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A Kolmogorov-Smirnov type test for positive quadrant dependence

Scaillet, Olivier (contributor) - 2005

Persistent link: https://www.econbiz.de/10003120225

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

Testing for equality between two copulas

Rémillard, Bruno (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003354351

Thikonov [Tikhonov] regularization for functional minimum distance estimators

Gagliardini, Patrick (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003459152

Robust subsampling

Camponovo, Lorenzo (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003459155

A specification test for nonparametric instrumental variable regression

Gagliardini, Patrick; Scaillet, Olivier - 2007

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

Nonparametric instrumental variable estimation of structural quantile effects

Chernozhukov, Victor; Gagliardini, Patrick; Scaillet, … - 2009 - 31. Aug. 2009

Persistent link: https://www.econbiz.de/10003936749

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

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