Olivier Scaillet
Names
| first: |
Olivier |
| last: |
Scaillet |
Identifer
Contact
| homepage: |
https://scaillet.ch |
|
| phone: |
00 41 22 379 88 16 |
| postal address: |
GSEM
UNI MAIL
102 Bd Carl Vogt
CH 1211 Geneve 4
Suisse |
Affiliations
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Swiss Finance Institute (weight: 30%)
-
Université de Genève
/ Geneva Finance Research Institute (GFRI) (weight: 35%)
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Université de Genève
/ Geneva School of Economics and Management (weight: 35%)
Research profile
author of:
- A Specification Test for Nonparametric Instrumental Variable Regression (RePEc:adr:anecst:y:2017:i:128:p:151-202)
by Patrick GAGLIARDINI & Olivier SCAILLET - Early exercise decision in American options with dividends, stochastic volatility and jumps (RePEc:arx:papers:1612.03031)
by Antonio Cosma & Stefano Galluccio & Paola Pederzoli & Olivier Scaillet - A diagnostic criterion for approximate factor structure (RePEc:arx:papers:1612.04990)
by Patrick Gagliardini & Elisa Ossola & Olivier Scaillet - Predictability Hidden by Anomalous Observations (RePEc:arx:papers:1612.05072)
by Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani - High-Frequency Jump Analysis of the Bitcoin Market (RePEc:arx:papers:1704.08175)
by Olivier Scaillet & Adrien Treccani & Christopher Trevisan - Spanning Tests for Markowitz Stochastic Dominance (RePEc:arx:papers:1810.10800)
by Stelios Arvanitis & Olivier Scaillet & Nikolas Topaloglou - A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data (RePEc:arx:papers:2001.04867)
by Davide La Vecchia & Alban Moor & Olivier Scaillet - Saddlepoint approximations for spatial panel data models (RePEc:arx:papers:2001.10377)
by Chaonan Jiang & Davide La Vecchia & Elvezio Ronchetti & Olivier Scaillet - Spanning analysis of stock market anomalies under Prospect Stochastic Dominance (RePEc:arx:papers:2004.02670)
by Stelios Arvanitis & Olivier Scaillet & Nikolas Topaloglou - Wealth Effect on Portfolio Allocation in Incomplete Markets (RePEc:arx:papers:2004.10096)
by Chenxu Li & Olivier Scaillet & Yiwen Shen - A penalized two-pass regression to predict stock returns with time-varying risk premia (RePEc:arx:papers:2208.00972)
by Gaetan Bakalli & St'ephane Guerrier & Olivier Scaillet - Eigenvalue tests for the number of latent factors in short panels (RePEc:arx:papers:2210.16042)
by Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet - Latent Factor Analysis in Short Panels (RePEc:arx:papers:2306.14004)
by Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet - Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models (RePEc:bes:jnlbes:v:21:y:2003:i:1:p:122-32)
by Guay, Alain & Scaillet, Olivier - Local Transformation Kernel Density Estimation of Loss Distributions (RePEc:bes:jnlbes:v:27:i:2:y:2009:p:161-175)
by Gustafsson, J. & Hagmann, M. & Nielsen, J. P. & Scaillet, O. - Testing for Stochastic Dominance Efficiency (RePEc:bes:jnlbes:v:28:i:1:y:2010:p:169-180)
by Scaillet, Olivier & Topaloglou, Nikolas - False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas (RePEc:bla:jfinan:v:65:y:2010:i:1:p:179-216)
by Laurent Barras & Olivier Scaillet & Russ Wermers - Skill, Scale, and Value Creation in the Mutual Fund Industry (RePEc:bla:jfinan:v:77:y:2022:i:1:p:601-638)
by Laurent Barras & Patrick Gagliardini & Olivier Scaillet - Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall (RePEc:bla:mathfi:v:14:y:2004:i:1:p:115-129)
by O. Scaillet - Theory And Calibration Of Swap Market Models (RePEc:bla:mathfi:v:17:y:2007:i:1:p:111-141)
by S. Galluccio & J.‐M. Ly & Z. Huang & O. Scaillet - Linear‐Quadratic Jump‐Diffusion Modeling (RePEc:bla:mathfi:v:17:y:2007:i:4:p:575-598)
by Peng Cheng & Olivier Scaillet - Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility (RePEc:chf:rpseri:rp0608)
