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Sequential learning of cryptocurrency volatility dynamics : evidence based on a stochastic volatility model with jumps in returns and volatility

Huang, Jing-Zhi; Huang, Zhijian; Xu, Li - In: The quarterly journal of finance 11 (2021) 2, pp. 1-37

Persistent link: https://www.econbiz.de/10012649885

Overconservativeness of variance-based efficiency criteria and probabilistic efficiency in rare-event simulation

Bai, Yuanlu; Huang, Zhiyuan; Lam, Henry; Zhao, Ding - In: Management science : journal of the Institute for … 70 (2024) 10, pp. 6852-6873

Persistent link: https://www.econbiz.de/10015142173

On the way to recovery : a nonparametric bias free estimation of recovery rate densities

Renault, Olivier; Scaillet, Olivier - 2003

Persistent link: https://www.econbiz.de/10001764671

A fast subsampling method for nonlinear dynamic models

Hong, Han; Scaillet, Olivier; Tamer, Elie T. - 2001 - This version: Nov. 2001 (1.version: Oct. 2001)

Persistent link: https://www.econbiz.de/10001626135

A fast subsampling method for nonlinear dynamic models

Hong, Han (contributor); Scaillet, Olivier (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001661507

A fast subsampling method for nonlienar dynamic models

Hong, Han; Scaillet, Olivier; Tamer, Elie T. - 2001

Persistent link: https://www.econbiz.de/10001637975

On the way to recovery: a nonparametric bias free estimation of recovery rate densities

Renault, Olivier (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001865061

On the way to recovery : a nonparametric bias free estimation of recovery rate densities

Renault, Olivier; Scaillet, Olivier - In: Journal of banking & finance 28 (2004) 12, pp. 2915-2931

Persistent link: https://www.econbiz.de/10002410710

Testing for threshold effect in ARFIMA models : application to US unemployment rate data

Lahiani, Amine; Scaillet, Olivier - 2008

Macroeconomic time series often involve a threshold effect in their ARMA representation, and exhibit long memory features. In this paper we introduce a new class of threshold ARFIMA models to account for this. The threshold effect is introduced in the autoregressive and/or the fractional...

Persistent link: https://www.econbiz.de/10003966199

Testing for threshold effect in ARFIMA models : application to US unemployment rate data

Lahiani, A.; Scaillet, Olivier - 2008

Persistent link: https://www.econbiz.de/10003936768