Olivier Scaillet
Olivier Scaillet
Professor of Finance and Statistics, University of Geneva (GSEM) and Swiss Finance Institute
Verified email at unige.ch - Homepage
Title
Cited by
Cited by
Year
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
8162010
Sensitivity analysis of values at risk
C Gourieroux, JP Laurent, O Scaillet
Journal of empirical finance 7 (3-4), 225-245, 2000
4932000
Nonparametric estimation and sensitivity analysis of expected shortfall
O Scaillet
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2004
2982004
Nonparametric estimation of copulas for time series
O Scaillet, JD Fermanian
FAME Research paper, 2002
2842002
Technical trading revisited: False discoveries, persistence tests, and transaction costs
P Bajgrowicz, O Scaillet
Journal of Financial Economics, 2012
2422012
Testing for equality between two copulas
B Rémillard, O Scaillet
Journal of Multivariate Analysis 100 (3), 377-386, 2009
2032009
Density estimation using inverse and reciprocal inverse Gaussian kernels
O Scaillet
Nonparametric statistics 16 (1-2), 217-226, 2004
1892004
LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
P Cheng, O Scaillet
Mathematical Finance 17 (4), 575-598, 2007
186*2007
The estimation of copulas: Theory and practice
A Charpentier, JD Fermanian, O Scaillet
Copulas: From theory to application in finance, 35-64, 2007
1652007
Time‐varying risk premium in large cross‐sectional equity data sets
P Gagliardini, E Ossola, O Scaillet
Econometrica 84 (3), 985-1046, 2016
1462016
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
1392004
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
1361995
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
126*2007
Nonparametric estimation of conditional expected shortfall
O Scaillet
Insurance and Risk Management Journal 74 (1), 639-660, 2005
1232005
A Kolmogorov‐Smirnov type test for positive quadrant dependence
O Scaillet
Canadian Journal of Statistics 33 (3), 415-427, 2005
1222005
Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data
T Bouezmarni, O Scaillet
Econometric Theory, 390-412, 2005
1202005
Some statistical pitfalls in copula modeling for financial applications
JD Fermanian, O Scaillet
FAME Working Paper, 2004
1152004
Jumps in high-frequency data: Spurious detections, dynamics, and news
P Bajgrowicz, O Scaillet, A Treccani
Management Science 62 (8), 2198-2217, 2016
1142016
Testing for stochastic dominance efficiency
O Scaillet, N Topaloglou
Journal of Business & Economic Statistics 28 (1), 169-180, 2010
942010
Path dependent options on yields in the affine term structure model
B Leblanc, O Scaillet
Finance and Stochastics 2 (4), 349-367, 1998
891998
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