O. Scaillet

University of Geneva GSEM and GFRI

Professor of Finance and Statistics

40 Boulevard du Pont d'Arve

Geneva 4, Geneva 1211

Switzerland

http://www.scaillet.ch

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

University of Geneva - Research Center for Statistics

Geneva

Switzerland

SCHOLARLY PAPERS

64

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CROSSREF CITATIONS

401

Scholarly Papers (64)

1.

False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas

Published in Journal of Finance, February 2010, Swiss Finance Institute Research Paper No. 08-18, Robert H. Smith School Research Paper No. RHS 06-043
Number of pages: 53 Posted: 05 Mar 2008 Last Revised: 27 Oct 2019
Laurent Barras, O. Scaillet and Russ Wermers
McGill University - Desautels Faculty of Management, University of Geneva GSEM and GFRI and University of Maryland - Robert H. Smith School of Business
Downloads 6,034 (1,551)
Citation 44

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Mutual Fund Performance, Multiple-Hypothesis Test, Luck, False Discovery Rate

2.

Non-Standard Errors

Number of pages: 56 Posted: 23 Nov 2021
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yun Jiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas RITTMANNSBERGER, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Maria Vaduva, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing Keung Wong, Jan Wrampelmeyer, Zhen-Xing Wu, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Xingyu Sonya Zhu, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi and Li Bao
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, affiliation not provided to SSRN, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund (IMF), Princeton University - Department of Economics, affiliation not provided to SSRN, The University of Sydney Business School, University of Technology Sydney, Neoma Business School, HEC Paris, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, affiliation not provided to SSRN, Auburn University, University of St. Gallen, HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Tilburg University - Tilburg University School of Economics and Management, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, University of Toulouse - Toulouse Business School, Monash Business School, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco School of Management, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, University of Southampton - Business School, University of Liège - HEC Management School, Babson College - Finance Division, Lum University Giuseppe Degennaro, University of Zurich - Department of Banking and Finance, Toulouse School of Economics, Masaryk University, KU Leuven, Department Accounting, Finance and Insurance, Nottingham Trent University - Nottingham Business School, ICHEC Brussels Management School, Erasmus University - Rotterdam School of Management, Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, West Virginia University, College of Business & Economics, Department of Finance, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City, University of London - Bayes Business School, USI Lugano, Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia Business School - Finance and Economics, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, Eberhard Karls Universität Tübingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, HEC-ULg University of Liège, Ecole Polytechnique Fédérale de Lausanne, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, WU Wien, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, University of Technology Sydney (UTS) - Finance Discipline Group, Business School, University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB) - Directorate General Research, Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, School of Business and Economics, VU Amsterdam, University of New Mexico, Cardiff Business School, Saint Joseph University, Columbia Business School, Bank of England, Aalto University, University of Sussex, affiliation not provided to SSRN, Durham University Business School, VU University Amsterdam, Ludwig-Maximilians-Universität München, Aalto University School of Business, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, Queen's University - Smith School of Business, University of Technology Sydney (UTS), Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Faculty of Economics and Business Administration, University of Manchester - Manchester Business School, Northwestern University, University of Warwick - Warwick Business School, University of Sydney Business School, University of Orleans, Hong Kong Institute for Monetary and Financial Research, HEC Liège, Management School of the University of Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, affiliation not provided to SSRN, University of Zurich - Department of Banking and Finance, Department of Finance, Aalto University - Department of Finance, La Trobe University, UCSI University, Malaysia, WU, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, Cornell University, Universita della Svizzera italiana (USI Lugano), EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM), Toulouse Business School, New York University (NYU), Department of Economics, Students, RMIT University, Toulouse School of Economics, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University, affiliation not provided to SSRN, Copenhagen Business School - Department of Finance, University of Florida - Department of Finance, Insurance and Real Estate, Institute for Management Research, Radboud University Nijmegen, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto - Finance Area, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Faculty of Economics and Administration, Missouri State University, Copenhagen Business School - Department of Finance, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU Amsterdam, University of Verona - Department of Economics, University of Toronto - Rotman School of ManagementUniversity of Toronto at Scarborough - Division of Management, Universite du Luxembourg - Department of Finance, Aalto University - School of Business, Queen's University - Smith School of Business, affiliation not provided to SSRN, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, Alliance Manchester Business School, University of Manchester, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, affiliation not provided to SSRN, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University, Schulich School of Business, University of Maryland, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, University of Geneva GSEM and GFRI, University of Mannheim, University of Manchester - Department of Economics, Leuphana University of Lueneburg, Goethe University Frankfurt - House of Finance, affiliation not provided to SSRN, University of Lausanne, University of Stuttgart, Institute of Business Administration, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), ASU WP Carey School of Business, VU University Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, affiliation not provided to SSRN, University of Zurich, WU Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, affiliation not provided to SSRN, Luxembourg School of Finance, New York University (NYU) - Department of Finance, Aalto University, Eötvös Loránd University, Swansea University - School of Management, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, Catholic University of Milan, Copenhagen Business School - Department of Finance, University Constantin Brancusi of Targu-Jiu, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, Essex Business School, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Swiss Finance Institute, University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna Graduate School of Finance (VGSF)Vienna University of Economics and Business - Department of Finance, Accounting & Statistics, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg - Luxembourg School of Finance, Department of Finance, School of Business and Economics, Asia University - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Zhongnan University of Economics and Law - School of Finance, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University School of Business, VU AmsterdamTinbergen Institute, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, VU University Amsterdam - Department of Finance and Financial Sector Management, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam (VU Amsterdam), University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Bank for International Settlements (BIS)Stockholm School of EconomicsStockholm School of Economics - Swedish House of Finance, University of Toronto at Mississauga - Department of Management, Vrije Universiteit Amsterdam, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management UniversityImperial College Business School, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, Aalto University, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney and University of Toulouse Capitole
Downloads 2,183 (8,926)

