O. Scaillet

Swiss Finance Institute - University of Geneva

Geneva

Switzerland

SCHOLARLY PAPERS

64

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271

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398

Scholarly Papers (64)

1.

False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas

Published in Journal of Finance, February 2010, Swiss Finance Institute Research Paper No. 08-18, Robert H. Smith School Research Paper No. RHS 06-043
Number of pages: 85 Posted: 05 Mar 2008 Last Revised: 01 Jul 2022
Laurent Barras, O. Scaillet and Russ Wermers
Universite du Luxembourg - Department of Finance, Swiss Finance Institute - University of Geneva and University of Maryland - Robert H. Smith School of Business
Downloads 6,126 (1,726)
Citation 44

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Mutual Fund Performance, Multiple-Hypothesis Test, Luck, False Discovery Rate

2.
Downloads 5,571 ( 1,889)

Non-Standard Errors

University of St.Gallen, School of Finance Research Paper No. 2021/17
Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 08 Apr 2022
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, Auburn University, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City, University of London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, HEC Montreal, The University of Adelaide, Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU University Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna University of Economics and Business - Department of Finance, Accounting & Statistics, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, VU University Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, VU University Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 5,571 (1,960)

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non-standard errors, multi-analyst approach, liquidity

3.

Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs

EFA 2008 Athens Meetings Paper, Swiss Finance Institute Research Paper No. 08-05
Number of pages: 61 Posted: 19 Mar 2008 Last Revised: 23 Feb 2018
Pierre Bajgrowicz and O. Scaillet
University of Geneva - Geneva Finance Research Institute (GFRI) and Swiss Finance Institute - University of Geneva
Downloads 1,709 (14,359)
Citation 32

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Technical Trading, False Discovery Rate, Persistence, Transaction Costs

4.

Nonparametric Estimation of Copulas for Time Series

FAME Research Paper No. 57
Number of pages: 37 Posted: 12 Mar 2003
O. Scaillet and Jean-David Fermanian
Swiss Finance Institute - University of Geneva and Ensae-Crest
Downloads 1,353 (20,425)
Citation 20

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5.

High-Frequency Jump Analysis of the Bitcoin Market

Swiss Finance Institute Research Paper No. 17-19
Number of pages: 30 Posted: 10 Jun 2017 Last Revised: 26 Jun 2017
Swiss Finance Institute - University of Geneva, University of Zurich and Ecole Polytechnique Fédérale de Lausanne
Downloads 1,319 (21,214)
Citation 19

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Jumps, Liquidity, High-frequency data, Bitcoin

6.
Downloads 1,274 ( 22,360)
Citation 10

Theory and Calibration of Swap Market Models

FAME Working Paper No. 107
Number of pages: 42 Posted: 27 Feb 2005
BNP Paribas Fixed Income, Swiss Finance Institute - University of Geneva, JP Morgan and BNP Paribas Fixed Income
Downloads 1,241 (22,863)
Citation 4

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Swap market model, cap, swaption, calibration

Theory and Calibration of Swap Market Models

Mathematical Finance, Vol. 17, No. 1, pp. 111-141, January 2007
Number of pages: 31 Posted: 13 Dec 2006
BNP Paribas Fixed Income, BNP Paribas Fixed Income, Swiss Finance Institute - University of Geneva and JP Morgan
Downloads 33 (620,152)

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7.

Pricing American Options under Stochastic Volatility and Stochastic Interest Rates

Swiss Finance Institute Research Paper No. 07-25
Number of pages: 34 Posted: 01 Mar 2007 Last Revised: 21 Sep 2009
Alexey Medvedev and O. Scaillet
Lombard Odier & Cie and Swiss Finance Institute - University of Geneva
Downloads 1,173 (25,264)
Citation 10

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American options, stochastic volatility, stochastic interest rates, asymptotic approximation.

8.

Some Statistical Pitfalls in Copula Modeling for Financial Applications

FAME Working Paper No. 108
Number of pages: 24 Posted: 28 Jun 2004
Jean-David Fermanian and O. Scaillet
Ensae-Crest and Swiss Finance Institute - University of Geneva
Downloads 1,000 (31,772)
Citation 10

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Copulas, dependence measures, risk management

9.

