Olivier Scaillet : Citation Profile

Are you Olivier Scaillet?

Swiss Finance Institute (30% share)
Université de Genève (35% share)
Université de Genève (35% share)

22

H index

39

i10 index

1714

Citations

RESEARCH PRODUCTION:

53

Articles

146

Papers

1

Chapters

RESEARCH ACTIVITY:

   30 years (1993 - 2023). See details.
   Cites by year: 57
   Journals where Olivier Scaillet has often published
   Relations with other researchers
   Recent citing documents: 174.    Total self citations: 54 (3.05 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psc56
   Updated: 2023-11-04    RAS profile: 2023-09-08    
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Relations with other researchers

Works with:

Hurlin, Christophe (7)

Topaloglou, Nikolas (5)

Mihet, Roxana (3)

Ossola, Elisa (3)

Gehrig, Thomas (3)

Schuerhoff, Norman (3)

Park, Andreas (2)

Pelizzon, Loriana (2)

Taylor, Nick (2)

Rinne, Kalle (2)

Zhou, Chen (2)

Jurkatis, Simon (2)

Rakowski, David (2)

Xia, Shuo (2)

Frijns, Bart (2)

Dumitrescu, Ariadna (2)

Palan, Stefan (2)

LINTON, OLIVER (2)

Tonks, Ian (2)

Kassner, Bernhard (2)

Chernov, Mikhail (2)

Colliard, Jean-Edouard (2)

FERROUHI, EL MEHDI (2)

He, Xuezhong (Tony) (2)

Hautsch, Nikolaus (2)

Nielsson, Ulf (2)

Putnins, Talis (2)

Vilkov, Grigory (2)

Xiu, Dacheng (2)

Renault, Thomas (2)

Bos, Charles (2)

Foucault, Thierry (2)

Caporin, Massimiliano (2)

PASCUAL, ROBERTO (2)

Brownlees, Christian (2)

Reitz, Stefan (2)

Wolff, Christian (2)

Pastor, Lubos (2)

Ferrara, Gerardo (2)

van Kervel, Vincent (2)

Sarno, Lucio (2)

Deev, Oleg (2)

Lof, Matthijs (2)

Ranaldo, Angelo (2)

Lajaunie, Quentin (2)

Holzmeister, Felix (2)

Dimpfl, Thomas (2)

Verousis, Thanos (2)

Liew, Chee (2)

Sojli, Elvira (2)

Wilhelmsson, Anders (2)

Roy, Saurabh (2)

Schwarz, Marco (2)

Chow, Nikolai Sheung-Chi (2)

Kearney, Fearghal (2)

Stefanova, Denitsa (2)

Frömmel, Michael (2)

Korajczyk, Robert (2)

Davies, Ryan (2)

Alexeev, Vitali (2)

Jalkh, Naji (2)

CAPELLE-BLANCARD, Gunther (2)

Chaieb, Ines (2)

Pasquariello, Paolo (2)

Talavera, Oleksandr (2)

Deku, Solomon (2)

Schenk-Hoppé, Klaus (2)

Johannesson, Magnus (2)

Vogel, Sebastian (2)

Menkveld, Albert (2)

Bouri, Elie (2)

Hjalmarsson, Erik (2)

Ait-Sahalia, Yacine (2)

Regis, Luca (2)

Adrian, Tobias (2)

Walther, Thomas (2)

Dreber, Anna (2)

Patel, Vinay (2)

Theissen, Erik (2)

Moinas, Sophie (2)

Bohorquez Correa, Santiago (2)

Harris, Jeffrey (2)

Smales, Lee (2)

Patton, Andrew (2)

Horenstein, Alex (2)

Ødegaard, Bernt (2)

Gorbenko, Arseny (2)

Prokopczuk, Marcel (2)

Wong, Wing-Keung (2)

Heath, Davidson (2)

Abudy, Menachem (2)

Gerritsen, Dirk (2)

Lopez-Lira, Alejandro (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Olivier Scaillet.

Is cited by:

Chen, Xiaohong (25)

Rombouts, Jeroen (20)

Chernozhukov, Victor (17)

Ossola, Elisa (16)

Stengos, Thanasis (15)

Pinar, Mehmet (15)

gourieroux, christian (15)

Gospodinov, Nikolay (14)

Topaloglou, Nikolas (14)

Ardia, David (13)

Fernandes, Marcelo (13)

Cites to:

Shanken, Jay (20)

French, Kenneth (18)

Detemple, Jerome (16)

Campbell, John (16)

Wu, Liuren (16)

Ait-Sahalia, Yacine (15)

Bai, Jushan (15)

merton, robert (14)

Connor, Gregory (14)

LINTON, OLIVER (12)

Xiu, Dacheng (12)

Main data

Where Olivier Scaillet has published?

