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Details about Olivier Scaillet

E-mail:
Homepage:http://www.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 School of Economics and Management (Department of Economics), Université de Genève (University of Geneva), (more information at EDIRC)

Access statistics for papers by Olivier Scaillet.

Last updated 2017-08-05. Update your information in the RePEc Author Service.

Short-id: psc56


Jump to Journal Articles

Working Papers

2017

  1. A diagnostic criterion for approximate factor structure
    Papers, arXiv.org Downloads
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2016) Downloads
  2. High-Frequency Jump Analysis of the Bitcoin Market
    Papers, arXiv.org Downloads

2016

  1. Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    See also Journal Article in Journal of Financial Econometrics (2017)
  2. Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    Also in Papers, arXiv.org (2016) Downloads
  3. On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    Also in Working Papers, University of Geneva, Geneva School of Economics and Management (2016) Downloads

    See also Journal Article in Econometrics Journal (2016)
  4. Predictability Hidden by Anomalous Observations
    Papers, arXiv.org Downloads

2015

  1. Time-varying risk premium in large cross-sectional equity datasets
    Working Papers, University of Geneva, Geneva School of Economics and Management Downloads
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (4)

    See also Journal Article in Econometrica (2016)
  2. Valuing American options using fast recursive projections
    CREA Discussion Paper Series, Center for Research in Economic Analysis, University of Luxembourg Downloads
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads

2009

  1. False discoveries in mutual fund performance: Measuring luck in estimated alphas
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) Downloads View citations (7)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2008) Downloads View citations (1)
    Working Papers CEB, ULB -- Universite Libre de Bruxelles (2005) Downloads View citations (10)
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering (2005) Downloads View citations (1)

    See also Journal Article in Journal of Finance (2010)
  2. Nonparametric Instrumental Variable Estimators of Structural Quantile Effects
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (4)
  3. Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    See also Journal Article in Journal of Financial Economics (2012)

2007

  1. A Specification Test For Nonparametric Instrumental Variable Regression
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (3)
  2. Local Transformation Kernel Density Estimation of Loss Distributions
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    See also Journal Article in Journal of Business & Economic Statistics (2009)

2006

  1. Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (6)
  2. Pricing Interest Rate-SensitiveCredit Portfolio Derivatives
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (1)
  3. Robust Subsampling
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    See also Journal Article in Journal of Econometrics (2012)
  4. Testing For Equality Between Two Copulas
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (2)
    See also Journal Article in Journal of Multivariate Analysis (2009)
  5. 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) Downloads View citations (8)

    See also Journal Article in Journal of Business & Economic Statistics (2010)
  6. Tikhonov Regularization for Functional Minimum Distance Estimators
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (7)

2005

  1. A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads View citations (12)
  2. A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads
  3. 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 Downloads
  4. Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads View citations (2)
    See also Journal Article in Journal of Multivariate Analysis (2007)
  5. Multiariate Wavelet-based sahpe preserving estimation for dependant observation
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads View citations (2)
  6. Theory and Calibration of Swap Market Models
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads View citations (6)
    See also Journal Article in Mathematical Finance (2007)

2004

  1. 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 Downloads View citations (1)
  2. Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators
    Royal Economic Society Annual Conference 2004, Royal Economic Society Downloads View citations (1)
    Also in FAME Research Paper Series, International Center for Financial Asset Management and Engineering (2003) Downloads

    See also Journal Article in Journal of Econometrics (2007)
  3. Nonparametric Estimation of Conditional Expected Shortfall
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads View citations (3)
  4. SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads View citations (4)

2003

  1. Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise Downloads View citations (4)
    Also in FAME Research Paper Series, International Center for Financial Asset Management and Engineering (2002) Downloads View citations (3)
  2. Mortality Risk and Real Optimal Asset Allocation for Pension Funds
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads View citations (1)
  3. Nonparametric Estimation of Copulas for Time Series
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads View citations (43)
  4. 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 Downloads View citations (1)
    See also Journal Article in Journal of Banking & Finance (2004)
  5. 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) Downloads View citations (10)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2003) Downloads View citations (3)
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering (2003) Downloads View citations (3)

    See also Journal Article in Annals of Operations Research (2007)
  6. Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads
  7. Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    See also Journal Article in Journal of Banking & Finance (2005)

2002

  1. Nonparametric Tests Dependence For Positive Quadrant
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads
  2. Option Pricing with Discrete Rebalancing
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads
    Also in Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (1999) Downloads View citations (2)
    Working Papers, Centre de Recherche en Economie et Statistique (1999) Downloads View citations (1)
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1999) View citations (2)