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non-standard errors, multi-analyst approach, liquidity

3.

Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs

EFA 2008 Athens Meetings Paper, Swiss Finance Institute Research Paper No. 08-05
Number of pages: 61 Posted: 19 Mar 2008 Last Revised: 23 Feb 2018
Pierre Bajgrowicz and O. Scaillet
University of Geneva - Geneva Finance Research Institute (GFRI) and University of Geneva GSEM and GFRI
Downloads 1,690 (13,103)
Citation 32

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Technical Trading, False Discovery Rate, Persistence, Transaction Costs

4.

Nonparametric Estimation of Copulas for Time Series

FAME Research Paper No. 57
Number of pages: 37 Posted: 12 Mar 2003
O. Scaillet and Jean-David Fermanian
University of Geneva GSEM and GFRI and Ensae-Crest
Downloads 1,323 (19,128)
Citation 20

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5.

High-Frequency Jump Analysis of the Bitcoin Market

Swiss Finance Institute Research Paper No. 17-19
Number of pages: 30 Posted: 10 Jun 2017 Last Revised: 26 Jun 2017
University of Geneva GSEM and GFRI, University of Zurich and Ecole Polytechnique Fédérale de Lausanne
Downloads 1,289 (19,908)
Citation 18

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Jumps, Liquidity, High-frequency data, Bitcoin

6.
Downloads 1,251 ( 20,823)
Citation 10

Theory and Calibration of Swap Market Models

FAME Working Paper No. 107
Number of pages: 42 Posted: 27 Feb 2005
BNP Paribas Fixed Income, University of Geneva GSEM and GFRI, JP Morgan and BNP Paribas Fixed Income
Downloads 1,218 (21,286)
Citation 4

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Swap market model, cap, swaption, calibration

Theory and Calibration of Swap Market Models

Mathematical Finance, Vol. 17, No. 1, pp. 111-141, January 2007
Number of pages: 31 Posted: 13 Dec 2006
BNP Paribas Fixed Income, BNP Paribas Fixed Income, University of Geneva GSEM and GFRI and JP Morgan
Downloads 33 (579,537)
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7.

Pricing American Options under Stochastic Volatility and Stochastic Interest Rates

Swiss Finance Institute Research Paper No. 07-25
Number of pages: 34 Posted: 01 Mar 2007 Last Revised: 21 Sep 2009
Alexey Medvedev and O. Scaillet
Lombard Odier & Cie and University of Geneva GSEM and GFRI
Downloads 1,161 (23,242)
Citation 10

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American options, stochastic volatility, stochastic interest rates, asymptotic approximation.

