de Genève (University of Geneva), (more information at EDIRC) Geneva School of Economics and Management, Université de Genève (University of Geneva), (more information at EDIRC)

Access statistics for papers by Olivier Scaillet.

Last updated 2024-01-04. Update your information in the RePEc Author Service.

Short-id: psc56

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Working Papers

2024

1. Latent Factor Analysis in Short Panels
   Papers, arXiv.org View citations (1)
   Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2023) View citations (1)

2023

2. A penalized two-pass regression to predict stock returns with time-varying risk premia
   Post-Print, HAL View citations (1)
   Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2021) View citations (1)
   Papers, arXiv.org (2022)
   See also Journal Article A penalized two-pass regression to predict stock returns with time-varying risk premia, Journal of Econometrics, Elsevier (2023) View citations (1) (2023)
3. Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2022

4. A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data
   Papers, arXiv.org
   Also in Working Papers, University of Geneva, Geneva School of Economics and Management (2020)
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2020)
   See also Journal Article A higher-order correct fast moving-average bootstrap for dependent data, Journal of Econometrics, Elsevier (2023) View citations (1) (2023)
5. Eigenvalue tests for the number of latent factors in short panels
   Papers, arXiv.org View citations (1)
   Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2022) View citations (1)
6. Non-Standard Errors
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   Also in Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (6)

2021

7. Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures
   Post-Print, HAL View citations (6)
   Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2019) View citations (1)
   Working Papers, University of Geneva, Geneva School of Economics and Management (2020)
   Working Papers, HAL (2020) View citations (3)
   See also Journal Article Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures, Management Science, INFORMS (2021) View citations (6) (2021)
8. Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
9. Saddlepoint approximations for spatial panel data models
   Papers, arXiv.org
   Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2019)
   See also Journal Article Saddlepoint Approximations for Spatial Panel Data Models, Journal of the American Statistical Association, Taylor & Francis Journals (2023) View citations (1) (2023)
10. Skill, scale, and value creation in the mutual fund industry
    Working Papers, University of Geneva, Geneva School of Economics and Management
    See also Journal Article Skill, Scale, and Value Creation in the Mutual Fund Industry, Journal of Finance, American Finance Association (2022) View citations (7) (2022)
11. Wealth Effect on Portfolio Allocation in Incomplete Markets
    Papers, arXiv.org

2020

12. Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
    Also in Working Papers, University of Geneva, Geneva School of Economics and Management (2020) View citations (1)
13. Spanning analysis of stock market anomalies under Prospect Stochastic Dominance
    Papers, arXiv.org
    Also in Working Papers, University of Geneva, Geneva School of Economics and Management (2020)
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2020)
14. Swag: A Wrapper Method for Sparse Learning
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2019

15. Estimation of Large Dimensional Conditional Factor Models in Finance
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (6)
    Also in Working Papers, University of Geneva, Geneva School of Economics and Management (2019) View citations (2)
16. Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (3)
17. Time-Varying Risk Premia in Large International Equity Markets
    HEC Research Papers Series, HEC Paris
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2018) View citations (8)

2018

18. Predictability Hidden by Anomalous Observations
    School of Economics Discussion Papers, School of Economics, University of Surrey
    Also in Papers, arXiv.org (2016) View citations (9)
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2013) View citations (7)
19. Spanning Tests for Markowitz Stochastic Dominance
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
    Also in Working Papers, University of Geneva, Geneva School of Economics and Management (2018) View citations (1)
    Papers, arXiv.org (2018) View citations (1)
    See also Journal Article Spanning tests for Markowitz stochastic dominance, Journal of Econometrics, Elsevier (2020) View citations (1) (2020)
20. The Cross-Sectional Distribution of Fund Skill Measures
    Working Papers, University of Geneva, Geneva School of Economics and Management
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2018) View citations (2)

2017

21. A diagnostic criterion for approximate factor structure
    Papers, arXiv.org View citations (1)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2016) View citations (1)
    See also Journal Article A diagnostic criterion for approximate factor structure, Journal of Econometrics, Elsevier (2019) View citations (31) (2019)
22. High-Frequency Jump Analysis of the Bitcoin Market
    Papers, arXiv.org View citations (12)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2017) View citations (13)
    Working Papers, University of Geneva, Geneva School of Economics and Management (2017) View citations (5)
    See also Journal Article High-Frequency Jump Analysis of the Bitcoin Market*, Journal of Financial Econometrics, Oxford University Press (2020) View citations (27) (2020)