Journals with more than one article published# docs
Journal of Econometrics8
Finance and Stochastics3
Journal of Business & Economic Statistics3
Journal of Financial Economics3
The Journal of Financial Econometrics3
Journal of Empirical Finance3
Mathematical Finance3
Journal of Multivariate Analysis2
Journal of Banking & Finance2
Journal of Finance2
Econometric Theory2
Econometrica2

Working Papers Series with more than one paper published# docs
Swiss Finance Institute Research Paper Series / Swiss Finance Institute39
FAME Research Paper Series / International Center for Financial Asset Management and Engineering22
Working Papers / University of Geneva, Geneva School of Economics and Management14
Papers / arXiv.org12
LIDAM Discussion Papers IRES / Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)11
Working Papers / Center for Research in Economics and Statistics11
THEMA Working Papers / THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise9
Post-Print / HAL4
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2

Recent works citing Olivier Scaillet (2023 and 2022)

YearTitle of citing document
2022Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference. (2019). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1910.08273.

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2022A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312.

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2023Identification of multi-valued treatment effects with unobserved heterogeneity. (2020). Fusejima, Koki. In: Papers. RePEc:arx:papers:2010.04385.

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2022Bridging factor and sparse models. (2021). Medeiros, Marcelo C ; Masini, Ricardo ; Fan, Jianqing. In: Papers. RePEc:arx:papers:2102.11341.

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2022Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. (2021). Fissler, Tobias ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2104.10673.

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2023Option Valuation through Deep Learning of Transition Probability Density. (2021). Newton, David P ; Tretyakov, M V ; Su, Haozhe. In: Papers. RePEc:arx:papers:2105.10467.

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2022Risk contributions of lambda quantiles. (2021). Pesenti, Silvana ; Peri, Ilaria ; Ince, Akif. In: Papers. RePEc:arx:papers:2106.14824.

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2023The insider problem in the trinomial model: a discrete-time jump process approach. (2021). Halconruy, H'Elene. In: Papers. RePEc:arx:papers:2106.15208.

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2023Inference for Low-Rank Models. (2021). Zhu, Yinchu ; Liao, Yuan ; Hansen, Christian ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:2107.02602.

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2022Net Buying Pressure and the Information in Bitcoin Option Trades. (2021). Wan, Huning ; Feng, Jianfen ; Deng, Jun ; Alexander, Carol. In: Papers. RePEc:arx:papers:2109.02776.

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2023How easy is it for investment managers to deploy their talent in green and brown stocks?. (2022). Ardia, David ; Bluteau, Keven ; Tran, Thien Duy. In: Papers. RePEc:arx:papers:2201.05709.

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2022Standard errors for two-way clustering with serially correlated time effects. (2022). Sasaki, Yuya ; Hansen, Bruce E ; Chiang, Harold D. In: Papers. RePEc:arx:papers:2201.11304.

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2022The ATM implied volatility slope, the (dual) volatility swap, and the (dual) zero vanna implied volatility. (2022). Rolloos, Frido. In: Papers. RePEc:arx:papers:2202.07542.

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2023Encompassing Tests for Nonparametric Regressions. (2022). Lapenta, Elia ; Lavergne, Pascal. In: Papers. RePEc:arx:papers:2203.06685.

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2022Short-time asymptotics for non self-similar stochastic volatility models. (2022). Pigato, Paolo ; Pacchiarotti, Barbara ; Giorgio, Giacomo. In: Papers. RePEc:arx:papers:2204.10103.

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2023Do t-Statistic Hurdles Need to be Raised. (2022). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2204.10275.

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2022Estimation and Inference by Stochastic Optimization. (2022). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:2205.03254.

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2022Most claimed statistical findings in cross-sectional return predictability are likely true. (2022). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2206.15365.

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2022Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing. (2022). Aste, Tomaso ; Wang, Yuanrong ; Saef, Danial. In: Papers. RePEc:arx:papers:2208.12614.

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2022Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation. (2022). Vladimirov, Evgenii ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2210.06217.

