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

1745

Citations

RESEARCH PRODUCTION:

51

Articles

147

Papers

1

Chapters

RESEARCH ACTIVITY:

   31 years (1993 - 2024). See details.
   Cites by year: 56
   Journals where Olivier Scaillet has often published
   Relations with other researchers
   Recent citing documents: 139.    Total self citations: 56 (3.11 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psc56
   Updated: 2024-12-03    RAS profile: 2024-01-04    
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Relations with other researchers

Works with:

Hurlin, Christophe (7)

Leymarie, Jérémy (4)

Gehrig, Thomas (3)

Schuerhoff, Norman (3)

Mihet, Roxana (3)

Ossola, Elisa (3)

Topaloglou, Nikolas (3)

Wolff, Christian (2)

FERROUHI, EL MEHDI (2)

Roy, Saurabh (2)

Hjalmarsson, Erik (2)

Lajaunie, Quentin (2)

Pastor, Lubos (2)

Bohorquez Correa, Santiago (2)

Korajczyk, Robert (2)

Dreber, Anna (2)

CAPELLE-BLANCARD, Gunther (2)

Gorbenko, Arseny (2)

Renault, Thomas (2)

Jurkatis, Simon (2)

Degryse, Hans (2)

Kassner, Bernhard (2)

Voigt, Stefan (2)

Deev, Oleg (2)

Patton, Andrew (2)

Füllbrunn, Sascha (2)

Bos, Charles (2)

Sojli, Elvira (2)

Theissen, Erik (2)

Wong, Wing-Keung (2)

Prokopczuk, Marcel (2)

Xiu, Dacheng (2)

Putnins, Talis (2)

Alexeev, Vitali (2)

Deku, Solomon (2)

Liew, Chee (2)

Talavera, Oleksandr (2)

Gerritsen, Dirk (2)

Walther, Thomas (2)

Horenstein, Alex (2)

Chow, Nikolai Sheung-Chi (2)

Pelizzon, Loriana (2)

Stefanova, Denitsa (2)

Holzmeister, Felix (2)

Patel, Vinay (2)

Rakowski, David (2)

Bouri, Elie (2)

Palan, Stefan (2)

Reitz, Stefan (2)

Schwarz, Marco (2)

Verousis, Thanos (2)

Lopez-Lira, Alejandro (2)

Caporin, Massimiliano (2)

Davies, Ryan (2)

Dumitrescu, Ariadna (2)

Söderlind, Paul (2)

Ferrara, Gerardo (2)

PASCUAL, ROBERTO (2)

Moinas, Sophie (2)

Bjønnes, Geir (2)

Huang, Wenqian (2)

Lof, Matthijs (2)

Roy, Saurabh (2)

Colliard, Jean-Edouard (2)

Chernov, Mikhail (2)

Dimpfl, Thomas (2)

Zhang, S. Sarah (2)

Schenk-Hoppé, Klaus (2)

Vilkov, Grigory (2)

He, Xuezhong (Tony) (2)

Xia, Shuo (2)

Smales, Lee (2)

Abudy, Menachem (2)

Frijns, Bart (2)

LINTON, OLIVER (2)

Wilhelmsson, Anders (2)

Pasquariello, Paolo (2)

Heath, Davidson (2)

van Kervel, Vincent (2)

Kearney, Fearghal (2)

Menkveld, Albert (2)

Adrian, Tobias (2)

Shachar, Or (2)

Nielsson, Ulf (2)

Regis, Luca (2)

Brownlees, Christian (2)

Hautsch, Nikolaus (2)

Ait-Sahalia, Yacine (2)

Ødegaard, Bernt (2)

Taylor, Nick (2)

Jalkh, Naji (2)

Harris, Jeffrey (2)

Frömmel, Michael (2)

Johannesson, Magnus (2)

Zhou, Chen (2)

Vogel, Sebastian (2)

Rinne, Kalle (2)

Park, Andreas (2)

Ranaldo, Angelo (2)

Sarno, Lucio (2)

Foucault, Thierry (2)

Tonks, Ian (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)

Ardia, David (17)

Chernozhukov, Victor (16)

Pinar, Mehmet (15)

gourieroux, christian (15)

Stengos, Thanasis (15)

Topaloglou, Nikolas (14)

Gospodinov, Nikolay (14)

Fernandes, Marcelo (13)

Ossola, Elisa (13)

Cites to:

Shanken, Jay (20)

French, Kenneth (18)

Campbell, John (16)

Detemple, Jerome (16)

Wu, Liuren (16)

Bai, Jushan (15)

merton, robert (14)

Ait-Sahalia, Yacine (14)

Connor, Gregory (14)

Harvey, Campbell (12)

Xiu, Dacheng (12)

Main data

Where Olivier Scaillet has published?