2016

23. Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy
    Working Papers, University of Geneva, Geneva School of Economics and Management
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2016)
    See also Journal Article Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy, Journal of Financial Econometrics, Oxford University Press (2017) View citations (1) (2017)
24. Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
    Also in Papers, arXiv.org (2016)
    See also Journal Article Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps, Journal of Financial and Quantitative Analysis, Cambridge University Press (2020) View citations (4) (2020)
25. On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (4)
    See also Journal Article On ill‐posedness of nonparametric instrumental variable regression with convexity constraints, Econometrics Journal, Royal Economic Society (2016) View citations (1) (2016)
26. Valuing American options using fast recursive projections
    Working Papers, University of Geneva, Geneva School of Economics and Management
    Also in DEM Discussion Paper Series, Department of Economics at the University of Luxembourg (2015)
    Working Papers, University of Geneva, Geneva School of Economics and Management (2012)
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2012)

2015

27. Time-varying risk premium in large cross-sectional equity datasets
    Working Papers, University of Geneva, Geneva School of Economics and Management View citations (1)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2011) View citations (26)
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2011) View citations (2)
    See also Journal Article Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets, Econometrica, Econometric Society (2016) View citations (75) (2016)

2011

28. Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
    See also Journal Article Testing for symmetry and conditional symmetry using asymmetric kernels, Annals of the Institute of Statistical Mathematics, Springer (2015) View citations (3) (2015)
29. We propose a technique to avoid spurious detections of jumps in highfrequency data via an explicit thresholding on available test statistics
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2009

30. False discoveries in mutual fund performance: Measuring luck in estimated alphas
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) View citations (13)
    Also in Working Papers CEB, ULB -- Universite Libre de Bruxelles (2005) View citations (13)
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2008) View citations (3)
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering (2005) View citations (4)
    See also Journal Article False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas, Journal of Finance, American Finance Association (2010) View citations (260) (2010)
31. Nonparametric Instrumental Variable Estimators of Structural Quantile Effects
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (8)
32. Robust Resampling Methods for Time Series
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (4)
33. Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
    See also Journal Article Technical trading revisited: False discoveries, persistence tests, and transaction costs, Journal of Financial Economics, Elsevier (2012) View citations (96) (2012)

2008

34. Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
35. Testing for threshold effect in ARFIMA models: Application to US unemployment rate data
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
    See also Journal Article Testing for threshold effect in ARFIMA models: Application to US unemployment rate data, International Journal of Forecasting, Elsevier (2009) View citations (12) (2009)

2007

36. A Specification Test For Nonparametric Instrumental Variable Regression
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (7)
    See also Journal Article A Specification Test for Nonparametric Instrumental Variable Regression, Annals of Economics and Statistics, GENES (2017) View citations (1) (2017)
37. Local Transformation Kernel Density Estimation of Loss Distributions
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
    See also Journal Article Local Transformation Kernel Density Estimation of Loss Distributions, Journal of Business & Economic Statistics, American Statistical Association (2009) View citations (16) (2009)
38. Testing For Equality Between Two Copulas
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)
    See also Journal Article Testing for equality between two copulas, Journal of Multivariate Analysis, Elsevier (2009) View citations (59) (2009)

2006

39. Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (14)
    See also Journal Article Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility, The Review of Financial Studies, Society for Financial Studies (2007) View citations (31) (2007)
40. Robust Subsampling
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
    See also Journal Article Robust subsampling, Journal of Econometrics, Elsevier (2012) View citations (8) (2012)
41. Testing foe Stochastic Dominance Efficiency
    Computing in Economics and Finance 2006, Society for Computational Economics
    Also in FAME Research Paper Series, International Center for Financial Asset Management and Engineering (2005) View citations (10)
    See also Journal Article Testing for Stochastic Dominance Efficiency, Journal of Business & Economic Statistics, American Statistical Association (2010) View citations (54) (2010)
42. Tikhonov Regularization for Functional Minimum Distance Estimators
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (7)

2005

43. A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (28)
44. A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering
45. A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering
46. Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (2)
    See also Journal Article Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters, Journal of Multivariate Analysis, Elsevier (2007) View citations (20) (2007)
47. Multiariate Wavelet-based sahpe preserving estimation for dependant observation
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (8)
48. Theory and Calibration of Swap Market Models
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (5)
    See also Journal Article THEORY AND CALIBRATION OF SWAP MARKET MODELS, Mathematical Finance, Wiley Blackwell (2007) View citations (7) (2007)

