Details about Olivier Scaillet

Access statistics for papers by Olivier Scaillet.

Last updated 2009-11-09. Update your information in the RePEc Author Service.

Short-id: psc56

Working Papers

2009

1. Nonparametric Instrumental Variable Estimators of Structural Quantile Effects
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
2. Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2008

3. False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations
   Also in FAME Research Paper Series, International Center for Financial Asset Management and Engineering (2005) View citations
   Working Papers CEB, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB) (2005) View citations

2007

4. A Specification Test For Nonparametric Instrumental Variable Regression
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
5. Local Transformation Kernel Density Estimation of Loss Distributions
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   See also Journal Article in Journal of Business & Economic Statistics (2009)

2006

6. Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations
7. Pricing Interest Rate-SensitiveCredit Portfolio Derivatives
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
8. Robust Subsampling
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
9. Testing For Equality Between Two Copulas
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   See also Journal Article in Journal of Multivariate Analysis (2009)
10. 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)
11. Tikhonov Regularization for Functional Minimum Distance Estimators
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations

2005

12. A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering
13. A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering
14. 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
15. Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering
    See also Journal Article in Journal of Multivariate Analysis (2007)
16. Multiariate Wavelet-based sahpe preserving estimation for dependant observation
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering
17. Theory and Calibration of Swap Market Models
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations
    See also Journal Article in Mathematical Finance (2007)

2004

18. 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
19. Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators
    Royal Economic Society Annual Conference 2004, Royal Economic Society
    Also in FAME Research Paper Series, International Center for Financial Asset Management and Engineering (2003)
    See also Journal Article in Journal of Econometrics (2007)
20. Nonparametric Estimation of Conditional Expected Shortfall
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations
21. SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations

2003

22. 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
    Also in FAME Research Paper Series, International Center for Financial Asset Management and Engineering (2002) View citations
23. Mortality Risk and Real Optimal Asset Allocation for Pension Funds
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations
24. Nonparametric Estimation of Copulas for Time Series
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations
25. 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
    See also Journal Article in Journal of Banking & Finance (2004)
26. Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) View citations
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2003) View citations
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering (2003) View citations
27. Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering
28. Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements
    Working Papers, Centre de Recherche en Economie et Statistique
    See also Journal Article in Journal of Banking & Finance (2005)

2002

29. Nonparametric Tests Dependence For Positive Quadrant
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering
30. Nonparametric specification analysis of dynamic parametric models
    Discussion Papers, Columbia University, Department of Economics View citations
31. Option Pricing with Discrete Rebalancing
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1999) View citations
    Working Papers, Centre de Recherche en Economie et Statistique
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (1999) View citations
    See also Journal Article in Journal of Empirical Finance (2004)
32. Testing for Concordance Ordering
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering
33. Weak Convergence of Hedging Strategies of Contingent Claims
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2000)

2001

34. A Fast Subsampling Method for Nonlinear Dynamic Models
    Working Papers, Centre de Recherche en Economie et Statistique
    Also in Working Papers, Ecole des Hautes Etudes Commerciales, Universite de Geneve- (2001)
    See also Journal Article in Journal of Econometrics (2006)
35. Density Estimation Using Inverse and Reciprocal Inverse Gaussian Kernels
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations
    Also in Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (2001)
36. Nonparametric Tests for Positive Quadrant Dependence
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) View citations

2000

37. An Autoregressive Conditional Binomial Option Pricing Model
    FMG Discussion Papers, Financial Markets Group View citations
    Also in Working Papers, Centre de Recherche en Economie et Statistique View citations
38. An Empirical Estimation in Credit Spread Indices
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
39. An Empirical Investigation in Credit Spread Indices
    FMG Discussion Papers, Financial Markets Group View citations
    Also in Working Papers, Centre de Recherche en Economie et Statistique (2000) View citations
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (2000) View citations
40. Reversed Score and Likelihood Ratio Tests
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) View citations
    Also in Working Papers, Centre de Recherche en Economie et Statistique (2000) View citations
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations
41. Sensitivity Analysis of Values at Risk
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations
    Also in Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (2000) View citations
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2000) View citations
    Working Papers, Centre de Recherche en Economie et Statistique (2000) View citations
    See also Journal Article in Journal of Empirical Finance (2000)

