Feedback to SSRN

 
  • Selected
  • Entire List
 

Scaillet, O.


 SSRN Author Rank: 939 by Downloads
 Professor of Finance and Statistics
 

University of Geneva GSEM and GFRI


 40 Boulevard du Pont d'Arve
 Geneva 4, 1211
 Switzerland
 + 41 22 379 88 16 (Phone)
 +41 22 389 81 04 (Fax)
 HOME PAGE: http://www.scaillet.ch
 email address
 

Swiss Finance Institute


 40, Boulevard du Pont-d'Arve
 Case Postale 3
 1211 Geneva 4, CH-6900
 Switzerland

  SSRN's personal information usage policy
Authors: If anything on this page requires updating or correction, please go to your SSRN User HeadQuarters and make the change.
The RSS feed for this author will notify you of all new papers and revisions as soon as they are added to the SSRN eLibrary.
Popular RSS readers
. Scaillet, O.'s Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
17,352
Total
Citations
292
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas | Show Abstract | Download This Paper |
Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 08-18, Robert H. Smith School Research Paper No. RHS 06-043
Number of Pages in PDF File: 53
Barras, Laurent
McGill University - Desautels Faculty of Management
Scaillet, O.
University of Geneva GSEM and GFRI
Wermers, Russ
University of Maryland - Robert H. Smith School of Business
Posted:
05 Mar 08
Last Revised:
03 Feb 11
4,773
(806)
76

2.  
Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs | Show Abstract | Download This Paper |
EFA 2008 Athens Meetings Paper, Swiss Finance Institute Research Paper No. 08-05
Number of Pages in PDF File: 61
Bajgrowicz, Pierre
University of Geneva - Graduate School of Business (HEC-Geneva)
Scaillet, O.
University of Geneva GSEM and GFRI
Posted:
19 Mar 08
Last Revised:
25 Jan 12
1,434
(6,704)
8

3.   Incl. Electronic Paper
Galluccio, Stefano
BNP Paribas Fixed Income
Scaillet, O.
University of Geneva GSEM and GFRI
Huang, Zhijiang
JP Morgan
Ly, Jean-Michel
BNP Paribas Fixed Income
Posted:
27 Feb 05
Last Revised:
24 Sep 07
1,152
(9,631)
10

4.  
Nonparametric Estimation of Copulas for Time Series | Show Abstract | Download This Paper |
FAME Research Paper No. 57
Number of Pages in PDF File: 37
Scaillet, O.
University of Geneva GSEM and GFRI
Fermanian, Jean-David
Ensae-Crest
Posted:
12 Mar 03
948
(13,067)
16

5.  
Pricing American Options under Stochastic Volatility and Stochastic Interest Rates | Show Abstract | Download This Paper |
Swiss Finance Institute Research Paper No. 07-25
Number of Pages in PDF File: 34
Medvedev, Alexey
Lombard Odier & Cie
Scaillet, O.
University of Geneva GSEM and GFRI
Posted:
01 Mar 07
Last Revised:
21 Sep 09
926
(13,540)
7

6.  
Fermanian, Jean-David
Ensae-Crest
Scaillet, O.
University of Geneva GSEM and GFRI
Posted:
28 Jun 04
795
(17,085)
7

7.   Incl. Electronic Paper
Medvedev, Alexey
Lombard Odier & Cie
Scaillet, O.
University of Geneva GSEM and GFRI
Posted:
21 Jun 06
Last Revised:
29 Jul 10
565
(27,654)
18

8.  
Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility | Show Abstract | Download This Paper |
EFA 2003 Annual Conference Paper No. 163; FAME Research Paper Series
Number of Pages in PDF File: 60
Cheng, Peng
FAME
Scaillet, O.
University of Geneva GSEM and GFRI
Posted:
16 May 03
461
(36,172)
13

