Olivier Scaillet : Citation Profile

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

23

H index

42

i10 index

1942

Citations

RESEARCH PRODUCTION:

60

Articles

157

Papers

2

Chapters

RESEARCH ACTIVITY:

   32 years (1993 - 2025). See details.
   Cites by year: 60
   Journals where Olivier Scaillet has often published
   Relations with other researchers
   Recent citing documents: 157.    Total self citations: 56 (2.8 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psc56
   Updated: 2025-07-12    RAS profile: 2025-04-07    
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Relations with other researchers

Works with:

Hurlin, Christophe (10)

Gehrig, Thomas (7)

Schuerhoff, Norman (7)

Stefanova, Denitsa (6)

Bos, Charles (6)

Rinne, Kalle (6)

Korajczyk, Robert (6)

Sarno, Lucio (6)

Talavera, Oleksandr (6)

Schwarz, Marco (6)

Pastor, Lubos (6)

FERROUHI, EL MEHDI (6)

Zhang, S. Sarah (6)

Roy, Saurabh (6)

Alexeev, Vitali (6)

Tonks, Ian (6)

Gerritsen, Dirk (6)

Jurkatis, Simon (6)

Johannesson, Magnus (6)

Nielsson, Ulf (6)

Renault, Thomas (6)

Sojli, Elvira (6)

Liew, Chee (6)

Degryse, Hans (6)

Ødegaard, Bernt (6)

Brownlees, Christian (6)

Chernov, Mikhail (6)

Palan, Stefan (6)

Füllbrunn, Sascha (6)

Smales, Lee (6)

Caporin, Massimiliano (6)

Holzmeister, Felix (6)

Park, Andreas (6)

Lof, Matthijs (6)

Pasquariello, Paolo (6)

Ferrara, Gerardo (6)

Reitz, Stefan (6)

Frömmel, Michael (6)

Foucault, Thierry (6)

Ranaldo, Angelo (6)

Deev, Oleg (6)

Harris, Jeffrey (6)

LINTON, OLIVER (6)

Xia, Shuo (6)

Vilkov, Grigory (6)

Dreber, Anna (6)

Xiu, Dacheng (6)

Wilhelmsson, Anders (6)

Wolff, Christian (6)

Shachar, Or (6)

Frijns, Bart (6)

Jalkh, Naji (5)

Huang, Wenqian (5)

Bohorquez Correa, Santiago (5)

Hautsch, Nikolaus (5)

Menkveld, Albert (5)

Koetter, Michael (5)

Neszveda, Gabor (5)

Schenk-Hoppé, Klaus (5)

Deku, Solomon (5)

Horenstein, Alex (5)

Eugster, Nicolas (5)

Walther, Thomas (5)

Davies, Ryan (5)

Dimpfl, Thomas (5)

CAPELLE-BLANCARD, Gunther (5)

Verousis, Thanos (5)

Mihet, Roxana (4)

Aloosh, Arash (4)

Güçbilmez, Ufuk (4)

Ait-Sahalia, Yacine (4)

Colliard, Jean-Edouard (4)

van Kervel, Vincent (4)

Taylor, Nick (3)

Abudy, Menachem (3)

He, Xuezhong (Tony) (3)

Topaloglou, Nikolas (3)

Leymarie, Jérémy (3)

Chow, Nikolai Sheung-Chi (3)

Voigt, Stefan (3)

Gil-Bazo, Javier (3)

Bjønnes, Geir (2)

Bouri, Elie (2)

Lajaunie, Quentin (2)

Regis, Luca (2)

Lopez-Lira, Alejandro (2)

Patel, Vinay (2)

Putnins, Talis (2)

Adrian, Tobias (2)

Pelizzon, Loriana (2)

Kassner, Bernhard (2)

Gorbenko, Arseny (2)

Roy, Saurabh (2)

Hjalmarsson, Erik (2)

Wong, Wing-Keung (2)

Ardia, David (2)

Dumitrescu, Ariadna (2)

Moinas, Sophie (2)

Rakowski, David (2)

Hasse, Jean-Baptiste (2)

Kearney, Fearghal (2)

Patton, Andrew (2)

PASCUAL, ROBERTO (2)

