Olivier Scaillet

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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
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
Fabio TrojaniProfessor of Finance (University of Geneva), AXA Chair (University of Turin), Senior Chair (SFI)Verified email at alphacruncher.com
Jean-Paul LaurentProfessor, University Paris 1 Panthéon - SorbonneVerified email at univ-paris1.fr
Antonio COSMAAssociate professorVerified email at unibg.it
Ines ChaiebUniversity of Geneva and Swiss Finance InstituteVerified email at unige.ch
Hugues LangloisHEC ParisVerified email at hec.fr
Bruno N. RemillardProfessor, HEC MontrealVerified email at hec.ca
Michel DenuitISBA, LIDAM, UCLouvainVerified email at uclouvain.be
Francesco MenoncinUniversity of BresciaVerified email at unibs.it
Arthur CharpentierUniversité du Québec à MontréalVerified email at uqam.ca
Pauline BarrieuStatistics department, London School of EconomicsVerified email at lse.ac.uk
Taoufik BouezmarniUniversité de SherbrookeVerified email at USherbrooke.ca
Jens Perch NielsenProfessor of Actuarial Science, Cass Business SchoolVerified email at city.ac.uk
Gaetan BakalliEmlyon Business SchoolVerified email at em-lyon.com

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	1090	2010
Sensitivity analysis of values at risk C Gourieroux, JP Laurent, O Scaillet Journal of empirical finance 7 (3-4), 225-245, 2000	590	2000
Nonparametric estimation and sensitivity analysis of expected shortfall O Scaillet Mathematical Finance: An International Journal of Mathematics, Statistics …, 2004	384	2004
Technical trading revisited: False discoveries, persistence tests, and transaction costs P Bajgrowicz, O Scaillet Journal of Financial Economics, 2012	346	2012
Nonparametric estimation of copulas for time series O Scaillet, JD Fermanian FAME Research paper, 2002	332	2002
Time‐varying risk premium in large cross‐sectional equity data sets P Gagliardini, E Ossola, O Scaillet Econometrica 84 (3), 985-1046, 2016	302	2016
Testing for equality between two copulas B Rémillard, O Scaillet Journal of Multivariate Analysis 100 (3), 377-386, 2009	262	2009
The estimation of copulas: Theory and practice A Charpentier, JD Fermanian, O Scaillet Copulas: From theory to application in finance 35, 2007	246	2007
Density estimation using inverse and reciprocal inverse Gaussian kernels O Scaillet Nonparametric statistics 16 (1-2), 217-226, 2004	235	2004
LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING P Cheng, O Scaillet Mathematical Finance 17 (4), 575-598, 2007	221*	2007
High-frequency jump analysis of the bitcoin market O Scaillet, A Treccani, C Trevisan Journal of Financial Econometrics 18 (2), 209-232, 2020	174	2020
Jumps in high-frequency data: Spurious detections, dynamics, and news P Bajgrowicz, O Scaillet, A Treccani Management Science 62 (8), 2198-2217, 2016	173	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	169*	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	161	2004
Nonparametric estimation of conditional expected shortfall O Scaillet Assurances et gestion des risques 72 (4), 639-660, 2005	154	2005
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	150	1995
A Kolmogorov‐Smirnov type test for positive quadrant dependence O Scaillet Canadian Journal of Statistics 33 (3), 415-427, 2005	143	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	143	2005
Some statistical pitfalls in copula modeling for financial applications JD Fermanian, O Scaillet Capital formation, governance and banking, 57-72, 2005	135	2005
Testing for stochastic dominance efficiency O Scaillet, N Topaloglou Journal of Business & Economic Statistics 28 (1), 169-180, 2010	116	2010

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