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2022Forecasting Bitcoin volatility spikes from whale transactions and CryptoQuant data using Synthesizer Transformer models. (2022). Low, Kah Wee ; Herremans, Dorien. In: Papers. RePEc:arx:papers:2211.08281.

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2022Partly Linear Instrumental Variables Regressions without Smoothing on the Instruments. (2022). Lapenta, Elia ; Florens, Jean-Pierre. In: Papers. RePEc:arx:papers:2212.11012.

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2023Portfolio Optimization with Relative Tail Risk. (2023). Kim, Young Shin. In: Papers. RePEc:arx:papers:2303.12209.

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2023Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications. (2023). Shi, Shuping ; Laurent, S'Ebastien ; Bouamara, Nabil. In: Papers. RePEc:arx:papers:2303.13406.

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2023Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage. (2023). Ribeiro, Ruy M ; Medeiros, Marcelo C ; de Brito, Diego S ; Alves, Rafael. In: Papers. RePEc:arx:papers:2303.16151.

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2023One-step nonparametric instrumental regression using smoothing splines. (2023). Lavergne, Pascal ; Lapenta, Elia ; Beyhum, Jad. In: Papers. RePEc:arx:papers:2307.14867.

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2023.

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2022The Rising Interconnectedness of the Insurance Sector. (2022). Jourde, Tristan. In: Working papers. RePEc:bfr:banfra:857.

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2022Behavioral finance and the architecture of the asset management industry. (2022). Verlaine, Michel. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:36:y:2022:i:5:p:1454-1476.

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2022Luck versus Skill in the Cross Section of Mutual Fund Returns: Reexamining the Evidence. (2022). Liu, Yan ; Harvey, Campbell R. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:3:p:1921-1966.

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2022False discovery rate control with e?values. (2022). Ramdas, Aaditya ; Wang, Ruodu. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:84:y:2022:i:3:p:822-852.

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2022The rising interconnectedness of the insurance sector. (2022). Jourde, Tristan. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:2:p:397-425.

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2022Tests of multivariate copula exchangeability based on Lévy measures. (2022). Quessy, Jeanfranois ; Bahraoui, Tarik. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:49:y:2022:i:3:p:1215-1243.

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2022Uniform convergence rates for nonparametric estimators smoothed by the beta kernel. (2022). Prokhorov, Artem ; Murtazashvili, Irina ; Hirukawa, Masayuki. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:49:y:2022:i:3:p:1353-1382.

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2022Estimating dynamic systemic risk measures. (2022). Zakoian, Jean-Michel ; Francq, Christian ; Cantin, Loic. In: Working Papers. RePEc:crs:wpaper:2022-11.

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2022Sensitivity analysis of volatility: a new tool for risk management. (2002). Manganelli, Simone ; Ceci, V. ; Vecchiato, W.. In: Working Paper Series. RePEc:ecb:ecbwps:20020194.

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2022An accurate and stable numerical method for option hedge parameters. (2022). Lee, Sungchul ; Kim, Yejin ; Cho, Junhyun. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:430:y:2022:i:c:s0096300322003502.

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2022The stock implied volatility and the implied dividend volatility. (2022). Tunaru, Radu ; Quaye, Enoch. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002116.

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2023Portfolio constructions in cryptocurrency market: A CVaR-based deep reinforcement learning approach. (2023). Zhang, Yongmin ; Jin, Huan ; Ding, Shusheng ; Cui, Tianxiang. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003157.

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2023Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns. (2023). Peng, Zhe ; Xu, Mengyu ; Zhang, Zhengjun. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003613.

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2022Lessons from naïve diversification about the risk-reward trade-off. (2022). Haensly, Paul J. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001856.

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2022Robust drivers of Bitcoin price movements: An extreme bounds analysis. (2022). , Walid. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s106294082200078x.

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2022News and intraday jumps: Evidence from regularization and class imbalance. (2022). Poli, Francesco ; Caporin, Massimiliano. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000900.

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2022Heterogenous beliefs with sentiments and asset pricing. (2022). Hu, Duni ; Wang, Hailong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001590.

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2022No pain, no gain: You should always incorporate trading costs for a bias-free evaluation of trading rule overperformance. (2022). Anghel, Dan Gabriel. In: Economics Letters. RePEc:eee:ecolet:v:216:y:2022:i:c:s0165176522001720.

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2022The drift burst hypothesis. (2022). Reno, Roberto ; Oomen, Roel ; Christensen, Kim. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:2:p:461-497.