9.  
Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News | Show Abstract | Download This Paper |
Swiss Finance Institute Research Paper No. 11-36
Number of Pages in PDF File: 45
Bajgrowicz, Pierre
University of Geneva - Graduate School of Business (HEC-Geneva)
Scaillet, O.
University of Geneva GSEM and GFRI
Treccani, Adrien
University of Geneva
Posted:
15 Feb 09
Last Revised:
06 Mar 15
444
(38,043)
2

10.  
Battocchio, Paolo
Catholic University of Louvain (UCL) - Institut de Recherches Economiques et Sociales (IRES)
Menoncin, Francesco
University of Brescia - Department of Economics
Scaillet, O.
University of Geneva GSEM and GFRI
Posted:
30 May 03
436
(38,830)
2

11.  
Renault, Olivier
University of Warwick Business School - Financial Econometrics Research Centre
Scaillet, O.
University of Geneva GSEM and GFRI
Posted:
10 Jun 03
386
(45,137)
11

12.  
Medvedev, Alexey
Lombard Odier & Cie
Scaillet, O.
University of Geneva GSEM and GFRI
Posted:
14 Dec 03
382
(45,694)
9

13.  
Option Pricing with Discrete Rebalancing | Show Abstract | Download This Paper |
FAME Research Paper No. 55
Number of Pages in PDF File: 40
Scaillet, O.
University of Geneva GSEM and GFRI
Prigent, Jean-Luc
University of Cergy-Pontoise - ThEMA
Renault, Olivier
University of Warwick Business School - Financial Econometrics Research Centre
Posted:
25 Mar 03
338
(53,006)
 

14.  
Fermanian, Jean-David
Ensae-Crest
Scaillet, O.
University of Geneva GSEM and GFRI
Posted:
17 Sep 03
324
(55,748)
3

15.  
Testing for Equality between Two Copulas | Show Abstract | Download This Paper |
Swiss Finance Institute Research Paper No. 07-24
Number of Pages in PDF File: 24
Remillard, Bruno
HEC Montreal
Scaillet, O.
University of Geneva GSEM and GFRI
Posted:
24 Sep 07
271
(68,271)
5

16.  
Local Transformation Kernel Density Estimation of Loss Distributions | Show Abstract | Download This Paper |
Swiss Finance Institute Research Paper No. 32
Number of Pages in PDF File: 37
Gustafsson, Jim
affiliation not provided to SSRN
Hagmann-von Arx, Matthias
University of Lausanne - Institute of Banking & Finance (IBF)
Scaillet, O.
University of Geneva GSEM and GFRI
Nielsen, Jens Perch
City University London - Cass Business School
Posted:
26 Nov 06
Last Revised:
17 Jul 08
270
(68,531)
2

17.  
Time-Varying Risk Premium in Large Cross-Sectional Equity Datasets | Show Abstract | Download This Paper |
Swiss Finance Institute Research Paper No. 11-40
Number of Pages in PDF File: 82
Gagliardini, Patrick
University of Lugano and Swiss Finance Institute
Ossola, Elisa
University of Lugano
Scaillet, O.
University of Geneva GSEM and GFRI
Posted:
18 Mar 11
Last Revised:
20 Oct 14
245
(76,334)
1

18.  
Robust Resampling Methods for Time Series | Show Abstract | Download This Paper |
Swiss Finance Institute Research Paper No. 09-38
Number of Pages in PDF File: 49
Camponovo, Lorenzo
University of St. Gallen
Scaillet, O.
University of Geneva GSEM and GFRI
Trojani, Fabio
University of Lugano
Posted:
14 Oct 09
Last Revised:
27 Jan 13
241
(77,343)
3

19.  
Huber, Philippe
University of Geneva - HEC
Scaillet, O.
University of Geneva GSEM and GFRI
Victoria-Feser, Maria-Pia
University of Geneva - HEC
Posted:
28 Nov 05
233
(80,115)
 

