Olivier Scaillet

Cited by

	All	Since 2018
Citations	6801	2492
h-index	37	24
i10-index	66	42

560

280

140

420

1998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202322 29 34 41 44 83 106 139 158 170 228 249 286 292 395 351 409 358 393 362 417 413 458 533 545 115

Public access

View all

26 articles

3 articles

available

not available

Based on funding mandates

Co-authors

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
laurent barrasProfessor of Finance, University of LuxembourgVerified email at uni.lu
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
Jean-Paul LaurentProfessor, University Paris 1 Panthéon - SorbonneVerified email at univ-paris1.fr
Fabio TrojaniProfessor of Finance (University of Geneva), AXA Chair (University of Turin), Senior Chair (SFI)Verified email at alphacruncher.com
Bruno N. RemillardProfessor, HEC MontrealVerified email at hec.ca
Francesco MenoncinUniversity of BresciaVerified email at unibs.it
Ines ChaiebUniversity of Geneva and Swiss Finance InstituteVerified email at unige.ch
Hugues LangloisHEC ParisVerified email at hec.fr
Michel DenuitISBA, LIDAM, UCLouvainVerified email at uclouvain.be
Arthur CharpentierUniversité du Québec à MontréalVerified email at uqam.ca
Pauline BarrieuStatistics department, London School of EconomicsVerified email at lse.ac.uk
Jens Perch NielsenProfessor of Actuarial Science, Cass Business SchoolVerified email at city.ac.uk
Maria-Pia Victoria-FeserResearch Center for Statistics, Geneva School of Economics and Management, University of GenevaVerified email at unige.ch
Alain GuayUniversité du Québec à MontréalVerified email at uqam.ca
Christophe HurlinProfessor of Economics, University of OrleansVerified email at univ-orleans.fr

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


Title Sort by citations Sort by year Sort by 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	942	2010
Sensitivity analysis of values at risk C Gourieroux, JP Laurent, O Scaillet Journal of empirical finance 7 (3-4), 225-245, 2000	551	2000
Nonparametric estimation and sensitivity analysis of expected shortfall O Scaillet Mathematical Finance: An International Journal of Mathematics, Statistics …, 2004	338	2004
Nonparametric estimation of copulas for time series O Scaillet, JD Fermanian FAME Research paper, 2002	308	2002
Technical trading revisited: False discoveries, persistence tests, and transaction costs P Bajgrowicz, O Scaillet Journal of Financial Economics, 2012	296	2012
Testing for equality between two copulas B Rémillard, O Scaillet Journal of Multivariate Analysis 100 (3), 377-386, 2009	246	2009
Time‐varying risk premium in large cross‐sectional equity data sets P Gagliardini, E Ossola, O Scaillet Econometrica 84 (3), 985-1046, 2016	228	2016
LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING P Cheng, O Scaillet Mathematical Finance 17 (4), 575-598, 2007	216*	2007
Density estimation using inverse and reciprocal inverse Gaussian kernels O Scaillet Nonparametric statistics 16 (1-2), 217-226, 2004	213	2004
The estimation of copulas: Theory and practice A Charpentier, JD Fermanian, O Scaillet Copulas: From theory to application in finance, 35-64, 2007	195	2007
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	150	2004
Jumps in high-frequency data: Spurious detections, dynamics, and news P Bajgrowicz, O Scaillet, A Treccani Management Science 62 (8), 2198-2217, 2016	147	2016
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	142	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	141*	2007
A Kolmogorov‐Smirnov type test for positive quadrant dependence O Scaillet Canadian Journal of Statistics 33 (3), 415-427, 2005	134	2005
Nonparametric estimation of conditional expected shortfall O Scaillet Insurance and Risk Management Journal 74 (1), 639-660, 2005	133	2005
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	130	2005
High-frequency jump analysis of the bitcoin market O Scaillet, A Treccani, C Trevisan Journal of Financial Econometrics 18 (2), 209-232, 2020	125	2020
SOME STATISTICAL PITFALLS IN COPULA JD Fermanian, O Scaillet Capital formation, governance and banking, 59, 2005	124	2005
Testing for stochastic dominance efficiency O Scaillet, N Topaloglou Journal of Business & Economic Statistics 28 (1), 169-180, 2010	111	2010

The system can't perform the operation now. Try again later.

Articles 1–20

Citations per year

Duplicate citations

Merged citations

Add co-authorsCo-authors

Follow

Cited by

Co-authors