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Information about:
Olivier Scaillet

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Personal Details

First Name: Olivier
Middle Name:
Last Name: Scaillet
Suffix:

RePEc Short-ID: psc56

Email:
Homepage: http://www.hec.unige.ch/professeurs/SCAILLET_Olivier/pages_web/Home_Page.htm
Postal Address: HEC GENEVE UNI MAIL 102 Bd Carl Vogt CH 1211 Geneve 4 Suisse
Phone: 00 41 22 705 88 16

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This author is among the top 5% authors according to these criteria:
  1. Number of Works
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Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
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Working papers

  1. Pierre Bajgrowicz & Olivier Scaillet, 2007. "Technical Trading Revisited: Persistence Tests, Transaction Costs, and False Discoveries," Swiss Finance Institute Research Paper Series 08-05, Swiss Finance Institute, revised Jan 2008. [Downloadable!]

  2. Patrick Gagliardini & Olivier Scaillet, 2007. "A Specification Test For Nonparametric Instrumental Variable Regression," Swiss Finance Institute Research Paper Series 9602, Swiss Finance Institute. [Downloadable!]

  3. Bruno Rémillard & Olivier Scaillet, 2006. "Testing For Equality Between Two Copulas," Swiss Finance Institute Research Paper Series 07-24, Swiss Finance Institute. [Downloadable!]

  4. Victor Chernozhukov & Patrick Gagliardini & Olivier Scaillet, 2006. "Nonparametric Instrumental Variable Estimators of Quantile Structural Effects," Swiss Finance Institute Research Paper Series 08-03, Swiss Finance Institute, revised Jan 2008. [Downloadable!]

  5. P. Gagliardini & O. Scaillet, 2006. "Tikhonov Regularization for Functional Minimum Distance Estimators," Swiss Finance Institute Research Paper Series 06-30, Swiss Finance Institute, revised Nov 2006. [Downloadable!]

  6. J. Gustafsson & M. Hagmann & J.P. Nielsen & O. Scaillet, 2006. "Local Transformation Kernel Density Estimation of Loss Distributions," Swiss Finance Institute Research Paper Series 06-32, Swiss Finance Institute, revised Jun 2007. [Downloadable!]

  7. Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2006. "Robust Subsampling," Swiss Finance Institute Research Paper Series 06-33, Swiss Finance Institute. [Downloadable!]

  8. Philippe Ehlers & Philipp J. Schonbucher, 2006. "Pricing Interest Rate-SensitiveCredit Portfolio Derivatives," Swiss Finance Institute Research Paper Series 06-39, Swiss Finance Institute, revised Dec 2006. [Downloadable!]

  9. Olivier Scaillet & Nikolas Topaloglou, 2005. "Testing for Stochastic Dominance Efficiency," FAME Research Paper Series rp154, International Center for Financial Asset Management and Engineering. [Downloadable!]
    Other versions:

  10. Olivier Scaillet, 2005. "A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence," FAME Research Paper Series rp128, International Center for Financial Asset Management and Engineering. [Downloadable!]

  11. Antonio Cosma & Olivier Scaillet & Rainer von Sachs, 2005. "Multiariate Wavelet-based sahpe preserving estimation for dependant observation," FAME Research Paper Series rp144, International Center for Financial Asset Management and Engineering. [Downloadable!]

  12. Olivier Scaillet & Laurent Barras & Russell R. Wermers, 2005. "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," Working Papers CEB 05-014.RS, Université Libre de Bruxelles, Solvay Business School, Centre Emile Bernheim (CEB). [Downloadable!]
    Other versions:

  13. S.Galluccio & Z. Huang & J.-M. Ly & O. Scaillet, 2005. "Theory and Calibration of Swap Market Models," FAME Research Paper Series rp107, International Center for Financial Asset Management and Engineering. [Downloadable!]
    Published as:

  14. Michel Denuit & Anne-Cécile Goderniaux & Olivier Scaillet, 2005. "A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives," FAME Research Paper Series rp143, International Center for Financial Asset Management and Engineering. [Downloadable!]

  15. Philippe HUBER & Olivier SCAILLET & Maria-Pia VICTORIA-FESER, 2005. "A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements," FAME Research Paper Series rp159, International Center for Financial Asset Management and Engineering. [Downloadable!]

  16. Olivier Scaillet, 2005. "Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters," FAME Research Paper Series rp145, International Center for Financial Asset Management and Engineering. [Downloadable!]

  17. Jean-David FERMANIAN & Olivier SCAILLET, 2004. "Some Statistical Pitfalls In Copula Modeling For Financial Applications," FAME Research Paper Series rp108, International Center for Financial Asset Management and Engineering. [Downloadable!]

