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Testing for symmetry and conditional symmetry using asymmetric kernels

Fernandes, Marcelo ; Mendes, Eduardo ; Scaillet, Olivier

In: Annals of the Institute of Statistical Mathematics, 2015, vol. 67, no. 4, p. 649-671

Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy

Camponovo, Lorenzo ; Scaillet, Olivier ; Trojani, Fabio

In: Journal of Financial Econometrics, 2017, vol. 15, no. 3, p. 505-505

Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy

Camponovo, Lorenzo ; Scaillet, Olivier ; Trojani, Fabio

In: Journal of Financial Econometrics, 2017, vol. 15, no. 3, p. 377-387

Testing for Concordance Ordering

Cebrián, Ana C. ; Denuit, Michel ; Scaillet, Olivier

In: ASTIN Bulletin, 2004, vol. 34, no. 1, p. 151-173

Robust subsampling

Camponovo, Lorenzo ; Scaillet, Olivier ; Trojani, Fabio

In: Journal of econometrics, 2012, vol. 167, no. 1, p. 197-210

We characterize the robustness of subsampling procedures by deriving a formula for the breakdown point of subsampling quantiles. This breakdown point can be very low for moderate subsampling block sizes, which implies the fragility of subsampling procedures, even when they are applied to robust statistics. This instability arises also for data driven block size selection procedures minimizing ...