14219 documents matched the search for Olivier Scaillet in authors.
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On ill‐posedness of nonparametric instrumental variable regression with convexity constraints,
Olivier Scaillet,
in Econometrics Journal
(2016)
Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters,
Olivier Scaillet,
in Journal of Multivariate Analysis
(2007)
Keywords: Nonparametric Copula density Goodness-of-fit test U-statistic
Compound and exchange options in the affine term structure model,
Olivier Scaillet,
in Applied Mathematical Finance
(1996)
Keywords: term structure, compound option, exchange option, affine model,
Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall,
Olivier Scaillet,
in Mathematical Finance
(2004)
Nonparametric Estimation of Conditional Expected Shortfall,
Olivier Scaillet,
from International Center for Financial Asset Management and Engineering
(2004)
Keywords: Nonparametric; Kernel; Time series; Conditional VAR; Conditional expected shortfall; Risk management; Loss severity distribution
A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence,
Olivier Scaillet,
from International Center for Financial Asset Management and Engineering
(2005)
Keywords: Nonparametric; Positive Quadrant Dependence; Copula; Risk Management; Loss Severity Distribution; Bootstrap; Multiplier Method; Empirical Process
Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters,
Olivier Scaillet,
from International Center for Financial Asset Management and Engineering
(2005)
Keywords: Nonparametric; Copula density; Goodness-of-fit test; U-statistic.
Registered author: Olivier Scaillet
Density Estimation Using Inverse and Reciprocal Inverse Gaussian Kernels,
Olivier Scaillet,
from THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
(2001)
Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility,
Olivier Scaillet,
from THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
(2003)
On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints,
Olivier Scaillet,
from Swiss Finance Institute
(2016)
Keywords: Nonparametric Estimation, Instrumental Variable, Ill-Posed Inverse Problems
Density Estimation Using Inverse and Reciprocal Inverse Guassian Kernels,
Olivier Scaillet,
from Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)
(2001)
Keywords: Boundary bias; Inverse Gaussian kernel; Reciprocal inverse Gaussian kernel; Gamma kernel; Variable kernel; Density estimation
On the way to recovery: A nonparametric bias free estimation of recovery rate densities,
Olivier Renault and Olivier Scaillet,
in Journal of Banking & Finance
(2004)
On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities,
Olivier Renault and Olivier Scaillet,
from International Center for Financial Asset Management and Engineering
(2003)
Keywords: default, recovery, kernel estimation, credit risk
Hedge Fund Managers: Luck and Dynamic Assessment,
Gilles Criton and Olivier Scaillet,
in Bankers, Markets & Investors
(2014)
Keywords: Hedge Fund Performance, time-varying coefficient, Nonparametric estimation, Kernel methods, Multiple structural breaks, Multiple hypothesis testing, False discovery rate
A Specification Test for Nonparametric Instrumental Variable Regression,
Patrick Gagliardini and Olivier Scaillet,
in Annals of Economics and Statistics
(2017)
Keywords: Specification Test, Nonparametric Regression, Instrumental Variables, Minimum Distance, Tikhonov Regularization, Ill-posed Inverse Problems, Generalized Method of Moments, Bootstrap, Engel Curve.
