← All authors Olivier Scaillet University of Geneva (from arXiv:2208.00972, 2022) · ORCID · OpenAlex
76 papers in scope · 75 published · 6 on the econ.EM arXiv · 4,285 citations · h-index 28 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Guillaume Coqueret Martial Laguerre Donggyu Kim Hasan Fallahgoul Sung Hoon Choi Stéphane Guerrier Gaetan Bakalli Philipp Gersing Markus Pelger Minseog Oh Patrick Gagliardini Alain-Philippe Fortin Dong-Gyu Kim Matteo Barigozzi Ruoxuan Xiong Jushan Bai Serena Ng Marc Hallin Matteo Luciani Diego Fresoli Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (8 of 76)
Dynamic Portfolio Allocation Under Market Incompleteness and Wealth Effects
published 2025 · Operations Research · 2 citations
with Yiwen Shen, Chenxu Li, Yueting Jiang
Mean reversion trading on the naphtha crack
published 2025 · Energy Economics · first circulated 2024
with Briac Turquet, Pierre Bajgrowicz
Predictability hidden by Anomalous Observations in Financial Data
published 2024 · Econometrics and Statistics · 13 citations · first circulated 2013
with Lorenzo Camponovo, Fabio Trojani
Is it alpha or beta? Decomposing hedge fund returns when models are misspecified
published 2024 · Journal of Financial Economics · 11 citations
working paper 2024 · arXiv · 1 citations
Nonparametric Estimation of Conditional Expected Shortfall
published 2023 · Assurances et gestion des risques · 72 citations · first circulated 2004
published 2023 · Journal of Financial Econometrics · 10 citations · first circulated 2022
published 2023 · Journal of Econometrics · 7 citations · first circulated 2021
published 2023 · Journal of Econometrics · 8 citations
Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration
published 2023 · IEEE Transactions on Signal Processing · 4 citations · first circulated 2021
Practical Applications of Asset Allocation Implications of Illiquid Assets
published 2022 · Practical Applications
with Tony Berrada, Zhicheng Zhang
Asset Allocation Implications of Illiquid Assets
published 2022 · The Journal of Investing · 1 citations
with Tony Berrada, Zhicheng Zhang
Skill, Scale, and Value Creation in the Mutual Fund Industry
published 2021 · The Journal of Finance · 82 citations
published 2021 · Journal of the American Statistical Association · 7 citations · first circulated 2019
Factors and risk premia in individual international stock returns
published 2021 · Journal of Financial Economics · 80 citations
with Ines Chaieb, Hugues Langlois
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures
published 2020 · Management Science · 52 citations · first circulated 2019
published 2020 · Management Science · 1 citations
Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets
published 2020 · Swiss Finance Institute Research Paper Series · 2 citations
with Chenxu Li, Yiwen Shen
no link
Hedge Fund Performance under Misspecified Models
published 2020 · Swiss Finance Institute Research Paper Series
Nonlinear financial econometrics JoE special issue introduction
published 2019 · Journal of Econometrics · 2 citations
A diagnostic criterion for approximate factor structure
published 2019 · Journal of Econometrics · 94 citations · first circulated 2016
published 2019 · Journal of Econometrics · 1 citations
Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps
published 2018 · Journal of Financial and Quantitative Analysis · 9 citations · first circulated 2016
with Antonio Cosma, Stefano Galluccio, Paola Pederzoli
High-Frequency Jump Analysis of the Bitcoin Market*
published 2018 · Journal of Financial Econometrics · 98 citations · first circulated 2017
with Adrien Treccani, Christopher Trevisan
published 2018 · Journal of Econometrics · 7 citations
A Specification Test for Nonparametric Instrumental Variable Regression
published 2017 · Annals of Economics and Statistics · 10 citations · first circulated 2007
Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
published 2017 · Journal of Financial Econometrics · 1 citations · first circulated 2016
with Lorenzo Camponovo, Fabio Trojani
On ill-posedness of nonparametric instrumental variable regression with convexity constraints
published 2016 · Econometrics Journal · 2 citations
Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
published 2016 · Econometrica · 285 citations · first circulated 2011
Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News
published 2015 · Management Science · 138 citations · first circulated 2011
with Pierre Bajgrowicz, Adrien Treccani
Testing for symmetry and conditional symmetry using asymmetric kernels
published 2014 · Annals of the Institute of Statistical Mathematics · 1 citations · first circulated 2011
CFEnetwork: The Annals of Computational and Financial Econometrics
published 2014 · Computational Statistics & Data Analysis
Technical trading revisited: False discoveries, persistence tests, and transaction costs
published 2012 · Journal of Financial Economics · 74 citations · first circulated 2011
with Pierre Bajgrowicz
Nonparametric Instrumental Variable Estimation of Structural Quantile Effects
published 2012 · Econometrica · 51 citations · first circulated 2009
Robust subsampling
published 2011 · Journal of Econometrics · 23 citations
with Lorenzo Camponovo, Fabio Trojani
Tikhonov regularization for nonparametric instrumental variable estimators
published 2011 · Journal of Econometrics · 36 citations
We propose a technique to avoid spurious detections of jumps in highfrequency data via an explicit thresholding on available test statistics
published 2011 · Swiss Finance Institute Research Paper Series · 1 citations
with Pierre Bajgrowicz
no link
Pricing American options under stochastic volatility and stochastic interest rates
published 2010 · Journal of Financial Economics · 87 citations · first circulated 2009