Factors and Risk Premia in Individual International Stock Returns

Swiss Finance Institute Research Paper No. 18-04, HEC Paris Research Paper No. FIN-2018-1250, Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC, Forthcoming in Journal of Financial Economics
Number of pages: 87 Posted: 07 Feb 2020 Last Revised: 18 Aug 2020
Ines Chaieb, Hugues Langlois and O. Scaillet
University of Geneva - Geneva Finance Research Institute (GFRI), HEC Paris - Finance Department and Swiss Finance Institute - University of Geneva
Downloads 952 (34,072)
Citation 9

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approximate factor model, emerging markets, international asset pricing, large panel, market integration, time-varying risk premium

10.

Skill, Scale, and Value Creation in the Mutual Fund Industry

Journal of Finance, Forthcoming
Number of pages: 122 Posted: 31 Oct 2018 Last Revised: 03 Jun 2021
Universite du Luxembourg - Department of Finance, University of Lugano and Swiss Finance Institute - University of Geneva
Downloads 770 (45,589)

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Mutual funds, skill, scale, value added, large panel, error-in-variable bias

Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility

Swiss Finance Institute Research Paper No. 06-8
Number of pages: 45 Posted: 21 Jun 2006
Alexey Medvedev and O. Scaillet
Lombard Odier & Cie and Swiss Finance Institute - University of Geneva
Downloads 761 (45,688)
Citation 21

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Option pricing, stochastic volatility, asymptotic approximation, jump-diffusion

Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility

The Review of Financial Studies, Vol. 20, Issue 2, pp. 427-459, 2007
Posted: 17 Jul 2008
Alexey Medvedev and O. Scaillet
Lombard Odier & Cie and Swiss Finance Institute - University of Geneva

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12.

Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News

Swiss Finance Institute Research Paper No. 11-36
Number of pages: 45 Posted: 15 Feb 2009 Last Revised: 06 Mar 2015
University of Geneva - Geneva Finance Research Institute (GFRI), Swiss Finance Institute - University of Geneva and University of Zurich
Downloads 696 (52,189)
Citation 28

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jumps, high-frequency data, spurious detections, jumps dynamics, news releases, cojumps

13.

Evaluating Hedge Fund Performance when Models are Misspecified

Swiss Finance Institute Research Paper No. 20-82
Number of pages: 77 Posted: 18 Sep 2020 Last Revised: 16 Jun 2022
HEC Montreal - Department of Decision Sciences, Universite du Luxembourg - Department of Finance, University of Lugano and Swiss Finance Institute - University of Geneva
Downloads 612 (61,592)

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Hedge fund performance, alternative strategies, misspecification, model comparison

14.

Time-Varying Risk Premium in Large Cross-Sectional Equity Datasets

Swiss Finance Institute Research Paper No. 11-40
Number of pages: 70 Posted: 18 Mar 2011 Last Revised: 17 Apr 2018
University of Lugano, University of Lugano and Swiss Finance Institute - University of Geneva
Downloads 605 (62,479)
Citation 35

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large panel, factor model, risk premium, asset pricing, sparsity, thresholding.

15.

Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility

Number of pages: 60 Posted: 16 May 2003
Peng Cheng and O. Scaillet
FAME and Swiss Finance Institute - University of Geneva
Downloads 519 (75,742)
Citation 43

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Linear-quadratic models, affine models, jump-diffusions, generalized Fourier transform, option pricing, stochastic volatility

16.

Optimal Asset Allocation for Pension Funds Under Mortality Risk During the Accumulation and Decumulation Phases

FAME Research Paper No. 66
Number of pages: 32 Posted: 30 May 2003
Catholic University of Louvain (UCL) - Institut de Recherches Economiques et Sociales (IRES), University of Brescia - Department of Economics and Swiss Finance Institute - University of Geneva
Downloads 480 (83,242)
Citation 4

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pension fund, mortality risk, asset allocation

17.

A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics

Number of pages: 56 Posted: 14 Dec 2003
Alexey Medvedev and O. Scaillet
Lombard Odier & Cie and Swiss Finance Institute - University of Geneva
Downloads 465 (86,585)
Citation 12

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Option pricing, stochastic volatility, asymptotic approximation, jump-diffusion

18.