Unemployment insurance and mortgages,
Christian Gourieroux and Olivier Scaillet,
in Insurance: Mathematics and Economics
(1997)
CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA,
Taoufik Bouezmarni and Olivier Scaillet,
in Econometric Theory
(2005)
Local multiplicative bias correction for asymmetric kernel density estimators,
M. Hagmann and Olivier Scaillet,
in Journal of Econometrics
(2007)
Tikhonov regularization for nonparametric instrumental variable estimators,
Patrick Gagliardini and Olivier Scaillet,
in Journal of Econometrics
(2012)
Keywords: Nonparametric estimation; Ill-posed inverse problems; Tikhonov regularization; Endogeneity; Instrumental variable;
Nonparametric Instrumental Variable Estimation of Structural Quantile Effects,
Patrick Gagliardini and Olivier Scaillet,
in Econometrica
(2012)
Reversed Score and Likelihood Ratio Tests,
Geert Dhaene and Olivier Scaillet,
from Econometric Society
(2000)
Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators,
Matthias Hagmann and Olivier Scaillet,
from Royal Economic Society
(2004)
Testing for Stochastic Dominance Efficiency,
Olivier Scaillet and Nikolas Topaloglou,
in Journal of Business & Economic Statistics
(2010)
Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models,
Alain Guay and Olivier Scaillet,
in Journal of Business & Economic Statistics
(2003)
A fast subsampling method for nonlinear dynamic models,
Han Hong and Olivier Scaillet,
in Journal of Econometrics
(2006)
Pricing American options under stochastic volatility and stochastic interest rates,
Alexey Medvedev and Olivier Scaillet,
in Journal of Financial Economics
(2010)
Technical trading revisited: False discoveries, persistence tests, and transaction costs,
Pierre Bajgrowicz and Olivier Scaillet,
in Journal of Financial Economics
(2012)
Keywords: Technical trading; False discovery rate; Persistence; Transaction costs;
Testing for equality between two copulas,
Bruno Remillard and Olivier Scaillet,
in Journal of Multivariate Analysis
(2009)
Keywords: primary, 60F05 secondary, 62E20 Copula Cramer-von Mises statistic Empirical process Pseudo-observations Multiplier central limit theorem p-value
Testing for threshold effect in ARFIMA models: Application to US unemployment rate data,
Amine Lahiani and Olivier Scaillet,
in International Journal of Forecasting
(2009)
Keywords: Threshold ARFIMA LM test Asymmetric time series
LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING,
Peng Cheng and Olivier Scaillet,
in Mathematical Finance
(2007)
Mortality Risk and Real Optimal Asset Allocation for Pension Funds,
Francesco Menoncin and Olivier Scaillet,
from International Center for Financial Asset Management and Engineering
(2003)
Keywords: pension fund; asset allocation; mortality risk; inflation risk
Testing for Stochastic Dominance Efficiency,
Olivier Scaillet and Nikolas Topaloglou,
from International Center for Financial Asset Management and Engineering
(2005)
Keywords: Nonparametric, Stochastic Ordering; Dominance Efficiency; Linear Programming; Mixed Integer Programming; Simulation; Bootstrap
Nonparametric Tests Dependence For Positive Quadrant,
Michel Denuit and Olivier Scaillet,
from International Center for Financial Asset Management and Engineering
(2002)
Keywords: Nonparametric; Stochastic Ordering; Positive Quadrant Dependence; Positive Orthant Dependence; Copula; Inequality constraint; Inequality constraint test; Risk management; Loss severity distribution
Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility,
Peng Cheng and Olivier Scaillet,
from International Center for Financial Asset Management and Engineering
(2002)
Keywords: Linear-quadratic models; affine models; jump-diffusions; generalized Fourier transform; option pricing; stochastic volatility
Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators,
Matthias Hagmann and Olivier Scaillet,
from International Center for Financial Asset Management and Engineering
(2003)
Keywords: semiparametric density estimation; asymmetric kernel; income distribution; loss distribution; health insurance; specification testing
A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics,
Alexey Medvedev and Olivier Scaillet,
from International Center for Financial Asset Management and Engineering
(2004)
Keywords: Option pricing; stochastic volatility; asymptotic approximation; jump-diffusion
Indirect Inference, Nuisance Parameter and Threshold Moving Average,
Alain Guay and Olivier Scaillet,
from CREFE, Université du Québec à Montréal
(1999)
Keywords: threshold model, indirect inference, nuisance parameter
Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility,
Alexey Medvedev and Olivier Scaillet,
in The Review of Financial Studies
(2007)
Path dependent options on yields in the affine term structure model,
Olivier Scaillet and Boris Leblanc,
in Finance and Stochastics
(1998)
Keywords: Term structure, path dependent options, affine model, hitting time, Laplace transform
Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility,
Alexey Medvedev and Olivier Scaillet,
from Swiss Finance Institute
(2006)
Keywords: Option pricing, stochastic volatility, asymptotic approximation, jump-diffusion
Tikhonov Regularization for Functional Minimum Distance Estimators,
Patrick Gagliardini and Olivier Scaillet,
from Swiss Finance Institute
(2006)
Keywords: MinimumDistance, Nonparametric Estimation, III-posed In-verse Problems, Tikhonov Regularization, Endogeneity, InstrumentalVariable, Generalized Method of Moments, Subsampling, Engelcurve.
