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Pricing american options under stochastic volatility and stochastic interest rates
Medvedev, Alexey; Scaillet, Olivier - 2009 - This version Sept. 2009
Persistent link: https://www.econbiz.de/10003936104
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Technical trading revisited : false discoveries, persistence tests, and transaction costs
Bajgrowicz, Pierre; Scaillet, Olivier - 2009 - This version July 2009
Persistent link: https://www.econbiz.de/10003936746
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Business and financial indicators : what are the determinants of default probability changes?
Couderc, F.; Renault, Olivier; Scaillet, Olivier - 2008
Persistent link: https://www.econbiz.de/10003936763
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Testing for threshold effect in ARFIMA models : application to US unemployment rate data
Lahiani, A.; Scaillet, Olivier - 2008
Persistent link: https://www.econbiz.de/10003936768
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Assessing multivariate predictors of financial market movements : a latent factor framework for ordinal data
Huber, Philippe; Scaillet, Olivier; Victoria-Feser, … - 2009
Persistent link: https://www.econbiz.de/10003937094
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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
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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
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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
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Pricing American options under stochastic volatility and stochastic interest rates
Medvedev, Alexey; Scaillet, Olivier - In: Journal of financial economics 98 (2010) 1, pp. 145-159
Persistent link: https://www.econbiz.de/10008702738
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Theory and calibration of swap market models
Galluccio, S.; Ly, J.-M.; Huang, Z.; Scaillet, Olivier - In: Mathematical finance : an international journal of … 17 (2007) 1, pp. 111-141
Persistent link: https://www.econbiz.de/10003543112