Prokopczuk, Marcel (2)

Zhou, Chen (2)

Vogel, Sebastian (2)

Heath, Davidson (2)

Theissen, Erik (2)

Söderlind, Paul (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)

gourieroux, christian (15)

Pinar, Mehmet (15)

Stengos, Thanasis (15)

Grammig, Joachim (14)

Topaloglou, Nikolas (14)

Fernandes, Marcelo (14)

Gospodinov, Nikolay (14)

Cites to:

Shanken, Jay (20)

French, Kenneth (18)

Wu, Liuren (16)

Bai, Jushan (15)

Ait-Sahalia, Yacine (15)

Harvey, Campbell (15)

Campbell, John (14)

Connor, Gregory (14)

Xiu, Dacheng (12)

merton, robert (12)

LINTON, OLIVER (12)

Main data

Where Olivier Scaillet has published?

Journals with more than one article published# docs
Journal of Econometrics9
Journal of Financial Economics4
Journal of Financial Econometrics4
Finance and Stochastics3
Journal of Finance3
Journal of Business & Economic Statistics3
Mathematical Finance3
Journal of Empirical Finance3
Econometrica2
Journal of Multivariate Analysis2
Journal of Banking & Finance2
Journal of Risk2
Econometric Theory2

Working Papers Series with more than one paper published# docs
Swiss Finance Institute Research Paper Series / Swiss Finance Institute43
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.org13
Working Papers / Center for Research in Economics and Statistics11
LIDAM Discussion Papers IRES / Universit catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)11
THEMA Working Papers / THEMA (THorie Economique, Modlisation et Applications), Universit de Cergy-Pontoise9
Post-Print / HAL6
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2

Recent works citing Olivier Scaillet (2025 and 2024)

YearTitle of citing document
2024No-sabotage under conditional mean risk sharing of dependent-by-mixture insurance losses. (2024). Robert, Christian Y ; Ortega-Jimenez, Patricia ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024019.

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2025Distributional Dynamics. (2025). Kuhn, Moritz ; Bayer, Christian ; Calderon, Luis. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:351.

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2025Is completeness necessary? Estimation in nonidentified linear models. (2025). Babii, Andrii ; Florens, Jean-Pierre. In: Papers. RePEc:arx:papers:1709.03473.

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2024The Laplace transform of the integrated Volterra Wishart process. (2024). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:1911.07719.

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2025Inference in Unbalanced Panel Data Models with Interactive Fixed Effects. (2020). Czarnowske, Daniel ; Stammann, Amrei. In: Papers. RePEc:arx:papers:2004.03414.

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2024Do t-Statistic Hurdles Need to be Raised?. (2024). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2204.10275.

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2025Most claimed statistical findings in cross-sectional return predictability are likely true. (2025). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2206.15365.

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2024One-step smoothing splines instrumental regression. (2024). Lavergne, Pascal ; Beyhum, Jad ; Lapenta, Elia. In: Papers. RePEc:arx:papers:2307.14867.

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2024Assessing the Solvency of Virtual Asset Service Providers: Are Current Standards Sufficient?. (2024). Segalla, Esther ; Saggese, Pietro ; Raunig, Burkhard ; Sigmund, Michael ; Zangerl, Felix ; Haslhofer, Bernhard. In: Papers. RePEc:arx:papers:2309.16408.

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2024Asset and Factor Risk Budgeting: A Balanced Approach. (2024). Gu, Olivier ; Cetingoz, Adil Rengim. In: Papers. RePEc:arx:papers:2312.11132.

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2024Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches. (2024). Jeleskovic, Vahidin ; Chinazzo, Cristina. In: Papers. RePEc:arx:papers:2401.02049.

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2025Short-Term Asymptotics of Volatility Skew and Curvature Based on Cumulants. (2025). Cheng, Xue. In: Papers. RePEc:arx:papers:2401.03776.

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2024Inference for Two-Stage Extremum Estimators. (2024). Houndetoungan, Aristide ; Maoude, Abdoul Haki. In: Papers. RePEc:arx:papers:2402.05030.

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2024Sizing the bets in a focused portfolio. (2024). Vukcevic, Vuko ; Keser, Robert. In: Papers. RePEc:arx:papers:2402.15588.