A Specification Test For Nonparametric Instrumental Variable Regression,
Patrick Gagliardini and Olivier Scaillet,
from Swiss Finance Institute
(2007)
Keywords: Specification Test, Nonparametric Regression, Instrumental Variables, Minimum Distance, Tikhonov Regularization, Ill-posed Inverse Problems, Generalized Method of Moments, Bootstrap, Engel Curve
Testing For Equality Between Two Copulas,
Bruno Remillard and Olivier Scaillet,
from Swiss Finance Institute
(2007)
Keywords: Copula, Cram´er-von Mises statistic, empirical process, pseudo-observations, multiplier central limit theorem, p-value.
Pricing American Options under Stochastic Volatility and Stochastic Interest Rates,
Alexey Medvedev and Olivier Scaillet,
from Swiss Finance Institute
(2007)
Keywords: American options, stochastic volatility, stochastic interest rates, asymptotic approximation.
Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs,
Pierre Bajgrowicz and Olivier Scaillet,
from Swiss Finance Institute
(2009)
Keywords: Technical Trading, False Discovery Rate,Persistence, Transaction Costs.
Testing for threshold effect in ARFIMA models: Application to US unemployment rate data,
Amine Lahiani and Olivier Scaillet,
from Swiss Finance Institute
(2008)
Keywords: Threshold ARFIMA, LM test, Asymmetric time series
We propose a technique to avoid spurious detections of jumps in highfrequency data via an explicit thresholding on available test statistics,
Pierre Bajgrowicz and Olivier Scaillet,
from Swiss Finance Institute
(2011)
Keywords: jumps, high-frequency data, spurious detections, jumps dynamics, news releases, cojumps
Multiregime Term Structure Models,
Christian Gourieroux and Olivier Scaillet,
from Center for Research in Economics and Statistics
(1997)
Reversed Score and Likelihood Ratio Tests,
Geert Dhaene and Olivier Scaillet,
from Center for Research in Economics and Statistics
(2000)
Multiregime Term Structure Models,
Christian Gourieroux and Olivier Scaillet,
from Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)
(1997)
Keywords: binomial model; term structure; interest rate; asymmetric information
Variance Optimal Cap Pricing Models,
J.P. Laurent and Olivier Scaillet,
from Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)
(1999)
Keywords: Discount bond option; cap pricing formula; volatility smile; variance optimal measure; implied pricing model
Reversed Score and Likelihood Ratio Tests,
Geert Dhaene and Olivier Scaillet,
from Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)
(2000)
Keywords: Score test; likelihood ratio test; encompassing; simulation-based inference
Estimation of the term structure from bond data,
Christian Gourieroux and Olivier Scaillet,
from CEPREMAP
(1994)
A Primer on Weather Derivatives,
Pauline Barrieu and Olivier Scaillet,
from Springer
(2009)
Keywords: weather derivatives, World Bank program
Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets,
Patrick Gagliardini, Elisa Ossola and Olivier Scaillet,
in Econometrica
(2016)
Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements,
Jean-David Fermanian and Olivier Scaillet,
in Journal of Banking & Finance
(2005)
Wealth Effect on Portfolio Allocation in Incomplete Markets,
Chenxu Li, Olivier Scaillet and Yiwen Shen,
from arXiv.org
(2021)
A fast Subsampling Method for Nonlinear Dynamic Models,
Han Hong, Olivier Scaillet and E. Tamer,
from Ecole des Hautes Etudes Commerciales, Universite de Geneve-
(2001)
Keywords: SAMPLING ; LINEAR MODELS ; SIMULATION ; ESTIMATION
Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News,
Pierre Bajgrowicz, Olivier Scaillet and Adrien Treccani,
in Management Science
(2016)
Keywords: jumps, high-frequency data, spurious detections, jumps dynamics, news releases, cojumps
Instrumental Models and Indirect Encompassing,
Geert Dhaene, Christian Gourieroux and Olivier Scaillet,
in Econometrica
(1998)
A diagnostic criterion for approximate factor structure,
Patrick Gagliardini, Elisa Ossola and Olivier Scaillet,
from arXiv.org
(2017)
High-Frequency Jump Analysis of the Bitcoin Market,
Olivier Scaillet, Adrien Treccani and Christopher Trevisan,
from arXiv.org
(2017)
False discoveries in mutual fund performance: Measuring luck in estimated alphas,
Laurent Barras, Olivier Scaillet and Russell Wermers,
