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Scaillet, O.


 SSRN Author Rank: 912 by Downloads
 

University of Geneva - HEC


 40 Boulevard du Pont d'Arve
 Geneva 4, 1211
 Switzerland
 email address
 

Swiss Finance Institute


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

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. Scaillet, O.'s Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
16,680
Total
Citations
288
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 |
Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 08-18, Robert H. Smith School Research Paper No. RHS 06-043
Accepted Paper Series
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
Posted:
05 Mar 08
Last Revised:
03 Feb 11
4,527
(823)
75

2.  
Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs | Show Abstract | Download |
EFA 2008 Athens Meetings Paper, Swiss Finance Institute Research Paper No. 08-05
Working Paper Series
Bajgrowicz, Pierre
University of Geneva - Graduate School of Business (HEC-Geneva)
Scaillet, O.
University of Geneva - HEC
Posted:
19 Mar 08
Last Revised:
25 Jan 12
1,373
(6,609)
7

3.   Incl. Electronic Paper
Galluccio, Stefano
BNP Paribas Fixed Income
Scaillet, O.
University of Geneva - HEC
Huang, Zhijiang
JP Morgan
Ly, Jean-Michel
BNP Paribas Fixed Income
Posted:
27 Feb 05
Last Revised:
24 Sep 07
1,123
(9,190)
10

4.  
Nonparametric Estimation of Copulas for Time Series | Show Abstract | Download |
FAME Research Paper No. 57
Working Paper Series
Scaillet, O.
University of Geneva - HEC
Fermanian, Jean-David
Independent
Posted:
12 Mar 03
926
(12,439)
17

5.  
Pricing American Options under Stochastic Volatility and Stochastic Interest Rates | Show Abstract | Download |
Swiss Finance Institute Research Paper No. 07-25
Working Paper Series
Medvedev, Alexey
Lombard Odier & Cie
Scaillet, O.
University of Geneva - HEC
Posted:
01 Mar 07
Last Revised:
21 Sep 09
885
(13,353)
7

6.  
Fermanian, Jean-David
Independent
Scaillet, O.
University of Geneva - HEC
Posted:
28 Jun 04
787
(15,946)
7

7.   Incl. Electronic Paper
Medvedev, Alexey
Lombard Odier & Cie
Scaillet, O.
University of Geneva - HEC
Posted:
21 Jun 06
Last Revised:
29 Jul 10
533
(27,615)
17

8.  
Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility | Show Abstract | Download |
EFA 2003 Annual Conference Paper No. 163; FAME Research Paper Series
Working Paper Series
Cheng, Peng
FAME
Scaillet, O.
University of Geneva - HEC
Posted:
16 May 03
461
(33,424)
13

9.  
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
Posted:
30 May 03
427
(36,862)
2

10.  
Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News | Show Abstract | Download |
Swiss Finance Institute Research Paper No. 11-36
Working Paper Series
Bajgrowicz, Pierre
University of Geneva - Graduate School of Business (HEC-Geneva)
Scaillet, O.
University of Geneva - HEC
Treccani, Adrien
University of Geneva
Posted:
15 Feb 09
Last Revised:
26 Jul 13
403
(39,595)
2

11.  
Medvedev, Alexey
Lombard Odier & Cie
Scaillet, O.
University of Geneva - HEC
Posted:
14 Dec 03
377
(42,952)
9

12.  
Renault, Olivier
University of Warwick Business School - Financial Econometrics Research Centre
Scaillet, O.
University of Geneva - HEC
Posted:
10 Jun 03
372
(43,646)
10

13.  
Option Pricing with Discrete Rebalancing | Show Abstract | Download |
FAME Research Paper No. 55
Working Paper Series
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
Posted:
25 Mar 03
334
(49,573)
 

14.  
Fermanian, Jean-David
Independent
Scaillet, O.
University of Geneva - HEC
Posted:
17 Sep 03
320
(52,217)
3

15.  
Local Transformation Kernel Density Estimation of Loss Distributions | Show Abstract | Download |
Swiss Finance Institute Research Paper No. 32
Working Paper Series
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
Posted:
26 Nov 06
Last Revised:
17 Jul 08
268
(64,016)
2

