Similar Search Results

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

Scaillet, Olivier - In: The econometrics journal 19 (2016) 2, pp. 232-236

Persistent link: https://www.econbiz.de/10011712183

A higher-order correct fast moving-average bootstrap for dependent data

La Vecchia, Davide; Moor, Alban; Scaillet, Olivier - In: Journal of econometrics 235 (2023) 1, pp. 65-81

Persistent link: https://www.econbiz.de/10014434380

Spanning analysis of stock market anomalies under prospect stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - In: Management science : journal of the Institute for … 70 (2024) 9, pp. 6002-6025

Persistent link: https://www.econbiz.de/10015137989

Jumps in high-frequency data : spurious detections, dynamics, and news

Bajgrowicz, Pierre; Scaillet, Olivier; Treccani, Adrien - In: Management science : journal of the Institute for … 62 (2016) 8, pp. 2198-2217

Persistent link: https://www.econbiz.de/10011539496

Comments on: Nonparametric tail risk, stock returns and the macroeconomy

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016

Persistent link: https://www.econbiz.de/10011518800

Early exercise decision in American options with dividends, stochastic volatility and jumps

Cosma, Antonio; Galluccio, Stefano; Pederzoli, Paola; … - 2016

Using a fast numerical technique, we investigate a large database of investor suboptimal nonexercise of short maturity American call options on dividend-paying stocks listed on the Dow Jones. The correct modelling of the discrete dividend is essential for a correct calculation of the early...

Persistent link: https://www.econbiz.de/10011625896

Time-varying risk premium in large cross-sectional equity data sets

Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 3, pp. 985-1046

Persistent link: https://www.econbiz.de/10011579614

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

Early exercise decision in American options with dividends, stochastic volatility, and jumps

Cosma, Antonio; Galluccio, Stefano; Pederzoli, Paola; … - In: Journal of financial and quantitative analysis : JFQA 55 (2020) 1, pp. 331-356

Persistent link: https://www.econbiz.de/10012195573

A diagnostic criterion for approximate factor structure

Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - In: Journal of econometrics 212 (2019) 2, pp. 503-521

Persistent link: https://www.econbiz.de/10012304081