    See also Journal Article in Journal of Empirical Finance (2004)
  3. Testing for Concordance Ordering
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads View citations (1)
    See also Journal Article in ASTIN Bulletin: The Journal of the International Actuarial Association (2004)
  4. Weak Convergence of Hedging Strategies of Contingent Claims
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads View citations (3)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2000) Downloads

2001

  1. A Fast Subsampling Method for Nonlinear Dynamic Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    Also in Working Papers, Ecole des Hautes Etudes Commerciales, Universite de Geneve- (2001)

    See also Journal Article in Journal of Econometrics (2006)
  2. Density Estimation Using Inverse and Reciprocal Inverse Gaussian Kernels
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise Downloads View citations (12)
    Also in Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (2001) Downloads
  3. 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) Downloads View citations (7)

2000

  1. An Autoregressive Conditional Binomial Option Pricing Model
    FMG Discussion Papers, Financial Markets Group Downloads View citations (4)
    Also in Working Papers, Centre de Recherche en Economie et Statistique (1999) Downloads View citations (9)
  2. An Empirical Estimation in Credit Spread Indices
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise Downloads
  3. An Empirical Investigation in Credit Spread Indices
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Downloads View citations (2)
    Also in Working Papers, Centre de Recherche en Economie et Statistique (2000) Downloads View citations (4)
    FMG Discussion Papers, Financial Markets Group (2000) Downloads View citations (2)
  4. Reversed Score and Likelihood Ratio Tests
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (2)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (1)
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (2000) Downloads View citations (1)
  5. Sensitivity Analysis of Values at Risk
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (80)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2000) View citations (84)
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (2000) Downloads View citations (80)
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (80)

    See also Journal Article in Journal of Empirical Finance (2000)

1999

  1. 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 (1)
  2. Bartlett Identities Tests
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Downloads View citations (5)
    Also in Working Papers, Centre de Recherche en Economie et Statistique (1999) Downloads View citations (3)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1999) Downloads View citations (5)
  3. Indirect Inference, Nuisance Parameter and Threshold Moving Average
    Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal Downloads View citations (5)
  4. Variance Optimal Cap Pricing Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    Also in Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (1999) Downloads View citations (1)

1998

  1. Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (2)
    See also Journal Article in Finance and Stochastics (2000)

1997

  1. 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) Downloads
  2. Convergence of Discrete Time Options Pricing Models under Stochastic Rates
    Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.
  3. Convergence of discrete time options pricing models under stochastic
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
  4. Econométrie de la Finance: approches historiques
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (4)
  5. Multiregime Term Structure Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)
    Also in Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (1997) Downloads View citations (1)

1995

  1. Quasi Indirect Inference for Diffusion Processes
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (4)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (5)

    See also Journal Article in Econometric Theory (1998)

1994

  1. Estimation of the term structure from bond data
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads View citations (6)
  2. Forecast Intervals in ARCH Exponential Smoothing
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

1993

  1. 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) Downloads View citations (14)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (4)

    See also Journal Article in Journal of Empirical Finance (1995)

Undated

  1. Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (1)
  2. Robust Resampling Methods for Time Series
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
  3. Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (1)
    See also Journal Article in Annals of the Institute of Statistical Mathematics (2015)
  4. Testing for threshold effect in ARFIMA models: Application to US unemployment rate data
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    See also Journal Article in International Journal of Forecasting (2009)
  5. 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 Downloads

Journal Articles

2017

  1. Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
    Journal of Financial Econometrics, 2017, 15, (3), 377-387 Downloads
    See also Working Paper (2016)
  2. Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
    Journal of Financial Econometrics, 2017, 15, (3), 505-505 Downloads

2016

  1. Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News
    Management Science, 2016, 62, (8), 2198-2217 Downloads View citations (2)
  2. On ill‐posedness of nonparametric instrumental variable regression with convexity constraints
    Econometrics Journal, 2016, 19, (2), 232-236 Downloads
    See also Working Paper (2016)
  3. Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets
    Econometrica, 2016, 84, 985-1046 Downloads View citations (1)
    See also Working Paper (2015)

2015

  1. Testing for symmetry and conditional symmetry using asymmetric kernels
    Annals of the Institute of Statistical Mathematics, 2015, 67, (4), 649-671 Downloads View citations (1)
    See also Working Paper

2014

  1. Hedge Fund Managers: Luck and Dynamic Assessment
    Bankers, Markets & Investors, 2014, (129), 28-38 Downloads

2012

  1. Nonparametric Instrumental Variable Estimation of Structural Quantile Effects
    Econometrica, 2012, 80, (4), 1533-1562 Downloads View citations (20)
  2. Robust subsampling
    Journal of Econometrics, 2012, 167, (1), 197-210 Downloads View citations (1)
    See also Working Paper (2006)
  3. Technical trading revisited: False discoveries, persistence tests, and transaction costs
    Journal of Financial Economics, 2012, 106, (3), 473-491 Downloads View citations (19)
    See also Working Paper (2009)
  4. Tikhonov regularization for nonparametric instrumental variable estimators
    Journal of Econometrics, 2012, 167, (1), 61-75 Downloads View citations (20)