by Alexey Medvedev & Olivier Scaillet - Tikhonov Regularization for Functional Minimum Distance Estimators (RePEc:chf:rpseri:rp0630)
by P. Gagliardini & O. Scaillet - Local Transformation Kernel Density Estimation of Loss Distributions (RePEc:chf:rpseri:rp0632)
by J. Gustafsson & M. Hagmann & J.P. Nielsen & O. Scaillet - Robust Subsampling (RePEc:chf:rpseri:rp0633)
by Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani - A Specification Test For Nonparametric Instrumental Variable Regression (RePEc:chf:rpseri:rp0713)
by Patrick Gagliardini & Olivier Scaillet - Testing For Equality Between Two Copulas (RePEc:chf:rpseri:rp0724)
by Bruno Rémillard & Olivier Scaillet - Nonparametric Instrumental Variable Estimators of Structural Quantile Effects (RePEc:chf:rpseri:rp0803)
by Victor Chernozhukov & Patrick Gagliardini & Olivier Scaillet - Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs (RePEc:chf:rpseri:rp0805)
by Pierre Bajgrowicz & Olivier Scaillet - False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas (RePEc:chf:rpseri:rp0818)
by Laurent BARRAS & Olivier SCAILLET & Russ WERMERS - Testing for threshold effect in ARFIMA models: Application to US unemployment rate data (RePEc:chf:rpseri:rp0842)
by Amine LAHIANI & Olivier SCAILLET - Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data (RePEc:chf:rpseri:rp0845)
by Philippe HUBER & Olivier SCAILLET & Maria-Pia VICTORIA-FESER - Robust Resampling Methods for Time Series (RePEc:chf:rpseri:rp0938)
by Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI - Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels (RePEc:chf:rpseri:rp1132)
by Marcelo FERNANDES & Eduardo F. MENDES & Olivier SCAILLET - We propose a technique to avoid spurious detections of jumps in highfrequency data via an explicit thresholding on available test statistics (RePEc:chf:rpseri:rp1136)
by Pierre BAJGROWICZ & Olivier SCAILLET - Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets (RePEc:chf:rpseri:rp1140)
by Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET - Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets (RePEc:chf:rpseri:rp1141)
by Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET - Valuing American Options Using Fast Recursive Projections (RePEc:chf:rpseri:rp1226)
by Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet - Predictability Hidden by Anomalous Observations (RePEc:chf:rpseri:rp1305)
by Lorenzo Camponovo & O. Scaillet & Fabio Trojani - On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints (RePEc:chf:rpseri:rp1606)
by Olivier Scaillet - Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy (RePEc:chf:rpseri:rp1641)
by Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI - A Diagnostic Criterion for Approximate Factor Structure (RePEc:chf:rpseri:rp1651)
by Patrick Gagliardini & Elisa Ossola & O. Scaillet - Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps (RePEc:chf:rpseri:rp1673)
by Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet - High-Frequency Jump Analysis of the Bitcoin Market (RePEc:chf:rpseri:rp1719)
by Olivier Scaillet & Adrien Treccani & Christopher Trevisan - Time-Varying Risk Premia in Large International Equity Markets (RePEc:chf:rpseri:rp1804)
by Ines Chaieb & Hugues Langlois & O. Scaillet - Spanning Tests for Markowitz Stochastic Dominance (RePEc:chf:rpseri:rp1808)
by Stelios Arvanitis & O. Scaillet & Nikolas Topaloglou - The Cross-Sectional Distribution of Fund Skill Measures (RePEc:chf:rpseri:rp1866)
by Laurent Barras & Patrick Gagliardini & O. Scaillet - Saddlepoint Approximations for Spatial Panel Data Models (RePEc:chf:rpseri:rp1918)
by Chaonan Jiang & Davide La Vecchia & Elvezio Ronchetti & O. Scaillet - Estimation of Large Dimensional Conditional Factor Models in Finance (RePEc:chf:rpseri:rp1946)
