O. Scaillet

University of Geneva GSEM and GFRI

Professor of Finance and Statistics

40 Boulevard du Pont d'Arve

Geneva 4, 1211

Switzerland

http://www.scaillet.ch

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

University of Geneva - Research Center for Statistics

Geneva

Switzerland

SCHOLARLY PAPERS

56

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Scholarly Papers (56)

1.

False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas

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: 53 Posted: 05 Mar 2008 Last Revised: 03 Feb 2011
Laurent Barras, O. Scaillet and Russ Wermers
McGill University - Desautels Faculty of Management, University of Geneva GSEM and GFRI and University of Maryland - Robert H. Smith School of Business
Downloads 5,680 (1,200)
Citation 12

Abstract:

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Mutual Fund Performance, Multiple-Hypothesis Test, Luck, False Discovery Rate

2.

Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs

EFA 2008 Athens Meetings Paper, Swiss Finance Institute Research Paper No. 08-05
Number of pages: 61 Posted: 19 Mar 2008 Last Revised: 23 Feb 2018
Pierre Bajgrowicz and O. Scaillet
University of Geneva - Geneva Finance Research Institute (GFRI) and University of Geneva GSEM and GFRI
Downloads 1,626 (10,219)
Citation 10

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Technical Trading, False Discovery Rate, Persistence, Transaction Costs

3.

Nonparametric Estimation of Copulas for Time Series

FAME Research Paper No. 57
Number of pages: 37 Posted: 12 Mar 2003
O. Scaillet and Jean-David Fermanian
University of Geneva GSEM and GFRI and Ensae-Crest
Downloads 1,236 (15,741)
Citation 15

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4.
Downloads 1,215 ( 16,163)
Citation 10

Theory and Calibration of Swap Market Models

FAME Working Paper No. 107
Number of pages: 42 Posted: 27 Feb 2005
BNP Paribas Fixed Income, University of Geneva GSEM and GFRI, JP Morgan and BNP Paribas Fixed Income
Downloads 1,183 (16,504)
Citation 3

Abstract:

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Swap market model, cap, swaption, calibration

Theory and Calibration of Swap Market Models

Mathematical Finance, Vol. 17, No. 1, pp. 111-141, January 2007
Number of pages: 31 Posted: 13 Dec 2006
BNP Paribas Fixed Income, BNP Paribas Fixed Income, University of Geneva GSEM and GFRI and JP Morgan
Downloads 32 (469,727)
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5.

High-Frequency Jump Analysis of the Bitcoin Market

Swiss Finance Institute Research Paper No. 17-19
Number of pages: 30 Posted: 10 Jun 2017 Last Revised: 26 Jun 2017
University of Geneva GSEM and GFRI, University of Zurich and Ecole Polytechnique Fédérale de Lausanne
Downloads 1,142 (17,739)
Citation 5

Abstract:

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Jumps, Liquidity, High-frequency data, Bitcoin

6.

Pricing American Options under Stochastic Volatility and Stochastic Interest Rates

Swiss Finance Institute Research Paper No. 07-25
Number of pages: 34 Posted: 01 Mar 2007 Last Revised: 21 Sep 2009
Alexey Medvedev and O. Scaillet
Lombard Odier & Cie and University of Geneva GSEM and GFRI
Downloads 1,137 (17,861)
Citation 7

Abstract:

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American options, stochastic volatility, stochastic interest rates, asymptotic approximation.

7.

Some Statistical Pitfalls in Copula Modeling for Financial Applications

FAME Working Paper No. 108
Number of pages: 24 Posted: 28 Jun 2004
Jean-David Fermanian and O. Scaillet
Ensae-Crest and University of Geneva GSEM and GFRI
Downloads 925 (24,239)
Citation 10

Abstract:

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Copulas, dependence measures, risk management

Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility

Swiss Finance Institute Research Paper No. 06-8
Number of pages: 45 Posted: 21 Jun 2006
Alexey Medvedev and O. Scaillet
Lombard Odier & Cie and University of Geneva GSEM and GFRI
Downloads 689 (35,947)
Citation 11

Abstract:

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Option pricing, stochastic volatility, asymptotic approximation, jump-diffusion

Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility

The Review of Financial Studies, Vol. 20, Issue 2, pp. 427-459, 2007
Posted: 17 Jul 2008
Alexey Medvedev and O. Scaillet
Lombard Odier & Cie and University of Geneva GSEM and GFRI

Abstract:

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9.

Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News

Swiss Finance Institute Research Paper No. 11-36
Number of pages: 45 Posted: 15 Feb 2009 Last Revised: 06 Mar 2015
University of Geneva - Geneva Finance Research Institute (GFRI), University of Geneva GSEM and GFRI and University of Zurich
Downloads 653 (39,171)
Citation 16

Abstract:

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jumps, high-frequency data, spurious detections, jumps dynamics, news releases, cojumps

10.

Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility

EFA 2003 Annual Conference Paper No. 163; FAME Research Paper Series
Number of pages: 60 Posted: 16 May 2003
Peng Cheng and O. Scaillet
FAME and University of Geneva GSEM and GFRI
Downloads 496 (55,961)
Citation 37

Abstract:

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Linear-quadratic models, affine models, jump-diffusions, generalized Fourier transform, option pricing, stochastic volatility

11.

Time-Varying Risk Premium in Large Cross-Sectional Equity Datasets

Swiss Finance Institute Research Paper No. 11-40
Number of pages: 70 Posted: 18 Mar 2011 Last Revised: 17 Apr 2018
USI Università della Svizzera italiana, University of Lugano and University of Geneva GSEM and GFRI
Downloads 479 (58,532)
Citation 11

Abstract:

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large panel, factor model, risk premium, asset pricing, sparsity, thresholding.

12.

Optimal Asset Allocation for Pension Funds Under Mortality Risk During the Accumulation and Decumulation Phases

FAME Research Paper No. 66
Number of pages: 32 Posted: 30 May 2003
Catholic University of Louvain (UCL) - Institut de Recherches Economiques et Sociales (IRES), University of Brescia - Department of Economics and University of Geneva GSEM and GFRI
Downloads 468 (60,195)
Citation 7

Abstract:

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pension fund, mortality risk, asset allocation

13.

On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities

FAME Research Paper No. 83
Number of pages: 30 Posted: 10 Jun 2003
Olivier Renault and O. Scaillet
University of Warwick Business School - Financial Econometrics Research Centre and University of Geneva GSEM and GFRI
Downloads 443 (64,372)
Citation 18

Abstract:

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default, recovery, kernel estimation, credit risk

14.

A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics

Number of pages: 56 Posted: 14 Dec 2003
Alexey Medvedev and O. Scaillet
Lombard Odier & Cie and University of Geneva GSEM and GFRI
Downloads 442 (64,549)
Citation 12

Abstract:

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Option pricing, stochastic volatility, asymptotic approximation, jump-diffusion

15.

Time-Varying Risk Premia in Large International Equity Markets

Swiss Finance Institute Research Paper No. 18-04, HEC Paris Research Paper No. FIN-2018-1250
Number of pages: 57 Posted: 18 Jan 2018 Last Revised: 25 Oct 2018
Ines Chaieb, Hugues Langlois and O. Scaillet
University of Geneva - Geneva Finance Research Institute (GFRI), HEC Paris - Finance Department and University of Geneva GSEM and GFRI
Downloads 434 (65,984)

Abstract:

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approximate factor model, emerging markets, international asset pricing, large panel, market integration, time-varying risk premium

16.

Sensitivity Analysis of VAR Expected Shortfall for Portfolios Under Netting Agreements

FAME Research Working Paper No. 89
Number of pages: 40 Posted: 17 Sep 2003
Jean-David Fermanian and O. Scaillet
Ensae-Crest and University of Geneva GSEM and GFRI
Downloads 368 (80,214)

Abstract:

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Value at Risk, Expected Shortfall, Sensitivity, Risk Management, Credit Risk, Netting

17.

Option Pricing with Discrete Rebalancing

FAME Research Paper No. 55
Number of pages: 40 Posted: 25 Mar 2003
University of Geneva GSEM and GFRI, University of Cergy-Pontoise - ThEMA and University of Warwick Business School - Financial Econometrics Research Centre
Downloads 352 (84,403)
Citation 4

Abstract:

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weak convergence, incomplete market, option pricing, minimal martin-gale measure, discrete rebalancing, marked point process

18.