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2024Navigating Complexity: Constrained Portfolio Analysis in High Dimensions with Tracking Error and Weight Constraints. (2024). Caner, Mehmet ; Li, Yingying ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2402.17523.

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2024Crypto Inverse-Power Options and Fractional Stochastic Volatility. (2024). Xia, Weixuan ; Li, Boyi. In: Papers. RePEc:arx:papers:2403.16006.

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2024Derivatives of Risk Measures. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2404.09646.

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2024Estimation for conditional moment models based on martingale difference divergence. (2024). Song, Kunyang ; Zhu, KE ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:2404.11092.

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2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Hurlin, Christophe ; Lu, Yang. In: Papers. RePEc:arx:papers:2405.02012.

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2024On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures. (2024). Zhang, Yiying ; Pu, Tong. In: Papers. RePEc:arx:papers:2405.07549.

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2025Fundamental properties of linear factor models. (2025). Schneider, Paul ; Filipovic, Damir. In: Papers. RePEc:arx:papers:2409.02521.

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2024Estimation of the Adjusted Standard-deviatile for Extreme Risks. (2024). Yang, Fan ; Mao, Tiantian ; Chen, Haoyu. In: Papers. RePEc:arx:papers:2411.07203.

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2025Growing the Efficient Frontier on Panel Trees. (2025). Feng, Guanhao ; He, Jingyu ; Cong, Lin William. In: Papers. RePEc:arx:papers:2501.16730.

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2025Using quantile time series and historical simulation to forecast financial risk multiple steps ahead. (2025). Storti, Giuseppe ; Naimoli, Antonio ; Gerlach, Richard. In: Papers. RePEc:arx:papers:2502.20978.

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2025The Uncertainty of Machine Learning Predictions in Asset Pricing. (2025). Neuhierl, Andreas ; Ma, Xinjie ; Liao, Yuan ; Schilling, Linda. In: Papers. RePEc:arx:papers:2503.00549.

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2025An Efficient Multi-scale Leverage Effect Estimator under Dependent Microstructure Noise. (2025). Xiong, Ziyang ; Chen, Zhao ; Wang, Christina Dan. In: Papers. RePEc:arx:papers:2505.08654.

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2025Quantile-Optimal Policy Learning under Unmeasured Confounding. (2025). Chen, Siyu ; Yang, Zhuoran ; Qi, Zhengling. In: Papers. RePEc:arx:papers:2506.07140.

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2025The Additive Bachelier model with an application to the oil option market in the Covid period. (2025). Baviera, Roberto ; Massaria, Michele Domenico. In: Papers. RePEc:arx:papers:2506.09760.

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2024Implied probability kernel block bootstrap for time series moment condition models. (2024). Parente, Paulo ; Smith, Richard J. In: CeMMAP working papers. RePEc:azt:cemmap:08/24.

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2025Comparing the systemic risk of Italian insurers and banks. (2025). Bianchi, Michele Leonardo ; Pallante, Federica. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_922_25.

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2024A Horizon‐Based Decomposition of Mutual Fund Value Added Using Transactions. (2024). Han, Jungsuk ; Xing, Ran ; Ruan, Hongxun ; van Binsbergen, Jules. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:3:p:1831-1882.

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2024Smooth transition moving average models: Estimation, testing, and computation. (2024). Li, Dong ; Zhang, Xinyu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:3:p:463-478.

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2024Non‐parametric Estimator for Conditional Mode with Parametric Features. (2024). Wang, Tao. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:1:p:44-73.

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2024Estimation of the adjusted standard‐deviatile for extreme risks. (2024). Yang, Fan ; Mao, Tiantian ; Chen, Haoyu. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:51:y:2024:i:2:p:643-671.

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2025The Factor Structure of Jump Risk. (2025). Ding, YI ; Andersen, Torben G ; Yu, Seunghyeon ; Todorov, Viktor. In: Working Papers. RePEc:boa:wpaper:202531.

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2025Distributional Dynamics. (2025). Kuhn, Moritz ; Bayer, Christian ; Calderon, Luis. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2025_625.

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2024Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2449.

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2024Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Janeway Institute Working Papers. RePEc:cam:camjip:2423.

