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  • Search: person:"Scaillet, Olivier"
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Year of publication
Subject
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Theorie 99 Theory 99 Nichtparametrisches Verfahren 51 Estimation theory 50 Schätztheorie 50 Nonparametric statistics 49 Optionspreistheorie 27 Estimation 25 Portfolio selection 25 Portfolio-Management 25 Schätzung 25 Volatilität 24 Option pricing theory 23 Risikomanagement 21 Volatility 21 Stochastic process 20 Stochastischer Prozess 20 Forecasting model 19 Prognoseverfahren 19 Statistischer Test 19 USA 19 United States 19 Statistical test 18 Monte-Carlo-Simulation 17 Risikoprämie 17 Yield curve 17 Zinsstruktur 17 Bootstrap approach 16 Bootstrap-Verfahren 16 Capital income 16 Kapitaleinkommen 16 Risk management 16 Risk premium 16 Monte Carlo simulation 15 Simulation 15 Core 14 Mathematical programming 14 Mathematische Optimierung 14 Börsenkurs 13 CAPM 13
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Online availability
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Free 164 Undetermined 31
Type of publication
All
Book / Working Paper 249 Article 101
Type of publication (narrower categories)
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Working Paper 128 Arbeitspapier 127 Graue Literatur 109 Non-commercial literature 109 Article in journal 51 Aufsatz in Zeitschrift 51 Amtsdruckschrift 14 Government document 14 Aufsatz im Buch 3 Book section 3 Aufsatzsammlung 1 Forschungsbericht 1
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Language
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English 259 Undetermined 88 French 2 German 1
Author
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Scaillet, Olivier 317 Gagliardini, Patrick 29 SCAILLET, Olivier 29 Renault, Olivier 28 Prigent, Jean-Luc 26 Camponovo, Lorenzo 16 Menoncin, Francesco 16 Trojani, Fabio 16 Broze, Laurence 15 Gouriéroux, Christian 15 Medvedev, Alexey 14 Barras, Laurent 13 Fermanian, Jean-David 13 Bajgrowicz, Pierre 11 Dhaene, Geert 11 Topaloglou, Nikolas 11 Zakoïan, Jean-Michel 11 Denuit, Michel 10 Battocchio, Paolo 9 Cheng, Peng 9 Cosma, Antonio 9 Hagmann, Matthias 9 Ossola, Elisa 9 Galluccio, Stefano 8 Leblanc, Boris 8 Wermers, Russ 8 Laurent, Jean-Paul 7 Fernandes, Marcelo 6 Gourieroux, Christian 6 BROZE, Laurence 5 Hong, Han 5 Huber, Philippe 5 Victoria-Feser, Maria-Pia 5 Goderniaux, Anne-Cécile 4 Guay, Alain 4 Rémillard, Bruno 4 ZAKOIAN, Jean-Michel 4 Almeida, Caio 3 Ardison, Kym 3 Arvanitis, Stelios 3
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Institution
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Institut für Schweizerisches Bankwesen <Zürich> 24 Swiss Finance Institute 21 Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) 11 National Centre of Competence in Research North South <Bern> 10 International Center for Financial Asset Management and Engineering 9 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 6 Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain 6 Unité Mixte de Recherche Théorie Economique, Modélisation et Applications 4 National Centre of Competence in Research - Financial Valuation and Risk Management 3 Université catholique de Louvain / Institut de recherches économiques et sociales <1941-1960> 3 Econometric Society 2 Financial Markets Group 2 Centre Emile Bernheim, Solvay Brussels School of Economics and Management 1 Centre de Recherche sur l'Emploi et les Fluctuations Économiques (CREFÉ), École des Sciences de la Gestion (ESG) 1 Columbia University / Department of Economics 1 Department of Economics, School of Arts and Sciences 1 Finrisk 1 Institut für Finanzmarktforschung, Wirtschafts- und Sozialwissenschaftliche Fakultät 1 International Center for Financial Asset Management and Engineering <Genève> 1 Royal Economic Society - RES 1 Society for Computational Economics - SCE 1 Solvay Brussels School of Economics and Management, Université Libre de Bruxelles 1 Swiss National Centre of Competence in Research North South <Bern> 1 Théorie Économique, Modélisation, Application (THEMA), Université de Cergy-Pontoise 1 Université <Genève> / Section des Hautes Etudes Commerciales 1
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Published in...