Robust Resampling Methods for Time Series

Swiss Finance Institute Research Paper No. 09-38
Number of pages: 49 Posted: 14 Oct 2009 Last Revised: 27 Jan 2013
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and Swiss Finance Institute
Downloads 317 (94,916)
Citation 5

Abstract:

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Subsampling, bootstrap, breakdown point, robustness, time series

19.

Testing for Equality between Two Copulas

Swiss Finance Institute Research Paper No. 07-24
Number of pages: 24 Posted: 24 Sep 2007
Bruno Remillard and O. Scaillet
Department of Decision Sciences, HEC Montreal and University of Geneva GSEM and GFRI
Downloads 298 (101,578)
Citation 5

Abstract:

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Copula, Cramér-von Mises statistic, empiricalprocess, pseudo-observations, multipliercentrallimittheorem, p-value.

20.

Local Transformation Kernel Density Estimation of Loss Distributions

Swiss Finance Institute Research Paper No. 32
Number of pages: 37 Posted: 26 Nov 2006 Last Revised: 17 Jul 2008
affiliation not provided to SSRN, University of Lausanne - Institute of Banking & Finance (IBF), University of Geneva GSEM and GFRI and City University London - Cass Business School
Downloads 287 (105,850)
Citation 2

Abstract:

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Actuarial loss models, Transformation, Champernowne distribution, asymmetric kernels, local likelihood estimation

Valuing American Options Using Fast Recursive Projections

Number of pages: 69 Posted: 25 Jun 2012 Last Revised: 07 Dec 2018
Université du Luxembourg, BNP Paribas Fixed Income, University of Houston - C.T. Bauer College of Business and University of Geneva GSEM and GFRI
Downloads 234 (130,154)

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Option pricing, American option, Bermudan option, discrete transform, discrete dividend paying stock, suboptimal non-exercise, numerical techniques

Valuing American Options Using Fast Recursive Projections

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 67 Posted: 02 Jun 2016
Université du Luxembourg, BNP Paribas Fixed Income, University of Houston - C.T. Bauer College of Business and University of Geneva GSEM and GFRI
Downloads 46 (409,717)

Abstract:

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Option pricing, American option, Bermudan option, discrete transform, discrete dividend paying stock, suboptimal non-exercise, numerical techniques

22.

Testing for Threshold Effect in ARFIMA Models: Application to US Unemployment Rate Data

Swiss Finance Institute Research Paper No. 08-42
Number of pages: 21 Posted: 09 Dec 2008 Last Revised: 23 Dec 2008
Amine Lahiani and O. Scaillet
Université Paris Ouest - Nanterre, La Défense - EconomiX and University of Geneva GSEM and GFRI
Downloads 246 (124,275)

Abstract:

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Threshold ARFIMA, LM test, Asymmetric time series

23.

A Latent Factor Model for Ordinal Data to Measure Multivariate Predictive Ability of Financial Market Movements

FAME Research Paper No. 159
Number of pages: 44 Posted: 28 Nov 2005
Independent, University of Geneva GSEM and GFRI and University of Geneva - HEC
Downloads 244 (125,332)

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structural equation model, latent variable, generalised linear model, factor analysis, multinomial logit, forecasts, LAMLE, canonical correlation

24.

Tikhonov Regularization for Nonparametric Instrumental Variable Estimators

Swiss Finance Institute Research Paper 06-30
Number of pages: 62 Posted: 26 Nov 2006 Last Revised: 23 Aug 2011
Patrick Gagliardini and O. Scaillet
USI Università della Svizzera italiana and University of Geneva GSEM and GFRI
Downloads 219 (139,445)
Citation 6

Abstract:

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Nonparametric Estimation, Ill-posed Inverse Problems, Tikhonov Regularization, Endogeneity, Instrumental Variable

25.

Robust Subsampling

Swiss Finance Institute Research Paper No. 06-33
Number of pages: 52 Posted: 26 Nov 2006 Last Revised: 11 Aug 2011
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and Swiss Finance Institute
Downloads 204 (149,016)
Citation 3

Abstract:

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Subsampling, bootstrap, breakdown point, robustness

26.