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2024Portfolio management with big data. (2024). Sentana, Enrique ; Pearanda, Francisco. In: Working Papers. RePEc:cmf:wpaper:wp2024_2411.

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2024Does oil future increase the network systemic risk of financial institutions in China?. (2024). Sun, Chuanwang ; Lin, Yuting ; Zhou, Lichao ; Chen, Chuanglian. In: Applied Energy. RePEc:eee:appene:v:364:y:2024:i:c:s0306261924005592.

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2025Financial uncertainty shocks and systemic risk: Revealing the risk spillover from the oil market to the stock market. (2025). Yi, Heling ; Lyu, Yongjian ; Qin, Zhilong ; Li, Ding ; Zou, Yihan ; Yang, MO. In: Applied Energy. RePEc:eee:appene:v:382:y:2025:i:c:s0306261925000418.

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2025On the use of the cumulant generating function for inference on time series. (2025). Ronchetti, E ; la Vecchia, D ; Moor, A. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:201:y:2025:i:c:s0167947324001282.

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2025Increasing the share of renewable energy sources (RESs) in the specific portfolio by using the taxation mechanism: Study at the level of EU states. (2025). Mihalciuc, Camelia Catalina ; Droj, Laureniu ; Grosu, Maria ; Bostan, Ionel ; Firtescu, Bogdan Narcis. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:85:y:2025:i:c:p:1534-1549.

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2024How macroeconomic conditions affect systemic risk in the short and long-run?. (2024). Kurter, Zeynep O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082400007x.

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2024The liquidity timing ability of mutual funds. (2024). Yin, Zhengnan ; Osullivan, Niall ; Sherman, Meadhbh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001268.

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2025Pricing of American timer options. (2025). Kim, Donghyun ; Ha, Mijin ; Yoon, Ji-Hun ; Park, Sangmin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s106294082500049x.

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2024Identification of multi-valued treatment effects with unobserved heterogeneity. (2024). Fusejima, Koki. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002798.

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2024Quantile analysis of “hazard-rate” game models. (2024). Enache, Andreea ; Florens, Jean-Pierre. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623002981.

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2024Autoregressive conditional betas. (2024). Laurent, Sébastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003469.

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2024Estimation and inference by stochastic optimization. (2024). Forneron, Jean-Jacques. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003548.

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2024Time-varying minimum variance portfolio. (2024). Fan, Qingliang (Michael) ; Yang, Yanrong ; Zhong, Wei ; Wu, Ruike. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622001646.

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2024Estimating option pricing models using a characteristic function-based linear state space representation. (2024). Laeven, Roger ; Vladimirov, Evgenii ; Boswijk, Peter H. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624002094.

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2024Specification tests for non-Gaussian structural vector autoregressions. (2024). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624001490.

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2024Varying-coefficient spatial dynamic panel data models with fixed effects: Theory and application. (2024). Ju, Gaosheng ; Hong, Han ; Yan, Karen X ; Li, QI. In: Journal of Econometrics. RePEc:eee:econom:v:245:y:2024:i:1:s0304407624002288.

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2025Inference on dynamic systemic risk measures. (2025). Francq, Christian ; Zakoan, Jean-Michel. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002872.

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2025Iterative estimation of nonparametric regressions with continuous endogenous variables and discrete instruments. (2025). Centorrino, Samuele ; Fve, Frdrique ; Florens, Jean-Pierre. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407625000041.

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2025Spanning latent and observable factors. (2025). Gagliardini, P ; Ghysels, E ; Rubin, M ; Andreou, E. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624000897.

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2025Functional ecological inference. (2025). Meddahi, Nour ; Florens, Jean-Pierre ; Bontemps, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624002690.

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2025Quasi Maximum Likelihood Estimation of Value at Risk and Expected Shortfall. (2025). Catania, Leopoldo ; Luati, Alessandra. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:23-34.

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2024A simulation-based method for estimating systemic risk measures. (2024). Zhou, YI ; Ye, Wuyi ; Chen, Pengzhan ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:313:y:2024:i:1:p:312-324.

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2024A theory of multivariate stress testing. (2024). Wang, Ruodu ; Millossovich, Pietro ; Tsanakas, Andreas. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:3:p:851-866.