by Patrick Gagliardini & Elisa Ossola & O. Scaillet - Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures (RePEc:chf:rpseri:rp1948)
by Denisa Banulescu & Christophe Hurlin & Jeremy Leymarie & O. Scaillet - Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply (RePEc:chf:rpseri:rp1961)
by Laurent Barras & O. Scaillet & Russ Wermers - A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data (RePEc:chf:rpseri:rp2001)
by Davide La Vecchia & Alban Moor & O. Scaillet - Spanning analysis of stock market anomalies under Prospect Stochastic Dominance (RePEc:chf:rpseri:rp2018)
by Stelios Arvanitis & O. Scaillet & Nikolas Topaloglou - Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets (RePEc:chf:rpseri:rp2022)
by Chenxu Li & O. Scaillet & Yiwen Shen - Swag: A Wrapper Method for Sparse Learning (RePEc:chf:rpseri:rp2049)
by Roberto Molinari & Gaetan Bakalli & Stéphane Guerrier & Cesare Miglioli & Samuel Orso & O. Scaillet - Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified (RePEc:chf:rpseri:rp2082)
by David Ardia & Laurent Barras & Patrick Gagliardini & Olivier Scaillet - A penalized two-pass regression to predict stock returns with time-varying risk premia (RePEc:chf:rpseri:rp2109)
by Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet - Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration (RePEc:chf:rpseri:rp2170)
by Gaetan Bakalli & Davide Cucci & Ahmed Radi & Naser El-Sheimy & Roberto Molinari & O. Scaillet & Stéphane Guerrier - Non-Standard Errors (RePEc:chf:rpseri:rp2209)
by Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli - Eigenvalue tests for the number of latent factors in short panels (RePEc:chf:rpseri:rp2281)
by Alain-Philippe Fortin & Patrick Gagliardini & O. Scaillet - Latent Factor Analysis in Short Panels (RePEc:chf:rpseri:rp2344)
by Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet - Testing for Continuous-Time Models of the Short-Term Interest Rate (RePEc:cor:louvco:1993031)
by BROZE, Laurence & SCAILLET, Olivier & ZAKOIAN , Jean-Michel - Forecast Intervals in ARCH Exponential Smoothing (RePEc:cor:louvco:1994081)
by BROZE, Laurence & MELARD, Guy & SCAILLET, Olivier - Quasi Indirect Inference for Diffusion Processes (RePEc:cor:louvco:1995005)
by BROZE, Laurence & SCAILLET, Olivier & ZAKOIAN, Jean-Michel - Bartlett identities tests (RePEc:cor:louvco:1999039)
by CHESHER, Andrew & DHAENE, Geert & GOURIEROUX, Christian & SCAILLET, Olivier - Testing for continuous-time models of the short-term interest rate (RePEc:cor:louvrp:1177)
by Broze, L. & Scaillet, O. & Zakoïan, J.-M. - Quasi-indirect inference for diffusion processes (RePEc:cor:louvrp:1327)
by BROZE, Laurence & SCAILLET, Olivier & ZAKOIAN, Jean-Michel - Estimation of the term structure from bond data (RePEc:cpm:cepmap:9415)
by Gouriéroux, Christian & Scaillet, O. - Indirect Inference, Nuisance Parameter and Threshold Moving Average (RePEc:cre:crefwp:95)
by Alain Guay & Olivier Scaillet - Sensitivity Analysis of Values at Risk (RePEc:crs:wpaper:2000-05)
by Christian Gourieroux & Jean-Paul Laurent & Olivier Scaillet - An Empirical Investigation in Credit Spread Indices (RePEc:crs:wpaper:2000-59)
by Jean -Luc Prigent & Olivier Renault & Olivier Scaillet - Reversed Score and Likelihood Ratio Tests (RePEc:crs:wpaper:2000-60)
by Geert Dhaene & Olivier Scaillet - A Fast Subsampling Method for Nonlinear Dynamic Models (RePEc:crs:wpaper:2001-39)
by Han Hong & Olivier Scaillet & Elie Tamer - Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements (RePEc:crs:wpaper:2003-33)
by Jean-David Fermanian & Olivier Scaillet - Multiregime Term Structure Models (RePEc:crs:wpaper:97-50)
by Christian Gourieroux & Olivier Scaillet - Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates (RePEc:crs:wpaper:98-51)
by Jean-Philippe Lesne & Jean-Luc Prigent & Olivier Scaillet - Variance Optimal Cap Pricing Models (RePEc:crs:wpaper:99-07)