16.  
Testing for Equality between Two Copulas | Show Abstract | Download |
Swiss Finance Institute Research Paper No. 07-24
Working Paper Series
Remillard, Bruno
HEC Montreal
Scaillet, O.
University of Geneva - HEC
Posted:
24 Sep 07
261
(65,905)
5

17.  
Huber, Philippe
University of Geneva - HEC
Scaillet, O.
University of Geneva - HEC
Victoria-Feser, Maria-Pia
University of Geneva - HEC
Posted:
28 Nov 05
231
(74,931)
 

18.  
Robust Resampling Methods for Time Series | Show Abstract | Download |
Swiss Finance Institute Research Paper No. 09-38
Working Paper Series
Camponovo, Lorenzo
University of Saint Gallen
Scaillet, O.
University of Geneva - HEC
Trojani, Fabio
University of Lugano
Posted:
14 Oct 09
Last Revised:
27 Jan 13
222
(78,153)
2

19.  
Lahiani, Amine
Université Paris Ouest - Nanterre, La Défense - EconomiX
Scaillet, O.
University of Geneva - HEC
Posted:
09 Dec 08
Last Revised:
23 Dec 08
197
(88,231)
 

20.  
Tikhonov Regularization for Nonparametric Instrumental Variable Estimators | Show Abstract | Download |
Swiss Finance Institute Research Paper 06-30
Working Paper Series
Gagliardini, Patrick
University of Lugano and Swiss Finance Institute
Scaillet, O.
University of Geneva - HEC
Posted:
26 Nov 06
Last Revised:
23 Aug 11
195
(89,121)
5

21.  
Nonparametric Instrumental Variable Estimators of Structural Quantile Effects | Show Abstract | Download |
Swiss Finance Institute Research Paper No. 08-03
Working Paper Series
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
Posted:
04 Feb 08
Last Revised:
07 Sep 11
182
(95,085)
5

22.  
Robust Subsampling | Show Abstract | Download |
Swiss Finance Institute Research Paper No. 06-33
Working Paper Series
Camponovo, Lorenzo
University of Saint Gallen
Scaillet, O.
University of Geneva - HEC
Trojani, Fabio
University of Lugano
Posted:
26 Nov 06
Last Revised:
11 Aug 11
180
(96,115)
5

23.  
Scaillet, O.
University of Geneva - HEC
Posted:
13 Sep 05
176
(98,131)
3

24.  
Topaloglou, Nikolas L.
HEC Genève
Scaillet, O.
University of Geneva - HEC
Posted:
15 Sep 05
161
(106,485)
4

25.  
A Specification Test for Nonparametric Instrumental Variable Regression | Show Abstract | Download |
Swiss Finance Institute Research Paper No. 07-13
Working Paper Series
Gagliardini, Patrick
University of Lugano and Swiss Finance Institute
Scaillet, O.
University of Geneva - HEC
Posted:
11 May 07
Last Revised:
21 Oct 08
151
(112,746)
6

26.  
Scaillet, O.
University of Geneva - HEC
Posted:
20 Feb 05
135
(124,043)
5

27.  
Huber, Philippe
University of Geneva - HEC
Scaillet, O.
University of Geneva - HEC
Victoria-Feser, Maria-Pia
University of Geneva - HEC
Posted:
23 Dec 08
134
(124,819)
1

28.  
Cosma, Antonio
Université du Luxembourg
Scaillet, O.
University of Geneva - HEC
von Sachs, Rainer
Catholic University of Louvain - Department of Statistics
Posted:
01 Jun 05
131
(127,155)
 

29.   Incl. Electronic Paper
Denuit, Michel
Catholic University of Louvain
Scaillet, O.
University of Geneva - HEC
Posted:
25 May 02
Last Revised:
29 Jul 10
122
(134,532)
6

30.  
Prigent, Jean-Luc
University of Cergy-Pontoise - ThEMA
Scaillet, O.
University of Geneva - HEC
Posted:
25 May 02
120
(136,275)
1

31.  
Valuing American Options Using Fast Recursive Projections | Show Abstract | Download |
Swiss Finance Institute Research Paper No. 12-26
Working Paper Series
Cosma, Antonio
Université du Luxembourg
Galluccio, Stefano
BNP Paribas Fixed Income
Scaillet, O.
University of Geneva - HEC
Posted:
25 Jun 12
Last Revised:
26 Jun 12
118
(137,979)
 