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2024International asset pricing with heterogeneous agents: Estimation and inference. (2024). Tedongap, Romeo ; Tinang, Jules. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001263.

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2024Non-standard errors in asset pricing: Mind your sorts. (2024). Verwijmeren, Patrick ; van Vliet, Bart ; Soebhag, Amar. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000525.

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2025A revisit to bias-adjusted predictive regression. (2025). Xu, Ke-Li. In: Journal of Empirical Finance. RePEc:eee:empfin:v:80:y:2025:i:c:s0927539824001129.

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2025Smart beta, “smarter” flows. (2025). Zhan, Xintong ; Xiao, Zhanbing ; Song, Linjia ; Cao, Jie ; Hsu, Jason C. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000027.

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2025Identifying the underlying components of high-frequency data: Pure vs jump diffusion processes. (2025). Urga, Giovanni ; Izzeldin, Marwan ; Hizmeri, Rodrigo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000167.

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2024Non-standard errors in the cryptocurrency world. (2024). Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian ; Zaremba, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383.

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2024Representative investors versus best clienteles: Performance evaluation disagreement in mutual funds. (2024). Chretien, Stephane ; Kammoun, Manel. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924004307.

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2024A note on the Gumbel convergence for the Lee and Mykland jump tests. (2024). Vidal, Joo Pedro ; Ruas, Joo Pedro. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011868.

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2024Mutual fund value creation: Insights from the residual income model. (2024). Xu, Wenhao ; Chen, Taoqin. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pb:s1544612324002848.

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2024Option pricing under market makers inventory risk: A case study of China. (2024). Deng, Zhijian ; Yao, Yuhang. In: Finance Research Letters. RePEc:eee:finlet:v:66:y:2024:i:c:s1544612324006469.

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2024Price discovery share: An order invariant measure of price discovery. (2024). Sultan, Syed Galib ; Shen, Shulin ; Zivot, Eric. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324007645.

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2024The asymmetric effects of upside and downside risks in cryptocurrency markets: Insights from the LUNA and FTX crises. (2024). Gou, Shangde ; Julaiti, Jiansuer ; Aibai, Abuduwali. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324007803.

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2024Hedging downside risk in agricultural commodities: A novel nonparametric kernel method. (2024). Fan, Yawen ; Jiang, QI. In: Finance Research Letters. RePEc:eee:finlet:v:70:y:2024:i:c:s1544612324013692.

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2025No shortfall of ES estimators: Insights from cryptocurrency portfolios. (2025). Výrost, Tomáš ; Horváth, Matúš ; Vrost, Tom ; Horvth, Mat. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s1544612324017148.

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2024Arbitrage opportunities and efficiency tests in crypto derivatives. (2024). Chen, XI ; Alexander, Carol ; Wang, Tianyi ; Deng, Jun. In: Journal of Financial Markets. RePEc:eee:finmar:v:71:y:2024:i:c:s138641812400048x.

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2024Too-systemic-to-fail: Empirical comparison of systemic risk measures in the Eurozone financial system. (2024). Armanious, Amir. In: Journal of Financial Stability. RePEc:eee:finsta:v:73:y:2024:i:c:s1572308924000585.

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2024Tail risk network analysis of Asian banks. (2024). Powell, Robert ; Bannigidadmath, Deepa ; Pham, Thach N. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000899.

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2025Optimal investment and benefit strategies for a target benefit pension plan where the risky assets are jump diffusion processes. (2025). Josa-Fombellida, Ricardo ; Lpez-Casado, Paula. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:121:y:2025:i:c:p:100-110.

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2025Identifying scenarios for the own risk and Solvency assessment of insurance companies. (2025). Aigner, Philipp. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:122:y:2025:i:c:p:30-43.

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2024Not all words are equal: Sentiment and jumps in the cryptocurrency market. (2024). Cepni, Oguzhan ; Caporin, Massimiliano ; Aysan, Ahmet Faruk. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001889.

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2025Managing cryptocurrency risk exposures in equity portfolios: Evidence from high-frequency data. (2025). Leong, Minhao ; Kwok, Simon ; Alexeev, Vitali. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:99:y:2025:i:c:s1042443125000137.