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2022Factor models with many assets: Strong factors, weak factors, and the two-pass procedure. (2022). Anatolyev, Stanislav ; Mikusheva, Anna. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:103-126.

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2022High-dimensional test for alpha in linear factor pricing models with sparse alternatives. (2022). Ma, Yanyuan ; Liu, Binghui ; Lan, Wei ; Feng, Long. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:152-175.

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2022Factor models with local factors — Determining the number of relevant factors. (2022). Freyaldenhoven, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:80-102.

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2022Bayesian nonparametric learning of how skill is distributed across the mutual fund industry. (2022). Fisher, Mark ; Jensen, Mark J. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:1:p:131-153.

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2022Testing for the presence of jump components in jump diffusion models. (2022). Zheng, XU ; Wang, Bin. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:2:p:483-509.

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2023A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444.

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2023Identifying latent factors based on high-frequency data. (2023). Zhang, Chuanhai ; Xu, Wen ; Sun, Yucheng. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:251-270.

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2023Large dimensional latent factor modeling with missing observations and applications to causal inference. (2023). Pelger, Markus ; Xiong, Ruoxuan. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:271-301.

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2023Bias reduction in spot volatility estimation from options. (2023). Zhang, Yang ; Todorov, Viktor. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:53-81.

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2023Bootstrap analysis of mutual fund performance. (2023). Peng, Liang ; Leng, Xuan ; Jiang, Lei ; Huang, Haitao. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:239-255.

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2022Estimation of large dimensional time varying VARs using copulas. (2022). Tsionas, Mike ; Trapani, Lorenzo ; Izzeldin, Marwan. In: European Economic Review. RePEc:eee:eecrev:v:141:y:2022:i:c:s0014292121002439.

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2022A copula-based approach for creating an index of micronutrient intakes at household level in Pakistan. (2022). Akbar, Muhammad ; Amjad, Muhammad ; Ullah, Hamd. In: Economics & Human Biology. RePEc:eee:ehbiol:v:46:y:2022:i:c:s1570677x22000442.

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2022Near-optimal asset allocation in financial markets with trading constraints. (2022). Pelsser, Antoon ; Kamma, Thijs. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:2:p:766-781.

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2022Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo. (2022). He, Zhijian. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:1:p:229-242.

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2022New evidence on market response to public announcements in the presence of microstructure noise. (2022). Irwin, Scott ; Garcia, Philip ; Serra, Teresa ; Bian, Siyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:2:p:785-800.

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2022Smiles & smirks: Volatility and leverage by jumps. (2022). Ballotta, Laura ; Rayee, Gregory . In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:3:p:1145-1161.

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2022Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty. (2022). Yannacopoulos, A N ; Weber, G.-W., ; Szczepaski, M ; Kolodziejczyk, K ; Dopierala, L ; Baltas, I. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:3:p:1162-1174.

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2023Unrestricted maximum likelihood estimation of multivariate realized volatility models. (2023). Golosnoy, Vasyl ; Vogler, Jan. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1063-1074.

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2023Incomplete risk-preference information in portfolio decision analysis. (2023). Argyris, Nikolaos ; Kallio, Markku ; Liesio, Juuso. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1084-1098.

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2023On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging. (2023). Vodika, Peter ; Nielsen, Jens Perch ; Kyriakou, Ioannis ; Gerrard, Russell. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:2:p:948-962.

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2022Testing technical trading strategies on Chinas equity ETFs: A skewness perspective. (2022). Jin, Xiaoye. In: Emerging Markets Review. RePEc:eee:ememar:v:51:y:2022:i:pa:s1566014121000728.

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2023Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities. (2023). Park, Jeayoung ; Huh, Sahn-Wook ; Han, Seung-Oh. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:276-307.

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2022Network herding of energy funds in the post-Carbon-Peak Policy era: Does it benefit profitability and stability?. (2022). Yang, Wenke ; Zhou, Wei ; Li, Shouwei ; Lu, Shuai. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001256.

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2022An oil futures volatility forecast perspective on the selection of high-frequency jump tests. (2022). Ma, Feng ; Lu, Xinjie ; Liao, Yin. In: Energy Economics. RePEc:eee:eneeco:v:116:y:2022:i:c:s014098832200487x.

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2022Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach. (2022). Li, Youwei ; Stanley, Eugene H ; Pantelous, Athanasios A ; Chen, Yanhua. In: International Review of Financial Analysis. RePEc:eee:finana:v:79:y:2022:i:c:s1057521921003161.