by Jean-Paul Laurent & Olivier Scaillet - Bartlett Identities Tests (RePEc:crs:wpaper:99-32)
by Andrew Chesher & Geert Dhaene & Christian Gourieroux & Olivier Scaillet - Option Pricing with Discrete Rebalancing (RePEc:crs:wpaper:99-61)
by Jean -Luc Prigent & Olivier Renault & Olivier Scaillet - An Autoregressive Conditional Binomial Option Pricing Model (RePEc:crs:wpaper:99-65)
by Jean -Luc Prigent & Olivier Renault & Olivier Scaillet - A New Index of Belgian Shares (RePEc:ctl:louvir:1997016)
by Anderson, Ronald & Reinard, Davy & Scaillet, Olivier - Multiregime Term Structure Models (RePEc:ctl:louvir:1998002)
by Gouriéroux, C. & Scaillet, O. - Variance Optimal Cap Pricing Models (RePEc:ctl:louvir:1999002)
by Laurent, J.P. & Scaillet, O. - Bartlett Identities Tests (RePEc:ctl:louvir:1999019)
by Chesher, Andrew & Dhaene, Geert & Gouriéroux, Christian & Scaillet, Olivier - Option Pricing with Discrete Rebalancing (RePEc:ctl:louvir:1999029)
by Prigent, J.-L. & Renault, O. & Scaillet, O. - Sensitivity Analysis of Values at Risk (RePEc:ctl:louvir:2000002)
by Gouriéroux, Christian & Laurent, J.P. & Scaillet, Olivier - Reversed Score and Likelihood Ratio Tests (RePEc:ctl:louvir:2000026)
by Dhaene, Geert & Scaillet, Olivier - An Empirical Investigation in Credit Spread Indices (RePEc:ctl:louvir:2000028)
by Prigent, J.-L. & Renault, O. & Scaillet, O. - Nonparametric Tests for Positive Quadrant Dependence (RePEc:ctl:louvir:2001009)
by DENUIT, Michel & SAILLET, Olivier - Density Estimation Using Inverse and Reciprocal Inverse Guassian Kernels (RePEc:ctl:louvir:2001017)
by Olivier SCAILLET - Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases (RePEc:ctl:louvir:2003004)
by Paolo, BATTOCCHIO & Francesco, MENONCIN & Olivier, SCAILLET - Testing for Concordance Ordering (RePEc:cup:astinb:v:34:y:2004:i:01:p:151-173_01)
by Cebrián, Ana C. & Denuit, Michel & Scaillet, Olivier - Quasi-Indirect Inference For Diffusion Processes (RePEc:cup:etheor:v:14:y:1998:i:02:p:161-186_14)
by Broze, Laurence & Scaillet, Olivier & Zakoïan, Jean-Michel - Consistency Of Asymmetric Kernel Density Estimators And Smoothed Histograms With Application To Income Data (RePEc:cup:etheor:v:21:y:2005:i:02:p:390-412_05)
by Bouezmarni, Taoufik & Scaillet, Olivier - Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps (RePEc:cup:jfinqa:v:55:y:2020:i:1:p:331-356_10)
by Cosma, Antonio & Galluccio, Stefano & Pederzoli, Paola & Scaillet, Olivier - Time-Varying Risk Premia in Large International Equity Markets (RePEc:ebg:heccah:1250)
by Langlois, Hugues & Chaieb, Ines & Scaillet, O. - Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators (RePEc:ecj:ac2004:25)
by Matthias Hagmann & Olivier Scaillet - Instrumental Models and Indirect Encompassing (RePEc:ecm:emetrp:v:66:y:1998:i:3:p:673-688)
by Geert Dhaene & Christian Gourieroux & Olivier Scaillet - Nonparametric Instrumental Variable Estimation of Structural Quantile Effects (RePEc:ecm:emetrp:v:80:y:2012:i:4:p:1533-1562)
by Patrick Gagliardini & Olivier Scaillet - Sensitivity Analysis of Values at Risk (RePEc:ecm:wc2000:0162)
by Christian Gourieroux & J. P. Laurent & Olivier Scaillet - Reversed Score and Likelihood Ratio Tests (RePEc:ecm:wc2000:1746)
by Geert Dhaene & Olivier Scaillet - A fast subsampling method for nonlinear dynamic models (RePEc:eee:econom:v:133:y:2006:i:2:p:557-578)
by Hong, H. & Scaillet, O. - Semiparametric methods in econometrics (RePEc:eee:econom:v:141:y:2007:i:1:p:1-4)
by Fernandes, Marcelo & Linton, Oliver & Scaillet, Olivier - Local multiplicative bias correction for asymmetric kernel density estimators (RePEc:eee:econom:v:141:y:2007:i:1:p:213-249)
by Hagmann, M. & Scaillet, O. - Robust subsampling (RePEc:eee:econom:v:167:y:2012:i:1:p:197-210)