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2024A False Discovery Rate approach to optimal volatility forecasting model selection. (2024). Baker, Paul L ; Platanakis, Emmanouil ; Hassanniakalager, Arman. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:881-902.

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2024Interaction effects in the cross-section of country and industry returns. (2024). Umar, Zaghum ; Umutlu, Mehmet ; Mercik, Aleksander ; Zaremba, Adam. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:165:y:2024:i:c:s0378426624001171.

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2024Behavioral risk profiling: Measuring loss aversion of individual investors. (2024). van Dolder, Dennie ; Vandenbroucke, Jurgen. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:168:y:2024:i:c:s0378426624002073.

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2024Survey expectations and adjustments for multiple testing. (2024). Clements, Michael. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:224:y:2024:i:c:p:338-354.

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2024Panel data in environmental economics: Econometric issues and applications to IPAT models. (2024). Eibinger, Tobias ; Manner, Hans ; Deixelberger, Beate. In: Journal of Environmental Economics and Management. RePEc:eee:jeeman:v:125:y:2024:i:c:s0095069624000159.

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2024The risk and return of equity and credit index options. (2024). Seo, Sang Byung ; Fournier, Mathieu ; Ericsson, Jan ; Doshi, Hitesh. In: Journal of Financial Economics. RePEc:eee:jfinec:v:161:y:2024:i:c:s0304405x24001557.

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2025Strategic arbitrage in segmented markets. (2025). Bryzgalova, Svetlana ; Pavlova, Anna ; Sikorskaya, Taisiya. In: Journal of Financial Economics. RePEc:eee:jfinec:v:166:y:2025:i:c:s0304405x25000169.

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2025Warp speed price moves: Jumps after earnings announcements. (2025). Veliyev, Bezirgen ; Timmermann, Allan ; Christensen, Kim. In: Journal of Financial Economics. RePEc:eee:jfinec:v:167:y:2025:i:c:s0304405x25000182.

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2025Growing the efficient frontier on panel trees. (2025). Cong, Lin William ; Feng, Guanhao ; He, Jingyu. In: Journal of Financial Economics. RePEc:eee:jfinec:v:167:y:2025:i:c:s0304405x25000327.

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2024A novel positive dependence property and its impact on a popular class of concordance measures. (2024). Fuchs, Sebastian ; Tschimpke, Marco. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:200:y:2024:i:c:s0047259x23001057.

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2024Forecasting the price of oil: A cautionary note. (2024). Eyiah-Donkor, Emmanuel ; Conlon, Thomas ; cotter, john. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000685.

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2024Commodity market downturn: Systemic risk and spillovers during left tail events. (2024). Çevik, Emrah ; Kirimhan, Destan ; Gunay, Samet. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000643.

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2025Investing in relative market positions in interconnected financial markets: A strategy for international portfolio diversification. (2025). Chen, Yiqing ; Yao, Shujie ; Ou, Jinghua. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:89:y:2025:i:c:s0927538x24003408.

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2024The valuation of American options with the stochastic liquidity risk and jump risk. (2024). Guo, Xunxiang ; Huang, Shoude ; Wang, KE ; Zhang, Hongyu. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:650:y:2024:i:c:s0378437124004205.

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2025Does AI contribute to systemic risk reduction in non-financial corporations?. (2025). Han, Wang-Zhe ; Meng, Wanshan. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:100:y:2025:i:c:s1062976925000146.

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2024Are simple technical trading rules profitable in bitcoin markets?. (2024). Frömmel, Michael ; Deprez, Niek ; Frommel, Michael. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:858-874.

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2025Enhancing banking systemic risk indicators by incorporating volatility clustering, variance risk premiums, and considering distance-to-capital. (2025). Çevik, Emrah ; Goodell, John W ; Gunay, Samet ; Cevik, Emrah Ismail ; Kenc, Turalay. In: International Review of Economics & Finance. RePEc:eee:reveco:v:97:y:2025:i:c:s1059056024007718.

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2025The components of tracking error, interim trading and mutual fund performance. (2025). de Mingo-Lpez, Diego Vctor ; Matalln-Sez, Juan Carlos. In: International Review of Economics & Finance. RePEc:eee:reveco:v:98:y:2025:i:c:s1059056025000371.