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2022We dont need no fancy hedges! Or do we?. (2022). Power, Gabriel J ; Vedenov, Dmitry. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000357.

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2022Mutual fund performance persistence: Factor models and portfolio size. (2022). O'Sullivan, Niall ; Nitzsche, Dirk ; Cuthbertson, Keith. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922001016.

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2022The reduced-rank beta in linear stochastic discount factor models. (2022). Zhang, Zhekai ; Sun, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922003714.

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2023Possibility versus feasibility: International portfolio diversification under financial liberalization. (2023). Yao, Shujie ; Wan, Hong ; Chen, Yiqing. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001680.

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2022Approximate pricing formula to capture leverage effect and stochastic volatility of a financial asset. (2022). Goutte, Stéphane ; Vives, Josep ; Makumbe, Zororo S ; El-Khatib, Youssef. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001537.

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2022Do AI-powered mutual funds perform better?. (2022). Ren, Jinjuan ; Chen, Rui. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005547.

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2022Does Bitcoin futures trading reduce the normal and jump volatility in the spot market? Evidence from GARCH-jump models. (2022). Peng, Zhe ; Chen, Haicui ; Zhang, Chuanhai. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000903.

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2022How easy is it for investment managers to deploy their talent in green and brown stocks?. (2022). Ardia, David ; Tran, Thien Duy ; Bluteau, Keven. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s154461232200232x.

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2023Measuring systemic risk with high-frequency data: A realized GARCH approach. (2023). Liang, Fang ; Huang, Zhuo ; Chen, Qihao. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001265.

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2023Forecasting and backtesting systemic risk in the cryptocurrency market. (2023). Egan, Paul ; Cao, Guangxi ; Fang, Sheng. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001617.

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2022Financial integration in the EU28 equity markets: Measures and drivers. (2022). Ossola, Elisa ; Papanagiotou, E ; Nardo, M. In: Journal of Financial Markets. RePEc:eee:finmar:v:57:y:2022:i:c:s138641812100015x.

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2023Net buying pressure and the information in bitcoin option trades. (2023). Wan, Huning ; Feng, Jianfen ; Deng, Jun ; Alexander, Carol. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000544.

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2023Are mutual fund managers good gamblers?. (2023). Stein, Roberto. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000763.

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2022The implications of dependence, tail dependence, and bounds’ measures for counterparty credit risk pricing. (2022). Kimura, Herbert ; Sobreiro, Vinicius Amorim ; Belitsky, Vladimir ; Arismendi-Zambrano, Juan. In: Journal of Financial Stability. RePEc:eee:finsta:v:58:y:2022:i:c:s1572308921001261.

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2022Avoiding zero probability events when computing Value at Risk contributions. (2022). Targino, Rodrigo ; Saporito, Yuri ; Koike, Takaaki. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:106:y:2022:i:c:p:173-192.

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2022Inference for the tail conditional allocation: Large sample properties, insurance risk assessment, and compound sums of concomitants. (2022). Zitikis, R ; Su, J ; Gribkova, N V. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:107:y:2022:i:c:p:199-222.

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2023A new stochastic dominance criterion for dependent random variables with applications. (2023). Martinez-Riquelme, Carolina ; Belzunce, Felix. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:165-176.

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2022Performance of intraday technical trading in China’s gold market. (2022). Jin, Xiaoye. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001876.

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2023The role of interpersonal trust in cryptocurrency adoption. (2023). Yarovaya, Larisa ; Urquhart, Andrew ; Matkovskyy, Roman ; Jalan, Akanksha. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s1042443122001871.

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2023Technical analysis, spread trading, and data snooping control. (2023). Sermpinis, Georgios ; Pantelous, Athanasios A ; Laws, Jason ; Psaradellis, Ioannis. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:178-191.

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2023Non-Gaussian models for CoVaR estimation. (2023). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:391-404.

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2022Sensitivity-implied tail-correlation matrices. (2022). Schlutter, Sebastian ; Paulusch, Joachim. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002843.

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2022On the performance of cryptocurrency funds. (2022). Babiak, Mykola ; Bianchi, Daniele. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s037842662200067x.

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2022A new approach to credit ratings. (2022). Uryasev, Stan ; Prokhorov, Artem ; Pertaia, Giorgi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:140:y:2022:i:c:s0378426621000558.

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2022Venture capital contracts. (2022). Korteweg, Arthur ; Gorbenko, Alexander ; Ewens, Michael. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:1:p:131-158.

