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Sensitivity analysis of values at risk
Gouriéroux, Christian; Laurent, Jean-Paul; Scaillet, … - In: Journal of empirical finance 7 (2000) 3/4, pp. 225-245
Persistent link: https://www.econbiz.de/10001557715
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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
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Nonparametric tests for positive quadrant dependence
Denuit, Michel; Scaillet, Olivier - In: Journal of financial econometrics : official journal of … 2 (2004) 3, pp. 422-450
Persistent link: https://www.econbiz.de/10002214466
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False discoveries in mutual fund performance : measuring luck in estimated alphas
Barras, Laurent; Scaillet, Olivier; Wermers, Russ - In: The journal of finance : the journal of the American … 65 (2010) 1, pp. 179-216
Persistent link: https://www.econbiz.de/10003923940
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Spanning tests for Markowitz stochastic dominance
Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - In: Journal of econometrics 217 (2020) 2, pp. 291-311
Persistent link: https://www.econbiz.de/10012482763
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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