All Stories

  1. Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps

    Article • Journal of Financial and Quantitative Analysis, October 2018, Cambridge University Press

    Professor Olivier Scaillet

  2. Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News

    Article • Management Science, August 2016, INFORMS

    Professor Olivier Scaillet

  3. On ill-posedness of nonparametric instrumental variable regression with convexity constraints

    Article • Econometrics Journal, June 2016, Oxford University Press (OUP)

    Professor Olivier Scaillet

  4. Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets

    Article • Econometrica, January 2016, The Econometric Society

    Professor Olivier Scaillet

  5. CFEnetwork: The Annals of Computational and Financial Econometrics

    Article • Computational Statistics & Data Analysis, August 2014, Elsevier

    Professor Olivier Scaillet, Professor Monica Billio

  6. Testing for symmetry and conditional symmetry using asymmetric kernels

    Article • Annals of the Institute of Statistical Mathematics, June 2014, Springer Science + Business Media

    Professor Olivier Scaillet

  7. Technical trading revisited: False discoveries, persistence tests, and transaction costs

    Article • Journal of Financial Economics, December 2012, Elsevier

    Professor Olivier Scaillet

  8. Robust subsampling

    Article • Journal of Econometrics, March 2012, Elsevier

    Professor Olivier Scaillet

  9. Tikhonov regularization for nonparametric instrumental variable estimators

    Article • Journal of Econometrics, March 2012, Elsevier

    Professor Olivier Scaillet

  10. Nonparametric Instrumental Variable Estimation of Structural Quantile Effects

    Article • Econometrica, January 2012, The Econometric Society

    Professor Olivier Scaillet

  11. Pricing American options under stochastic volatility and stochastic interest rates

    Article • Journal of Financial Economics, October 2010, Elsevier

    Professor Olivier Scaillet

  12. False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas

    Article • The Journal of Finance, January 2010, Wiley

    Professor Olivier Scaillet

  13. Testing for Stochastic Dominance Efficiency

    Article • Journal of Business and Economic Statistics, January 2010, Taylor & Francis

    Professor Olivier Scaillet

  14. Discussion: Nonparametric estimation of noisy integral equations of the second kind

    Article • Journal of the Korean Statistical Society, June 2009, Elsevier

    Professor Olivier Scaillet

  15. Local Transformation Kernel Density Estimation of Loss Distributions

    Article • Journal of Business and Economic Statistics, April 2009, Taylor & Francis

    Professor Olivier Scaillet

  16. Testing for threshold effect in ARFIMA models: Application to US unemployment rate data

    Article • International Journal of Forecasting, April 2009, Elsevier

    Professor Olivier Scaillet

  17. Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data

    Article • The Annals of Applied Statistics, March 2009, Institute of Mathematical Statistics

    Professor Olivier Scaillet

  18. Testing for equality between two copulas

    Article • Journal of Multivariate Analysis, March 2009, Elsevier

    Professor Olivier Scaillet

  19. A Primer on Weather Derivatives

    Article • January 2009, Springer Science + Business Media

    Professor Olivier Scaillet

  20. Local multiplicative bias correction for asymmetric kernel density estimators

    Article • Journal of Econometrics, November 2007, Elsevier

    Professor Olivier Scaillet

  21. Semiparametric methods in econometrics

    Article • Journal of Econometrics, November 2007, Elsevier

    Professor Olivier Scaillet

  22. LINEAR-QUADRATIC JUMP-DIFFUSION MODELING

    Article • Mathematical Finance, October 2007, Wiley

    Professor Olivier Scaillet

  23. Multivariate wavelet-based shape-preserving estimation for dependent observations

    Article • Bernoulli, May 2007, Bernoulli Society for Mathematical Statistics and Probability

    Professor Olivier Scaillet

  24. Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters

    Article • Journal of Multivariate Analysis, March 2007, Elsevier

    Professor Olivier Scaillet

  25. A Kolmogorov–Smirnov-Type Test for Shortfall Dominance Against Parametric Alternatives

    Article • Technometrics, February 2007, Taylor & Francis

    Professor Olivier Scaillet

  26. THEORY AND CALIBRATION OF SWAP MARKET MODELS

    Article • Mathematical Finance, January 2007, Wiley

    Professor Olivier Scaillet

  27. Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases

    Article • Annals of Operations Research, December 2006, Springer Science + Business Media

    Professor Olivier Scaillet

  28. A fast subsampling method for nonlinear dynamic models

    Article • Journal of Econometrics, August 2006, Elsevier

    Professor Olivier Scaillet

  29. Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility

    Article • Review of Financial Studies, June 2006, Oxford University Press (OUP)

    Professor Olivier Scaillet

  30. Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements

    Article • Journal of Banking & Finance, April 2005, Elsevier

    Professor Olivier Scaillet

  31. CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA

    Article • Econometric Theory, March 2005, Cambridge University Press

    Professor Olivier Scaillet

  32. On the way to recovery: A nonparametric bias free estimation of recovery rate densities

    Article • Journal of Banking & Finance, December 2004, Elsevier

    Professor Olivier Scaillet

  33. Density estimation using inverse and reciprocal inverse Gaussian kernels

    Article • Journal of Nonparametric Statistics, February 2004, Taylor & Francis

    Professor Olivier Scaillet

  34. Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall

    Article • Mathematical Finance, January 2004, Wiley

    Professor Olivier Scaillet

  35. Option pricing with discrete rebalancing

    Article • Journal of Empirical Finance, January 2004, Elsevier

    Professor Olivier Scaillet

  36. Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models

    Article • Journal of Business and Economic Statistics, January 2003, Taylor & Francis

    Professor Olivier Scaillet

  37. Sensitivity analysis of Values at Risk

    Article • Journal of Empirical Finance, November 2000, Elsevier

    Professor Olivier Scaillet

  38. Testing for continuous-time models of the short-term interest rate

    Article • Journal of Empirical Finance, September 1995, Elsevier

    Professor Olivier Scaillet