by Camponovo, Lorenzo & Scaillet, Olivier & Trojani, Fabio - Tikhonov regularization for nonparametric instrumental variable estimators (RePEc:eee:econom:v:167:y:2012:i:1:p:61-75)
by Gagliardini, Patrick & Scaillet, Olivier - A diagnostic criterion for approximate factor structure (RePEc:eee:econom:v:212:y:2019:i:2:p:503-521)
by Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier - Spanning tests for Markowitz stochastic dominance (RePEc:eee:econom:v:217:y:2020:i:2:p:291-311)
by Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas - A higher-order correct fast moving-average bootstrap for dependent data (RePEc:eee:econom:v:235:y:2023:i:1:p:65-81)
by La Vecchia, Davide & Moor, Alban & Scaillet, Olivier - A penalized two-pass regression to predict stock returns with time-varying risk premia (RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002147)
by Bakalli, Gaetan & Guerrier, Stéphane & Scaillet, Olivier - Option pricing with discrete rebalancing (RePEc:eee:empfin:v:11:y:2004:i:1:p:133-161)
by Prigent, Jean-Luc & Renault, Olivier & Scaillet, Olivier - Testing for continuous-time models of the short-term interest rate (RePEc:eee:empfin:v:2:y:1995:i:3:p:199-223)
by Broze, Laurence & Scaillet, Olivier & Zakoian, Jean-Michel - Sensitivity analysis of Values at Risk (RePEc:eee:empfin:v:7:y:2000:i:3-4:p:225-245)
by Gourieroux, C. & Laurent, J. P. & Scaillet, O. - Unemployment insurance and mortgages (RePEc:eee:insuma:v:20:y:1997:i:3:p:173-195)
by Gourieroux, C. & Scaillet, O. - Testing for threshold effect in ARFIMA models: Application to US unemployment rate data (RePEc:eee:intfor:v:25:y:2009:i:2:p:418-428)
by Lahiani, A. & Scaillet, O. - On the way to recovery: A nonparametric bias free estimation of recovery rate densities (RePEc:eee:jbfina:v:28:y:2004:i:12:p:2915-2931)
by Renault, Olivier & Scaillet, Olivier - Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements (RePEc:eee:jbfina:v:29:y:2005:i:4:p:927-958)
by Fermanian, Jean-David & Scaillet, Olivier - Technical trading revisited: False discoveries, persistence tests, and transaction costs (RePEc:eee:jfinec:v:106:y:2012:i:3:p:473-491)
by Bajgrowicz, Pierre & Scaillet, Olivier - Factors and risk premia in individual international stock returns (RePEc:eee:jfinec:v:141:y:2021:i:2:p:669-692)
by Chaieb, Ines & Langlois, Hugues & Scaillet, Olivier - Pricing American options under stochastic volatility and stochastic interest rates (RePEc:eee:jfinec:v:98:y:2010:i:1:p:145-159)
by Medvedev, Alexey & Scaillet, Olivier - Testing for equality between two copulas (RePEc:eee:jmvana:v:100:y:2009:i:3:p:377-386)
by Rémillard, Bruno & Scaillet, Olivier - Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters (RePEc:eee:jmvana:v:98:y:2007:i:3:p:533-543)
by Scaillet, Olivier - An auto-regressive conditional binomial option pricing model (RePEc:ehl:lserod:119095)
by Prigent, Jean-Luc & Renault, Olivier & Scaillet, Olivier - Sensitivity analysis of values at risk (RePEc:ema:worpap:2000-04)
by C. Gourieroux & J.P. Laurent & O. Scaillet - Weak Convergence of Hedging Strategies of Contingent Claims (RePEc:ema:worpap:2000-50)
by J.L. Prigent & O. Scaillet - An Empirical Estimation in Credit Spread Indices (RePEc:ema:worpap:2000-51)
by J.L. Prigent & O. Renault & O.Scaillet - Density Estimation Using Inverse and Reciprocal Inverse Gaussian Kernels (RePEc:ema:worpap:2001-24)
by O. Scaillet - Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases (RePEc:ema:worpap:2003-28)
by Paolo Battocchio & Francesco Menoncin & Olivier Scaillet - Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility (RePEc:ema:worpap:2003-29)
by Olivier Scaillet. - Convergence of discrete time options pricing models under stochastic (RePEc:ema:worpap:97-34)
by J. P. Lesne & J. L. Prigent & O. Scaillet - An autoregressive conditional binomial option pricing model under stochastic rates (RePEc:ema:worpap:99-40)