8.

Some Statistical Pitfalls in Copula Modeling for Financial Applications

FAME Working Paper No. 108
Number of pages: 24 Posted: 28 Jun 2004
Jean-David Fermanian and O. Scaillet
Ensae-Crest and University of Geneva GSEM and GFRI
Downloads 987 (29,396)
Citation 10

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Copulas, dependence measures, risk management

9.

Factors and Risk Premia in Individual International Stock Returns

Swiss Finance Institute Research Paper No. 18-04, HEC Paris Research Paper No. FIN-2018-1250, Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC, Forthcoming in Journal of Financial Economics
Number of pages: 87 Posted: 07 Feb 2020 Last Revised: 18 Aug 2020
Ines Chaieb, Hugues Langlois and O. Scaillet
University of Geneva - Geneva Finance Research Institute (GFRI), HEC Paris - Finance Department and University of Geneva GSEM and GFRI
Downloads 899 (33,550)
Citation 9

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approximate factor model, emerging markets, international asset pricing, large panel, market integration, time-varying risk premium

Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility

Swiss Finance Institute Research Paper No. 06-8
Number of pages: 45 Posted: 21 Jun 2006
Alexey Medvedev and O. Scaillet
Lombard Odier & Cie and University of Geneva GSEM and GFRI
Downloads 746 (42,740)
Citation 21

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Option pricing, stochastic volatility, asymptotic approximation, jump-diffusion

Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility

The Review of Financial Studies, Vol. 20, Issue 2, pp. 427-459, 2007
Posted: 17 Jul 2008
Alexey Medvedev and O. Scaillet
Lombard Odier & Cie and University of Geneva GSEM and GFRI

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11.

Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News

Swiss Finance Institute Research Paper No. 11-36
Number of pages: 45 Posted: 15 Feb 2009 Last Revised: 06 Mar 2015
University of Geneva - Geneva Finance Research Institute (GFRI), University of Geneva GSEM and GFRI and University of Zurich
Downloads 684 (48,686)
Citation 28

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jumps, high-frequency data, spurious detections, jumps dynamics, news releases, cojumps

12.

Skill, Scale, and Value Creation in the Mutual Fund Industry

Journal of Finance, Forthcoming
Number of pages: 122 Posted: 31 Oct 2018 Last Revised: 03 Jun 2021
McGill University - Desautels Faculty of Management, University of Lugano and University of Geneva GSEM and GFRI
Downloads 606 (56,932)

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Mutual funds, skill, scale, value added, large panel, error-in-variable bias

13.

Time-Varying Risk Premium in Large Cross-Sectional Equity Datasets

Swiss Finance Institute Research Paper No. 11-40
Number of pages: 70 Posted: 18 Mar 2011 Last Revised: 17 Apr 2018
University of Lugano, University of Lugano and University of Geneva GSEM and GFRI
Downloads 573 (61,078)
Citation 35

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large panel, factor model, risk premium, asset pricing, sparsity, thresholding.

14.

Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility

Number of pages: 60 Posted: 16 May 2003
Peng Cheng and O. Scaillet
FAME and University of Geneva GSEM and GFRI
Downloads 514 (70,075)
Citation 43

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Linear-quadratic models, affine models, jump-diffusions, generalized Fourier transform, option pricing, stochastic volatility

15.

Optimal Asset Allocation for Pension Funds Under Mortality Risk During the Accumulation and Decumulation Phases

FAME Research Paper No. 66
Number of pages: 32 Posted: 30 May 2003
Catholic University of Louvain (UCL) - Institut de Recherches Economiques et Sociales (IRES), University of Brescia - Department of Economics and University of Geneva GSEM and GFRI
Downloads 479 (76,338)
Citation 4

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pension fund, mortality risk, asset allocation

16.

A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics

Number of pages: 56 Posted: 14 Dec 2003
Alexey Medvedev and O. Scaillet
Lombard Odier & Cie and University of Geneva GSEM and GFRI
Downloads 458 (80,599)
Citation 12

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Option pricing, stochastic volatility, asymptotic approximation, jump-diffusion

17.

