10 citations · 12 across the 5 of their papers we have counts for
Showing 2016Show all
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q-fin.ST2016
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…
math.ST2016★ 2 cited
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…
q-fin.ST2016
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…