  18. Alexey MEDVEDEV & Olivier SCAILLET, 2004. "A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics," FAME Research Paper Series rp93, International Center for Financial Asset Management and Engineering. [Downloadable!]

  19. Olivier SCAILLET, 2004. "Nonparametric Estimation of Conditional Expected Shortfall," FAME Research Paper Series rp112, International Center for Financial Asset Management and Engineering. [Downloadable!]

  20. Jean-David FERMANIAN & Olivier SCAILLET, 2003. "Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements," FAME Research Paper Series rp89, International Center for Financial Asset Management and Engineering. [Downloadable!]

  21. Matthias HAGMANN & Olivier SCAILLET, 2003. "Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators," FAME Research Paper Series rp91, International Center for Financial Asset Management and Engineering. [Downloadable!]
    Other versions:
    Published as:

  22. Olivier Scaillet., 2003. "Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility," THEMA Working Papers 2003-29, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
    Other versions:

  23. Jean-David FERMANIAN & Olivier SCAILLET, 2003. "Nonparametric Estimation of Copulas for Time Series," FAME Research Paper Series rp57, International Center for Financial Asset Management and Engineering. [Downloadable!]

  24. Olivier RENAULT & Olivier SCAILLET, 2003. "On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities," FAME Research Paper Series rp83, International Center for Financial Asset Management and Engineering. [Downloadable!]
    Published as:

  25. Francesco Menoncin & Olivier Scaillet, 2003. "Mortality Risk and Real Optimal Asset Allocation for Pension Funds," FAME Research Paper Series rp101, International Center for Financial Asset Management and Engineering. [Downloadable!]

  26. Paolo Battocchio & Francesco Menoncin & Olivier Scaillet, 2003. "Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases," THEMA Working Papers 2003-28, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
    Other versions:

  27. Ana C. CEBRIÁN & Michel DENUIT & Olivier SCAILLET, 2002. "Testing for Concordance Ordering," FAME Research Paper Series rp41, International Center for Financial Asset Management and Engineering. [Downloadable!]

  28. Michel DENUIT & Olivier SCAILLET, 2002. "Nonparametric Tests Dependence For Positive Quadrant," FAME Research Paper Series rp44, International Center for Financial Asset Management and Engineering. [Downloadable!]

  29. Marc Henry & Olivier Scaillet, 2002. "Nonparametric specification analysis of dynamic parametric models," Discussion Papers 0102-20, Columbia University, Department of Economics. [Downloadable!]

  30. DENUIT, Michel & SAILLET, Olivier, 2001. "Nonparametric Tests for Positive Quadrant Dependence," Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Discussion Paper 2001009, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 01 Apr 2001. [Downloadable!]

  31. Hong, H. & Scaillet, O. & Tamer, E., 2001. "A fast Subsampling Method for Nonlinear Dynamic Models," Papers 2001.09, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
    Other versions:
    Published as:

  32. Olivier SCAILLET, 2001. "Density Estimation Using Inverse and Reciprocal Inverse Guassian Kernels," Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Discussion Paper 2001017, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
    Other versions:

  33. J.L. Prigent & O. Renault & O.Scaillet, 2000. "An Empirical Estimation in Credit Spread Indices," THEMA Working Papers 2000-51, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]

  34. J.L. Prigent & O. Scaillet, 2000. "Weak Convergence of Hedging Strategies of Contingent Claims," THEMA Working Papers 2000-50, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
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  35. Dhaene, Geert & Scaillet, Olivier, 2000. "Reversed Score and Likelihood Ratio Tests," Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Discussion Paper 2000026, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
    Other versions:

  36. Prigent, J.-L. & Renault, O. & Scaillet, O., 2000. "An Empirical Investigation in Credit Spread Indices," Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Discussion Paper 2000028, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
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  37. Chesher, Andrew & Dhaene, Geert & Gouriéroux, Christian & Scaillet, Olivier, 1999. "Bartlett Identities Tests," Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Discussion Paper 1999019, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
    Other versions:
    • Chesner, A. & Dhaene, G. & Gourieroux, C. & Scaillet, O., 1999. "Bartlett Identities Tests," Papers 9932, Institut National de la Statistique et des Etudes Economiques-.
    • Chesher, A. & Dhaene, G. & Gourieroux, C. & Scaillet, O., 1999. "Bartlett Identities Tests," Papers 9939, Catholique de Louvain - Center for Operations Research and Economics.

  38. J.L. Prigent & O. Renault & O. Scaillet., 1999. "An autoregressive conditional binomial option pricing model under stochastic rates," THEMA Working Papers 99-40, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.

