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Scaillet , O.'s
Scholarly Papers
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Total
Downloads
15,451 |
Total
Citations
276 |
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1.
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Barras, Laurent
McGill University - Desautels Faculty of Management Scaillet , O.
University of Geneva - HEC Wermers, Russ
University of Maryland - Robert H. Smith School of Business
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05 Mar 08
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Last Revised:
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03 Feb 11
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4,125
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73
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Mutual Fund Performance, Multiple-Hypothesis Test, Luck, False Discovery Rate
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2.
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Bajgrowicz, Pierre
University of Geneva - Graduate School of Business (HEC-Geneva) Scaillet , O.
University of Geneva - HEC
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19 Mar 08
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Last Revised:
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25 Jan 12
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1,260
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6
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Technical Trading, False Discovery Rate, Persistence, Transaction Costs
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3.
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Theory and Calibration of Swap Market Models
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Versions (2)
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Galluccio, Stefano
BNP Paribas Fixed Income Scaillet , O.
University of Geneva - HEC Huang, Zhijiang
affiliation not provided to SSRN Ly, Jean-Michel
BNP Paribas Fixed Income
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Posted:
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27 Feb 05
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Last Revised:
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24 Sep 07
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1,101
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10
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Galluccio, Stefano
BNP Paribas Fixed Income Ly, Jean-Michel
BNP Paribas Fixed Income Scaillet , O.
University of Geneva - HEC Huang, Z.
JP Morgan
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31
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Galluccio, Stefano
BNP Paribas Fixed Income Scaillet , O.
University of Geneva - HEC Huang, Zhijiang
affiliation not provided to SSRN Ly, Jean-Michel
BNP Paribas Fixed Income
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1,070
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10
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Swap market model, cap, swaption, calibration
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4.
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Scaillet , O.
University of Geneva - HEC Fermanian, Jean-David
CREST
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858
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17
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5.
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Medvedev, Alexey N.
University of Geneva - Graduate School of Business (HEC-Geneva) Scaillet , O.
University of Geneva - HEC
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01 Mar 07
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Last Revised:
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21 Sep 09
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808
(12,952)
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7
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American options, stochastic volatility, stochastic interest rates, asymptotic approximation.
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6.
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Fermanian, Jean-David
CREST Scaillet , O.
University of Geneva - HEC
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771
(13,939)
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7
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Copulas, dependence measures, risk management
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7.
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Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility
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Medvedev, Alexey N.
University of Geneva - Graduate School of Business (HEC-Geneva) Scaillet , O.
University of Geneva - HEC
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Posted:
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21 Jun 06
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Last Revised:
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29 Jul 10
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486
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17
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Medvedev, Alexey N.
University of Geneva - Graduate School of Business (HEC-Geneva) Scaillet , O.
University of Geneva - HEC
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0
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Medvedev, Alexey N.
University of Geneva - Graduate School of Business (HEC-Geneva) Scaillet , O.
University of Geneva - HEC
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486
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17
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Option pricing, stochastic volatility, asymptotic approximation, jump-diffusion
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8.
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Cheng, Peng
FAME Scaillet , O.
University of Geneva - HEC
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457
(28,723)
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14
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Linear-quadratic models, affine models, jump-diffusions, generalized Fourier transform, option pricing, stochastic volatility
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9.
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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 - HEC
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415
(32,592)
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2
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pension fund, mortality risk, asset allocation
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10.
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Medvedev, Alexey N.
University of Geneva - Graduate School of Business (HEC-Geneva) Scaillet , O.
University of Geneva - HEC
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365
(38,156)
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9
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Option pricing, stochastic volatility, asymptotic approximation, jump-diffusion
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11.
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Renault, Olivier
University of Warwick Business School - Financial Econometrics Research Centre Scaillet , O.
University of Geneva - HEC
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350
(40,157)
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10
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default, recovery, kernel estimation, credit risk
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12.
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Bajgrowicz, Pierre
University of Geneva - Graduate School of Business (HEC-Geneva) Scaillet , O.
University of Geneva - HEC
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| Posted: |
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15 Feb 09
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Last Revised:
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21 Sep 11
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344
(41,028)
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1
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Jumps, High-Frequency Data, Spurious Detections, Jumps Dynamics, News Releases, Cojumps
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13.
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Scaillet , O.
University of Geneva - HEC Prigent , Jean-Luc
University of Cergy-Pontoise - ThEMA Renault, Olivier
University of Warwick Business School - Financial Econometrics Research Centre
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333
(42,681)
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weak convergence, incomplete market, option pricing, minimal martin-gale measure, discrete rebalancing, marked point process
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14.
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Fermanian, Jean-David
CREST Scaillet , O.
University of Geneva - HEC
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309
(46,593)
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3
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Value at Risk, Expected Shortfall, Sensitivity, Risk Management, Credit Risk, Netting
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15.
