Olivier Scaillet

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Patrick GagliardiniProfessor of Econometrics, Università della Svizzera ItalianaVerified email at usi.ch
laurent barrasProfessor of Finance, McGill UniversityVerified email at mcgill.ca
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
Nikolas TopaloglouAthens University of Economics and BusinessVerified email at aueb.gr
Elisa OssolaEuropean Commission, Joint Research CentreVerified email at ec.europa.eu
Jean-Paul LaurentProfessor, University Paris 1 Panthéon - SorbonneVerified email at univ-paris1.fr
Fabio TrojaniProfessor of Finance, University of GenevaVerified email at alphacruncher.com
Francesco MenoncinUniversity of BresciaVerified email at unibs.it
Antonio CosmaAssociate professor, Universite du LuxembourgVerified email at uni.lu
Bruno N. RemillardProfessor, HEC MontrealVerified email at hec.ca
Michel DenuitISBA, LIDAM, UCLouvainVerified email at uclouvain.be
Pauline BarrieuStatistics department, London School of EconomicsVerified email at lse.ac.uk
Ines ChaiebUniversity of Geneva and Swiss Finance InstituteVerified email at unige.ch
Hugues LangloisHEC ParisVerified email at hec.fr
Arthur Charpentieruniversité du quebec a MontrealVerified email at uqam.ca
Jens Perch NielsenProfessor of Actuarial Science, Cass Business SchoolVerified email at city.ac.uk
Rainer von SachsUniversité catholique de Louvain, BelgiumVerified email at uclouvain.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	845	2010
Sensitivity analysis of values at risk C Gourieroux, JP Laurent, O Scaillet Journal of empirical finance 7 (3-4), 225-245, 2000	502	2000
Nonparametric estimation and sensitivity analysis of expected shortfall O Scaillet Mathematical Finance: An International Journal of Mathematics, Statistics …, 2004	308	2004
Nonparametric estimation of copulas for time series O Scaillet, JD Fermanian FAME Research paper, 2002	289	2002
Technical trading revisited: False discoveries, persistence tests, and transaction costs P Bajgrowicz, O Scaillet Journal of Financial Economics, 2012	248	2012
Testing for equality between two copulas B Rémillard, O Scaillet Journal of Multivariate Analysis 100 (3), 377-386, 2009	208	2009
LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING P Cheng, O Scaillet Mathematical Finance 17 (4), 575-598, 2007	193*	2007
Density estimation using inverse and reciprocal inverse Gaussian kernels O Scaillet Nonparametric statistics 16 (1-2), 217-226, 2004	193	2004
The estimation of copulas: Theory and practice A Charpentier, JD Fermanian, O Scaillet Copulas: From theory to application in finance, 35-64, 2007	168	2007
Time‐varying risk premium in large cross‐sectional equity data sets P Gagliardini, E Ossola, O Scaillet Econometrica 84 (3), 985-1046, 2016	156	2016
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	143	2004
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	141	1995
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	129*	2007
Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data T Bouezmarni, O Scaillet Econometric Theory, 390-412, 2005	125	2005
A Kolmogorov‐Smirnov type test for positive quadrant dependence O Scaillet Canadian Journal of Statistics 33 (3), 415-427, 2005	124	2005
Nonparametric estimation of conditional expected shortfall O Scaillet Insurance and Risk Management Journal 74 (1), 639-660, 2005	124	2005
Jumps in high-frequency data: Spurious detections, dynamics, and news P Bajgrowicz, O Scaillet, A Treccani Management Science 62 (8), 2198-2217, 2016	120	2016
Some statistical pitfalls in copula modeling for financial applications JD Fermanian, O Scaillet FAME Working Paper, 2004	117	2004
Testing for stochastic dominance efficiency O Scaillet, N Topaloglou Journal of Business & Economic Statistics 28 (1), 169-180, 2010	96	2010
Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters O Scaillet Journal of Multivariate Analysis 98 (3), 533-543, 2007	90	2007

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