On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities

FAME Research Paper No. 83
Number of pages: 30 Posted: 10 Jun 2003
Olivier Renault and O. Scaillet
University of Warwick Business School - Financial Econometrics Research Centre and University of Geneva GSEM and GFRI
Downloads 451 (82,053)
Citation 19

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default, recovery, kernel estimation, credit risk

18.

Sensitivity Analysis of VAR Expected Shortfall for Portfolios Under Netting Agreements

FAME Research Working Paper No. 89
Number of pages: 40 Posted: 17 Sep 2003
Jean-David Fermanian and O. Scaillet
Ensae-Crest and University of Geneva GSEM and GFRI
Downloads 396 (95,423)
Citation 1

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Value at Risk, Expected Shortfall, Sensitivity, Risk Management, Credit Risk, Netting

19.

Option Pricing with Discrete Rebalancing

FAME Research Paper No. 55
Number of pages: 40 Posted: 25 Mar 2003
University of Geneva GSEM and GFRI, University of Cergy-Pontoise - ThEMA and University of Warwick Business School - Financial Econometrics Research Centre
Downloads 358 (107,056)

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weak convergence, incomplete market, option pricing, minimal martin-gale measure, discrete rebalancing, marked point process

20.

Robust Resampling Methods for Time Series

Swiss Finance Institute Research Paper No. 09-38
Number of pages: 49 Posted: 14 Oct 2009 Last Revised: 27 Jan 2013
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and Swiss Finance Institute
Downloads 341 (113,051)
Citation 6

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Subsampling, bootstrap, breakdown point, robustness, time series

21.

Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures

Swiss Finance Institute Research Paper No. 19-48 (2019)
Number of pages: 64 Posted: 19 Sep 2019 Last Revised: 08 Apr 2020
University of Orleans, University of Orleans, University of Orleans and University of Geneva GSEM and GFRI
Downloads 338 (114,170)
Citation 1

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22.

Testing for Equality between Two Copulas

Swiss Finance Institute Research Paper No. 07-24
Number of pages: 24 Posted: 24 Sep 2007
Bruno Remillard and O. Scaillet
Department of Decision Sciences, HEC Montreal and University of Geneva GSEM and GFRI
Downloads 323 (119,965)
Citation 6

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Copula, Cramér-von Mises statistic, empiricalprocess, pseudo-observations, multipliercentrallimittheorem, p-value.

Valuing American Options Using Fast Recursive Projections

Number of pages: 69 Posted: 25 Jun 2012 Last Revised: 07 Dec 2018
Université du Luxembourg, BNP Paribas Fixed Income, University of Houston - C.T. Bauer College of Business and University of Geneva GSEM and GFRI
Downloads 245 (158,996)

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Option pricing, American option, Bermudan option, discrete transform, discrete dividend paying stock, suboptimal non-exercise, numerical techniques

Valuing American Options Using Fast Recursive Projections

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 67 Posted: 02 Jun 2016
Université du Luxembourg, BNP Paribas Fixed Income, University of Houston - C.T. Bauer College of Business and University of Geneva GSEM and GFRI
Downloads 67 (427,394)

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Option pricing, American option, Bermudan option, discrete transform, discrete dividend paying stock, suboptimal non-exercise, numerical techniques

24.

Local Transformation Kernel Density Estimation of Loss Distributions

Swiss Finance Institute Research Paper No. 32
Number of pages: 37 Posted: 26 Nov 2006 Last Revised: 17 Jul 2008
affiliation not provided to SSRN, University of Lausanne - Institute of Banking & Finance (IBF), University of Geneva GSEM and GFRI and City University London - Cass Business School
Downloads 293 (133,086)
Citation 2

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Actuarial loss models, Transformation, Champernowne distribution, asymmetric kernels, local likelihood estimation

25.

Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 19-61
Number of pages: 37 Posted: 21 Aug 2019 Last Revised: 25 Mar 2020
Laurent Barras, O. Scaillet and Russ Wermers
McGill University - Desautels Faculty of Management, University of Geneva GSEM and GFRI and University of Maryland - Robert H. Smith School of Business
Downloads 284 (137,455)
Citation 4

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False Discovery Rate, Multiple Testing, Mutual Fund Performance

26.