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2022The cross section of the monetary policy announcement premium. (2022). Xu, Lai ; Pan, Xuhui Nick ; Han, Leyla Jianyu ; Ai, Hengjie. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:1:p:247-276.

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2022Have risk premia vanished?. (2022). Timmermann, Allan ; Smith, Simon C. In: Journal of Financial Economics. RePEc:eee:jfinec:v:145:y:2022:i:2:p:553-576.

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2023Barking up the wrong tree: Return-chasing in 401(k) plans. (2023). Wang, Pingle ; Tran, Anh. In: Journal of Financial Economics. RePEc:eee:jfinec:v:148:y:2023:i:1:p:69-90.

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2022Firms’ exposures to geographic risks. (2022). Marston, Richard C ; Gabuniya, Tymur ; Dumas, Bernard. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:122:y:2022:i:c:s026156062100200x.

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More than 100 citations found, this list is not complete...

Works by Olivier Scaillet:

YearTitleTypeCited
2017A Specification Test for Nonparametric Instrumental Variable Regression In: Annals of Economics and Statistics.
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2007A Specification Test For Nonparametric Instrumental Variable Regression.(2007) In: Swiss Finance Institute Research Paper Series.
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2016Early exercise decision in American options with dividends, stochastic volatility and jumps In: Papers.
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2016Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps.(2016) In: Swiss Finance Institute Research Paper Series.
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2020Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps.(2020) In: Journal of Financial and Quantitative Analysis.
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2017A diagnostic criterion for approximate factor structure In: Papers.
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2016A Diagnostic Criterion for Approximate Factor Structure.(2016) In: Swiss Finance Institute Research Paper Series.
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2019A diagnostic criterion for approximate factor structure.(2019) In: Journal of Econometrics.
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2016Predictability Hidden by Anomalous Observations In: Papers.
[Full Text][Citation analysis]		paper11
2013Predictability Hidden by Anomalous Observations.(2013) In: Swiss Finance Institute Research Paper Series.
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2018Predictability Hidden by Anomalous Observations.(2018) In: School of Economics Discussion Papers.
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2017High-Frequency Jump Analysis of the Bitcoin Market In: Papers.
[Full Text][Citation analysis]		paper34
2017High-Frequency Jump Analysis of the Bitcoin Market.(2017) In: Swiss Finance Institute Research Paper Series.
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2017High-frequency jump analysis of the bitcoin market.(2017) In: Working Papers.
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2020High-Frequency Jump Analysis of the Bitcoin Market*.(2020) In: The Journal of Financial Econometrics.
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2018Spanning Tests for Markowitz Stochastic Dominance In: Papers.
[Full Text][Citation analysis]		paper2
2018Spanning Tests for Markowitz Stochastic Dominance.(2018) In: Swiss Finance Institute Research Paper Series.
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2020Spanning tests for Markowitz stochastic dominance.(2020) In: Journal of Econometrics.
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2018Spanning tests for markowitz stochastic dominance.(2018) In: Working Papers.
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2022A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data In: Papers.
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2020A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data.(2020) In: Swiss Finance Institute Research Paper Series.
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2023A higher-order correct fast moving-average bootstrap for dependent data.(2023) In: Journal of Econometrics.
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2020A higher-order correct fast moving-average bootstrap for dependent data.(2020) In: Working Papers.
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2021Saddlepoint approximations for spatial panel data models In: Papers.
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2019Saddlepoint Approximations for Spatial Panel Data Models.(2019) In: Swiss Finance Institute Research Paper Series.
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2023Saddlepoint Approximations for Spatial Panel Data Models.(2023) In: Journal of the American Statistical Association.
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2020Spanning analysis of stock market anomalies under Prospect Stochastic Dominance In: Papers.
[Full Text][Citation analysis]		paper0
2020Spanning analysis of stock market anomalies under Prospect Stochastic Dominance.(2020) In: Swiss Finance Institute Research Paper Series.
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2020Spanning analysis of stock market anomalies under prospect stochastic dominance.(2020) In: Working Papers.
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2021Wealth Effect on Portfolio Allocation in Incomplete Markets In: Papers.
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2022A penalized two-pass regression to predict stock returns with time-varying risk premia In: Papers.
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2021A penalized two-pass regression to predict stock returns with time-varying risk premia.(2021) In: Swiss Finance Institute Research Paper Series.
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2022Eigenvalue tests for the number of latent factors in short panels In: Papers.
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2022Eigenvalue tests for the number of latent factors in short panels.(2022) In: Swiss Finance Institute Research Paper Series.
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2023Latent Factor Analysis in Short Panels In: Papers.
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2023Latent Factor Analysis in Short Panels.(2023) In: Swiss Finance Institute Research Paper Series.
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2003Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models. In: Journal of Business & Economic Statistics.
[Citation analysis]		article8
2009Local Transformation Kernel Density Estimation of Loss Distributions In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article14
2007Local Transformation Kernel Density Estimation of Loss Distributions.(2007) In: Swiss Finance Institute Research Paper Series.