On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities

FAME Research Paper No. 83
Number of pages: 30 Posted: 10 Jun 2003
Olivier Renault and O. Scaillet
University of Warwick Business School - Financial Econometrics Research Centre and Swiss Finance Institute - University of Geneva
Downloads 459 (87,886)
Citation 19

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default, recovery, kernel estimation, credit risk

19.

Sensitivity Analysis of VAR Expected Shortfall for Portfolios Under Netting Agreements

FAME Research Working Paper No. 89
Number of pages: 40 Posted: 17 Sep 2003
Jean-David Fermanian and O. Scaillet
Ensae-Crest and Swiss Finance Institute - University of Geneva
Downloads 405 (101,555)
Citation 1

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Value at Risk, Expected Shortfall, Sensitivity, Risk Management, Credit Risk, Netting

20.

Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures

Swiss Finance Institute Research Paper No. 19-48 (2019)
Number of pages: 64 Posted: 19 Sep 2019 Last Revised: 08 Apr 2020
University of Orleans, University of Orleans, University of Orleans and Swiss Finance Institute - University of Geneva
Downloads 383 (108,314)
Citation 1

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21.

Option Pricing with Discrete Rebalancing

FAME Research Paper No. 55
Number of pages: 40 Posted: 25 Mar 2003
Swiss Finance Institute - University of Geneva, University of Cergy-Pontoise - ThEMA and University of Warwick Business School - Financial Econometrics Research Centre
Downloads 361 (115,735)

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weak convergence, incomplete market, option pricing, minimal martin-gale measure, discrete rebalancing, marked point process

22.

Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 19-61
Number of pages: 37 Posted: 21 Aug 2019 Last Revised: 25 Mar 2020
Laurent Barras, O. Scaillet and Russ Wermers
Universite du Luxembourg - Department of Finance, Swiss Finance Institute - University of Geneva and University of Maryland - Robert H. Smith School of Business
Downloads 350 (119,749)
Citation 3

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False Discovery Rate, Multiple Testing, Mutual Fund Performance

23.

Robust Resampling Methods for Time Series

Swiss Finance Institute Research Paper No. 09-38
Number of pages: 49 Posted: 14 Oct 2009 Last Revised: 27 Jan 2013
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, Swiss Finance Institute - University of Geneva and University of Geneva
Downloads 350 (119,749)
Citation 6

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Subsampling, bootstrap, breakdown point, robustness, time series

24.

Testing for Equality between Two Copulas

Swiss Finance Institute Research Paper No. 07-24
Number of pages: 24 Posted: 24 Sep 2007
Bruno Remillard and O. Scaillet
Department of Decision Sciences, HEC Montreal and Swiss Finance Institute - University of Geneva
Downloads 335 (125,656)
Citation 6

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Copula, Cramér-von Mises statistic, empiricalprocess, pseudo-observations, multipliercentrallimittheorem, p-value.

Valuing American Options Using Fast Recursive Projections

Number of pages: 69 Posted: 25 Jun 2012 Last Revised: 07 Dec 2018
Université du Luxembourg, BNP Paribas Fixed Income, University of Houston - C.T. Bauer College of Business and Swiss Finance Institute - University of Geneva
Downloads 247 (171,026)

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Option pricing, American option, Bermudan option, discrete transform, discrete dividend paying stock, suboptimal non-exercise, numerical techniques

Valuing American Options Using Fast Recursive Projections

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 67 Posted: 02 Jun 2016
Université du Luxembourg, BNP Paribas Fixed Income, University of Houston - C.T. Bauer College of Business and Swiss Finance Institute - University of Geneva
Downloads 69 (451,892)

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Option pricing, American option, Bermudan option, discrete transform, discrete dividend paying stock, suboptimal non-exercise, numerical techniques

26.

Local Transformation Kernel Density Estimation of Loss Distributions

Swiss Finance Institute Research Paper No. 32
Number of pages: 37 Posted: 26 Nov 2006 Last Revised: 17 Jul 2008
affiliation not provided to SSRN, University of Lausanne - Institute of Banking & Finance (IBF), Swiss Finance Institute - University of Geneva and City University London - Cass Business School
Downloads 294 (144,122)
Citation 2

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Actuarial loss models, Transformation, Champernowne distribution, asymmetric kernels, local likelihood estimation

27.