Hedge Fund Performance under Misspecified Models

Swiss Finance Institute Research Paper No. 20-82
Number of pages: 60 Posted: 18 Sep 2020 Last Revised: 03 Jun 2021
HEC Montreal - Department of Decision Sciences, McGill University - Desautels Faculty of Management, University of Lugano and University of Geneva GSEM and GFRI
Downloads 271 (144,324)

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Hedge funds, performance, model misspecification, large panel

27.

Testing for Threshold Effect in ARFIMA Models: Application to US Unemployment Rate Data

Swiss Finance Institute Research Paper No. 08-42
Number of pages: 21 Posted: 09 Dec 2008 Last Revised: 23 Dec 2008
Amine Lahiani and O. Scaillet
Université Paris Ouest - Nanterre, La Défense - EconomiX and University of Geneva GSEM and GFRI
Downloads 254 (153,970)

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Threshold ARFIMA, LM test, Asymmetric time series

28.

Estimation of Large Dimensional Conditional Factor Models in Finance

Swiss Finance Institute Research Paper No. 19-46
Number of pages: 87 Posted: 28 Aug 2019 Last Revised: 29 Sep 2020
University of Lugano, European Commission, Joint Research Centre and University of Geneva GSEM and GFRI
Downloads 252 (155,213)
Citation 5

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large panel, factor model, conditional information, risk premium, asset pricing, emerging markets.

29.

A Latent Factor Model for Ordinal Data to Measure Multivariate Predictive Ability of Financial Market Movements

FAME Research Paper No. 159
Number of pages: 44 Posted: 28 Nov 2005
RAM Active Investments, University of Geneva GSEM and GFRI and University of Geneva - HEC
Downloads 250 (156,451)

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structural equation model, latent variable, generalised linear model, factor analysis, multinomial logit, forecasts, LAMLE, canonical correlation

30.

Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps

Swiss Finance Institute Research Paper No. 16-73
Number of pages: 74 Posted: 09 Dec 2016 Last Revised: 16 Mar 2018
Université du Luxembourg, BNP Paribas Fixed Income, University of Houston - C.T. Bauer College of Business and University of Geneva GSEM and GFRI
Downloads 227 (171,733)
Citation 10

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31.

Tikhonov Regularization for Nonparametric Instrumental Variable Estimators

Swiss Finance Institute Research Paper 06-30
Number of pages: 62 Posted: 26 Nov 2006 Last Revised: 23 Aug 2011
Patrick Gagliardini and O. Scaillet
University of Lugano and University of Geneva GSEM and GFRI
Downloads 225 (173,212)
Citation 8

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Nonparametric Estimation, Ill-posed Inverse Problems, Tikhonov Regularization, Endogeneity, Instrumental Variable

32.

Robust Subsampling

Swiss Finance Institute Research Paper No. 06-33
Number of pages: 52 Posted: 26 Nov 2006 Last Revised: 11 Aug 2011
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and Swiss Finance Institute
Downloads 217 (179,279)
Citation 4

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Subsampling, bootstrap, breakdown point, robustness

33.

Nonparametric Instrumental Variable Estimators of Structural Quantile Effects

Swiss Finance Institute Research Paper No. 08-03
Number of pages: 32 Posted: 04 Feb 2008 Last Revised: 23 Feb 2018
Massachusetts Institute of Technology (MIT) - Department of Economics, University of Geneva GSEM and GFRI and University of Lugano
Downloads 204 (189,821)
Citation 8

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Nonparametric Quantile Regression, Instrumental Variable, Ill-Posed Inverse Problems, Tikhonov Regularization, Nonlinear Pricing Curve.

34.

Testing for Stochastic Dominance Efficiency

Number of pages: 28 Posted: 15 Sep 2005
Nikolas L. Topaloglou and O. Scaillet
HEC Genève and University of Geneva GSEM and GFRI
Downloads 201 (192,492)
Citation 10

Abstract:

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Nonparametric, Stochastic Ordering, Dominance Efficiency, Linear Programming, Mixed Integer Programming, Simulation, Bootstrap

35.

A penalized two-pass regression to predict stock returns with time-varying risk premia

Swiss Finance Institute Research Paper No. 21-09
Number of pages: 38 Posted: 01 Feb 2021 Last Revised: 19 Oct 2021
Auburn University, University of Geneva - Geneva School of Economics and Management and University of Geneva GSEM and GFRI
Downloads 196 (196,862)

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two-pass regression, predictive modeling, large panel, factor model, LASSO penalization.

