2 citations · 2 across the 4 of their papers we have counts for
4 papers
A penalized two-pass regression to predict stock returns with time-varying risk premia
Gaetan Bakalli, Stéphane Guerrier, Olivier Scaillet
We develop a penalized two-pass regression with time-varying factor loadings. The penalization in the first pass enforces sparsity for the time-variation drivers while also maintai…
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…
Early exercise decision in American options with dividends, stochastic volatility and jumps
Antonio Cosma, Stefano Galluccio, Paola Pederzoli +1
Using a fast numerical technique, we investigate a large database of investor suboptimal non-exercise of short maturity American call options on dividend-paying stocks listed on th…