1999

42. An autoregressive conditional binomial option pricing model under stochastic rates
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
43. Bartlett Identities Tests
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) View citations
    Also in Working Papers, Centre de Recherche en Economie et Statistique
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1999) View citations
44. Indirect Inference, Nuisance Parameter and Threshold Moving Average
    Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal View citations

1998

45. Convergence of Discrete Time Option Pricing Models under Stochastic Interest Rates
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)
    Also in Working Papers, Centre de Recherche en Economie et Statistique
    See also Journal Article in Finance and Stochastics (2000)
46. Variance Optimal Cap Pricing Models
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)
    Also in Working Papers, Centre de Recherche en Economie et Statistique

1997

47. A New Index of Belgian Shares
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)
48. Convergence of Discrete Time Options Pricing Models under Stochastic Rates
    Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.
49. Convergence of discrete time options pricing models under stochastic
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
50. Multiregime Term Structure Models
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)
    Also in Working Papers, Centre de Recherche en Economie et Statistique

1994

51. Estimation of the term structure from bond data
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations

1993

52. Testing for Continuous-Time Models of the Short-Term Interest Rate
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations
    See also Journal Article in Journal of Empirical Finance (1995)

Undated

53. Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
54. Econométrie de la finance: approches historiques
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
55. Robust Resampling Methods for Time Series
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
56. 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 in International Journal of Forecasting (2009)

Journal Articles

2009

1. Local Transformation Kernel Density Estimation of Loss Distributions
   Journal of Business & Economic Statistics, 2009, 27, (2), 161-175
   See also Working Paper (2007)
2. Testing for equality between two copulas
   Journal of Multivariate Analysis, 2009, 100, (3), 377-386
   See also Working Paper (2006)
3. Testing for threshold effect in ARFIMA models: Application to US unemployment rate data
   International Journal of Forecasting, 2009, 25, (2), 418-428
   See also Working Paper

2007

4. Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters
   Journal of Multivariate Analysis, 2007, 98, (3), 533-543
   See also Working Paper (2005)
5. LINEAR-QUADRATIC JUMP-DIFFUSION MODELING
   Mathematical Finance, 2007, 17, (4), 575-598
6. Local multiplicative bias correction for asymmetric kernel density estimators
   Journal of Econometrics, 2007, 141, (1), 213-249
   See also Working Paper (2004)
7. Semiparametric methods in econometrics
   Journal of Econometrics, 2007, 141, (1), 1-4
8. THEORY AND CALIBRATION OF SWAP MARKET MODELS
   Mathematical Finance, 2007, 17, (1), 111-141
   See also Working Paper (2005)

2006

9. A fast subsampling method for nonlinear dynamic models
   Journal of Econometrics, 2006, 133, (2), 557-578 View citations
   See also Working Paper (2001)

2005

10. CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA
    Econometric Theory, 2005, 21, (02), 390-412 View citations
11. Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements
    Journal of Banking & Finance, 2005, 29, (4), 927-958
    See also Working Paper (2003)

2004

12. Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
    Mathematical Finance, 2004, 14, (1), 115-129 View citations
13. 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
    See also Working Paper (2003)
14. Option pricing with discrete rebalancing
    Journal of Empirical Finance, 2004, 11, (1), 133-161
    See also Working Paper (2002)

2003

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

2000

16. Sensitivity analysis of Values at Risk
    Journal of Empirical Finance, 2000, 7, (3-4), 225-245 View citations
    See also Working Paper (2000)

1999

17. 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
18. Convergence of discrete time option pricing models under stochastic interest rates
    Finance and Stochastics, 2000, 4, (1), 81-93 View citations
    See also Working Paper (1998)

1998

19. Instrumental Models and Indirect Encompassing
    Econometrica, 1998, 66, (3), 673-688 View citations
20. Path dependent options on yields in the affine term structure model
    Finance and Stochastics, 1998, 2, (4), 349-367 View citations
21. QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES
    Econometric Theory, 1998, 14, (02), 161-186 View citations

1997

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

1995

23. Testing for continuous-time models of the short-term interest rate
    Journal of Empirical Finance, 1995, 2, (3), 199-223 View citations
    See also Working Paper (1993)