36.

A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence

Number of pages: 19 Posted: 20 Feb 2005
O. Scaillet
University of Geneva GSEM and GFRI
Downloads 186 (206,322)
Citation 1

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Nonparametric, Positive Quadrant Dependence, Copula, Risk Management, Loss Severity Distribution, Bootstrap, Multiplier Method, Empirical Process

37.

Kernel Based Goodness-of-Fit Test for Copulas with Fixed Smoothing Parameters

FAME Research Paper No. 145
Number of pages: 17 Posted: 13 Sep 2005
O. Scaillet
University of Geneva GSEM and GFRI
Downloads 185 (207,347)

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Nonparametric, Copula density, Goodness-of-fit test, U-statistic

38.

A Specification Test for Nonparametric Instrumental Variable Regression

Swiss Finance Institute Research Paper No. 07-13
Number of pages: 49 Posted: 11 May 2007 Last Revised: 21 Oct 2008
Patrick Gagliardini and O. Scaillet
University of Lugano and University of Geneva GSEM and GFRI
Downloads 180 (212,333)
Citation 6

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Specification Test, Nonparametric Regression, Instrumental, Variables, Minimum Distance, Tikhonov Regularization, Ill-posed Inverse Problems, Generalized Method of Moments, Bootstrap, Engel Curve

39.

Predictability Hidden by Anomalous Observations

Swiss Finance Institute Research Paper No. 13-05
Number of pages: 62 Posted: 23 Mar 2013 Last Revised: 05 Mar 2014
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and Swiss Finance Institute
Downloads 165 (228,740)
Citation 8

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Predictive Regression, Stock Return Predictability, Bootstrap, Subsampling, Robustness

40.

Assessing Multivariate Predictors of Financial Market Movements: A Latent Factor Frame Work for Ordinal Data

Swiss Finance Institute Research Paper No. 08-45
Number of pages: 41 Posted: 23 Dec 2008
RAM Active Investments, University of Geneva GSEM and GFRI and University of Geneva - HEC
Downloads 157 (238,558)

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Latent variable, generalized linear model, factor analysis, multinomial logit, forecasts, LAMLE, Laplace approximation

41.

Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy

Swiss Finance Institute Research Paper No. 16-41
Number of pages: 20 Posted: 06 Jul 2016
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and Swiss Finance Institute
Downloads 156 (239,767)

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Tail Risk, Risk Factor, Risk-Neutral Probability, Prediction of Market Returns, Economic Predictability

42.

A Diagnostic Criterion for Approximate Factor Structure

Swiss Finance Institute Research Paper No. 16-51, Published in Journal of Econometrics
Number of pages: 85 Posted: 03 Aug 2016 Last Revised: 18 Sep 2019
University of Lugano, University of Lugano and University of Geneva GSEM and GFRI
Downloads 154 (242,283)
Citation 15

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large panel, approximate factor model, asset pricing, model selection, interactive fixed effects

43.

Multivariate Wavelet-Based Shape Preserving Estimation for Dependent Observations

FAME Research Paper No. 144
Number of pages: 39 Posted: 01 Jun 2005
Antonio Cosma, O. Scaillet and Rainer von Sachs
Université du Luxembourg, University of Geneva GSEM and GFRI and Catholic University of Louvain - Department of Statistics
Downloads 149 (248,929)
Citation 1

Abstract:

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Conditional quantile, time series, shape preserving wavelet estimation, B-splines, multivariate process.

44.
Downloads 137 (266,258)
Citation 18

Nonparametric Tests for Positive Quadrant Dependence

FAME Research Paper No. 44
Number of pages: 39 Posted: 25 May 2002
Michel Denuit and O. Scaillet
Catholic University of Louvain and University of Geneva GSEM and GFRI
Downloads 137 (267,171)
Citation 18

Abstract:

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Nonparametric Stochastic Ordering, Positive Quadrant Dependence, Positive Orthant Dependence, Copula, Inequality Constraint Test, Risk Management, Loss Severity Distribution

Nonparametric Tests for Positive Quadrant Dependence

Journal of Financial Econometrics, Vol. 2, No. 3, pp. 422-450, 2004
Posted: 29 Feb 2008
Michel Denuit and O. Scaillet
Catholic University of Louvain and University of Geneva GSEM and GFRI

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copula, inequality constraint test, nonparametric, positive quadrant dependence, risk management

45.