A penalized two-pass regression to predict stock returns with time-varying risk premia

Swiss Finance Institute Research Paper No. 21-09, Proceedings of Paris December 2021 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 38 Posted: 01 Feb 2021 Last Revised: 19 Oct 2021
Auburn University, University of Geneva - Geneva School of Economics and Management and Swiss Finance Institute - University of Geneva
Downloads 293 (144,632)

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two-pass regression, predictive modeling, large panel, factor model, LASSO penalization.

28.

Estimation of Large Dimensional Conditional Factor Models in Finance

Swiss Finance Institute Research Paper No. 19-46
Number of pages: 87 Posted: 28 Aug 2019 Last Revised: 29 Sep 2020
University of Lugano, University of Milano-Bicocca and Swiss Finance Institute - University of Geneva
Downloads 292 (145,129)
Citation 5

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large panel, factor model, conditional information, risk premium, asset pricing, emerging markets.

29.

Testing for Threshold Effect in ARFIMA Models: Application to US Unemployment Rate Data

Swiss Finance Institute Research Paper No. 08-42
Number of pages: 21 Posted: 09 Dec 2008 Last Revised: 23 Dec 2008
Amine Lahiani and O. Scaillet
Université Paris Ouest - Nanterre, La Défense - EconomiX and Swiss Finance Institute - University of Geneva
Downloads 259 (163,851)

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Threshold ARFIMA, LM test, Asymmetric time series

30.

A Latent Factor Model for Ordinal Data to Measure Multivariate Predictive Ability of Financial Market Movements

FAME Research Paper No. 159
Number of pages: 44 Posted: 28 Nov 2005
RAM Active Investments, Swiss Finance Institute - University of Geneva and University of Geneva - HEC
Downloads 253 (167,744)

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structural equation model, latent variable, generalised linear model, factor analysis, multinomial logit, forecasts, LAMLE, canonical correlation

31.

Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps

Swiss Finance Institute Research Paper No. 16-73
Number of pages: 74 Posted: 09 Dec 2016 Last Revised: 16 Mar 2018
Université du Luxembourg, BNP Paribas Fixed Income, University of Houston - C.T. Bauer College of Business and Swiss Finance Institute - University of Geneva
Downloads 249 (170,269)
Citation 10

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32.

Tikhonov Regularization for Nonparametric Instrumental Variable Estimators

Swiss Finance Institute Research Paper 06-30
Number of pages: 62 Posted: 26 Nov 2006 Last Revised: 23 Aug 2011
Patrick Gagliardini and O. Scaillet
University of Lugano and Swiss Finance Institute - University of Geneva
Downloads 229 (184,526)
Citation 8

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Nonparametric Estimation, Ill-posed Inverse Problems, Tikhonov Regularization, Endogeneity, Instrumental Variable

33.

Robust Subsampling

Swiss Finance Institute Research Paper No. 06-33
Number of pages: 52 Posted: 26 Nov 2006 Last Revised: 11 Aug 2011
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, Swiss Finance Institute - University of Geneva and University of Geneva
Downloads 220 (191,634)
Citation 4

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Subsampling, bootstrap, breakdown point, robustness

34.

Nonparametric Instrumental Variable Estimators of Structural Quantile Effects

Swiss Finance Institute Research Paper No. 08-03
Number of pages: 32 Posted: 04 Feb 2008 Last Revised: 23 Feb 2018
Massachusetts Institute of Technology (MIT) - Department of Economics, Swiss Finance Institute - University of Geneva and University of Lugano
Downloads 208 (201,948)
Citation 8

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Nonparametric Quantile Regression, Instrumental Variable, Ill-Posed Inverse Problems, Tikhonov Regularization, Nonlinear Pricing Curve.

35.

Testing for Stochastic Dominance Efficiency

Number of pages: 28 Posted: 15 Sep 2005
Nikolas L. Topaloglou and O. Scaillet
HEC Genève and Swiss Finance Institute - University of Geneva
Downloads 204 (205,642)
Citation 10

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Nonparametric, Stochastic Ordering, Dominance Efficiency, Linear Programming, Mixed Integer Programming, Simulation, Bootstrap

36.

