Olivier Scaillet - Google Scholar

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Patrick GagliardiniProfessor of Econometrics, Università della Svizzera ItalianaVerified email at usi.ch
Russ WermersProfessor of FinanceVerified email at umd.edu
Jean-Luc PRIGENTProfesseur d'Economie et FinanceVerified email at u-cergy.fr
Jean-David FermanianProfesseur of Finance and Statistics, Ensae-CrestVerified email at ensae.fr
Jean-Michel ZakoianCREST and University of LilleVerified email at ensae.fr
Fabio TrojaniProfessor of Finance, University of GenevaVerified email at alphacruncher.com
Nikolas TopaloglouAthens University of Economics and BusinessVerified email at aueb.gr
Jean-Paul LaurentProfessor, University Paris 1 Panthéon - SorbonneVerified email at univ-paris1.fr
Francesco MenoncinUniversity of BresciaVerified email at unibs.it
Bruno N. RemillardProfessor, HEC MontrealVerified email at hec.ca
Antonio CosmaAssociate professor, Universite du LuxembourgVerified email at uni.lu
Michel DenuitISBA, LIDAM, UCLouvainVerified email at uclouvain.be
Pauline BarrieuStatistics department, London School of EconomicsVerified email at lse.ac.uk
Arthur Charpentieruniversité du quebec a MontrealVerified email at uqam.ca
Jens Perch NielsenProfessor of Actuarial Science, Cass Business SchoolVerified email at city.ac.uk
Ines ChaiebUniversity of Geneva and Swiss Finance InstituteVerified email at unige.ch
Hugues LangloisHEC ParisVerified email at hec.fr
Alain GuayUniversité du Québec à MontréalVerified email at uqam.ca
Rainer von SachsUniversité catholique de Louvain, BelgiumVerified email at uclouvain.be
Ariane SzafarzProfessor of Finance, Université Libre de Bruxelles (ULB)Verified email at ulb.ac.be

Olivier Scaillet

Professor of Finance and Statistics, University of Geneva (GSEM) and Swiss Finance Institute

Verified email at unige.ch - Homepage

Finance Financial econometrics Econometric Theory


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False discoveries in mutual fund performance: Measuring luck in estimated alphas L Barras, O Scaillet, R Wermers The Journal of Finance 65 (1), 179-216, 2010	786	2010
Sensitivity analysis of values at risk C Gourieroux, JP Laurent, O Scaillet Journal of empirical finance 7 (3-4), 225-245, 2000	485	2000
Nonparametric estimation and sensitivity analysis of expected shortfall O Scaillet Mathematical Finance: An International Journal of Mathematics, Statistics …, 2004	292	2004
Nonparametric estimation of copulas for time series O Scaillet, JD Fermanian FAME Research paper, 2002	275	2002
Technical trading revisited: False discoveries, persistence tests, and transaction costs P Bajgrowicz, O Scaillet Journal of Financial Economics, 2012	231	2012
Testing for equality between two copulas B Rémillard, O Scaillet Journal of Multivariate Analysis 100 (3), 377-386, 2009	194	2009
LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING P Cheng, O Scaillet Mathematical Finance 17 (4), 575-598, 2007	184*	2007
Density estimation using inverse and reciprocal inverse Gaussian kernels O Scaillet Nonparametric statistics 16 (1-2), 217-226, 2004	180	2004
The estimation of copulas: Theory and practice A Charpentier, JD Fermanian, O Scaillet Copulas: From theory to application in finance, 35-64, 2007	153	2007
Testing for continuous-time models of the short-term interest rate L Broze, O Scaillet, JM Zakoian Journal of Empirical Finance 2 (3), 199-223, 1995	137	1995
On the way to recovery: A nonparametric bias free estimation of recovery rate densities O Renault, O Scaillet Journal of Banking & Finance 28 (12), 2915-2931, 2004	135	2004
Time‐varying risk premium in large cross‐sectional equity data sets P Gagliardini, E Ossola, O Scaillet Econometrica 84 (3), 985-1046, 2016	130	2016
Approximation and calibration of short-term implied volatilities under jump-diffusion stochastic volatility A Medvedev, O Scaillet Review of Financial Studies 20 (2), 427-459, 2007	122*	2007
Nonparametric estimation of conditional expected shortfall O Scaillet Insurance and Risk Management Journal 74 (1), 639-660, 2005	121	2005
A Kolmogorov‐Smirnov type test for positive quadrant dependence O Scaillet Canadian Journal of Statistics 33 (3), 415-427, 2005	119	2005
Some statistical pitfalls in copula modeling for financial applications JD Fermanian, O Scaillet FAME Working Paper, 2004	114	2004
Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data T Bouezmarni, O Scaillet Econometric Theory 21 (2), 390-412, 2005	112	2005
Jumps in high-frequency data: Spurious detections, dynamics, and news P Bajgrowicz, O Scaillet, A Treccani Management Science 62 (8), 2198-2217, 2016	106	2016
Testing for stochastic dominance efficiency O Scaillet, N Topaloglou Journal of Business & Economic Statistics 28 (1), 169-180, 2010	91	2010
Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters O Scaillet Journal of Multivariate Analysis 98 (3), 533-543, 2007	87	2007

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