Journals with more than one article published# docs
Journal of Econometrics9
Journal of Empirical Finance3
Journal of Financial Economics3
Journal of Financial Econometrics3
Journal of Business & Economic Statistics3
Finance and Stochastics3
Mathematical Finance2
Econometric Theory2
Journal of Finance2
Econometrica2
Journal of Banking & Finance2
Journal of Multivariate Analysis2

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 / Universit catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)11
Working Papers / Center for Research in Economics and Statistics11
THEMA Working Papers / THEMA (THorie Economique, Modlisation et Applications), Universit de Cergy-Pontoise9
Post-Print / HAL5
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2

Recent works citing Olivier Scaillet (2024 and 2023)

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

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

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2023Short-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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2024Do t-Statistic Hurdles Need to be Raised. (2022). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2204.10275.

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2024Most 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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2023Partly 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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2024One-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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2024Assessing the Solvency of Virtual Asset Service Providers: Are Current Standards Sufficient?. (2023). Segalla, Esther ; Saggese, Pietro ; Raunig, Burkhard ; Haslhofer, Bernhard ; Zangerl, Felix ; Sigmund, Michael. In: Papers. RePEc:arx:papers:2309.16408.

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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). Jiang, Feiyu ; Song, Kunyang ; Zhu, KE. 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). Lu, Yang ; Hurlin, Christophe. 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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2024.

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2023.

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2024Modelling the loss given default distribution via a family of zero‐and‐one inflated mixture models. (2019). Punzo, Antonio ; Tomarchio, Salvatore D. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:182:y:2019:i:4:p:1247-1266.

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2024Quasi?maximum likelihood and the kernel block bootstrap for nonlinear dynamic models. (2021). Parente, Paulo ; Smith, Richard J. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:4:p:377-405.

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2023The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework. (2019). Pagliarani, Stefano ; Nicolato, Elisa ; Barletta, Andrea. In: Mathematical Finance. RePEc:bla:mathfi:v:29:y:2019:i:3:p:928-966.

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

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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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2023On the role of interest rate differentials in the dynamic asymmetry of exchange rates. (2023). Ulm, M ; Hambuckers, J. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003668.

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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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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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2023A functional estimation approach to the first-price auction models. (2023). Sbai, Erwann ; Florens, Jean-Pierre ; Enache, Andreea. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1564-1588.

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2023Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models. (2023). Medeiros, Marcelo ; Caner, Mehmet. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:393-417.

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2023News-implied linkages and local dependency in the equity market. (2023). Linton, Oliver ; Ge, Shuyi. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:779-815.

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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). Florens, Jean-Pierre ; Enache, Andreea. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623002981.

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

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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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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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2023Good volatility, bad volatility, and the cross section of cryptocurrency returns. (2023). Zhao, Ran ; Zhang, Zehua. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002284.

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2023Dual role of the country factors in international asset pricing: The local factors and proxies for the global factors. (2023). Wei, Fengrong ; Lee, Kyuseok ; Eun, Cheol. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002764.

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2023Understanding mispricing in the travel and leisure industry. (2023). Sharma, Susan Sunila ; Narayan, Paresh Kumar. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s105752192300385x.

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2023When do investors go green? Evidence from a time-varying asset-pricing model. (2023). Panzica, Roberto ; Ossola, Elisa ; Alessi, Lucia. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004143.

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2023Optimal trend-following with transaction costs. (2023). Giner, Javier ; Zakamulin, Valeriy. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004441.

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2023Valuation of callable range accrual linked to CMS Spread under generalized swap market model. (2023). Huang, Zi-Wei ; Hsieh, Chang-Chieh ; He, Jie-Cao ; Lin, Shih-Kuei. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004726.

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

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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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2023Realized semibetas and international stock return predictability. (2023). Perez, Fernando ; Herrerias, Renata ; Amaya, Diego ; Vasquez, Aurelio. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323010139.