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2024Predicting the cure of a defaulted company: Nonlinear relationships between loan-related variables and the cure probability. (2024). Ohliger, Thorsten ; Lohmann, Christian. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pb:s0275531924001880.

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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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This paper has nother version. Agregated cites: 7		paper
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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This paper has nother version. Agregated cites: 6		article
2017A diagnostic criterion for approximate factor structure In: Papers.
[Full Text][Citation analysis]		paper28
2016A Diagnostic Criterion for Approximate Factor Structure.(2016) In: Swiss Finance Institute Research Paper Series.
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This paper has nother version. Agregated cites: 28		paper
2019A diagnostic criterion for approximate factor structure.(2019) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 28		article
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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This paper has nother version. Agregated cites: 11		paper
2018Predictability Hidden by Anomalous Observations.(2018) In: School of Economics Discussion Papers.
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This paper has nother version. Agregated cites: 11		paper
2017High-Frequency Jump Analysis of the Bitcoin Market In: Papers.
[Full Text][Citation analysis]		paper49
2017High-Frequency Jump Analysis of the Bitcoin Market.(2017) In: Swiss Finance Institute Research Paper Series.
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This paper has nother version. Agregated cites: 49		paper
2017High-frequency jump analysis of the bitcoin market.(2017) In: Working Papers.
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This paper has nother version. Agregated cites: 49		paper
2020High-Frequency Jump Analysis of the Bitcoin Market*.(2020) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 49		article
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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This paper has nother version. Agregated cites: 2		paper
2020Spanning tests for Markowitz stochastic dominance.(2020) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 2		article
2018Spanning tests for markowitz stochastic dominance.(2018) In: Working Papers.
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This paper has nother version. Agregated cites: 2		paper
2022A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data In: Papers.
[Full Text][Citation analysis]		paper1
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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This paper has nother version. Agregated cites: 1		paper
2021Saddlepoint approximations for spatial panel data models In: Papers.
[Full Text][Citation analysis]		paper2
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]		paper1
2020Spanning analysis of stock market anomalies under Prospect Stochastic Dominance.(2020) In: Swiss Finance Institute Research Paper Series.
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This paper has nother version. Agregated cites: 1		paper
2020Spanning analysis of stock market anomalies under prospect stochastic dominance.(2020) In: Working Papers.
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This paper has nother version. Agregated cites: 1		paper
2024Spanning Analysis of Stock Market Anomalies Under Prospect Stochastic Dominance.(2024) In: Management Science.
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This paper has nother version. Agregated cites: 1		article
2021Wealth Effect on Portfolio Allocation in Incomplete Markets In: Papers.
[Full Text][Citation analysis]		paper0
2022A penalized two-pass regression to predict stock returns with time-varying risk premia In: Papers.
[Full Text][Citation analysis]		paper1
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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2023A penalized two-pass regression to predict stock returns with time-varying risk premia.(2023) In: Journal of Econometrics.
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2023A penalized two-pass regression to predict stock returns with time-varying risk premia.(2023) In: Post-Print.
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This paper has nother version. Agregated cites: 1		paper
2022Eigenvalue tests for the number of latent factors in short panels In: Papers.
[Full Text][Citation analysis]		paper1
2022Eigenvalue tests for the number of latent factors in short panels.(2022) In: Swiss Finance Institute Research Paper Series.
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2024Latent Factor Analysis in Short Panels In: Papers.
[Full Text][Citation analysis]		paper2
2023Latent Factor Analysis in Short Panels.(2023) In: Swiss Finance Institute Research Paper Series.
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2024Sparse spanning portfolios and under-diversification with second-order stochastic dominance In: Papers.
[Full Text][Citation analysis]		paper1
2024Sparse spanning portfolios and under-diversification with second-order stochastic dominance.(2024) In: Swiss Finance Institute Research Paper Series.
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This paper has nother version. Agregated cites: 1		paper
2003Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models. In: Journal of Business & Economic Statistics.
[Citation analysis]		article9
2009Local Transformation Kernel Density Estimation of Loss Distributions In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article15
2007Local Transformation Kernel Density Estimation of Loss Distributions.(2007) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2010Testing for Stochastic Dominance Efficiency In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article61
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.
[Citation analysis]
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2010False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas In: Journal of Finance.
[Full Text][Citation analysis]		article277
2008False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas.(2008) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 277		paper
2005False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas.(2005) In: FAME Research Paper Series.
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2005False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas..(2005) In: Working Papers CEB.
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This paper has nother version. Agregated cites: 277		paper