2004

49. A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (4)
50. Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators
    Royal Economic Society Annual Conference 2004, Royal Economic Society View citations (2)
    Also in FAME Research Paper Series, International Center for Financial Asset Management and Engineering (2003) View citations (1)
    See also Journal Article Local multiplicative bias correction for asymmetric kernel density estimators, Journal of Econometrics, Elsevier (2007) View citations (19) (2007)
51. Nonparametric Estimation of Conditional Expected Shortfall
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (6)
52. Option pricing with discrete rebalancing
    Post-Print, HAL
    Also in LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (1999) View citations (1)
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1999) View citations (1)
    Working Papers, Center for Research in Economics and Statistics (1999) View citations (1)
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering (2002)
    See also Journal Article Option pricing with discrete rebalancing, Journal of Empirical Finance, Elsevier (2004) View citations (1) (2004)
53. SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (12)

2003

54. Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (6)
    Also in FAME Research Paper Series, International Center for Financial Asset Management and Engineering (2002) View citations (12)
55. Mortality Risk and Real Optimal Asset Allocation for Pension Funds
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (1)
56. Nonparametric Estimation of Copulas for Time Series
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (80)
    Also in Working Papers, University of Geneva, Geneva School of Economics and Management (2003) View citations (8)
57. On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (2)
    See also Journal Article On the way to recovery: A nonparametric bias free estimation of recovery rate densities, Journal of Banking & Finance, Elsevier (2004) View citations (48) (2004)
58. Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (6)
    Also in FAME Research Paper Series, International Center for Financial Asset Management and Engineering (2003) View citations (6)
    LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (2003) View citations (14)
    See also Journal Article Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases, Annals of Operations Research, Springer (2007) View citations (20) (2007)
59. Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering
60. Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements
    Working Papers, Center for Research in Economics and Statistics
    See also Journal Article Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements, Journal of Banking & Finance, Elsevier (2005) View citations (20) (2005)

2002

61. Nonparametric Tests Dependence For Positive Quadrant
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (1)
62. Testing for Concordance Ordering
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (5)
    See also Journal Article Testing for Concordance Ordering, ASTIN Bulletin, Cambridge University Press (2004) View citations (3) (2004)
63. Weak Convergence of Hedging Strategies of Contingent Claims
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (5)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2000)

2001

64. A Fast Subsampling Method for Nonlinear Dynamic Models
    Working Papers, Center for Research in Economics and Statistics
    Also in Working Papers, Ecole des Hautes Etudes Commerciales, Universite de Geneve- (2001)
    See also Journal Article A fast subsampling method for nonlinear dynamic models, Journal of Econometrics, Elsevier (2006) View citations (23) (2006)
65. Density Estimation Using Inverse and Reciprocal Inverse Gaussian Kernels
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (18)
    Also in LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (2001)
66. Nonparametric Tests for Positive Quadrant Dependence
    LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) View citations (6)

2000

67. An Autoregressive Conditional Binomial Option Pricing Model
    FMG Discussion Papers, Financial Markets Group View citations (4)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000)
    Working Papers, Center for Research in Economics and Statistics (1999) View citations (13)
68. An Empirical Estimation in Credit Spread Indices
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
69. An Empirical Investigation in Credit Spread Indices
    Working Papers, Center for Research in Economics and Statistics View citations (5)
    Also in FMG Discussion Papers, Financial Markets Group (2000) View citations (3)
    LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (2000) View citations (3)
70. Convergence of discrete time option pricing models under stochastic interest rates
    Post-Print, HAL View citations (6)
    Also in Working Papers, Center for Research in Economics and Statistics (1998) View citations (3)
    See also Journal Article Convergence of discrete time option pricing models under stochastic interest rates, Finance and Stochastics, Springer (2000) View citations (2) (2000)
71. Reversed Score and Likelihood Ratio Tests
    Working Papers, Center for Research in Economics and Statistics View citations (2)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (1)
    LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (2000) View citations (1)
72. Sensitivity Analysis of Values at Risk
    LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) View citations (135)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (133)
    Post-Print, HAL (2000) View citations (14)
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2000) View citations (131)
    Working Papers, Center for Research in Economics and Statistics (2000) View citations (135)
    See also Journal Article Sensitivity analysis of Values at Risk, Journal of Empirical Finance, Elsevier (2000) View citations (131) (2000)