  39. Alain Guay & Olivier Scaillet, 1999. "Indirect Inference, Nuisance Parameter and Threshold Moving Average," Cahiers de recherche CREFE / CREFE Working Papers 95, CREFE, Université du Québec à Montréal. [Downloadable!]

  40. Prigent, J.-L. & Renault, O. & Scaillet, O., 1999. "An Autoregressive Conditional Binomial Option Pricing Model," Papers 9965, Institut National de la Statistique et des Etudes Economiques-.
    Other versions:

  41. Prigent, J.-L. & Renault, O. & Scaillet, O., 1999. "Option Pricing with Discrete Rebalancing," Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Discussion Paper 1999029, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Oct 1999. [Downloadable!]
    Other versions:
    Published as:

  42. Gouriéroux, Christian & Laurent, J.P. & Scaillet, Olivier, 1999. "Sensitivity Analysis of Values at Risk," Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Discussion Paper 2000002, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Jan 2000. [Downloadable!]
    Other versions:
    Published as:

  43. Laurent, J.P. & Scaillet, O., 1997. "Variance Optimal Cap Pricing Models," Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Discussion Paper 1999002, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Dec 1998. [Downloadable!]
    Other versions:

  44. J. P. Lesne & J. L. Prigent & O. Scaillet, 1997. "Convergence of discrete time options pricing models under stochastic," THEMA Working Papers 97-34, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.

  45. Gouriéroux, C. & Scaillet, O., 1997. "Multiregime Term Structure Models," Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Discussion Paper 1998002, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Dec 1997. [Downloadable!]

  46. Lesne, J.P. & Prigent, J.L. & Scaillet, O., 1997. "Convergence of Discrete Time Options Pricing Models under Stochastic Rates," Papers 9734, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..

  47. Lesne, J.-P. & Prigent, J.-L. & Scaillet, O., 1997. "Convergence of Discrete Time Option Pricing Models under Stochastic Interest Rates," Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Discussion Paper 1998026, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Sep 1998. [Downloadable!]
    Other versions:
    Published as:

  48. Anderson, Ronald & Reinard, Davy & Scaillet, Olivier, 1997. "A New Index of Belgian Shares," Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Discussion Paper 1997016, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]

  49. Dhaene, G. & Gourieroux, C. & Scaillet, O., 1996. "Non-Nested Hypothesis and Instrumental Models," Papers 9605, Institut National de la Statistique et des Etudes Economiques-.

  50. Leblanc, B. & Scaillet, O., 1995. "Path Dependant Options on Yields in the Affine Term Structure Model," Papers 9530, Institut National de la Statistique et des Etudes Economiques-.
    Published as:

  51. Gouriéroux, Christian & Scaillet, O., 1994. "Estimation of the term structure from bond data," CEPREMAP Working Papers (Couverture Orange) 9415, CEPREMAP.

  52. Broze, L. & Scaillet, O. & Zakoian, J.M., 1993. "Testing for Continuous-Time Models of the Short-Term Interest Rate," Papers 9331, Catholique de Louvain - Center for Operations Research and Economics.
    Published as:

  53. Alexey Medvedev & Olivier Scaillet, . "Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility," Swiss Finance Institute Research Paper Series 06-08, Swiss Finance Institute, revised Jan 2006. [Downloadable!]

Articles

  1. Fernandes, Marcelo & Linton, Oliver & Scaillet, Olivier, 2007. "Semiparametric methods in econometrics," Journal of Econometrics, Elsevier, vol. 127(1), pages 1-4, November. [Downloadable!] (restricted)

  2. S. Galluccio & J.-M. Ly & Z. Huang & O. Scaillet, 2007. "Theory And Calibration Of Swap Market Models," Mathematical Finance, Blackwell Publishing, vol. 17(1), pages 111-141. [Downloadable!] (restricted)
    Other versions:

  3. Hagmann, M. & Scaillet, O., 2007. "Local multiplicative bias correction for asymmetric kernel density estimators," Journal of Econometrics, Elsevier, vol. 127(1), pages 213-249, November. [Downloadable!] (restricted)
    Other versions:

  4. Hong, H. & Scaillet, O., 2006. "A fast subsampling method for nonlinear dynamic models," Journal of Econometrics, Elsevier, vol. 127(2), pages 557-578, August. [Downloadable!] (restricted)
    Other versions:

  5. Bouezmarni, Taoufik & Scaillet, Olivier, 2005. "Consistency Of Asymmetric Kernel Density Estimators And Smoothed Histograms With Application To Income Data," Econometric Theory, Cambridge University Press, vol. 21(02), pages 390-412, March. [Downloadable!]