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2010Testing for Stochastic Dominance Efficiency In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article57
2005Testing for Stochastic Dominance Efficiency.(2005) In: FAME Research Paper Series.
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2006Testing foe Stochastic Dominance Efficiency.(2006) In: Computing in Economics and Finance 2006.
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2010False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas In: Journal of Finance.
[Full Text][Citation analysis]		article253
2008False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas.(2008) In: Swiss Finance Institute Research Paper Series.
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This paper has another version. Agregated cites: 253		paper
2005False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas.(2005) In: FAME Research Paper Series.
[Full Text][Citation analysis]
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2005False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas..(2005) In: Working Papers CEB.
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2009False discoveries in mutual fund performance: Measuring luck in estimated alphas.(2009) In: CFR Working Papers.
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2022Skill, Scale, and Value Creation in the Mutual Fund Industry In: Journal of Finance.
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2021Skill, scale, and value creation in the mutual fund industry.(2021) In: Working Papers.
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2004Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall In: Mathematical Finance.
[Full Text][Citation analysis]		article81
2007THEORY AND CALIBRATION OF SWAP MARKET MODELS In: Mathematical Finance.
[Full Text][Citation analysis]		article11
2005Theory and Calibration of Swap Market Models.(2005) In: FAME Research Paper Series.
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2007LINEAR?QUADRATIC JUMP?DIFFUSION MODELING In: Mathematical Finance.
[Full Text][Citation analysis]		article31
2006Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper35
2007Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility.(2007) In: Review of Financial Studies.
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2006Tikhonov Regularization for Functional Minimum Distance Estimators In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper6
2006Robust Subsampling In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper6
2012Robust subsampling.(2012) In: Journal of Econometrics.
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2007Testing For Equality Between Two Copulas In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper59
2009Testing for equality between two copulas.(2009) In: Journal of Multivariate Analysis.
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2009Nonparametric Instrumental Variable Estimators of Structural Quantile Effects In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper8
2009Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper81
2012Technical trading revisited: False discoveries, persistence tests, and transaction costs.(2012) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 81		article
2008Testing for threshold effect in ARFIMA models: Application to US unemployment rate data In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper12
2009Testing for threshold effect in ARFIMA models: Application to US unemployment rate data.(2009) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 12		article
2008Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data. In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper2
2009Robust Resampling Methods for Time Series In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper5
2011Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper4
2015Testing for symmetry and conditional symmetry using asymmetric kernels.(2015) In: Annals of the Institute of Statistical Mathematics.
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2011We propose a technique to avoid spurious detections of jumps in highfrequency data via an explicit thresholding on available test statistics. In: Swiss Finance Institute Research Paper Series.
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2011Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets In: Swiss Finance Institute Research Paper Series.
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2011Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets.(2011) In: Swiss Finance Institute Research Paper Series.
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2015Time-varying risk premium in large cross-sectional equity datasets.(2015) In: Working Papers.
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2016Time?Varying Risk Premium in Large Cross?Sectional Equity Data Sets.(2016) In: Econometrica.
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2012Valuing American Options Using Fast Recursive Projections In: Swiss Finance Institute Research Paper Series.
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2012Valuing American options using fast recursive projections.(2012) In: Working Papers.
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2016Valuing American options using fast recursive projections.(2016) In: Working Papers.
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2015Valuing American options using fast recursive projections.(2015) In: DEM Discussion Paper Series.
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2016On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints In: Swiss Finance Institute Research Paper Series.
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2016On ill?posedness of nonparametric instrumental variable regression with convexity constraints.(2016) In: Econometrics Journal.
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2016Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper1
2016Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy.(2016) In: Working Papers.
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2017Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy.(2017) In: The Journal of Financial Econometrics.
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2018Time-Varying Risk Premia in Large International Equity Markets In: Swiss Finance Institute Research Paper Series.
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2019Time-Varying Risk Premia in Large International Equity Markets.(2019) In: HEC Research Papers Series.
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2018The Cross-Sectional Distribution of Fund Skill Measures In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper2
2018The Cross-Sectional Distribution of Fund Skill Measures.(2018) In: Working Papers.
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2019Estimation of Large Dimensional Conditional Factor Models in Finance In: Swiss Finance Institute Research Paper Series.