Weak Convergence of Hedging Strategies of Contingent Claims

FAME Research Paper Number 39
Number of pages: 35 Posted: 25 May 2002
Jean-Luc Prigent and O. Scaillet
University of Cergy-Pontoise - ThEMA and University of Geneva GSEM and GFRI
Downloads 131 (275,485)
Citation 23

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Weak convergence, incomplete financial markets, locally risk-minimizing strategy, hedging strategy, minimal martingale measure

46.

Testing for Concordance Ordering

FAME Research Paper No. 41
Number of pages: 42 Posted: 24 May 2002
Ana C. Cebrian, Michel Denuit and O. Scaillet
University of Zaragoza, Catholic University of Louvain and University of Geneva GSEM and GFRI
Downloads 126 (283,665)
Citation 3

Abstract:

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Nonparametric, Concordance Ordering, Quadrant Dominance, Orthant Dominance, Copula, Inequality Constraint Tests, Risk Management, Loss Severity Distribution

47.

Predictive Regression and Robust Hypothesis Testing: Predictability Hidden by Anomalous Observations

Number of pages: 57 Posted: 12 Jun 2012
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and Swiss Finance Institute
Downloads 125 (285,386)
Citation 2

Abstract:

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48.

Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters

FAME Research Paper No. 145
Number of pages: 14 Posted: 31 May 2005
O. Scaillet
University of Geneva GSEM and GFRI
Downloads 109 (314,537)
Citation 3

Abstract:

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Nonparametric, Copula density, Goodness-of-fit test, U-statistic

49.

Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels

Swiss Finance Institute Research Paper No. 11-32
Number of pages: 32 Posted: 22 Aug 2011 Last Revised: 16 Apr 2014
Queen Mary University of London - Economics Department, University of Geneva GSEM and GFRI and UNSW Australia Business School, School of Economics
Downloads 99 (335,397)

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asymmetric kernel, gamma kernel, inverse Gaussian kernel, nonparametric testing, reciprocal inverse Gaussian kernel, symmetry

50.

Wealth Effect on Portfolio Allocation in Incomplete Markets

Swiss Finance Institute Research Paper No. 20-22
Number of pages: 71 Posted: 22 Apr 2020 Last Revised: 30 Aug 2021
Chenxu Li, O. Scaillet and Yiwen Shen
Peking University - Guanghua School of Management, University of Geneva GSEM and GFRI and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 90 (356,258)

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optimal portfolio choice, stochastic volatility, incomplete market, wealth-dependent utility, closed-form

51.

Recovering Nonlinear Dynamics from Option Prices

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 34 Posted: 14 Oct 2011
University of Geneva, University of Geneva GSEM and GFRI and affiliation not provided to SSRN
Downloads 85 (369,172)
Citation 1

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Inverse and ill-posed problem, volatility dynamics, option valuation

52.

Spanning Tests for Markowitz Stochastic Dominance

Swiss Finance Institute Research Paper No. 18-08
Number of pages: 52 Posted: 02 Feb 2018
Athens University of Economics and Business - Department of Economics, University of Geneva GSEM and GFRI and Athens University of Economics and Business
Downloads 82 (377,090)
Citation 5

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Saddle-Type Point, Markowitz Stochastic Dominance, Spanning Test, Linear and Mixed integer programming, reverse S-shaped utility

53.

A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data

Swiss Finance Institute Research Paper No. 20-01
Number of pages: 62 Posted: 10 Jan 2020 Last Revised: 16 Oct 2021
Davide La Vecchia, Alban Moor and O. Scaillet
University of Geneva - Geneva School of Economics and Management - Research Center for Statistics, University of Geneva - Research Center for Statistics and University of Geneva GSEM and GFRI
Downloads 81 (379,877)
Citation 1

Abstract:

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Fast bootstrap methods, Higher-order re nements, Generalized Empirical Likelihood, Con dence distributions, Mixing processes

54.

