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Spanning analysis of stock market anomalies under prospect stochastic dominance
Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2020 - This version: April 2020
We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...
Persistent link: https://www.econbiz.de/10012219063
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Sensitivity analysis of VaR and expected shortfall for portfolios under netting agreements
Fermanian, Jean-David; Scaillet, Olivier - In: Journal of banking & finance 29 (2005) 4, pp. 927-958
Persistent link: https://www.econbiz.de/10002600391
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A Kolmogorov-Smirnov type test for positive quadrant dependence
Scaillet, Olivier (contributor) - 2005
Persistent link: https://www.econbiz.de/10002634905
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A Kolmogorov-Smirnov type test for positive quadrant dependence
Scaillet, Olivier (contributor) - 2005
Persistent link: https://www.econbiz.de/10003120225
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A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives
Denuit, Michel (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003120541
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A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives
Denuit, Michel (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003074160
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Sensitivity analysis of VaR and expected shortfall for portfolios under netting agreements
Fermanian, Jean-David; Scaillet, Olivier - 2003
Persistent link: https://www.econbiz.de/10001807607
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Sensitivity analysis of var and expected shortfall for portfolios under netting agreements
Fermanian, Jean-David; Scaillet, Olivier - 2003
Persistent link: https://www.econbiz.de/10001812434
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Sensitivity analysis of VaR expected shortfall for portfolios under netting agreements
Fermanian, Jean-David (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001791460
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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