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Research paper series / Swiss Finance Institute 37 Cahier de recherches / Faculté des Sciences Economiques et Sociales, Hautes Etudes Commerciales, Université de Genève 26 Swiss Finance Institute Research Paper 26 Working Paper 23 FAME Research Paper Series 21 FAME research paper series 17 Série des documents de travail / Centre de Recherche en Économie et Statistique 17 Swiss Finance Institute Research Paper Series 15 Cahier de recherche / Faculté des Sciences Economiques et Sociales, Hautes Etudes Commerciales, Université de Genève 12 Journal of econometrics 12 Institut für Schweizerisches Bankwesen Zürich - Working Paper Series 11 Working Papers / Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) 11 Universität Zürich - Institut für Schweizerisches Bankwesen - Working Papers 10 Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques 9 Discussion paper 7 Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 6 Arbeitspapiere 5 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 5 Finance and stochastics 5 International Center for Financial Asset Management and Engineering (FAME) - Research Paper Series 5 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 5 CORE Discussion Papers 4 Documents de travail / THEMA 4 Econometric theory 4 FINRISK Working Paper Series 4 Finance : revue de l'Association Française de Finance 4 Journal of banking & finance 4 Journal of empirical finance 4 Journal of financial economics 4 Mathematical finance : an international journal of mathematics, statistics and financial theory 4 Research paper / International Center for Financial Asset Management and Engineering 4 CORE discussion paper : DP 3 IRES discussion papers 3 Journal of Econometrics 3 Journal of financial econometrics : official journal of the Society for Financial Econometrics 3 The review of financial studies 3 Universität Zürich - Institut für schweizerisches Bankwesen 3 CORE Discussion Papers RP 2 Discussion paper series / LSE Financial Markets Group 2 Econometric Society World Congress 2000 Contributed Papers 2
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Source
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ECONIS (ZBW) 195 RePEc 94 USB Cologne (business full texts) 36 OLC EcoSci 23 EconStor 1 Other ZBW resources 1
Showing 1 - 10 of 350
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Eigenvalue Tests for the Number of Latent Factors in Short Panels
Fortin, Alain-Philippe; Gagliardini, Patrick; Scaillet, … - 2022
This paper studies new tests for the number of latent factors in a large cross-sectional factor model with small time dimension. These tests are based on the eigenvalues of variance-covariance matrices of (possibly weighted) asset returns, and rely on either an assumption of spherical errors, or...
Persistent link: https://www.econbiz.de/10014244795
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A penalized two-pass regression to predict stock returns with time-varying risk premia
Bakalli, Gaetan; Guerrier, Stéphane; Scaillet, Olivier - 2021
We develop a penalized two-pass regression with time-varying factor loadings. The penalization in the first pass enforces sparsity for the time-variation drivers while also maintaining compatibility with the no arbitrage restrictions by regularizing appropriate groups of coefficients. The second...
Persistent link: https://www.econbiz.de/10012487589
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Multi-signal approaches for repeated sampling schemes in inertial sensor calibration
Bakalli, Gaetan; Cuccio, Davide; Radi, Ahmed; … - 2021
Inertial sensor calibration plays a progressively important role in many areas of research among which navigation engineering. By performing this task accurately, it is possible to significantly increase general navigation performance by correctly filtering out the deterministic and stochastic...
Persistent link: https://www.econbiz.de/10012799578
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Spanning analysis of stock market anomalies under prospect stochastic dominance
Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2020 - This version: April 2020
We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...
Persistent link: https://www.econbiz.de/10012219063
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Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets
Li, Chenxu; Scaillet, Olivier; Shen, Yiwen - 2020
This paper provides a novel five-component decomposition of optimal dynamic portfolio choice. It reveals the simultaneous impacts from market incompleteness and wealth-dependent utilities. The decomposition leads to implementation via either closed-form solutions or Monte Carlo simulations. With...
Persistent link: https://www.econbiz.de/10012219152
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Swag: a wrapper method for sparse learning
Molinari, Roberto; Bakalli, Gaetan; Guerrier, Stéphane; … - 2020
Predictive power has always been the main research focus of learning algorithms with the goal of minimizing the test error for supervised classification and regression problems. While the general approach for these algorithms is to consider all possible attributes in a dataset to best predict...
Persistent link: https://www.econbiz.de/10012270791
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Hedge fund performance under misspecified models
Ardia, David; Barras, Laurent; Gagliardini, Patrick; … - 2020 - This version: July 27, 2020
We develop a new approach for evaluating performance across hedge funds. Our approach allows for performance comparisons between models that are misspecified – a common feature given the numerous factors that drive hedge fund returns. The empirical results show that the standard models used in...
Persistent link: https://www.econbiz.de/10012419384
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A higher-order correct fast moving-average bootstrap for dependent data
La Vecchia, Davide; Moor, Alban; Scaillet, Olivier - 2020
We develop theory of a novel fast bootstrap for dependent data. Our scheme deploys i.i.d. resampling of smoothed moment indicators. We characterize the class of parametric and semiparametric estimation problems for which the method is valid. We show the asymptotic re refinements of the new...
Persistent link: https://www.econbiz.de/10012179669
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Asset allocation implications of illiquid assets
Berrada, Tony; Scaillet, Olivier; Zhang, Zhicheng - In: The journal of investing : JOI 31 (2022) 5, pp. 71-86
Persistent link: https://www.econbiz.de/10014231445
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Skill, scale, and value creation in the mutual fund industry
Barras, Laurent; Gagliardini, Patrick; Scaillet, Olivier - In: The journal of finance : the journal of the American … 77 (2022) 1, pp. 601-638
Persistent link: https://www.econbiz.de/10012796523
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