1999

73. An autoregressive conditional binomial option pricing model under stochastic rates
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (2)
74. Bartlett Identities Tests
    Working Papers, Center for Research in Economics and Statistics View citations (3)
    Also in LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (1999) View citations (4)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1999) View citations (4)
75. Indirect Inference, Nuisance Parameter and Threshold Moving Average
    Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal View citations (6)
76. Variance Optimal Cap Pricing Models
    LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) View citations (1)
    Also in Working Papers, Center for Research in Economics and Statistics (1999)

1998

77. Quasi-indirect inference for diffusion processes
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (10)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1995) View citations (5)
    See also Journal Article QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES, Econometric Theory, Cambridge University Press (1998) View citations (23) (1998)

1997

78. A New Index of Belgian Shares
    LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)
79. Convergence of Discrete Time Options Pricing Models under Stochastic Rates
    Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.
80. Convergence of discrete time options pricing models under stochastic
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
81. Econométrie de la Finance: approches historiques
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (10)
82. Multiregime Term Structure Models
    LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) View citations (2)
    Also in Working Papers, Center for Research in Economics and Statistics (1997) View citations (2)

1995

83. Testing for continuous-time models of the short-term interest rate
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (27)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1993) View citations (14)
    See also Journal Article Testing for continuous-time models of the short-term interest rate, Journal of Empirical Finance, Elsevier (1995) View citations (45) (1995)

1994

84. Estimation of the term structure from bond data
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (7)
85. Forecast Intervals in ARCH Exponential Smoothing
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Journal Articles

2023

1. A higher-order correct fast moving-average bootstrap for dependent data
   Journal of Econometrics, 2023, 235, (1), 65-81 View citations (1)
   See also Working Paper A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data, Papers (2022) (2022)
2. A penalized two-pass regression to predict stock returns with time-varying risk premia
   Journal of Econometrics, 2023, 237, (2) View citations (1)
   See also Working Paper A penalized two-pass regression to predict stock returns with time-varying risk premia, Post-Print (2023) View citations (1) (2023)
3. Saddlepoint Approximations for Spatial Panel Data Models
   Journal of the American Statistical Association, 2023, 118, (542), 1164-1175 View citations (1)
   See also Working Paper Saddlepoint approximations for spatial panel data models, Papers (2021) (2021)

2022

4. Skill, Scale, and Value Creation in the Mutual Fund Industry
   Journal of Finance, 2022, 77, (1), 601-638 View citations (7)
   See also Working Paper Skill, scale, and value creation in the mutual fund industry, Working Papers (2021) (2021)

2021

5. Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures
   Management Science, 2021, 67, (9), 5730-5754 View citations (6)
   See also Working Paper Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures, Post-Print (2021) View citations (6) (2021)
6. Factors and risk premia in individual international stock returns
   Journal of Financial Economics, 2021, 141, (2), 669-692 View citations (17)

2020

7. Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps
   Journal of Financial and Quantitative Analysis, 2020, 55, (1), 331-356 View citations (4)
   See also Working Paper Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps, Swiss Finance Institute Research Paper Series (2016) (2016)
8. High-Frequency Jump Analysis of the Bitcoin Market*
   Journal of Financial Econometrics, 2020, 18, (2), 209-232 View citations (27)
   See also Working Paper High-Frequency Jump Analysis of the Bitcoin Market, Papers (2017) View citations (12) (2017)
9. Spanning tests for Markowitz stochastic dominance
   Journal of Econometrics, 2020, 217, (2), 291-311 View citations (1)
   See also Working Paper Spanning Tests for Markowitz Stochastic Dominance, Swiss Finance Institute Research Paper Series (2018) View citations (1) (2018)

2019

10. A diagnostic criterion for approximate factor structure
    Journal of Econometrics, 2019, 212, (2), 503-521 View citations (31)
    See also Working Paper A diagnostic criterion for approximate factor structure, Papers (2017) View citations (1) (2017)