A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence

Number of pages: 19 Posted: 20 Feb 2005
O. Scaillet
Swiss Finance Institute - University of Geneva
Downloads 187 (222,164)
Citation 1

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Nonparametric, Positive Quadrant Dependence, Copula, Risk Management, Loss Severity Distribution, Bootstrap, Multiplier Method, Empirical Process

37.

Kernel Based Goodness-of-Fit Test for Copulas with Fixed Smoothing Parameters

FAME Research Paper No. 145
Number of pages: 17 Posted: 13 Sep 2005
O. Scaillet
Swiss Finance Institute - University of Geneva
Downloads 186 (223,224)

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Nonparametric, Copula density, Goodness-of-fit test, U-statistic

38.

A Specification Test for Nonparametric Instrumental Variable Regression

Swiss Finance Institute Research Paper No. 07-13
Number of pages: 49 Posted: 11 May 2007 Last Revised: 21 Oct 2008
Patrick Gagliardini and O. Scaillet
University of Lugano and Swiss Finance Institute - University of Geneva
Downloads 181 (228,538)
Citation 6

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Specification Test, Nonparametric Regression, Instrumental, Variables, Minimum Distance, Tikhonov Regularization, Ill-posed Inverse Problems, Generalized Method of Moments, Bootstrap, Engel Curve

39.

Predictability Hidden by Anomalous Observations

Swiss Finance Institute Research Paper No. 13-05
Number of pages: 62 Posted: 23 Mar 2013 Last Revised: 05 Mar 2014
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, Swiss Finance Institute - University of Geneva and University of Geneva
Downloads 171 (239,827)
Citation 8

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Predictive Regression, Stock Return Predictability, Bootstrap, Subsampling, Robustness

40.

Assessing Multivariate Predictors of Financial Market Movements: A Latent Factor Frame Work for Ordinal Data

Swiss Finance Institute Research Paper No. 08-45
Number of pages: 41 Posted: 23 Dec 2008
RAM Active Investments, Swiss Finance Institute - University of Geneva and University of Geneva - HEC
Downloads 159 (255,068)

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Latent variable, generalized linear model, factor analysis, multinomial logit, forecasts, LAMLE, Laplace approximation

41.

A Diagnostic Criterion for Approximate Factor Structure

Swiss Finance Institute Research Paper No. 16-51, Published in Journal of Econometrics
Number of pages: 85 Posted: 03 Aug 2016 Last Revised: 18 Sep 2019
University of Lugano, University of Lugano and Swiss Finance Institute - University of Geneva
Downloads 157 (257,755)
Citation 15

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large panel, approximate factor model, asset pricing, model selection, interactive fixed effects

42.

Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy

Swiss Finance Institute Research Paper No. 16-41
Number of pages: 20 Posted: 06 Jul 2016
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, Swiss Finance Institute - University of Geneva and University of Geneva
Downloads 157 (257,755)

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Tail Risk, Risk Factor, Risk-Neutral Probability, Prediction of Market Returns, Economic Predictability

43.

Multivariate Wavelet-Based Shape Preserving Estimation for Dependent Observations

FAME Research Paper No. 144
Number of pages: 39 Posted: 01 Jun 2005
Antonio Cosma, O. Scaillet and Rainer von Sachs
Université du Luxembourg, Swiss Finance Institute - University of Geneva and Catholic University of Louvain - Department of Statistics
Downloads 149 (268,841)
Citation 1

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Conditional quantile, time series, shape preserving wavelet estimation, B-splines, multivariate process.

Nonparametric Tests for Positive Quadrant Dependence

FAME Research Paper No. 44
Number of pages: 39 Posted: 25 May 2002
Michel Denuit and O. Scaillet
Catholic University of Louvain and Swiss Finance Institute - University of Geneva
Downloads 139 (284,975)
Citation 18

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Nonparametric Stochastic Ordering, Positive Quadrant Dependence, Positive Orthant Dependence, Copula, Inequality Constraint Test, Risk Management, Loss Severity Distribution

Nonparametric Tests for Positive Quadrant Dependence

Journal of Financial Econometrics, Vol. 2, No. 3, pp. 422-450, 2004
Posted: 29 Feb 2008
Michel Denuit and O. Scaillet
Catholic University of Louvain and Swiss Finance Institute - University of Geneva

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copula, inequality constraint test, nonparametric, positive quadrant dependence, risk management

45.

