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~language:"eng"
~person:"Scaillet, Olivier"
~subject:"Core"
~subject:"Risk premium"
~type_genre:"Aufsatz in Zeitschrift"
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Risk premium
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Scaillet, Olivier
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A penalized two-pass regression to predict stock returns with time-varying risk premia
Bakalli, Gaetan
;
Guerrier, Stéphane
;
Scaillet, Olivier
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471822
Saved in:
2
Comment on: nonparametric tail risk, stock returns, and the macroeconomy
Camponovo, Lorenzo
;
Scaillet, Olivier
;
Trojani, Fabio
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
3
,
pp. 377-387
Persistent link: https://www.econbiz.de/10011987504
Saved in:
3
Local multiplicative bias correction for asymmetric kernel density estimators
Hagmann, Matthias
;
Scaillet, Olivier
- In:
Journal of econometrics
141
(
2007
)
1
,
pp. 213-249
Persistent link: https://www.econbiz.de/10003571280
Saved in:
4
Nonparametric estimation and sensitivity analysis of expected shortfall
Scaillet, Olivier
- In:
Mathematical finance : an international journal of …
14
(
2004
)
1
,
pp. 115-129
Persistent link: https://www.econbiz.de/10001917791
Saved in:
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