Nonparametric Instrumental Variable Estimators of Structural Quantile Effects

Swiss Finance Institute Research Paper No. 08-03
Number of pages: 32 Posted: 04 Feb 2008 Last Revised: 23 Feb 2018
Massachusetts Institute of Technology (MIT) - Department of Economics, University of Geneva GSEM and GFRI and USI Università della Svizzera italiana
Downloads 198 (153,255)
Citation 8

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Nonparametric Quantile Regression, Instrumental Variable, Ill-Posed Inverse Problems, Tikhonov Regularization, Nonlinear Pricing Curve.

27.

Testing for Stochastic Dominance Efficiency

Number of pages: 28 Posted: 15 Sep 2005
Nikolas L. Topaloglou and O. Scaillet
HEC Genève and University of Geneva GSEM and GFRI
Downloads 193 (157,018)
Citation 5

Abstract:

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Nonparametric, Stochastic Ordering, Dominance Efficiency, Linear Programming, Mixed Integer Programming, Simulation, Bootstrap

28.

Kernel Based Goodness-of-Fit Test for Copulas with Fixed Smoothing Parameters

FAME Research Paper No. 145
Number of pages: 17 Posted: 13 Sep 2005
O. Scaillet
University of Geneva GSEM and GFRI
Downloads 183 (164,747)

Abstract:

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Nonparametric, Copula density, Goodness-of-fit test, U-statistic

29.

A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence

Number of pages: 19 Posted: 20 Feb 2005
O. Scaillet
University of Geneva GSEM and GFRI
Downloads 178 (168,912)
Citation 1

Abstract:

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Nonparametric, Positive Quadrant Dependence, Copula, Risk Management, Loss Severity Distribution, Bootstrap, Multiplier Method, Empirical Process

30.

A Specification Test for Nonparametric Instrumental Variable Regression

Swiss Finance Institute Research Paper No. 07-13
Number of pages: 49 Posted: 11 May 2007 Last Revised: 21 Oct 2008
Patrick Gagliardini and O. Scaillet
USI Università della Svizzera italiana and University of Geneva GSEM and GFRI
Downloads 174 (172,337)
Citation 5

Abstract:

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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

31.

Predictability Hidden by Anomalous Observations

Swiss Finance Institute Research Paper No. 13-05
Number of pages: 62 Posted: 23 Mar 2013 Last Revised: 05 Mar 2014
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and Swiss Finance Institute
Downloads 154 (191,322)
Citation 6

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Predictive Regression, Stock Return Predictability, Bootstrap, Subsampling, Robustness

32.

Assessing Multivariate Predictors of Financial Market Movements: A Latent Factor Frame Work for Ordinal Data

Swiss Finance Institute Research Paper No. 08-45
Number of pages: 41 Posted: 23 Dec 2008
Independent, University of Geneva GSEM and GFRI and University of Geneva - HEC
Downloads 154 (191,322)

Abstract:

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Latent variable, generalized linear model, factor analysis, multinomial logit, forecasts, LAMLE, Laplace approximation

33.

Multivariate Wavelet-Based Shape Preserving Estimation for Dependent Observations

FAME Research Paper No. 144
Number of pages: 39 Posted: 01 Jun 2005
Antonio Cosma, O. Scaillet and Rainer von Sachs
Université du Luxembourg, University of Geneva GSEM and GFRI and Catholic University of Louvain - Department of Statistics
Downloads 145 (200,998)
Citation 1

Abstract:

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Conditional quantile, time series, shape preserving wavelet estimation, B-splines, multivariate process.

34.

Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy

Swiss Finance Institute Research Paper No. 16-41
Number of pages: 20 Posted: 06 Jul 2016
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and Swiss Finance Institute
Downloads 141 (205,605)

Abstract:

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Tail Risk, Risk Factor, Risk-Neutral Probability, Prediction of Market Returns, Economic Predictability

35.

A Diagnostic Criterion for Approximate Factor Structure

Swiss Finance Institute Research Paper No. 16-51, Published in Journal of Econometrics
Number of pages: 85 Posted: 03 Aug 2016 Last Revised: 18 Sep 2019
USI Università della Svizzera italiana, University of Lugano and University of Geneva GSEM and GFRI
Downloads 138 (209,202)
Citation 7

Abstract:

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large panel, approximate factor model, asset pricing, model selection, interactive fixed effects

36.