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2024A note on the Gumbel convergence for the Lee and Mykland jump tests. (2024). Ruas, Joo Pedro ; Vidal, 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). Chen, Taoqin ; Xu, Wenhao. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pb:s1544612324002848.

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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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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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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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2023Do big data mutual funds outperform?. (2023). Zeng, Yamin ; Peng, Zezhi ; Zhang, Junsheng ; Yang, Haisheng. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001105.

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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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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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2023Compensation regulation in banking: Executive director behavior and bank performance after the EU bonus cap. (2023). Koetter, Michael ; Wagner, Konstantin ; Colonnello, Stefano. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:76:y:2023:i:1:s0165410122000994.

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2023CEO social connections and bank systemic risk: The “dark side” of social networks. (2023). Qi, Yaxuan ; Manu, Sylvester Adasi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:156:y:2023:i:c:s0378426623001863.

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2023Decreasing returns to scale and skill in hedge funds. (2023). Yao, Juan ; Satchell, Stephen ; Ling, Yun. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:156:y:2023:i:c:s0378426623002005.

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2023Arbitrageurs in the Bitcoin ecosystem: Evidence from user-level trading patterns in the Mt. Gox exchange platform. (2023). Saggese, Pietro ; Bohme, Rainer ; Facchini, Angelo ; Dimitri, Nicola ; Belmonte, Alessandro. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:213:y:2023:i:c:p:251-270.

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

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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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2023What matters in a characteristic?. (2023). Langlois, Hugues. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:1:p:52-72.

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2023Machine learning and fund characteristics help to select mutual funds with positive alpha. (2023). Gil-Bazo, Javier ; Demiguel, Victor ; Nogales, Francisco J. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:3:s0304405x23001770.

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2024Is it alpha or beta? Decomposing hedge fund returns when models are misspecified. (2024). Scaillet, Olivier ; Gagliardini, Patrick ; Barras, Laurent ; Ardia, David. In: Journal of Financial Economics. RePEc:eee:jfinec:v:154:y:2024:i:c:s0304405x2400028x.

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2023Conditional independence testing via weighted partial copulas. (2023). Portier, Franois ; Elgui, Kevin ; Bianchi, Pascal. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:193:y:2023:i:c:s0047259x22001117.

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2023Minimax properties of Dirichlet kernel density estimators. (2023). Ouimet, Frederic ; Klutchnikoff, Nicolas ; Genest, Christian ; Bertin, Karine. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:195:y:2023:i:c:s0047259x23000040.

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2024A novel positive dependence property and its impact on a popular class of concordance measures. (2024). Tschimpke, Marco ; Fuchs, Sebastian. 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 ; Cotter, John ; Conlon, Thomas. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000685.

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2023Futures trading activity and the jump risk of spot market: Evidence from the bitcoin market. (2023). Liao, Xiaosai ; Ma, Huan ; Zhang, Chuanhai. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:78:y:2023:i:c:s0927538x23000161.

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2023Robust reward-risk performance measures with weakly second-order stochastic dominance constraints. (2023). Kouaissah, Noureddine. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:53-62.

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2023The role of environmental and financial motivations in the adoption of energy-saving technologies: Evidence from European Union data. (2023). Canepa, Alessandra ; Fontana, Magda ; Chersoni, Giulia. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:91:y:2023:i:c:p:1-14.

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2023Ex-post facto analysis of cryptocurrency literature over a decade using bibliometric technique. (2023). Hassan, M. Kabir ; Devji, Shridev ; Tiwari, Aviral ; Dsouza, Arun ; Pattnaik, Debidutta. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:189:y:2023:i:c:s0040162523000240.

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2024Inference for Two-Stage Extremum Estimators. (2024). Maoude, Abdoul Haki ; Houndetoungan, Aristide. In: THEMA Working Papers. RePEc:ema:worpap:2024-01.

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2023Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2023). Yang, Xiye ; Neely, Christopher J ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490.

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2024Sluggish news reactions: A combinatorial approach for synchronizing stock jumps. (2024). Neely, Christopher ; Laurent, Sebastien ; Boudt, Kris ; Bouamara, Nabil. In: Working Papers. RePEc:fip:fedlwp:97969.

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2023.