32.  
Gagliardini, Patrick
University of Lugano and Swiss Finance Institute
Ossola, Elisa
University of Lugano
Scaillet, O.
University of Geneva - HEC
Posted:
18 Mar 11
Last Revised:
12 Aug 11
114
(141,574)
1

33.  
Time-Varying Risk Premium in Large Cross-Sectional Equidity Datasets | Show Abstract | Download |
Swiss Finance Institute Research Paper No. 11-40
Working Paper Series
Gagliardini, Patrick
University of Lugano and Swiss Finance Institute
Ossola, Elisa
University of Lugano
Scaillet, O.
University of Geneva - HEC
Posted:
13 Dec 11
Last Revised:
19 Jul 14
110
(145,410)
 

34.  
Testing for Concordance Ordering | Show Abstract | Download |
FAME Research Paper No. 41
Working Paper Series
Cebrian, Ana C.
University of Zaragoza
Denuit, Michel
Catholic University of Louvain
Scaillet, O.
University of Geneva - HEC
Posted:
24 May 02
107
(148,336)
2

35.  
Scaillet, O.
University of Geneva - HEC
Posted:
31 May 05
104
(151,406)
3

36.  
Predictability Hidden by Anomalous Observations | Show Abstract | Download |
Swiss Finance Institute Research Paper No. 13-05
Working Paper Series
Camponovo, Lorenzo
University of Saint Gallen
Scaillet, O.
University of Geneva - HEC
Trojani, Fabio
University of Lugano
Posted:
23 Mar 13
Last Revised:
05 Mar 14
99
(156,645)
1

37.  
Denuit, Michel
Catholic University of Louvain
Scaillet, O.
University of Geneva - HEC
Goderniaux, Anne-Cécile
Independent
Posted:
20 May 05
67
(199,213)
 

38.  
Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels | Show Abstract | Download |
Swiss Finance Institute Research Paper No. 11-32
Working Paper Series
Fernandes, Marcelo
Queen Mary University of London - Economics Department
Scaillet, O.
University of Geneva - HEC
Mendes, Eduardo F.
Northwestern University
Posted:
22 Aug 11
Last Revised:
16 Apr 14
65
(202,467)
1

39.  
Recovering Nonlinear Dynamics from Option Prices | Show Abstract | Download |
Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Working Paper Series
Gonzalez, Raul
University of Geneva
Scaillet, O.
University of Geneva - HEC
Engulatov, Alexandre
affiliation not provided to SSRN
Posted:
14 Oct 11
57
(216,388)
 

40.  
Camponovo, Lorenzo
University of Saint Gallen
Scaillet, O.
University of Geneva - HEC
Trojani, Fabio
University of Lugano
Posted:
12 Jun 12
52
(226,043)
1

41.  
Hagmann-von Arx, Matthias
University of Lausanne - Institute of Banking & Finance (IBF)
Scaillet, O.
University of Geneva - HEC
Baker Moussaoui, Adrienne
Amherst College
Posted:
30 Jun 04
51
(227,994)
3

42.  
Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall | Show Abstract | Download |
Mathematical Finance, Vol. 14, pp. 115-129, January 2004
Accepted Paper Series
Scaillet, O.
University of Geneva - HEC
Posted:
21 Mar 04
13
(344,043)
19

43.  
Linear-Quadratic Jump-Diffusion Modeling | Show Abstract | Download |
Mathematical Finance, Vol. 17, No. 4, pp. 575-598, October 2007
Accepted Paper Series
Scaillet, O.
University of Geneva - HEC
Cheng, Peng
Barclays Capital
Posted:
14 Sep 07
9
(360,570)
28

44.  
Bartlett Identities Tests | Show Abstract |
Working Paper No. 9919
Working Paper Series
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
Posted:
04 May 00
 

45.  
Leblanc, Boris
Banque Nationale de Paris
Scaillet, O.
University of Geneva - HEC
Renault, Olivier
University of Warwick Business School - Financial Econometrics Research Centre
Posted:
15 Jan 00
 


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