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Gustafsson, Jim
affiliation not provided to SSRN Hagmann-von Arx, Matthias
University of Lausanne - Institute of Banking & Finance (IBF) Scaillet , O.
University of Geneva - HEC Nielsen, Jens Perch
City University London - Cass Business School
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26 Nov 06
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Last Revised:
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17 Jul 08
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260
(56,773)
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2
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Actuarial loss models, Transformation, Champernowne distribution, asymmetric kernels, local likelihood estimation
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16.
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Remillard, Bruno
HEC Montreal Scaillet , O.
University of Geneva - HEC
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245
(60,553)
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5
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Copula, Cramér-von Mises statistic, empiricalprocess, pseudo-observations, multipliercentrallimittheorem, p-value.
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17.
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Huber, Philippe
University of Geneva - HEC Scaillet , O.
University of Geneva - HEC Victoria-Feser, Maria-Pia
University of Geneva - HEC
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224
(66,632)
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structural equation model, latent variable, generalised linear model, factor analysis, multinomial logit, forecasts, LAMLE, canonical correlation
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18.
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Camponovo, Lorenzo
University of Saint Gallen Scaillet , O.
University of Geneva - HEC Trojani, Fabio
University of Lugano
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| Posted: |
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14 Oct 09
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Last Revised:
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27 Jan 13
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193
(77,524)
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1
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Subsampling, bootstrap, breakdown point, robustness, time series
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19.
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Gagliardini, Patrick
University of Lugano and Swiss Finance Institute Scaillet , O.
University of Geneva - HEC
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| Posted: |
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26 Nov 06
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Last Revised:
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23 Aug 11
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188
(79,505)
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5
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Nonparametric Estimation, Ill-posed Inverse Problems, Tikhonov Regularization, Endogeneity, Instrumental Variable
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20.
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Chernozhukov, Victor
Massachusetts Institute of Technology (MIT) - Department of Economics Scaillet , O.
University of Geneva - HEC Gagliardini, Patrick
University of Lugano and Swiss Finance Institute
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| Posted: |
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04 Feb 08
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Last Revised:
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07 Sep 11
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179
(83,734)
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5
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Nonparametric Quantile Regression, Instrumental Variable, Ill-Posed Inverse Problems, Tikhonov Regularization, Nonlinear Pricing Curve.
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21.
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Scaillet , O.
University of Geneva - HEC
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175
(85,118)
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3
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Nonparametric, Copula density, Goodness-of-fit test, U-statistic
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22.
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Camponovo, Lorenzo
University of Saint Gallen Scaillet , O.
University of Geneva - HEC Trojani, Fabio
University of Lugano
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| Posted: |
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26 Nov 06
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Last Revised:
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11 Aug 11
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167
(89,394)
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5
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Subsampling, bootstrap, breakdown point, robustness
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23.
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Lahiani, Amine
Université Paris Ouest - Nanterre, La Défense - EconomiX Scaillet , O.
University of Geneva - HEC
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| Posted: |
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09 Dec 08
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Last Revised:
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23 Dec 08
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161
(91,894)
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Threshold ARFIMA, LM test, Asymmetric time series
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24.
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Topaloglou, Nikolas L.
HEC Genève Scaillet , O.
University of Geneva - HEC
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149
(98,598)
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4
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Nonparametric, Stochastic Ordering, Dominance Efficiency, Linear Programming, Mixed Integer Programming, Simulation, Bootstrap
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25.
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Gagliardini, Patrick
University of Lugano and Swiss Finance Institute Scaillet , O.
University of Geneva - HEC
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| Posted: |
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11 May 07
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Last Revised:
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21 Oct 08
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147
(99,746)
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6
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Specification Test, Nonparametric Regression, Instrumental, Variables, Minimum Distance, Tikhonov Regularization, Ill-posed Inverse Problems, Generalized Method of Moments, Bootstrap, Engel Curve
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26.
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Cosma, Antonio
Université du Luxembourg Scaillet , O.
University of Geneva - HEC von Sachs, Rainer
Catholic University of Louvain - Department of Statistics
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126
(113,581)
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Conditional quantile, time series, shape preserving wavelet estimation, B-splines, multivariate process.
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27.
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Scaillet , O.
University of Geneva - HEC
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125
(114,300)
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4
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Nonparametric, Positive Quadrant Dependence, Copula, Risk Management, Loss Severity Distribution, Bootstrap, Multiplier Method, Empirical Process
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28.
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Huber, Philippe
University of Geneva - HEC Scaillet , O.
University of Geneva - HEC Victoria-Feser, Maria-Pia
University of Geneva - HEC
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124
(115,097)
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1
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Latent variable, generalized linear model, factor analysis, multinomial logit, forecasts, LAMLE, Laplace approximation
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29.
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Nonparametric Tests for Positive Quadrant Dependence
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Denuit, Michel
Catholic University of Louvain Scaillet , O.