  6. Fermanian, Jean-David & Scaillet, Olivier, 2005. "Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 927-958, April. [Downloadable!] (restricted)

  7. Renault, Olivier & Scaillet, Olivier, 2004. "On the way to recovery: A nonparametric bias free estimation of recovery rate densities," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2915-2931, December. [Downloadable!] (restricted)
    Other versions:

  8. O. Scaillet, 2004. "Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall," Mathematical Finance, Blackwell Publishing, vol. 14(1), pages 115-129. [Downloadable!] (restricted)

  9. Prigent, Jean-Luc & Renault, Olivier & Scaillet, Olivier, 2004. "Option pricing with discrete rebalancing," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 133-161, January. [Downloadable!] (restricted)
    Other versions:

  10. Guay, Alain & Scaillet, Olivier, 2003. "Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 122-32, January.

  11. Gourieroux, C. & Laurent, J. P. & Scaillet, O., 2000. "Sensitivity analysis of Values at Risk," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 225-245, November. [Downloadable!] (restricted)
    Other versions:

  12. O. Renault & O. Scaillet & B. Leblanc, 2000. "A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary," Finance and Stochastics, Springer, vol. 4(1), pages 109-111. [Downloadable!] (restricted)

  13. O. Scaillet & J.-L. Prigent & J.-P. Lesne, 2000. "Convergence of discrete time option pricing models under stochastic interest rates," Finance and Stochastics, Springer, vol. 4(1), pages 81-93. [Downloadable!] (restricted)
    Other versions:

  14. Geert Dhaene & Christian Gourieroux & Olivier Scaillet, 1998. "Instrumental Models and Indirect Encompassing," Econometrica, Econometric Society, vol. 66(3), pages 673-688, May.

  15. Broze, Laurence & Scaillet, Olivier & Zako an, Jean-Michel, 1998. "Quasi-Indirect Inference For Diffusion Processes," Econometric Theory, Cambridge University Press, vol. 14(02), pages 161-186, April. [Downloadable!]

  16. Olivier Scaillet & Boris Leblanc, 1998. "Path dependent options on yields in the affine term structure model," Finance and Stochastics, Springer, vol. 2(4), pages 349-367. [Downloadable!] (restricted)
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  17. Gourieroux, C. & Scaillet, O., 1997. "Unemployment insurance and mortgages," Insurance: Mathematics and Economics, Elsevier, vol. 20(3), pages 173-195, October. [Downloadable!] (restricted)

  18. Broze, Laurence & Scaillet, Olivier & Zakoian, Jean-Michel, 1995. "Testing for continuous-time models of the short-term interest rate," Journal of Empirical Finance, Elsevier, vol. 2(3), pages 199-223, September. [Downloadable!] (restricted)
    Other versions:

NEP Fields

38 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (2) 2006-02-05 2006-02-12
  2. NEP-CBA: Central Banking (3) 2001-10-22 2002-02-10 2008-04-12
  3. NEP-CFN: Corporate Finance (4) 2004-03-14 2004-06-13 2004-06-13 2006-02-05
  4. NEP-DCM: Discrete Choice Models (1) 2006-02-12
  5. NEP-ECM: Econometrics (18) 1999-11-28 2001-10-22 2002-02-14 2002-02-14 2002-12-10 2004-06-13 2004-06-13 2004-06-13 2004-08-30 2005-04-16 2005-04-16 2005-09-29 2006-02-12 2007-10-20 2007-10-20 2007-10-20 2007-10-20 2008-04-12 Author is listed
  6. NEP-ETS: Econometric Time Series (9) 1999-11-28 2001-10-22 2002-02-10 2004-06-13 2004-06-13 2004-08-23 2005-04-16 2005-06-05 2005-06-05 Author is listed
  7. NEP-FIN: Finance (14) 2004-03-14 2004-06-13 2004-06-13 2004-06-13 2004-06-13 2004-06-13 2005-04-16 2005-04-16 2005-04-16 2005-06-05 2005-09-29 2006-01-24 2006-02-05 2006-02-12 Author is listed
  8. NEP-FMK: Financial Markets (5) 2001-10-22 2002-02-10 2002-02-10 2002-02-10 2002-02-10 Author is listed
  9. NEP-FOR: Forecasting (1) 2006-02-12
  10. NEP-HEA: Health Economics (1) 2004-06-13
  11. NEP-IFN: International Finance (1) 2002-02-10
  12. NEP-MST: Market Microstructure (1) 2008-04-12
  13. NEP-ORE: Operations Research (1) 2008-04-12
  14. NEP-RMG: Risk Management (3) 2004-03-14 2005-04-16 2005-04-16
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This page was last updated on 2008-7-8.

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