Skill and Value Creation in the Mutual Fund Industry

Swiss Finance Institute Research Paper No. 18-66
Number of pages: 48 Posted: 31 Oct 2018 Last Revised: 25 May 2019
McGill University - Desautels Faculty of Management, USI Università della Svizzera italiana and University of Geneva GSEM and GFRI
Downloads 133 (215,524)

Abstract:

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Mutual fund skill, non-parametric density estimation, large panel

Nonparametric Tests for Positive Quadrant Dependence

FAME Research Paper No. 44
Number of pages: 39 Posted: 25 May 2002
Michel Denuit and O. Scaillet
Catholic University of Louvain and University of Geneva GSEM and GFRI
Downloads 132 (217,602)
Citation 18

Abstract:

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Nonparametric Stochastic Ordering, Positive Quadrant Dependence, Positive Orthant Dependence, Copula, Inequality Constraint Test, Risk Management, Loss Severity Distribution

Nonparametric Tests for Positive Quadrant Dependence

Journal of Financial Econometrics, Vol. 2, No. 3, pp. 422-450, 2004
Posted: 29 Feb 2008
Michel Denuit and O. Scaillet
Catholic University of Louvain and University of Geneva GSEM and GFRI

Abstract:

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copula, inequality constraint test, nonparametric, positive quadrant dependence, risk management

38.

Weak Convergence of Hedging Strategies of Contingent Claims

FAME Research Paper Number 39
Number of pages: 35 Posted: 25 May 2002
Jean-Luc Prigent and O. Scaillet
University of Cergy-Pontoise - ThEMA and University of Geneva GSEM and GFRI
Downloads 129 (220,729)
Citation 20

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Weak convergence, incomplete financial markets, locally risk-minimizing strategy, hedging strategy, minimal martingale measure

39.

Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps

Swiss Finance Institute Research Paper No. 16-73
Number of pages: 74 Posted: 09 Dec 2016 Last Revised: 16 Mar 2018
Université du Luxembourg, BNP Paribas Fixed Income, University of Houston - C.T. Bauer College of Business and University of Geneva GSEM and GFRI
Downloads 124 (227,502)
Citation 3

Abstract:

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40.

Testing for Concordance Ordering

FAME Research Paper No. 41
Number of pages: 42 Posted: 24 May 2002
Ana C. Cebrian, Michel Denuit and O. Scaillet
University of Zaragoza, Catholic University of Louvain and University of Geneva GSEM and GFRI
Downloads 117 (237,558)
Citation 3

Abstract:

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Nonparametric, Concordance Ordering, Quadrant Dominance, Orthant Dominance, Copula, Inequality Constraint Tests, Risk Management, Loss Severity Distribution

41.

Predictive Regression and Robust Hypothesis Testing: Predictability Hidden by Anomalous Observations

Number of pages: 57 Posted: 12 Jun 2012
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and Swiss Finance Institute
Downloads 112 (245,050)
Citation 2

Abstract:

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42.

Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters

FAME Research Paper No. 145
Number of pages: 14 Posted: 31 May 2005
O. Scaillet
University of Geneva GSEM and GFRI
Downloads 108 (251,512)
Citation 2

Abstract:

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Nonparametric, Copula density, Goodness-of-fit test, U-statistic

43.

Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels

Swiss Finance Institute Research Paper No. 11-32
Number of pages: 32 Posted: 22 Aug 2011 Last Revised: 16 Apr 2014
Queen Mary University of London - Economics Department, University of Geneva GSEM and GFRI and UNSW Australia Business School, School of Economics
Downloads 94 (276,096)

Abstract:

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asymmetric kernel, gamma kernel, inverse Gaussian kernel, nonparametric testing, reciprocal inverse Gaussian kernel, symmetry

44.

Recovering Nonlinear Dynamics from Option Prices

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 34 Posted: 14 Oct 2011
University of Geneva, University of Geneva GSEM and GFRI and affiliation not provided to SSRN
Downloads 78 (309,758)
Citation 1

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Inverse and ill-posed problem, volatility dynamics, option valuation

45.

Spanning Tests for Markowitz Stochastic Dominance

Swiss Finance Institute Research Paper No. 18-08
Number of pages: 52 Posted: 02 Feb 2018
Athens University of Economics and Business - Department of Economics, University of Geneva GSEM and GFRI and Athens University of Economics and Business
Downloads 77 (312,157)
Citation 1

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Saddle-Type Point, Markowitz Stochastic Dominance, Spanning Test, Linear and Mixed integer programming, reverse S-shaped utility

46.

