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Estimation of large dimensional conditional factor models in finance
Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - 2020
Persistent link: https://www.econbiz.de/10012392216
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A test of the homogeneity of asset pricing models
Barone-Adesi, Giovanni; Gagliardini, Patrick; Urga, Giovanni - In: Multi-moment asset allocation and pricing models, (pp. 223-230). 2006
Persistent link: https://www.econbiz.de/10003477411
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Inference for high-dimensional sparse econometric models
Belloni, Alexandre; Chernozhukov, Victor; Hansen, … - 2013
Persistent link: https://www.econbiz.de/10010247741
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An autoregressive conditional binominal option pricing model
Prigent, Jean-Luc; Renault, Olivier; Scaillet, Olivier - In: Mathematical finance - Bachelier Congress, 2000 : …, (pp. 353-373). 2002
Persistent link: https://www.econbiz.de/10001679460
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Business and financial indicators : what are the determinants of default probability changes?
Couderc, Fabien; Renault, Oliver; Scaillet, Olivier - In: Credit risk : models, derivatives, and management, (pp. 235-267). 2008
Persistent link: https://www.econbiz.de/10003718482