by J.L. Prigent & O. Renault & O. Scaillet. - Option pricing with discrete rebalancing (RePEc:ema:worpap:99-41)
by J.L. Prigent & O. Renault & O. Scaillet. - Unknown item RePEc:eme:mf0000:03074350610652260 (article)
- Mortality Risk and Real Optimal Asset Allocation for Pension Funds (RePEc:fam:rpseri:rp101)
by Francesco Menoncin & Olivier Scaillet - Theory and Calibration of Swap Market Models (RePEc:fam:rpseri:rp107)
by S.Galluccio & Z. Huang & J.-M. Ly & O. Scaillet - Some Statistical Pitfalls In Copula Modeling For Financial Applications (RePEc:fam:rpseri:rp108)
by Jean-David FERMANIAN & Olivier SCAILLET - Nonparametric Estimation of Conditional Expected Shortfall (RePEc:fam:rpseri:rp112)
by Olivier SCAILLET - A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence (RePEc:fam:rpseri:rp128)
by Olivier Scaillet - A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives (RePEc:fam:rpseri:rp143)
by Michel Denuit & Anne-Cécile Goderniaux & Olivier Scaillet - Multiariate Wavelet-based sahpe preserving estimation for dependant observation (RePEc:fam:rpseri:rp144)
by Antonio Cosma & Olivier Scaillet & Rainer von Sachs - Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters (RePEc:fam:rpseri:rp145)
by Olivier Scaillet - Testing for Stochastic Dominance Efficiency (RePEc:fam:rpseri:rp154)
by Olivier Scaillet & Nikolas Topaloglou - A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements (RePEc:fam:rpseri:rp159)
by Philippe HUBER & Olivier SCAILLET & Maria-Pia VICTORIA-FESER - False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas (RePEc:fam:rpseri:rp163)
by Laurent BARRAS & Olivier SCAILLET & Russ WERMERS - Weak Convergence of Hedging Strategies of Contingent Claims (RePEc:fam:rpseri:rp39)
by Jean-Luc PRIGENT & Olivier SCAILLET - Testing for Concordance Ordering (RePEc:fam:rpseri:rp41)
by Ana C. CEBRIÁN & Michel DENUIT & Olivier SCAILLET - Nonparametric Tests Dependence For Positive Quadrant (RePEc:fam:rpseri:rp44)
by Michel DENUIT & Olivier SCAILLET - Option Pricing with Discrete Rebalancing (RePEc:fam:rpseri:rp55)
by Jean-Luc PRIGENT & Olivier RENAULT & Olivier SCAILLET - Nonparametric Estimation of Copulas for Time Series (RePEc:fam:rpseri:rp57)
by Jean-David FERMANIAN & Olivier SCAILLET - Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases (RePEc:fam:rpseri:rp66)
by Paolo Battocchio & Francesco Menoncin & Olivier Scaillet - Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility (RePEc:fam:rpseri:rp67)
by Peng Cheng & Olivier Scaillet - On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities (RePEc:fam:rpseri:rp83)
by Olivier RENAULT & Olivier SCAILLET - Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements (RePEc:fam:rpseri:rp89)
by Jean-David FERMANIAN & Olivier SCAILLET - Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators (RePEc:fam:rpseri:rp91)
by Matthias HAGMANN & Olivier SCAILLET - A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics (RePEc:fam:rpseri:rp93)
by Alexey MEDVEDEV & Olivier SCAILLET - An Empirical Investigation in Credit Spread Indices (RePEc:fmg:fmgdps:dp363)
by Olivier Scaillet & Olivier Renault & Jean-Luc Prigent - An Autoregressive Conditional Binomial Option Pricing Model (RePEc:fmg:fmgdps:dp364)
by Olivier Renault & Jean-Luc Prigent & Olivier Scaillet - A fast Subsampling Method for Nonlinear Dynamic Models (RePEc:fth:ehecge:2001.09)
by Hong, H. & Scaillet, O. & Tamer, E. - Convergence of Discrete Time Options Pricing Models under Stochastic Rates (RePEc:fth:pnegmi:9734)
by Lesne, J.P. & Prigent, J.L. & Scaillet, O. - Spanning tests for markowitz stochastic dominance (RePEc:gnv:wpgsem:unige:102836)
by Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas - The Cross-Sectional Distribution of Fund Skill Measures (RePEc:gnv:wpgsem:unige:110006)