2017

11. A Specification Test for Nonparametric Instrumental Variable Regression
    Annals of Economics and Statistics, 2017, (128), 151-202 View citations (1)
    See also Working Paper A Specification Test For Nonparametric Instrumental Variable Regression, Swiss Finance Institute Research Paper Series (2007) View citations (7) (2007)
12. Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
    Journal of Financial Econometrics, 2017, 15, (3), 377-387 View citations (1)
    See also Working Paper Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy, Working Papers (2016) (2016)
13. Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
    Journal of Financial Econometrics, 2017, 15, (3), 505-505 View citations (1)

2016

14. Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News
    Management Science, 2016, 62, (8), 2198-2217 View citations (37)
15. On ill‐posedness of nonparametric instrumental variable regression with convexity constraints
    Econometrics Journal, 2016, 19, (2), 232-236 View citations (1)
    See also Working Paper On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints, Swiss Finance Institute Research Paper Series (2016) View citations (4) (2016)
16. Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets
    Econometrica, 2016, 84, 985-1046 View citations (75)
    See also Working Paper Time-varying risk premium in large cross-sectional equity datasets, Working Papers (2015) View citations (1) (2015)

2015

17. Testing for symmetry and conditional symmetry using asymmetric kernels
    Annals of the Institute of Statistical Mathematics, 2015, 67, (4), 649-671 View citations (3)
    See also Working Paper Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels, Swiss Finance Institute Research Paper Series (2011) View citations (1) (2011)

2014

18. Hedge Fund Managers: Luck and Dynamic Assessment
    Bankers, Markets & Investors, 2014, (129), 28-38 View citations (3)

2012

19. Nonparametric Instrumental Variable Estimation of Structural Quantile Effects
    Econometrica, 2012, 80, (4), 1533-1562 View citations (53)
20. Robust subsampling
    Journal of Econometrics, 2012, 167, (1), 197-210 View citations (8)
    See also Working Paper Robust Subsampling, Swiss Finance Institute Research Paper Series (2006) (2006)
21. Technical trading revisited: False discoveries, persistence tests, and transaction costs
    Journal of Financial Economics, 2012, 106, (3), 473-491 View citations (96)
    See also Working Paper Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs, Swiss Finance Institute Research Paper Series (2009) (2009)
22. Tikhonov regularization for nonparametric instrumental variable estimators
    Journal of Econometrics, 2012, 167, (1), 61-75 View citations (48)

2010

23. False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas
    Journal of Finance, 2010, 65, (1), 179-216 View citations (260)
    See also Working Paper False discoveries in mutual fund performance: Measuring luck in estimated alphas, CFR Working Papers (2009) View citations (13) (2009)
24. Pricing American options under stochastic volatility and stochastic interest rates
    Journal of Financial Economics, 2010, 98, (1), 145-159 View citations (34)
25. Testing for Stochastic Dominance Efficiency
    Journal of Business & Economic Statistics, 2010, 28, (1), 169-180 View citations (54)
    See also Working Paper Testing foe Stochastic Dominance Efficiency, Computing in Economics and Finance 2006 (2006) (2006)

2009

26. Local Transformation Kernel Density Estimation of Loss Distributions
    Journal of Business & Economic Statistics, 2009, 27, (2), 161-175 View citations (16)
    See also Working Paper Local Transformation Kernel Density Estimation of Loss Distributions, Swiss Finance Institute Research Paper Series (2007) (2007)
27. Testing for equality between two copulas
    Journal of Multivariate Analysis, 2009, 100, (3), 377-386 View citations (59)
    See also Working Paper Testing For Equality Between Two Copulas, Swiss Finance Institute Research Paper Series (2007) View citations (2) (2007)
28. Testing for threshold effect in ARFIMA models: Application to US unemployment rate data
    International Journal of Forecasting, 2009, 25, (2), 418-428 View citations (12)
    See also Working Paper Testing for threshold effect in ARFIMA models: Application to US unemployment rate data, Swiss Finance Institute Research Paper Series (2008) (2008)