2010

  1. False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas
    Journal of Finance, 2010, 65, (1), 179-216 Downloads View citations (95)
    See also Working Paper (2009)
  2. Pricing American options under stochastic volatility and stochastic interest rates
    Journal of Financial Economics, 2010, 98, (1), 145-159 Downloads View citations (12)
  3. Testing for Stochastic Dominance Efficiency
    Journal of Business & Economic Statistics, 2010, 28, (1), 169-180 Downloads View citations (18)
    See also Working Paper (2006)

2009

  1. Local Transformation Kernel Density Estimation of Loss Distributions
    Journal of Business & Economic Statistics, 2009, 27, (2), 161-175 Downloads View citations (6)
    See also Working Paper (2007)
  2. Testing for equality between two copulas
    Journal of Multivariate Analysis, 2009, 100, (3), 377-386 Downloads View citations (24)
    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 Downloads View citations (4)
    See also Working Paper

2007

  1. Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters
    Journal of Multivariate Analysis, 2007, 98, (3), 533-543 Downloads View citations (12)
    See also Working Paper (2005)
  2. LINEAR-QUADRATIC JUMP-DIFFUSION MODELING
    Mathematical Finance, 2007, 17, (4), 575-598 Downloads View citations (13)
  3. Local multiplicative bias correction for asymmetric kernel density estimators
    Journal of Econometrics, 2007, 141, (1), 213-249 Downloads View citations (15)
    See also Working Paper (2004)
  4. Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases
    Annals of Operations Research, 2007, 152, (1), 141-165 Downloads View citations (1)
    See also Working Paper (2003)
  5. Semiparametric methods in econometrics
    Journal of Econometrics, 2007, 141, (1), 1-4 Downloads View citations (1)
  6. THEORY AND CALIBRATION OF SWAP MARKET MODELS
    Mathematical Finance, 2007, 17, (1), 111-141 Downloads View citations (3)
    See also Working Paper (2005)

2006

  1. A fast subsampling method for nonlinear dynamic models
    Journal of Econometrics, 2006, 133, (2), 557-578 Downloads View citations (8)
    See also Working Paper (2001)

2005

  1. CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA
    Econometric Theory, 2005, 21, (02), 390-412 Downloads View citations (33)
  2. Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements
    Journal of Banking & Finance, 2005, 29, (4), 927-958 Downloads View citations (6)
    See also Working Paper (2003)

2004

  1. Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
    Mathematical Finance, 2004, 14, (1), 115-129 Downloads View citations (34)
  2. On the way to recovery: A nonparametric bias free estimation of recovery rate densities
    Journal of Banking & Finance, 2004, 28, (12), 2915-2931 Downloads View citations (26)
    See also Working Paper (2003)
  3. Option pricing with discrete rebalancing
    Journal of Empirical Finance, 2004, 11, (1), 133-161 Downloads
    See also Working Paper (2002)
  4. Testing for Concordance Ordering
    ASTIN Bulletin: The Journal of the International Actuarial Association, 2004, 34, (01), 151-173 Downloads View citations (3)
    See also Working Paper (2002)

2003

  1. Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models
    Journal of Business & Economic Statistics, 2003, 21, (1), 122-32 View citations (6)

2000

  1. Sensitivity analysis of Values at Risk
    Journal of Empirical Finance, 2000, 7, (3-4), 225-245 Downloads View citations (80)
    See also Working Paper (2000)

1999

  1. A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary
    Finance and Stochastics, 2000, 4, (1), 109-111 Downloads View citations (1)
  2. Convergence of discrete time option pricing models under stochastic interest rates
    Finance and Stochastics, 2000, 4, (1), 81-93 Downloads View citations (4)
    See also Working Paper (1998)

1998

  1. Instrumental Models and Indirect Encompassing
    Econometrica, 1998, 66, (3), 673-688 View citations (5)
  2. Path dependent options on yields in the affine term structure model
    Finance and Stochastics, 1998, 2, (4), 349-367 Downloads View citations (8)
  3. QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES
    Econometric Theory, 1998, 14, (02), 161-186 Downloads View citations (21)
    See also Working Paper (1995)

1997

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

1996

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

1995

  1. Testing for continuous-time models of the short-term interest rate
    Journal of Empirical Finance, 1995, 2, (3), 199-223 Downloads View citations (36)
    See also Working Paper (1993)
 
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