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HOLCBLAT Benjamin

University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Department of Finance (DF)

ORCID
0000-0002-0061-6193
Main Referenced Co-authors
Sowell, Fallaw (15)
Weber, Michael (10)
Lioui, Abraham (9)
Gronneberg, Steffen (3)
Lioui Abraham (2)
Main Referenced Keywords
ARMAX residuals (2); Empirical saddlepoint approximation (2); Moment-based estimation (2); Anomaly (1); Cross-section of Returns, Factor Pricing, Strong SSD, Abnormal returns, Market frictions (1);
Main Referenced Disciplines
Finance (33)
Quantitative methods in economics & management (9)
Mathematics (1)

Publications (total 43)

The most downloaded
64 downloads
B. Holcblat and S. Gronneberg. "On partial-sum processes of ARMAX residuals." Annals of Statistics, 47, no. 6 (December 2019): 3216-3243. doi:10.1214/18-AOS1776 https://hdl.handle.net/10993/50074

The most cited

5 citations (Scopus®)

B. Holcblat and S. Gronneberg. "On partial-sum processes of ARMAX residuals." Annals of Statistics, 47, no. 6 (December 2019): 3216-3243. doi:10.1214/18-AOS1776 https://hdl.handle.net/10993/50074

Scientific outputs

Articles in scientific journals with peer reviewing verified by ORBi or included in HEC journal guide

B. HOLCBLAT and F. Sowell. "The empirical saddlepoint estimator." Electronic Journal of Statistics, 16, no. 1 (2022): 3672 - 3694. doi:10.1214/21-EJS1976
Peer Reviewed verified by ORBi

B. Holcblat and S. Gronneberg. "On partial-sum processes of ARMAX residuals." Annals of Statistics, 47, no. 6 (December 2019): 3216-3243. doi:10.1214/18-AOS1776
Peer Reviewed verified by ORBi

Unpublished scientific communications

Scientific congresses, symposiums and conference with international audience

On request

B. HOLCBLAT, Lioui Abraham, and M. Weber. "Anomaly or possible risk factor ? Some Simple Tests." Paper presented at 15th Annual SoFiE (Society for Financial Econometrics), Seoul, South Korea, 17 June 2023.
Peer reviewed

B. HOLCBLAT, Lioui Abraham, and M. Weber. "Anomaly or Possible Risk Factor ? Some Simple Tests." Paper presented at 5th Future of Financial Information Conference, 16 May 2023.
Peer reviewed

B. Holcblat. "Discussion of "The Private Use of Credit Ratings :Evidence from Investment Mandates" by R.P.Baghai, B. Becker et. al." Paper presented at 7th Luxembourg Asset Management Summit, October 2018.

On personal proposal

B. Holcblat. "Discussion of "Dynamic Asset (Mis)Pricing: Build-up vs. Resolution Anomalies" by Jules Van Binsbergen et al." Paper presented at 15th Computational and Financial Econometrics, 20 December 2021.

B. Holcblat and F. Sowell. "The Empirical Saddlepoint Estimator." Paper presented at 2018 European Winter Meeting of the Econometric Society, Naples, Italy, 04 December 2018.

B. Holcblat and F. Sowell. "The Empirical Saddlepoint Estimator." Paper presented at 10th French Econometrics Conference, Paris, France, 28 November 2018.

B. Holcblat and F. Sowell. "On the Empirical Saddlepoint Approximation with Application to Asset Pricing." Paper presented at European Banking Network Conference, 11 June 2018.

B. Holcblat and F. Sowell. "The Empirical Saddlepoint Estimator." Paper presented at 2017 Computational Financial Econometrics Conference, London, United Kingdom, 17 December 2017.

B. Holcblat and S. Gronneberg. "On Partial-Sum Processes of ARMAX Residuals." Paper presented at Computational and Methodological Statistics 2017, December 2017.

B. Holcblat. "Discussion of "Dissecting Characteristics Nonparametrically" by M. Weber et. al." Paper presented at Luxembourg Asset Management Summit, October 2017.

S. Gronneberg and B. Holcblat. "Limit theorems for residuals from VARMAX models with potentially serially correlated errors." Paper presented at Computational and Financial Econometrics-CMStatistics, 2016.

B. Holcblat. "Discussion of "Estimating Mutual Fund Skill: A New Approach" by Filippos Papakonstantinou et. al." Paper presented at Luxembourg Asset Management Summit, 2016.

Scientific presentations in universities or research centers

B. Holcblat and F. Sowell. "The ESP estimator." Paper presented at Seminar, 21 January 2019.

B. HOLCBLAT. "On partial sum processes of functions of ARMX residuals." Paper presented at Luxembourg-Waseda Conference on Modelling and Inference for Complex Data, Luxembourg, Luxembourg, 2019.

B. Holcblat and F. Sowell. "On the Empirical Saddlepoint Approximation with Application to Asset Pricing." Paper presented at EDHEC research Semnar, 06 November 2018.

B. Holcblat and F. Sowell. "On the Empirical Saddlepoint Approximation with Application to Asset Pricing." Paper presented at Seminar at the Swiss Finance Institute (University of Lausanne and EPFL), 29 March 2018.