A Kolmogorov-Smirnov Type Test for Shortfall Dominance Against Parametric Alternatives

Number of pages: 21 Posted: 20 May 2005
Catholic University of Louvain, University of Geneva GSEM and GFRI and Independent
Downloads 69 (331,985)

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Right-spread order, Excess-wealth order, New better than used in expectation, Bootstrap, Reliability, CEO compensation, Flight delay

47.

Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators

Number of pages: 62 Posted: 30 Jun 2004
University of Lausanne - Institute of Banking & Finance (IBF), University of Geneva GSEM and GFRI and Amherst College
Downloads 64 (345,423)
Citation 5

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Semiparametric density estimation, asymmetric kernel, income distribution, loss distribution, health insurance, specification testing

48.

Estimation of Large Dimensional Conditional Factor Models in Finance

Swiss Finance Institute Research Paper No. 19-46
Number of pages: 76 Posted: 28 Aug 2019 Last Revised: 14 Sep 2019
USI Università della Svizzera italiana, European Commission, Joint Research Centre and University of Geneva GSEM and GFRI
Downloads 34 (453,767)

Abstract:

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large panel, factor model, conditional information, risk premium, asset pricing, emerging markets

49.

Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply

Number of pages: 40 Posted: 21 Aug 2019
Laurent Barras, O. Scaillet and Russ Wermers
McGill University - Desautels Faculty of Management, University of Geneva GSEM and GFRI and University of Maryland - Robert H. Smith School of Business
Downloads 34 (449,352)

Abstract:

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False Discovery Rate, Multiple Testing, Mutual Fund Performance

50.

Saddlepoint Approximations for Spatial Panel Data Models

Swiss Finance Institute Research Paper No. 19-18
Number of pages: 57 Posted: 27 Mar 2019 Last Revised: 31 Mar 2019
University of Geneva - Geneva School of Economics and Management, University of Geneva - Geneva School of Economics and Management - Research Center for Statistics, University of Geneva - Research Center for Statistics and University of Geneva GSEM and GFRI
Downloads 27 (482,788)

Abstract:

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Spatial statistics, Panel data, Small samples, Saddlepoint approximation

On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints

Swiss Finance Institute Research Paper No. 16-06
Number of pages: 6 Posted: 05 Feb 2016
O. Scaillet
University of Geneva GSEM and GFRI
Downloads 25 (508,512)

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Nonparametric Estimation, Instrumental Variable, Ill-Posed Inverse Problems

On Ill‐Posedness of Nonparametric Instrumental Variable Regression with Convexity Constraints

The Econometrics Journal, Vol. 19, Issue 2, pp. 232-236, 2016
Number of pages: 5 Posted: 19 Oct 2016
O. Scaillet
University of Geneva GSEM and GFRI
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Ill‐posed inverse problems, Instrumental variable, Nonparametric estimation

52.

Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall

Mathematical Finance, Vol. 14, pp. 115-129, January 2004
Number of pages: 15 Posted: 21 Mar 2004
O. Scaillet
University of Geneva GSEM and GFRI
Downloads 14 (557,726)
Citation 3
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53.

Linear-Quadratic Jump-Diffusion Modeling

Mathematical Finance, Vol. 17, No. 4, pp. 575-598, October 2007
Number of pages: 24 Posted: 14 Sep 2007
O. Scaillet and Peng Cheng
University of Geneva GSEM and GFRI and Barclays Investment Bank
Downloads 10 (582,757)
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54.

Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures

Swiss Finance Institute Research Paper No. 19-48
Number of pages: 62
University of Orleans, University of Orleans, affiliation not provided to SSRN and University of Geneva GSEM and GFRI
Downloads 1

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55.

Bartlett Identities Tests

Working Paper No. 9919
Posted: 04 May 2000
University College London - Department of Economics, University of Geneva GSEM and GFRI, Université de Mons-Hainaut and University of Toronto - Department of Economics

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56.

A Correction Note on the First Passage Time of an Ornstein-Uhlenbeck Process to a Boundary

Finance and Stochastics, Vol. 4, Iss. 1
Posted: 15 Jan 2000
Boris Leblanc, O. Scaillet and Olivier Renault
Banque Nationale de Paris, University of Geneva GSEM and GFRI and University of Warwick Business School - Financial Econometrics Research Centre

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