A Kolmogorov-Smirnov Type Test for Shortfall Dominance Against Parametric Alternatives

Number of pages: 21 Posted: 20 May 2005
Catholic University of Louvain, University of Geneva GSEM and GFRI and Independent
Downloads 73 (403,004)

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Right-spread order, Excess-wealth order, New better than used in expectation, Bootstrap, Reliability, CEO compensation, Flight delay

55.

Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators

Number of pages: 62 Posted: 30 Jun 2004
University of Lausanne - Institute of Banking & Finance (IBF), University of Geneva GSEM and GFRI and Amherst College
Downloads 68 (418,773)
Citation 5

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Semiparametric density estimation, asymmetric kernel, income distribution, loss distribution, health insurance, specification testing

56.

Spanning analysis of stock market anomalies under Prospect Stochastic Dominance

Swiss Finance Institute Research Paper No. 20-18
Number of pages: 88 Posted: 09 Apr 2020 Last Revised: 24 Aug 2021
Athens University of Economics and Business - Department of Economics, University of Geneva GSEM and GFRI and Athens University of Economics and Business
Downloads 60 (446,173)
Citation 1

Abstract:

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Nonparametric test, prospect stochastic dominance efficiency, prospect spanning, market anomaly, Linear Programming

57.

Saddlepoint Approximations for Spatial Panel Data Models

Swiss Finance Institute Research Paper No. 19-18
Number of pages: 37 Posted: 27 Mar 2019 Last Revised: 31 Aug 2021
University of Geneva - Geneva School of Economics and Management, University of Geneva - Geneva School of Economics and Management - Research Center for Statistics, University of Geneva - Research Center for Statistics and University of Geneva GSEM and GFRI
Downloads 54 (468,552)

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Higher-order asymptotics, investment-saving, random field, tail area

58.

Swag: A Wrapper Method for Sparse Learning

Swiss Finance Institute Research Paper No. 20-49
Number of pages: 19 Posted: 24 Jun 2020 Last Revised: 30 Jun 2020
Auburn University, Auburn University, University of Geneva - Geneva School of Economics and Management, University of Geneva - Geneva School of Economics and Management, University of Geneva - Geneva School of Economics and Management and University of Geneva GSEM and GFRI
Downloads 51 (480,631)

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interpretable machine learning, big data, wrapper, sparse learning, meta learning, ensemble learning, greedy algorithm, feature selection, variable importance network

59.

On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints

Swiss Finance Institute Research Paper No. 16-06
Number of pages: 6 Posted: 05 Feb 2016
O. Scaillet
University of Geneva GSEM and GFRI
Downloads 26 (607,383)

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Nonparametric Estimation, Instrumental Variable, Ill-Posed Inverse Problems

60.

Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall

Number of pages: 15 Posted: 21 Mar 2004
O. Scaillet
University of Geneva GSEM and GFRI
Downloads 14 (693,126)
Citation 9
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61.

Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration

Swiss Finance Institute Research Paper No. 21-70
Number of pages: 16 Posted: 22 Oct 2021 Last Revised: 26 Oct 2021
Auburn University, University of Geneva, University of Calgary, University of Calgary, Auburn University, University of Geneva GSEM and GFRI and University of Geneva - Geneva School of Economics and Management
Downloads 12 (708,763)

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Generalized Method of Wavelet Moments, Inertial Sensor Calibration, Stochastic Error, Extended Kalman Filter, Navigation

62.

Linear-Quadratic Jump-Diffusion Modeling

Mathematical Finance, Vol. 17, No. 4, pp. 575-598, October 2007
Number of pages: 24 Posted: 14 Sep 2007
O. Scaillet and Peng Cheng
University of Geneva GSEM and GFRI and Barclays Investment Bank
Downloads 10 (724,453)
Citation 6
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63.

Bartlett Identities Tests

Working Paper No. 9919
Posted: 04 May 2000
University College London - Department of Economics, University of Geneva GSEM and GFRI, Université de Mons-Hainaut and University of Toronto - Department of Economics

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64.

A Correction Note on the First Passage Time of an Ornstein-Uhlenbeck Process to a Boundary

Posted: 15 Jan 2000
Boris Leblanc, O. Scaillet and Olivier Renault
Banque Nationale de Paris, University of Geneva GSEM and GFRI and University of Warwick Business School - Financial Econometrics Research Centre

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