Weak Convergence of Hedging Strategies of Contingent Claims

FAME Research Paper Number 39
Number of pages: 35 Posted: 25 May 2002
Jean-Luc Prigent and O. Scaillet
University of Cergy-Pontoise - ThEMA and Swiss Finance Institute - University of Geneva
Downloads 131 (297,082)
Citation 23

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Weak convergence, incomplete financial markets, locally risk-minimizing strategy, hedging strategy, minimal martingale measure

46.

Testing for Concordance Ordering

FAME Research Paper No. 41
Number of pages: 42 Posted: 24 May 2002
Ana C. Cebrian, Michel Denuit and O. Scaillet
University of Zaragoza, Catholic University of Louvain and Swiss Finance Institute - University of Geneva
Downloads 131 (297,082)
Citation 3

Abstract:

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Nonparametric, Concordance Ordering, Quadrant Dominance, Orthant Dominance, Copula, Inequality Constraint Tests, Risk Management, Loss Severity Distribution

47.

Predictive Regression and Robust Hypothesis Testing: Predictability Hidden by Anomalous Observations

Number of pages: 57 Posted: 12 Jun 2012
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, Swiss Finance Institute - University of Geneva and University of Geneva
Downloads 126 (305,882)
Citation 2

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48.

Wealth Effect on Portfolio Allocation in Incomplete Markets

Swiss Finance Institute Research Paper No. 20-22
Number of pages: 71 Posted: 22 Apr 2020 Last Revised: 30 Aug 2021
Chenxu Li, O. Scaillet and Yiwen Shen
Peking University - Guanghua School of Management, Swiss Finance Institute - University of Geneva and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 120 (317,015)

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optimal portfolio choice, stochastic volatility, incomplete market, wealth-dependent utility, closed-form

49.

Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters

FAME Research Paper No. 145
Number of pages: 14 Posted: 31 May 2005
O. Scaillet
Swiss Finance Institute - University of Geneva
Downloads 109 (338,826)
Citation 3

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Nonparametric, Copula density, Goodness-of-fit test, U-statistic

50.

Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels

Swiss Finance Institute Research Paper No. 11-32
Number of pages: 32 Posted: 22 Aug 2011 Last Revised: 16 Apr 2014
Queen Mary University of London - Economics Department, Swiss Finance Institute - University of Geneva and UNSW Australia Business School, School of Economics
Downloads 99 (361,329)

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asymmetric kernel, gamma kernel, inverse Gaussian kernel, nonparametric testing, reciprocal inverse Gaussian kernel, symmetry

51.

A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data

Swiss Finance Institute Research Paper No. 20-01
Number of pages: 62 Posted: 10 Jan 2020 Last Revised: 16 Oct 2021
Davide La Vecchia, Alban Moor and O. Scaillet
University of Geneva - Geneva School of Economics and Management - Research Center for Statistics, University of Geneva - Research Center for Statistics and Swiss Finance Institute - University of Geneva
Downloads 95 (370,739)
Citation 2

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Fast bootstrap methods, Higher-order re nements, Generalized Empirical Likelihood, Con dence distributions, Mixing processes

52.

Recovering Nonlinear Dynamics from Option Prices

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 34 Posted: 14 Oct 2011
University of Geneva, Swiss Finance Institute - University of Geneva and affiliation not provided to SSRN
Downloads 85 (396,951)
Citation 1

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Inverse and ill-posed problem, volatility dynamics, option valuation

53.

Spanning Tests for Markowitz Stochastic Dominance

Swiss Finance Institute Research Paper No. 18-08
Number of pages: 52 Posted: 02 Feb 2018
Athens University of Economics and Business - Department of Economics, Swiss Finance Institute - University of Geneva and Athens University of Economics and Business
Downloads 84 (399,789)
Citation 5

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Saddle-Type Point, Markowitz Stochastic Dominance, Spanning Test, Linear and Mixed integer programming, reverse S-shaped utility

54.

