10 citations · 12 across the 5 of their papers we have counts for
3 papers · 1 filter
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…
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…