2009False discoveries in mutual fund performance: Measuring luck in estimated alphas.(2009) In: CFR Working Papers.
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This paper has nother version. Agregated cites: 277		paper
2022Skill, Scale, and Value Creation in the Mutual Fund Industry In: Journal of Finance.
[Full Text][Citation analysis]		article11
2021Skill, scale, and value creation in the mutual fund industry.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2024Nonstandard Errors In: Journal of Finance.
[Full Text][Citation analysis]		article14
2022Non-Standard Errors.(2022) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2024Nonstandard errors.(2024) In: LSE Research Online Documents on Economics.
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2024Nonstandard Errors.(2024) In: Post-Print.
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This paper has nother version. Agregated cites: 14		paper
2021Non-Standard Errors.(2021) In: Working Papers.
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This paper has nother version. Agregated cites: 14		paper
2021Non-Standard Errors.(2021) In: Working Papers.
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This paper has nother version. Agregated cites: 14		paper
2004Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall In: Mathematical Finance.
[Full Text][Citation analysis]		article95
2007THEORY AND CALIBRATION OF SWAP MARKET MODELS In: Mathematical Finance.
[Full Text][Citation analysis]		article12
2005Theory and Calibration of Swap Market Models.(2005) In: FAME Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
2007LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING In: Mathematical Finance.
[Full Text][Citation analysis]		article32
2006Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper40
2007Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility.(2007) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 40		article
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2007Testing For Equality Between Two Copulas In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper62
2009Testing for equality between two copulas.(2009) In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 62		article
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]		paper94
2012Technical trading revisited: False discoveries, persistence tests, and transaction costs.(2012) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 94		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 nother 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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This paper has nother version. Agregated cites: 4		article
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.
[Full Text][Citation analysis]		paper0
2011Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper88
2011Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets.(2011) In: Swiss Finance Institute Research Paper Series.
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This paper has nother version. Agregated cites: 88		paper
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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This paper has nother version. Agregated cites: 88		article
2012Valuing American Options Using Fast Recursive Projections In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
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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This paper has nother version. Agregated cites: 0		paper
2016On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper4
2016On ill‐posedness of nonparametric instrumental variable regression with convexity constraints.(2016) In: Econometrics Journal.
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This paper has nother version. Agregated cites: 4		article
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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This paper has nother version. Agregated cites: 1		paper
2017Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy.(2017) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 1		article
2018Time-Varying Risk Premia in Large International Equity Markets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper8
2019Time-Varying Risk Premia in Large International Equity Markets.(2019) In: HEC Research Papers Series.
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This paper has nother version. Agregated cites: 8		paper
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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This paper has nother version. Agregated cites: 2		paper
2019Estimation of Large Dimensional Conditional Factor Models in Finance In: Swiss Finance Institute Research Paper Series.
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2020Estimation of large dimensional conditional factor models in finance.(2020) In: Handbook of Econometrics.
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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.
[Citation analysis]
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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.
[Full Text][Citation analysis]		paper3
2020Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper1
2020Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets.(2020) In: Working Papers.
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This paper has nother version. Agregated cites: 1		paper
2020Swag: A Wrapper Method for Sparse Learning In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2023Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2024Is it alpha or beta? Decomposing hedge fund returns when models are misspecified.(2024) In: Journal of Financial Economics.
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This paper has nother version. Agregated cites: 0		article
2021Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2024Mean Reversion Trading on the Naphtha Crack In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2025High-Frequency Estimation of ITÔ Semimartingale Baseline for Hawkes Processes In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
1993Testing for Continuous-Time Models of the Short-Term Interest Rate In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper53
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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This paper has nother version. Agregated cites: 53		article
1994Forecast Intervals in ARCH Exponential Smoothing In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper0
1995Quasi Indirect Inference for Diffusion Processes In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper30
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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