2007

29. Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility
    The Review of Financial Studies, 2007, 20, (2), 427-459 View citations (31)
    See also Working Paper Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility, Swiss Finance Institute Research Paper Series (2006) View citations (14) (2006)
30. Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters
    Journal of Multivariate Analysis, 2007, 98, (3), 533-543 View citations (20)
    See also Working Paper Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters, FAME Research Paper Series (2005) View citations (2) (2005)
31. LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
    Mathematical Finance, 2007, 17, (4), 575-598 View citations (35)
32. Local multiplicative bias correction for asymmetric kernel density estimators
    Journal of Econometrics, 2007, 141, (1), 213-249 View citations (19)
    See also Working Paper Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators, Royal Economic Society Annual Conference 2004 (2004) View citations (2) (2004)
33. Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases
    Annals of Operations Research, 2007, 152, (1), 141-165 View citations (20)
    See also Working Paper Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases, THEMA Working Papers (2003) View citations (6) (2003)
34. Semiparametric methods in econometrics
    Journal of Econometrics, 2007, 141, (1), 1-4 View citations (1)
35. THEORY AND CALIBRATION OF SWAP MARKET MODELS
    Mathematical Finance, 2007, 17, (1), 111-141 View citations (7)
    See also Working Paper Theory and Calibration of Swap Market Models, FAME Research Paper Series (2005) View citations (5) (2005)

2006

36. A fast subsampling method for nonlinear dynamic models
    Journal of Econometrics, 2006, 133, (2), 557-578 View citations (23)
    See also Working Paper A Fast Subsampling Method for Nonlinear Dynamic Models, Working Papers (2001) (2001)

2005

37. CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA
    Econometric Theory, 2005, 21, (2), 390-412 View citations (44)
38. Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements
    Journal of Banking & Finance, 2005, 29, (4), 927-958 View citations (20)
    See also Working Paper Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements, Working Papers (2003) (2003)

2004

39. Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
    Mathematical Finance, 2004, 14, (1), 115-129 View citations (93)
40. On the way to recovery: A nonparametric bias free estimation of recovery rate densities
    Journal of Banking & Finance, 2004, 28, (12), 2915-2931 View citations (48)
    See also Working Paper On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities, FAME Research Paper Series (2003) View citations (2) (2003)
41. Option pricing with discrete rebalancing
    Journal of Empirical Finance, 2004, 11, (1), 133-161 View citations (1)
    See also Working Paper Option pricing with discrete rebalancing, Post-Print (2004) (2004)
42. Testing for Concordance Ordering
    ASTIN Bulletin, 2004, 34, (1), 151-173 View citations (3)
    See also Working Paper Testing for Concordance Ordering, FAME Research Paper Series (2002) View citations (5) (2002)

2003

43. Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models
    Journal of Business & Economic Statistics, 2003, 21, (1), 122-32 View citations (10)

2000

44. Sensitivity analysis of Values at Risk
    Journal of Empirical Finance, 2000, 7, (3-4), 225-245 View citations (131)
    See also Working Paper Sensitivity Analysis of Values at Risk, LIDAM Discussion Papers IRES (2000) View citations (135) (2000)

1999

45. A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary
    Finance and Stochastics, 2000, 4, (1), 109-111 View citations (2)
46. Convergence of discrete time option pricing models under stochastic interest rates
    Finance and Stochastics, 2000, 4, (1), 81-93 View citations (2)
    See also Working Paper Convergence of discrete time option pricing models under stochastic interest rates, Post-Print (2000) View citations (6) (2000)

1998

47. Instrumental Models and Indirect Encompassing
    Econometrica, 1998, 66, (3), 673-688 View citations (11)
48. Path dependent options on yields in the affine term structure model
    Finance and Stochastics, 1998, 2, (4), 349-367 View citations (15)
49. QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES
    Econometric Theory, 1998, 14, (2), 161-186 View citations (23)
    See also Working Paper Quasi-indirect inference for diffusion processes, LIDAM Reprints CORE (1998) View citations (10) (1998)

1997

50. Unemployment insurance and mortgages
    Insurance: Mathematics and Economics, 1997, 20, (3), 173-195

1996

51. Compound and exchange options in the affine term structure model
    Applied Mathematical Finance, 1996, 3, (1), 75-92 View citations (1)
52. Estimation de modèles de la structure par terme des taux d'intérêt
    Revue Économique, 1996, 47, (3), 511-519 View citations (2)

1995

53. Testing for continuous-time models of the short-term interest rate
    Journal of Empirical Finance, 1995, 2, (3), 199-223 View citations (45)
    See also Working Paper Testing for continuous-time models of the short-term interest rate, LIDAM Reprints CORE (1995) View citations (27) (1995)

Chapters

2009

1. A Primer on Weather Derivatives
   Springer View citations (3)