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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: 3		article
2017A diagnostic criterion for approximate factor structure In: Papers.
[Full Text][Citation analysis]		paper24
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: 24		paper
2019A diagnostic criterion for approximate factor structure.(2019) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 24		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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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]		paper38
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: 38		paper
2017High-frequency jump analysis of the bitcoin market.(2017) In: Working Papers.
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This paper has nother version. Agregated cites: 38		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: 38		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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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.
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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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This paper has nother version. Agregated cites: 0		paper
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]		paper2
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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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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2024Latent Factor Analysis in Short Panels In: Papers.
[Full Text][Citation analysis]		paper1
2023Latent Factor Analysis in Short Panels.(2023) 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]		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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2010Testing for Stochastic Dominance Efficiency In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article60
2005Testing for Stochastic Dominance Efficiency.(2005) In: FAME Research Paper Series.
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This paper has nother version. Agregated cites: 60		paper
2006Testing foe Stochastic Dominance Efficiency.(2006) In: Computing in Economics and Finance 2006.
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This paper has nother version. Agregated cites: 60		paper
2010False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas In: Journal of Finance.
[Full Text][Citation analysis]		article268
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: 268		paper
2005False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas.(2005) In: FAME Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 268		paper
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: 268		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: 268		paper
2022Skill, Scale, and Value Creation in the Mutual Fund Industry In: Journal of Finance.
[Full Text][Citation analysis]		article6
2021Skill, scale, and value creation in the mutual fund industry.(2021) In: Working Papers.
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This paper has nother version. Agregated cites: 6		paper
2004Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall In: Mathematical Finance.
[Full Text][Citation analysis]		article87
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
2006Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper36
2007Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility.(2007) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		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]		paper61
2009Testing for equality between two copulas.(2009) In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 61		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]		paper91
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: 91		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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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]		paper26
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: 26		paper
2015Time-varying risk premium in large cross-sectional equity datasets.(2015) In: Working Papers.
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This paper has nother version. Agregated cites: 26		paper
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
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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2019Estimation of large dimensional conditional factor models in finance.(2019) In: Working Papers.
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This paper has nother version. Agregated cites: 4		paper
2019Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper15
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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This paper has nother version. Agregated cites: 15		paper
2020Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures.(2020) In: Working Papers.
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This paper has nother version. Agregated cites: 15		paper
2021Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures.(2021) In: Management Science.
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This paper has nother version. Agregated cites: 15		article
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
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 Papers.
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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.
[Full Text][Citation analysis]		paper137
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.
[Full Text][Citation analysis]		paper2
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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1999Option Pricing with Discrete Rebalancing.(1999) In: LIDAM Discussion Papers IRES.
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2004Option pricing with discrete rebalancing.(2004) In: Journal of Empirical Finance.
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1999Option pricing with discrete rebalancing.(1999) In: THEMA Working Papers.
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2002Option Pricing with Discrete Rebalancing.(2002) In: FAME Research Paper Series.
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2004Option pricing with discrete rebalancing.(2004) In: Post-Print.
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1999An Autoregressive Conditional Binomial Option Pricing Model In: Working Papers.
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2000An auto-regressive conditional binomial option pricing model.(2000) In: LSE Research Online Documents on Economics.
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1997A New Index of Belgian Shares In: LIDAM Discussion Papers IRES.
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2001Nonparametric Tests for Positive Quadrant Dependence In: LIDAM Discussion Papers IRES.
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2001Density Estimation Using Inverse and Reciprocal Inverse Guassian Kernels In: LIDAM Discussion Papers IRES.
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2001Density Estimation Using Inverse and Reciprocal Inverse Gaussian Kernels.(2001) In: THEMA Working Papers.
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2003Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases In: LIDAM Discussion Papers IRES.
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2003Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases.(2003) In: THEMA Working Papers.
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2003Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases.(2003) In: FAME Research Paper Series.
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2007Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases.(2007) In: Annals of Operations Research.
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2004Testing for Concordance Ordering In: ASTIN Bulletin.
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2002Testing for Concordance Ordering.(2002) In: FAME Research Paper Series.
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2005CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA In: Econometric Theory.
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2004Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators In: Royal Economic Society Annual Conference 2004.
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2007Local multiplicative bias correction for asymmetric kernel density estimators.(2007) In: Journal of Econometrics.
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