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2019Estimation of large dimensional conditional factor models in finance.(2019) In: Working Papers.
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2019Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures In: Swiss Finance Institute Research Paper Series.
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2020Backtesting marginal expected shortfalland related systemic risk measures.(2020) In: Working Papers.
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2021Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures.(2021) In: Post-Print.
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2020Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures.(2020) In: Working Papers.
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2021Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures.(2021) In: Management Science.
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2019Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply In: Swiss Finance Institute Research Paper Series.
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2020Swag: A Wrapper Method for Sparse Learning In: Swiss Finance Institute Research Paper Series.
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2023Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified In: Swiss Finance Institute Research Paper Series.
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2021Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration In: Swiss Finance Institute Research Paper Series.
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2022Non-Standard Errors In: Swiss Finance Institute Research Paper Series.
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2021Non-Standard Errors.(2021) In: Working Paper Series, Social and Economic Sciences.
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1993Testing for Continuous-Time Models of the Short-Term Interest Rate In: LIDAM Discussion Papers CORE.
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1995Testing for continuous-time models of the short-term interest rate.(1995) In: LIDAM Reprints CORE.
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1995Testing for continuous-time models of the short-term interest rate.(1995) In: Journal of Empirical Finance.
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1994Forecast Intervals in ARCH Exponential Smoothing In: LIDAM Discussion Papers CORE.
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1995Quasi Indirect Inference for Diffusion Processes In: LIDAM Discussion Papers CORE.
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1998Quasi-indirect inference for diffusion processes.(1998) In: LIDAM Reprints CORE.
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1998QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES.(1998) In: Econometric Theory.
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1999Bartlett identities tests In: LIDAM Discussion Papers CORE.
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1999Bartlett Identities Tests.(1999) In: Working Papers.
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1999Bartlett Identities Tests.(1999) In: LIDAM Discussion Papers IRES.
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1994Estimation of the term structure from bond data In: CEPREMAP Working Papers (Couverture Orange).
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1999Indirect Inference, Nuisance Parameter and Threshold Moving Average In: Cahiers de recherche CREFE / CREFE Working Papers.
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2000Sensitivity Analysis of Values at Risk In: Working Papers.
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2000Sensitivity Analysis of Values at Risk.(2000) In: LIDAM Discussion Papers IRES.
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2000Sensitivity Analysis of Values at Risk.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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2000Sensitivity analysis of Values at Risk.(2000) In: Journal of Empirical Finance.
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2000Sensitivity analysis of values at risk.(2000) In: THEMA Working Papers.
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2000Sensitivity analysis of Values at Risk.(2000) In: Post-Print.
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2000An Empirical Investigation in Credit Spread Indices In: Working Papers.
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2000An Empirical Investigation in Credit Spread Indices.(2000) In: LIDAM Discussion Papers IRES.
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2000Reversed Score and Likelihood Ratio Tests In: Working Papers.
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2000Reversed Score and Likelihood Ratio Tests.(2000) In: LIDAM Discussion Papers IRES.
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2000Reversed Score and Likelihood Ratio Tests.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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2001A Fast Subsampling Method for Nonlinear Dynamic Models In: Working Papers.
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2006A fast subsampling method for nonlinear dynamic models.(2006) In: Journal of Econometrics.
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2001A fast Subsampling Method for Nonlinear Dynamic Models..(2001) In: Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
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2003Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements In: Working Papers.
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2005Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements.(2005) In: Journal of Banking & Finance.
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1997Multiregime Term Structure Models In: Working Papers.
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1997Multiregime Term Structure Models.(1997) In: LIDAM Discussion Papers IRES.
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1998Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates In: Working Papers.
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2000Convergence of discrete time option pricing models under stochastic interest rates.(2000) In: Post-Print.
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1999Convergence of discrete time option pricing models under stochastic interest rates.(1999) In: Finance and Stochastics.
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1999Variance Optimal Cap Pricing Models In: Working Papers.
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1999Variance Optimal Cap Pricing Models.(1999) In: LIDAM Discussion Papers IRES.
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1999Option Pricing with Discrete Rebalancing In: Working Papers.
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