20.  
Testing for Threshold Effect in ARFIMA Models: Application to US Unemployment Rate Data | Show Abstract | Download This Paper |
Swiss Finance Institute Research Paper No. 08-42
Number of Pages in PDF File: 21
Lahiani, Amine
Université Paris Ouest - Nanterre, La Défense - EconomiX
Scaillet, O.
University of Geneva GSEM and GFRI
Posted:
09 Dec 08
Last Revised:
23 Dec 08
218
(85,871)
 

21.  
Tikhonov Regularization for Nonparametric Instrumental Variable Estimators | Show Abstract | Download This Paper |
Swiss Finance Institute Research Paper 06-30
Number of Pages in PDF File: 62
Gagliardini, Patrick
University of Lugano and Swiss Finance Institute
Scaillet, O.
University of Geneva GSEM and GFRI
Posted:
26 Nov 06
Last Revised:
23 Aug 11
198
(94,560)
5

22.  
Robust Subsampling | Show Abstract | Download This Paper |
Swiss Finance Institute Research Paper No. 06-33
Number of Pages in PDF File: 52
Camponovo, Lorenzo
University of St. Gallen
Scaillet, O.
University of Geneva GSEM and GFRI
Trojani, Fabio
University of Lugano
Posted:
26 Nov 06
Last Revised:
11 Aug 11
187
(99,740)
5

23.  
Nonparametric Instrumental Variable Estimators of Structural Quantile Effects | Show Abstract | Download This Paper |
Swiss Finance Institute Research Paper No. 08-03
Number of Pages in PDF File: 32
Chernozhukov, Victor
Massachusetts Institute of Technology (MIT) - Department of Economics
Scaillet, O.
University of Geneva GSEM and GFRI
Gagliardini, Patrick
University of Lugano and Swiss Finance Institute
Posted:
04 Feb 08
Last Revised:
07 Sep 11
185
(100,770)
5

24.  
Scaillet, O.
University of Geneva GSEM and GFRI
Posted:
13 Sep 05
177
(105,106)
3

25.  
Topaloglou, Nikolas L.
HEC Genève
Scaillet, O.
University of Geneva GSEM and GFRI
Posted:
15 Sep 05
166
(111,452)
4

26.  
A Specification Test for Nonparametric Instrumental Variable Regression | Show Abstract | Download This Paper |
Swiss Finance Institute Research Paper No. 07-13
Number of Pages in PDF File: 49
Gagliardini, Patrick
University of Lugano and Swiss Finance Institute
Scaillet, O.
University of Geneva GSEM and GFRI
Posted:
11 May 07
Last Revised:
21 Oct 08
155
(118,432)
6

27.  
Huber, Philippe
University of Geneva - HEC
Scaillet, O.
University of Geneva GSEM and GFRI
Victoria-Feser, Maria-Pia
University of Geneva - HEC
Posted:
23 Dec 08
141
(128,404)
1

28.  
Scaillet, O.
University of Geneva GSEM and GFRI
Posted:
20 Feb 05
137
(131,473)
5

29.  
Cosma, Antonio
Université du Luxembourg
Scaillet, O.
University of Geneva GSEM and GFRI
von Sachs, Rainer
Catholic University of Louvain - Department of Statistics
Posted:
01 Jun 05
136
(132,297)
 

30.  
Valuing American Options Using Fast Recursive Projections | Show Abstract | Download This Paper |
Swiss Finance Institute Research Paper No. 12-26
Number of Pages in PDF File: 49
Cosma, Antonio
Université du Luxembourg
Galluccio, Stefano
BNP Paribas Fixed Income
Scaillet, O.
University of Geneva GSEM and GFRI
Posted:
25 Jun 12
Last Revised:
26 Jun 12
127
(139,888)
 

31.   Incl. Electronic Paper
Denuit, Michel
Catholic University of Louvain
Scaillet, O.
University of Geneva GSEM and GFRI
Posted:
25 May 02
Last Revised:
29 Jul 10
122
(144,238)
6

32.  
Weak Convergence of Hedging Strategies of Contingent Claims | Show Abstract | Download This Paper |
FAME Research Paper Number 39
Number of Pages in PDF File: 35
Prigent, Jean-Luc
University of Cergy-Pontoise - ThEMA
Scaillet, O.
University of Geneva GSEM and GFRI
Posted:
25 May 02
120
(146,072)
1

