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Testing for stochastic dominance efficiency

Scaillet, Olivier; Topaloglou, Nikolas - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 1, pp. 169-180

Persistent link: https://www.econbiz.de/10003992828

Testing for stochastic dominance efficiency

Scaillet, Olivier (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003120505

Testing for stochastic dominance efficiency

Scaillet, Olivier (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003078845

Testing for prospect and Markowitz stochastic dominance efficiency

Arvanitis, Stelios; Topaloglou, Nikolas - In: Journal of econometrics 198 (2017) 2, pp. 253-270

Persistent link: https://www.econbiz.de/10011818790

A Kolmogorov-Smirnov type test for positive quadrant dependence

Scaillet, Olivier (contributor) - 2005

Persistent link: https://www.econbiz.de/10002634905

A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives

Denuit, Michel (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003074160

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

Robust resampling methods for time series

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2010 - This Version: May 9, 2010

Persistent link: https://www.econbiz.de/10003968460

Robust resampling methods for time series

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2010 - This version: May 9, 2010

We study the robustness of block resampling procedures for time series. We first derive a set of formulas to characterize their quantile breakdown point. For the moving block bootstrap and the subsampling, we find a very low quantile breakdown point. A similar robustness problem arises in...

Persistent link: https://www.econbiz.de/10003971115

A specification test for nonparametric instrumental variable regression

Gagliardini, Patrick; Scaillet, Olivier - 2007

Persistent link: https://www.econbiz.de/10003936086