by Barras, Laurent & Gagliardini, Patrick & Scaillet, Olivier - Estimation of large dimensional conditional factor models in finance (RePEc:gnv:wpgsem:unige:125031)
by Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier - A higher-order correct fast moving-average bootstrap for dependent data (RePEc:gnv:wpgsem:unige:129395)
by La Vecchia, Davide & Moor, Alban & Scaillet, Olivier - Spanning analysis of stock market anomalies under prospect stochastic dominance (RePEc:gnv:wpgsem:unige:134101)
by Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas - Backtesting marginal expected shortfalland related systemic risk measures (RePEc:gnv:wpgsem:unige:134136)
by Banulescu-Radu, Denisa & Hurlin, Christophe & Leymarie, Jeremy & Scaillet, Olivier - Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets (RePEc:gnv:wpgsem:unige:138414)
by Li, Chenxu & Scaillet, Olivier & Shen, Yiwen - Skill, scale, and value creation in the mutual fund industry (RePEc:gnv:wpgsem:unige:150822)
by Barras, Laurent & Scaillet, Olivier & Gagliardini, Patrick - Nonparametric estimation of copulas for time series (RePEc:gnv:wpgsem:unige:41797)
by Fermanian, Jean-David & Scaillet, Olivier - Valuing American options using fast recursive projections (RePEc:gnv:wpgsem:unige:41856)
by Cosma, Antonio & Galluccio, Stefano & Scaillet, Olivier - Time-varying risk premium in large cross-sectional equity datasets (RePEc:gnv:wpgsem:unige:76321)
by Ossola, Elisa & Gagilardini, Patrick & Scaillet, Olivier - Valuing American options using fast recursive projections (RePEc:gnv:wpgsem:unige:82087)
by Cosma, Antonio & Galluccio, Stefano & Pederzoli, Paola & Scaillet, Olivier - Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy (RePEc:gnv:wpgsem:unige:84999)
by Scaillet, Olivier & Trojani, Fabio & Camponovo, Lorenzo - High-frequency jump analysis of the bitcoin market (RePEc:gnv:wpgsem:unige:93900)
by Scaillet, Olivier & Treccani, Adrien & Trevisan, Christopher - Non-Standard Errors (RePEc:grz:wpsses:2021-08)
by Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-DÃaz & Menachem Abudy & To - Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures (RePEc:hal:journl:hal-03526444)
by Denisa Banulescu-Radu & Christophe Hurlin & Jérémy Leymarie & Olivier Scaillet - Sensitivity analysis of Values at Risk (RePEc:hal:journl:hal-03676327)
by Christian Gourieroux & Jean-Paul Laurent & Olivier Scaillet - Convergence of discrete time option pricing models under stochastic interest rates (RePEc:hal:journl:hal-03679673)
by J.-P. Lesne & Jean-Luc Prigent & O. Scaillet - Option pricing with discrete rebalancing (RePEc:hal:journl:hal-03679686)
by Jean-Luc Prigent & Olivier Renault & Olivier Scaillet - A penalized two-pass regression to predict stock returns with time-varying risk premia (RePEc:hal:journl:hal-04325655)
by Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet - Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures (RePEc:hal:wpaper:halshs-03088668)
by Denisa Banulescu & Christophe Hurlin & Jeremy Leymarie & Olivier Scaillet - Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News (RePEc:inm:ormnsc:v:62:y:2016:i:8:p:2198-2217)
by Pierre Bajgrowicz & Olivier Scaillet & Adrien Treccani - Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures (RePEc:inm:ormnsc:v:67:y:2021:i:9:p:5730-5754)
by Denisa Banulescu-Radu & Christophe Hurlin & Jérémy Leymarie & Olivier Scaillet - Non-Standard Errors (RePEc:inn:wpaper:2021-31)
by Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Díaz & Menachem Abudy & Tobi - Valuing American options using fast recursive projections (RePEc:luc:wpaper:15-20)
by Antonio Cosma & Stefano Galluccio & Paola Pederzoli & Olivier Scaillet - Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy (RePEc:oup:jfinec:v:15:y:2017:i:3:p:377-387.)
by Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani - Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy (RePEc:oup:jfinec:v:15:y:2017:i:3:p:505-505.)
by Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani - High-Frequency Jump Analysis of the Bitcoin Market (RePEc:oup:jfinec:v:18:y:2020:i:2:p:209-232.)
by Olivier Scaillet & Adrien Treccani & Christopher Trevisan - Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility (RePEc:oup:rfinst:v:20:y:2007:i:2:p:427-459.)
by Alexey Medvedev & Olivier Scaillet - Estimation de modèles de la structure par terme des taux d'intérêt (RePEc:prs:reveco:reco_0035-2764_1996_num_47_3_409787)
by Laurence Broze & Olivier Scaillet & Jean-Michel Zakoïan & Claude Jessua - Hedge Fund Managers: Luck and Dynamic Assessment (RePEc:rbq:journl:i:129:p:28-38)
by Gilles Criton & Olivier Scaillet - Testing foe Stochastic Dominance Efficiency (RePEc:sce:scecfa:74)
by Nikolas Topaloglou & Olivier Scaillet & University of Geneva - False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas (RePEc:sol:wpaper:05-014)
by Olivier Scaillet & Laurent Barras & Russell R. Wermers - Testing for symmetry and conditional symmetry using asymmetric kernels (RePEc:spr:aistmt:v:67:y:2015:i:4:p:649-671)
by Marcelo Fernandes & Eduardo Mendes & Olivier Scaillet - Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases (RePEc:spr:annopr:v:152:y:2007:i:1:p:141-165:10.1007/s10479-006-0144-2)
by Paolo Battocchio & Francesco Menoncin & Olivier Scaillet - Path dependent options on yields in the affine term structure model (RePEc:spr:finsto:v:2:y:1998:i:4:p:349-367)
by Olivier Scaillet & Boris Leblanc - A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary (RePEc:spr:finsto:v:4:y:2000:i:1:p:109-111)
by O. Renault & O. Scaillet & B. Leblanc - Convergence of discrete time option pricing models under stochastic interest rates (RePEc:spr:finsto:v:4:y:2000:i:1:p:81-93)
by O. Scaillet & J.-L. Prigent & J.-P. Lesne - A Primer on Weather Derivatives (RePEc:spr:isochp:978-1-4419-1129-2_5)
by Pauline Barrieu & Olivier Scaillet - Predictability Hidden by Anomalous Observations (RePEc:sur:surrec:0418)
by Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani - Compound and exchange options in the affine term structure model (RePEc:taf:apmtfi:v:3:y:1996:i:1:p:75-92)
by O. Scaillet - Saddlepoint Approximations for Spatial Panel Data Models (RePEc:taf:jnlasa:v:118:y:2023:i:542:p:1164-1175)
by Chaonan Jiang & Davide La Vecchia & Elvezio Ronchetti & Olivier Scaillet - Econométrie de la Finance: approches historiques (RePEc:ulb:ulbeco:2013/651)
by Christian Gourieroux & Olivier Scaillet & Ariane Szafarz - Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets (RePEc:wly:emetrp:v:84:y:2016:i::p:985-1046)
by Patrick Gagliardini & Elisa Ossola & Olivier Scaillet - On ill‐posedness of nonparametric instrumental variable regression with convexity constraints (RePEc:wly:emjrnl:v:19:y:2016:i:2:p:232-236)
by Olivier Scaillet - False discoveries in mutual fund performance: Measuring luck in estimated alphas (RePEc:zbw:cfrwps:0602)
by Barras, Laurent & Scaillet, Olivier & Wermers, Russ