B. Holcblat. "On the Empirical Saddlepoint Approximation with Application to Asset Pricing." Paper presented at Banking and Finance seminar at CEMFI, Madrid, Spain, 27 April 2017.

Gronneberg and B. Holcblat. "On Partial-Sum Processes of ARMAX Residuals." Paper presented at Nuffield Econometric/INET Seminar at University of Oxford, 11 February 2017.

Scientific congresses and symposiums with national audience

B. HOLCBLAT, F. SOWELL, and A. ATABAIGIALAMI. "Generalized ESP estimator." Paper presented at FinEML (Financial Econometrics meets Machine Learning) Conference 2023, Rotterdam, Netherlands, 11 November 2023.
Peer reviewed

B. HOLCBLAT, A. Lioui, and M. Weber. "Anomaly or Possible Risk Factor? Some Simple Tests." Paper presented at European Financial Association, 18 August 2023.
Peer reviewed

B. HOLCBLAT, A. Lioui, and M. Weber. "Anomaly or Possible Risk Factor? Some Simple Tests." Paper presented at CEPR/Study Center Gerzensee European Summer Symposium in Financial Markets, 17 July 2023.
Peer reviewed

B. HOLCBLAT, Abraham Lioui, and M. Weber. "Anomaly or Possible Risk Factor? Some Simple Tests." Paper presented at International Association for Applied Econometrics, 17 July 2023.
Peer reviewed

B. HOLCBLAT, A. Lioui, and M. Weber. "Anomaly or Possible Risk Factor? Some Simple Tests." Paper presented at CEPR/Study Center Gerzensee European Summer Symposium in Financial Markets (ESSFM), 17 July 2023.
Peer reviewed

B. HOLCBLAT, A. Lioui, and M. Weber. "Anomaly or Possible Risk Factor? Some Simple Tests." Paper presented at International Association for Applied Econometrics, Oslo, Norway, 28 June 2023.
Peer reviewed

B. HOLCBLAT and S. GRONNEBERG. "On partial sum processes of functions of ARMAX residuals." Paper presented at Luxembourg-Waseda Conference on Modelling and Inference for Complex Data, 24 January 2023.

B. HOLCBLAT, A. Lioui, and M. weber. "Anomaly or Possible Risk Factor? Some Simple Tests." Paper presented at 18th Annual Meeting of the Financial Research Association, 10 December 2022.
Peer reviewed

B. HOLCBLAT, A. Lioui, and M. weber. "Anomaly or Possible Risk Factor? Some Simple Tests." Paper presented at Frontiers of Factor Investing, 16 September 2022.
Peer reviewed

B. HOLCBLAT and F. Sowell. "The ESP estimator." Paper presented at SanDAL workshop on Data Science, 14 October 2020.

B. Holcblat and F. Sowell. "The ESP estimator." Paper presented at World Congress of the Econometric Society, 17 August 2020.

B. HOLCBLAT, A. Lioui, and M. Weber. "Anomaly or Possible Risk Factor? Some Simple Tests." Paper presented at Séminaire Inter-Business Schools, 20 February 2020.
Peer reviewed

B. HOLCBLAT. "On partial sum processes of functions of ARMAX residuals." Paper presented at Quetelet seminar, 21 January 2020.

B. Holcblat, A. Lioui, and M. Weber. "Anomaly or Risk Factor? Some Simple Tests." Paper presented at 13th International Conference On Computational and Financial Econometrics, 16 December 2019.

B. HOLCBLAT, A. Lioui, and M. Weber. "Anomaly or Possible Risk Factor? Some Simple Tests." Paper presented at 13th International Conference on Computational and Financial Econometrics, Factors Models, Pricing Kernels and the Cross Section of Stock Returns sessions, 16 December 2019.
Peer reviewed

B. Holcblat. "Discussion of "Do ETFs Increase Liquidity?" by Mehmet Saglam, Tugkan Tuzun and Russ Wermers." Paper presented at 8th Luxembourg Asset Management Summit 2019, 18 October 2019.

B. Holcblat and F. Sowell. "The ESP estimator." Paper presented at Second Asset Pricing Conference by LTI, 08 October 2019.

B. Holcblat and F. Sowell. "On solutions to estimating equations and the empirical saddlepoint approximation of their distribution." Paper presented at CFE-CMStatistics 2018, 15 December 2018.

B. HOLCBLAT. "Solutions to estimating equations and the empirical saddlepoint approximation of their distribution." Paper presented at 12th International Conference on Computational and Financial Econometrics, Small-sample Asymptotics session, 15 December 2018.
Peer reviewed

B. HOLCBLAT and F. Sowell. "The ESP estimator." Paper presented at European Winter Meeting of the Econometric Society, 04 December 2018.
Peer reviewed

B. HOLCBLAT and F. Sowell. "The ESP estimator." Paper presented at 10th French Econometrics Conference, 29 November 2018.
Peer reviewed

B. Holcblat. "Discussion of "Competition, cost efficiency and cross-border banking :Evidence from African banking industry" by Luc Matabaro Borauzima." Paper presented at International PhD colloquium, 23 November 2018.

B. HOLCBLAT and F. Sowell. "The ESP estimator." Paper presented at 11th International Conference on Computational and Financial Econometrics, Small-sample Asymptotics session, 17 December 2017.
Peer reviewed

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