33.  
Predictability Hidden by Anomalous Observations | Show Abstract | Download This Paper |
Swiss Finance Institute Research Paper No. 13-05
Number of Pages in PDF File: 62
Camponovo, Lorenzo
University of St. Gallen
Scaillet, O.
University of Geneva GSEM and GFRI
Trojani, Fabio
University of Lugano
Posted:
23 Mar 13
Last Revised:
05 Mar 14
108
(158,014)
1

34.  
Testing for Concordance Ordering | Show Abstract | Download This Paper |
FAME Research Paper No. 41
Number of Pages in PDF File: 42
Cebrian, Ana C.
University of Zaragoza
Denuit, Michel
Catholic University of Louvain
Scaillet, O.
University of Geneva GSEM and GFRI
Posted:
24 May 02
108
(158,014)
2

35.  
Scaillet, O.
University of Geneva GSEM and GFRI
Posted:
31 May 05
104
(162,357)
3

36.  
Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels | Show Abstract | Download This Paper |
Swiss Finance Institute Research Paper No. 11-32
Number of Pages in PDF File: 32
Fernandes, Marcelo
Queen Mary University of London - Economics Department
Scaillet, O.
University of Geneva GSEM and GFRI
Mendes, Eduardo F.
Northwestern University
Posted:
22 Aug 11
Last Revised:
16 Apr 14
69
(209,980)
1

37.  
Denuit, Michel
Catholic University of Louvain
Scaillet, O.
University of Geneva GSEM and GFRI
Goderniaux, Anne-Cécile
Independent
Posted:
20 May 05
67
(213,306)
 

38.  
Camponovo, Lorenzo
University of St. Gallen
Scaillet, O.
University of Geneva GSEM and GFRI
Trojani, Fabio
University of Lugano
Posted:
12 Jun 12
64
(218,546)
1

39.  
Recovering Nonlinear Dynamics from Option Prices | Show Abstract | Download This Paper |
Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of Pages in PDF File: 34
Gonzalez, Raul
University of Geneva
Scaillet, O.
University of Geneva GSEM and GFRI
Engulatov, Alexandre
affiliation not provided to SSRN
Posted:
14 Oct 11
60
(226,058)
 

40.  
Hagmann-von Arx, Matthias
University of Lausanne - Institute of Banking & Finance (IBF)
Scaillet, O.
University of Geneva GSEM and GFRI
Baker Moussaoui, Adrienne
Amherst College
Posted:
30 Jun 04
57
(231,929)
3

41.  
Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall | Show Abstract | Add to Cart |
Mathematical Finance, Vol. 14, pp. 115-129, January 2004
Number of Pages in PDF File: 15
Scaillet, O.
University of Geneva GSEM and GFRI
Posted:
21 Mar 04
13
(369,034)
19

42.  
Linear-Quadratic Jump-Diffusion Modeling | Show Abstract | Add to Cart |
Mathematical Finance, Vol. 17, No. 4, pp. 575-598, October 2007
Number of Pages in PDF File: 24
Scaillet, O.
University of Geneva GSEM and GFRI
Cheng, Peng
Barclays Capital
Posted:
14 Sep 07
9
(387,005)
28

43.  
Chesher, Andrew
University College London - Department of Economics
Scaillet, O.
University of Geneva GSEM and GFRI
Dhaene, G.
Université de Mons-Hainaut
Gourieroux, Christian
University of Toronto - Department of Economics
Posted:
04 May 00
 

44.  
Leblanc, Boris
Banque Nationale de Paris
Scaillet, O.
University of Geneva GSEM and GFRI
Renault, Olivier
University of Warwick Business School - Financial Econometrics Research Centre
Posted:
15 Jan 00
 


Records 1 - 44 of 44 matches
[ 1 ]

© 2015 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo4 in 0.560 seconds