with Alexey Medvedev
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas
published 2010 · The Journal of Finance · 840 citations · first circulated 2005
with Laurent Barras, Russ Wermers
Testing for Stochastic Dominance Efficiency
published 2009 · Journal of Business and Economic Statistics · 100 citations · first circulated 2005
Local Transformation Kernel Density Estimation of Loss Distributions
published 2009 · Journal of Business and Economic Statistics · 10 citations · first circulated 2006
with Jim Gustafsson, Matthias Hagmann, Jens Perch Nielsen, Matthias Hagmann-von Arx
Discussion: Nonparametric estimation of noisy integral equations of the second kind
published 2009 · Journal of the Korean Statistical Society
Testing for threshold effect in ARFIMA models: Application to US unemployment rate data
published 2009 · International Journal of Forecasting · 28 citations · first circulated 2008
with Amine Lahiani
Robust Resampling Methods for Time Series
published 2009 · Swiss Finance Institute Research Paper Series · 12 citations
with Lorenzo Camponovo, Fabio Trojani
LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
published 2007 · Mathematical Finance · 122 citations
with Peng Cheng
Multivariate wavelet-based shape-preserving estimation for dependent observations
published 2007 · Bernoulli · 22 citations · first circulated 2005
with Antonio Cosma, Rainer von Sachs
Local multiplicative bias correction for asymmetric kernel density estimators
published 2007 · Journal of Econometrics · 9 citations · first circulated 2003
with Matthias Hagmann, Matthias Hagmann-von Arx, Adrienne Baker Moussaoui
Semiparametric methods in econometrics
published 2007 · Journal of Econometrics · 2 citations
A Kolmogorov–Smirnov-Type Test for Shortfall Dominance Against Parametric Alternatives
published 2007 · Technometrics · 9 citations · first circulated 2005
Testing for Equality between Two Copulas
published 2007 · Journal of Multivariate Analysis · 3 citations
with Bruno Rémillard
THEORY AND CALIBRATION OF SWAP MARKET MODELS
published 2006 · Mathematical Finance · 12 citations · first circulated 2005
with Stefano Galluccio, J.-M. Ly, Zhijiang Huang, J.H. Ly
Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility
published 2006 · Review of Financial Studies · 42 citations
with Alexey Medvedev
Optimal asset management for pension funds
published 2006 · Managerial Finance · 10 citations
with Francesco Menoncin
A fast subsampling method for nonlinear dynamic models
published 2005 · Journal of Econometrics · 31 citations · first circulated 2001
A kolmogorov-smirnov type test for positive quadrant dependence
published 2005 · Canadian Journal of Statistics · 7 citations
CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA
published 2005 · Econometric Theory · 130 citations
with Taoufik Bouezmarni
Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters
published 2005 · Journal of Multivariate Analysis · 10 citations
Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements
published 2004 · Journal of Banking & Finance · 60 citations · first circulated 2003
with Jean-David Fermanian
Testing for Concordance Ordering
published 2004 · Astin Bulletin · 16 citations · first circulated 2002
with Ana C. Cebrián, Michel Denuit
Density estimation using inverse and reciprocal inverse Gaussian kernels
published 2004 · Journal of nonparametric statistics · 183 citations · first circulated 2001
On the way to recovery: A nonparametric bias free estimation of recovery rate densities
published 2004 · Journal of Banking & Finance · 113 citations · first circulated 2003
with Olivier Renault
Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
published 2003 · Mathematical Finance · 283 citations
Option pricing with discrete rebalancing
published 2003 · Journal of Empirical Finance · 13 citations · first circulated 1999
with Jean-Luc Prigent, Olivier Renault
Nonparametric estimation of copulas for time series
published 2003 · The Journal of Risk · 200 citations
with Jean-David Fermanian
Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models
published 2003 · Journal of Business and Economic Statistics · 20 citations · first circulated 1999
with Alain Guay
An empirical investigation into credit spread indices
published 2001 · The Journal of Risk · 27 citations
with Jean-Luc Prigent, Olivier Renault
Sensitivity analysis of Values at Risk
published 2000 · Journal of Empirical Finance · 415 citations
A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary
published 2000 · Finance and Stochastics · 41 citations
with B. LeBlanc, Olivier Renault, Boris Leblanc
Convergence of discrete time option pricing models under stochastic interest rates
published 2000 · Finance and Stochastics · 19 citations · first circulated 1997
with Jean-Philippe Lesne, Jean-Luc Prigent
Path dependent options on yields in the affine term structure model
published 1998 · Finance and Stochastics · 65 citations
with Boris Leblanc
QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES
published 1998 · Econometric Theory · 46 citations · first circulated 1995
Unemployment insurance and mortgages
published 1997 · Insurance Mathematics and Economics · 3 citations
Économétrie de la finance : analyses historiques
published 1997 · Medical Entomology and Zoology · 5 citations
no link
Compound and exchange options in the affine term structure model
published 1996 · Applied Mathematical Finance · 3 citations
Estimation de modèles de la structure par terme des taux d'intérêt.
published 1996 · Revue économique · 1 citations
Testing for continuous-time models of the short-term interest rate
published 1995 · Journal of Empirical Finance · 100 citations
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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