from University of Cologne, Centre for Financial Research (CFR)
(2009)
Keywords: Mutual Fund Performance, Multiple-Hypothesis Test, Luck, False Discovery Rate
Forecast Intervals in ARCH Exponential Smoothing,
Laurence Broze, Guy Melard and Olivier Scaillet,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(1994)
Keywords: exponential smoothing, forecast interval, time series, financial data, marketing data, autoregressive conditionally heteroscedastic errors
A penalized two-pass regression to predict stock returns with time-varying risk premia,
Gaetan Bakalli, Stéphane Guerrier and Olivier Scaillet,
from HAL
(2023)
Keywords: Two-pass regression,Predictive modeling,Large panel,Factor model,LASSO penalization
A penalized two-pass regression to predict stock returns with time-varying risk premia,
Gaetan Bakalli, Stéphane Guerrier and Olivier Scaillet,
in Journal of Econometrics
(2023)
Keywords: Two-pass regression; Predictive modeling; Large panel; Factor model; LASSO penalization;
Robust subsampling,
Lorenzo Camponovo, Olivier Scaillet and Fabio Trojani,
in Journal of Econometrics
(2012)
Keywords: Subsampling; Bootstrap; Breakdown point; Robustness;
A diagnostic criterion for approximate factor structure,
Patrick Gagliardini, Elisa Ossola and Olivier Scaillet,
in Journal of Econometrics
(2019)
Keywords: Large panel; Approximate factor model; Asset pricing; Model selection; Interactive fixed effects;
Spanning tests for Markowitz stochastic dominance,
Stelios Arvanitis, Olivier Scaillet and Nikolas Topaloglou,
in Journal of Econometrics
(2020)
Keywords: Saddle-type point; Markowitz stochastic dominance; Spanning test; Linear and mixed integer programming; Reverse S-shaped utility;
Factors and risk premia in individual international stock returns,
Ines Chaieb, Hugues Langlois and Olivier Scaillet,
in Journal of Financial Economics
(2021)
Keywords: Approximate factor model; Emerging markets; International asset pricing; Large panel; Time-varying risk premium;
Predictability Hidden by Anomalous Observations,
Lorenzo Camponovo, Olivier Scaillet and Fabio Trojani,
from arXiv.org
(2016)
Spanning Tests for Markowitz Stochastic Dominance,
Stelios Arvanitis, Olivier Scaillet and Nikolas Topaloglou,
from arXiv.org
(2018)
Spanning analysis of stock market anomalies under Prospect Stochastic Dominance,
Stelios Arvanitis, Olivier Scaillet and Nikolas Topaloglou,
from arXiv.org
(2020)
Sparse spanning portfolios and under-diversification with second-order stochastic dominance,
Stelios Arvanitis, Olivier Scaillet and Nikolas Topaloglou,
from arXiv.org
(2024)
Spanning Analysis of Stock Market Anomalies Under Prospect Stochastic Dominance,
Stelios Arvanitis, Olivier Scaillet and Nikolas Topaloglou,
in Management Science
(2024)
Keywords: nonparametric test, prospect stochastic dominance efficiency, prospect spanning, market anomaly, linear programming, absence of loss aversion
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas,
Laurent Barras, Olivier Scaillet and Russell Wermers,
in Journal of Finance
(2010)
Skill, Scale, and Value Creation in the Mutual Fund Industry,
Laurent Barras, Patrick Gagliardini and Olivier Scaillet,
in Journal of Finance
(2022)
SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS,
Jean-David Fermanian and Olivier Scaillet,
from International Center for Financial Asset Management and Engineering
(2004)
Keywords: Copulas; Dependence Measures; Risk Management
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas,
Laurent Barras, Olivier Scaillet and Russell Wermers,
from International Center for Financial Asset Management and Engineering
(2005)
Keywords: Mutual Fund Performance; False Discovery Rate; Multiple Testing
Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases,
Paolo Battocchio, Francesco Menoncin and Olivier Scaillet,
from International Center for Financial Asset Management and Engineering
(2003)
Keywords: pension fund; mortality risk; asset allocation
Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements,
Jean-David Fermanian and Olivier Scaillet,
from International Center for Financial Asset Management and Engineering
(2003)
Keywords: Value at Risk, Expected Shortfall, Sensitivity, Risk Management, Credit Risk, Netting.
Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy,
Lorenzo Camponovo, Olivier Scaillet and Fabio Trojani,
in Journal of Financial Econometrics
(2017)
Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy,
Lorenzo Camponovo, Olivier Scaillet and Fabio Trojani,
in Journal of Financial Econometrics
(2017)
High-Frequency Jump Analysis of the Bitcoin Market*,
Olivier Scaillet, Adrien Treccani and Christopher Trevisan,
in Journal of Financial Econometrics
(2020)
Keywords: Bitcoin, high-frequency data, jumps, liquidity
Weak Convergence of Hedging Strategies of Contingent Claims,
Jean-Luc Prigent and Olivier Scaillet,
from International Center for Financial Asset Management and Engineering
(2002)
Keywords: Weak convergence; Incomplete financial markets; Locally risk-minimizing strategy; Hedging strategy; Minimal martingale measure
A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary,
O. Renault, Olivier Scaillet and B. Leblanc,
in Finance and Stochastics
(1999)
Keywords: Hitting time, Ornstein-Uhlenbeck process, path dependent option
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases,
Paolo Battocchio, Francesco Menoncin and Olivier Scaillet,
in Annals of Operations Research
(2007)
Keywords: Pension fund, Mortality risk, Asset allocation,
Time-Varying Risk Premia in Large International Equity Markets,
Hugues Langlois, Ines Chaieb and Olivier Scaillet,
from HEC Paris
(2019)
Keywords: large panel; approximate factor model; risk premium; international asset pricing; market integration
Sensitivity analysis of values at risk,
Christian Gourieroux, J.P. Laurent and Olivier Scaillet,
from THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
(2000)
Weak Convergence of Hedging Strategies of Contingent Claims,
Jean-Luc Prigent and Olivier Scaillet,
from THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
(2000)
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases,
Paolo Battocchio, Francesco Menoncin and Olivier Scaillet,
from THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
(2003)
Robust Subsampling,
Lorenzo Camponovo, Olivier Scaillet and Fabio Trojani,
from Swiss Finance Institute
(2006)
Keywords: Subsampling, bootstrap, breakdown point, robustness, regression
Nonparametric Instrumental Variable Estimators of Structural Quantile Effects,
Victor Chernozhukov, Patrick Gagliardini and Olivier Scaillet,
from Swiss Finance Institute
(2009)
Keywords: Nonparametric Quantile Regression, Instrumental Variable, Ill-Posed Inverse Problems, Tikhonov Regularization, Nonlinear Pricing Curve.
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas,
Laurent Barras, Olivier Scaillet and Russell Wermers,
from Swiss Finance Institute
(2008)
Keywords: Mutual Fund Performance, Multiple-Hypothesis Test, Luck, False Discovery Rate
Robust Resampling Methods for Time Series,
Lorenzo Camponovo, Olivier Scaillet and Fabio Trojani,
from Swiss Finance Institute
(2009)
Keywords: Subsampling, bootstrap, breakdown point, robustness, time series.
Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets,
Patrick Gagliardini, Elisa Ossola and Olivier Scaillet,
from Swiss Finance Institute
(2011)
Keywords: large panel, factor model, risk premium, asset pricing
Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets,
Patrick Gagliardini, Elisa Ossola and Olivier Scaillet,
from Swiss Finance Institute
(2011)
Keywords: large panel, factor model, risk premium, asset pricing
Predictability Hidden by Anomalous Observations,
Lorenzo Camponovo, Olivier Scaillet and Fabio Trojani,
from Swiss Finance Institute
(2013)
Keywords: Predictive Regression, Stock Return Predictability, Bootstrap, Subsampling, Robustness
Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy,
Lorenzo Camponovo, Olivier Scaillet and Fabio Trojani,
from Swiss Finance Institute
(2016)
Keywords: Tail Risk, Risk Factor, Risk-Neutral Probability, Prediction of Market Returns, Economic Predictability
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