10 citations · 12 across the 5 of their papers we have counts for
8 papers
Latent Factor Analysis in Short Panels
Alain-Philippe Fortin, Patrick Gagliardini, Olivier Scaillet
We develop a pseudo maximum likelihood method for latent factor analysis in short panels without imposing sphericity nor Gaussianity. We derive an asymptotically uniformly most pow…
Eigenvalue tests for the number of latent factors in short panels
Alain-Philippe Fortin, Patrick Gagliardini, Olivier Scaillet
This paper studies new tests for the number of latent factors in a large cross-sectional factor model with small time dimension. These tests are based on the eigenvalues of varianc…
Wealth Effect on Portfolio Allocation in Incomplete Markets
Chenxu Li, Olivier Scaillet, Yiwen Shen
We develop a novel five-component decomposition of optimal dynamic portfolio choice, which reveals the simultaneous impacts from market incompleteness and wealth-dependent utilitie…
A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data
Davide La Vecchia, Alban Moor, Olivier Scaillet
We develop and implement a novel fast bootstrap for dependent data. Our scheme is based on the i.i.d. resampling of the smoothed moment indicators. We characterize the class of par…
High-Frequency Jump Analysis of the Bitcoin Market
Olivier Scaillet, Adrien Treccani, Christopher Trevisan
We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November 2013. This gives us a rare opportunity to study an emerging…
Predictability Hidden by Anomalous Observations
Lorenzo Camponovo, Olivier Scaillet, Fabio Trojani
Testing procedures for predictive regressions with lagged autoregressive variables imply a suboptimal inference in presence of small violations of ideal assumptions. We propose a n…
On ill-posedness of nonparametric instrumental variable regression with convexity constraints
Olivier Scaillet
This note shows that adding monotonicity or convexity constraints on the regression function does not restore well-posedness in nonparametric instrumental variable regression. The…
A diagnostic criterion for approximate factor structure
Patrick Gagliardini, Elisa Ossola, Olivier Scaillet
We build a simple diagnostic criterion for approximate factor structure in large cross-sectional equity datasets. Given a model for asset returns with observable factors, the crite…