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Olivier Scaillet
Olivier Scaillet
Professor of Finance and Statistics, University of Geneva (GSEM) and Swiss Finance Institute
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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
10922010
Sensitivity analysis of values at risk
C Gourieroux, JP Laurent, O Scaillet
Journal of empirical finance 7 (3-4), 225-245, 2000
5762000
Nonparametric estimation and sensitivity analysis of expected shortfall
O Scaillet
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2004
3872004
Technical trading revisited: False discoveries, persistence tests, and transaction costs
P Bajgrowicz, O Scaillet
Journal of Financial Economics, 2012
3412012
Nonparametric estimation of copulas for time series
O Scaillet, JD Fermanian
FAME Research paper, 2002
3322002
Time‐varying risk premium in large cross‐sectional equity data sets
P Gagliardini, E Ossola, O Scaillet
Econometrica 84 (3), 985-1046, 2016
3052016
Testing for equality between two copulas
B Rémillard, O Scaillet
Journal of Multivariate Analysis 100 (3), 377-386, 2009
2662009
The estimation of copulas: Theory and practice
A Charpentier, JD Fermanian, O Scaillet
Copulas: From theory to application in finance 35, 2007
2442007
Density estimation using inverse and reciprocal inverse Gaussian kernels
O Scaillet
Nonparametric statistics 16 (1-2), 217-226, 2004
2302004
LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
P Cheng, O Scaillet
Mathematical Finance 17 (4), 575-598, 2007
219*2007
High-frequency jump analysis of the bitcoin market
O Scaillet, A Treccani, C Trevisan
Journal of Financial Econometrics 18 (2), 209-232, 2020
1772020
Jumps in high-frequency data: Spurious detections, dynamics, and news
P Bajgrowicz, O Scaillet, A Treccani
Management Science 62 (8), 2198-2217, 2016
1762016
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
170*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
1552004
Nonparametric estimation of conditional expected shortfall
O Scaillet
Assurances et gestion des risques 72 (4), 639-660, 2005
1522005
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
1511995
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
1442005
A Kolmogorov‐Smirnov type test for positive quadrant dependence
O Scaillet
Canadian Journal of Statistics 33 (3), 415-427, 2005
1432005
Some statistical pitfalls in copula modeling for financial applications
JD Fermanian, O Scaillet
Capital formation, governance and banking, 57-72, 2005
1372005
Testing for stochastic dominance efficiency
O Scaillet, N Topaloglou
Journal of Business & Economic Statistics 28 (1), 169-180, 2010
1152010
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