A Kolmogorov-Smirnov Type Test for Shortfall Dominance Against Parametric Alternatives

Number of pages: 21 Posted: 20 May 2005
Catholic University of Louvain, Swiss Finance Institute - University of Geneva and Independent
Downloads 75 (426,642)

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Right-spread order, Excess-wealth order, New better than used in expectation, Bootstrap, Reliability, CEO compensation, Flight delay

55.

Spanning analysis of stock market anomalies under Prospect Stochastic Dominance

Swiss Finance Institute Research Paper No. 20-18
Number of pages: 88 Posted: 09 Apr 2020 Last Revised: 24 Aug 2021
Athens University of Economics and Business - Department of Economics, Swiss Finance Institute - University of Geneva and Athens University of Economics and Business
Downloads 73 (432,994)
Citation 1

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Nonparametric test, prospect stochastic dominance efficiency, prospect spanning, market anomaly, Linear Programming

56.

Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators

Number of pages: 62 Posted: 30 Jun 2004
University of Lausanne - Institute of Banking & Finance (IBF), Swiss Finance Institute - University of Geneva and Amherst College
Downloads 71 (439,532)
Citation 5

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Semiparametric density estimation, asymmetric kernel, income distribution, loss distribution, health insurance, specification testing

57.

Swag: A Wrapper Method for Sparse Learning

Swiss Finance Institute Research Paper No. 20-49
Number of pages: 19 Posted: 24 Jun 2020 Last Revised: 30 Jun 2020
Auburn University, Auburn University, University of Geneva - Geneva School of Economics and Management, University of Geneva - Geneva School of Economics and Management, University of Geneva - Geneva School of Economics and Management and Swiss Finance Institute - University of Geneva
Downloads 60 (478,713)

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interpretable machine learning, big data, wrapper, sparse learning, meta learning, ensemble learning, greedy algorithm, feature selection, variable importance network

58.

Saddlepoint Approximations for Spatial Panel Data Models

Swiss Finance Institute Research Paper No. 19-18
Number of pages: 37 Posted: 27 Mar 2019 Last Revised: 31 Aug 2021
University of Geneva - Geneva School of Economics and Management, University of Geneva - Geneva School of Economics and Management - Research Center for Statistics, University of Geneva - Research Center for Statistics and Swiss Finance Institute - University of Geneva
Downloads 59 (482,547)

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Higher-order asymptotics, investment-saving, random field, tail area

59.

Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration

Swiss Finance Institute Research Paper No. 21-70
Number of pages: 16 Posted: 22 Oct 2021 Last Revised: 26 Oct 2021
Auburn University, University of Geneva, University of Calgary, University of Calgary, Auburn University, Swiss Finance Institute - University of Geneva and University of Geneva - Geneva School of Economics and Management
Downloads 31 (617,091)

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Generalized Method of Wavelet Moments, Inertial Sensor Calibration, Stochastic Error, Extended Kalman Filter, Navigation

60.

On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints

Swiss Finance Institute Research Paper No. 16-06
Number of pages: 6 Posted: 05 Feb 2016
O. Scaillet
Swiss Finance Institute - University of Geneva
Downloads 26 (649,801)

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Nonparametric Estimation, Instrumental Variable, Ill-Posed Inverse Problems

61.

Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall

Number of pages: 15 Posted: 21 Mar 2004
O. Scaillet
Swiss Finance Institute - University of Geneva
Downloads 15 (734,158)
Citation 9

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62.

Linear-Quadratic Jump-Diffusion Modeling

Mathematical Finance, Vol. 17, No. 4, pp. 575-598, October 2007
Number of pages: 24 Posted: 14 Sep 2007
O. Scaillet and Peng Cheng
Swiss Finance Institute - University of Geneva and Barclays Investment Bank
Downloads 11 (769,916)
Citation 6

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63.

Bartlett Identities Tests

Working Paper No. 9919
Posted: 04 May 2000
University College London - Department of Economics, Swiss Finance Institute - University of Geneva, Université de Mons and University of Toronto - Department of Economics

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64.

A Correction Note on the First Passage Time of an Ornstein-Uhlenbeck Process to a Boundary

Posted: 15 Jan 2000
Boris Leblanc, O. Scaillet and Olivier Renault
Banque Nationale de Paris, Swiss Finance Institute - University of Geneva and University of Warwick Business School - Financial Econometrics Research Centre

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