University of Geneva - HEC
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Posted:
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25 May 02
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Last Revised:
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29 Jul 10
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122
(116,557)
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6
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Denuit, Michel
Catholic University of Louvain Scaillet , O.
University of Geneva - HEC
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0
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copula, inequality constraint test, nonparametric, positive quadrant dependence, risk management
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Denuit, Michel
Catholic University of Louvain Scaillet , O.
University of Geneva - HEC
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122
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6
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Nonparametric Stochastic Ordering, Positive Quadrant Dependence, Positive Orthant Dependence, Copula, Inequality Constraint Test, Risk Management, Loss Severity Distribution
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30.
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Prigent , Jean-Luc
University of Cergy-Pontoise - ThEMA Scaillet , O.
University of Geneva - HEC
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115
(122,167)
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1
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Weak convergence, incomplete financial markets, locally risk-minimizing strategy, hedging strategy, minimal martingale measure
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31.
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Cebrian, Ana C.
University of Zaragoza Denuit, Michel
Catholic University of Louvain Scaillet , O.
University of Geneva - HEC
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106
(129,831)
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2
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Nonparametric, Concordance Ordering, Quadrant Dominance, Orthant Dominance, Copula, Inequality Constraint Tests, Risk Management, Loss Severity Distribution
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32.
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Scaillet , O.
University of Geneva - HEC
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104
(131,681)
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3
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Nonparametric, Copula density, Goodness-of-fit test, U-statistic
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33.
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Cosma, Antonio
Université du Luxembourg Galluccio, Stefano
BNP Paribas Fixed Income Scaillet , O.
University of Geneva - HEC
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| Posted: |
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25 Jun 12
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Last Revised:
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26 Jun 12
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94
(141,101)
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Option pricing, American option, Bermudan option, discrete transform, discrete dividend paying stock, numerical techniques
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34.
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Gagliardini, Patrick
University of Lugano and Swiss Finance Institute Ossola, Elisa
University of Lugano Scaillet , O.
University of Geneva - HEC
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91
(144,180)
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large panel, factor model, risk premium, asset pricing
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35.
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Gagliardini, Patrick
University of Lugano and Swiss Finance Institute Ossola, Elisa
University of Lugano Scaillet , O.
University of Geneva - HEC
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| Posted: |
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18 Mar 11
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Last Revised:
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12 Aug 11
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68
(172,215)
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1
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large panel, factor model, risk premium, asset pricing
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36.
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Denuit, Michel
Catholic University of Louvain Scaillet , O.
University of Geneva - HEC Goderniaux, Anne-Cécile
Independent
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64
(177,876)
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Right-spread order, Excess-wealth order, New better than used in expectation, Bootstrap, Reliability, CEO compensation, Flight delay
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37.
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Gonzalez, Raul
University of Geneva Scaillet , O.
University of Geneva - HEC Engulatov, Alexandre
affiliation not provided to SSRN
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55
(192,019)
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Inverse and ill-posed problem, volatility dynamics, option valuation
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38.
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Hagmann-von Arx, Matthias
University of Lausanne - Institute of Banking & Finance (IBF) Scaillet , O.
University of Geneva - HEC Baker Moussaoui, Adrienne
Amherst College
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48
(204,307)
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3
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Semiparametric density estimation, asymmetric kernel, income distribution, loss distribution, health insurance, specification testing
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39.
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Fernandes, Marcelo
Queen Mary University of London - Economics Department Scaillet , O.
University of Geneva - HEC Mendes, Eduardo F.
Northwestern University
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46
(208,031)
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1
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asymmetric kernel, gamma kernel, inverse Gaussian kernel, nonparametric testing, reciprocal inverse Gaussian kernel, symmetry
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40.
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Camponovo, Lorenzo
University of Saint Gallen Scaillet , O.
University of Geneva - HEC Trojani, Fabio
University of Lugano
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43
(213,897)
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Predictive Regression, Stock Return Predictability, Bootstrap, Subsampling, Robustness
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41.
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Camponovo, Lorenzo
University of Saint Gallen Scaillet , O.
University of Geneva - HEC Trojani, Fabio
University of Lugano
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28
(249,067)
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42.
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Scaillet , O.
University of Geneva - HEC
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13
(300,346)
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17
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43.
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Scaillet , O.
University of Geneva - HEC Cheng, Peng
Barclays Capital
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9
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24
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44.
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Chesher, Andrew
University College London - Department of Economics Scaillet , O.
University of Geneva - HEC Dhaene, G.
Université de Mons-Hainaut Gourieroux, Christian
University of Toronto - Department of Economics
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45.
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Leblanc, Boris
Banque Nationale de Paris Scaillet , O.
University of Geneva - HEC Renault, Olivier
University of Warwick Business School - Financial Econometrics Research Centre
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