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Gouriéroux, Christian [Author]; Scaillet, Olivier [Author]; Szafarz, Ariane [Author]

Économétrie de la finance : analyses historiques

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Paris: Economica, 1997

Published in: Économie et statistiques avancées ; série: École nationale de la statistique et de l'administration économique et Centre d'études des programmes économiques
Renault, Olivier [Author] ; Scaillet, O. [Other]

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

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[S.l.]: SSRN, [2003]
Scaillet, Olivier [Author]

On ill-posedness of nonparametric instrumental variable regression with convexity constraints - [First draft: January 2016]

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https://archive-ouverte.unige.ch/unige:79975/ATTACHMENT01

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[Geneva]: Swiss Finance Institute, January 2016

Published in: Swiss Finance Institute: Research paper series ; 2016,06
Scaillet, O. [Author] ; Prigent, Jean-Luc [Other]; Renault, Olivier [Other]

Option Pricing with Discrete Rebalancing

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https://ssrn.com/abstract=372141

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[S.l.]: SSRN, [2003]
Medvedev, Alexey [Other]; Scaillet, Olivier [Other]

Pricing American options under stochastic volatility and stochastic interest rates

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https://ssrn.com/abstract=966055

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Genève: Swiss Finance Inst., Sept. 2007

Published in: Swiss Finance Institute: Research paper series ; 2007,25
Gagliardini, Patrick [Other]; Scaillet, Olivier [Other]

A specification test for nonparametric instrumental variable regression

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Genève: Swiss Finance Inst., Apr. 2007

Published in: Swiss Finance Institute: Research paper series ; 2007,13
Remillard, Bruno [Other]; Scaillet, Olivier [Other]

Testing for equality between two copulas

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https://ssrn.com/abstract=1014550

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Genève: Swiss Finance Inst., 2007

Published in: Swiss Finance Institute: Research paper series ; 2007,24
Gagliardini, Patrick [Other]; Scaillet, Olivier [Other]

Tikhonov regularization for functional minimum distance estimators

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https://ssrn.com/abstract=947094

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Genève: Swiss Finance Inst., Nov. 2006

Published in: Swiss Finance Institute: Research paper series ; 2006,30
Bajgrowicz, Pierre [Author]; Scaillet, Olivier [Author]

Jumps in high-frequency data : spurious detections, dynamics, and news

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https://ssrn.com/abstract=1343900

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Genève: Swiss Finance Inst., 2011

Published in: Swiss Finance Institute: Research paper series ; 2011,36
Bajgrowicz, Pierre [Author]; Scaillet, Olivier [Author]

Technical trading revisited : false discoveries, persistence tests, and transaction costs - [This version: Sept. 2009]

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Genève: Swiss Finance Inst., 2009

Published in: Swiss Finance Institute: Research paper series ; 2008,05
Lahiani, Amine [Author]; Scaillet, Olivier [Author]

Testing for threshold effect in ARFIMA models : application to US unemployment rate data

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https://ssrn.com/abstract=1311866

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Genève: Swiss Finance Inst., 2008

Published in: Swiss Finance Institute: Research paper series ; 2008,42
Arvanitis, Stelios [Author]; Scaillet, Olivier [Author]; Topaloglou, Nikolas [Author]

Sparse spanning portfolios and under-diversification with second-order stochastic dominance

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Geneva: Swiss Finance Institute, [2024]

Published in: Swiss Finance Institute: Research paper series ; 2024,8
Bakalli, Gaetan [Author]; Guerrier, Stéphane [Author]; Scaillet, Olivier [Author]

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

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Geneva: Swiss Finance Institute, 2021

Published in: Swiss Finance Institute: Research paper series ; 2021,9
Arvanitis, Stelios [Author]; Scaillet, Olivier [Author]; Topaloglou, Nikolas [Author]

Spanning analysis of stock market anomalies under prospect stochastic dominance - [This version: April 2020]

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Geneva: Swiss Finance Institute, 2020

Published in: Swiss Finance Institute: Research paper series ; 2020,18
Arvanitis, Stelios [Author]; Scaillet, Olivier [Author]; Topaloglou, Nikolas [Author]

Spanning tests for Markowitz stochastic dominance - [Current draft: January 2018]

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Geneva: Swiss Finance Institute, January 2018

Published in: Swiss Finance Institute: Research paper series ; 2018,08
Scaillet, Olivier [Author]; Treccani, Adrien [Author]; Trevisan, Christopher [Author]

High-frequency jump analysis of the bitcoin market

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Geneva: Swiss Finance Institute, June 8, 2017

Published in: Swiss Finance Institute: Research paper series ; 2017,19
Gagliardini, Patrick [Author]; Ossola, Elisa [Author]; Scaillet, Olivier [Author]

Chapter 3. Estimation of large dimensional conditional factor models in finance

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2020

Published in: Handbook of econometrics ; (2020), Seite 219-282
Camponovo, Lorenzo [Other]; Scaillet, Olivier [Other]; Trojani, Fabio [Other]

Robust subsampling

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Genève: Swiss Finance Inst., Nov. 2006

Published in: Swiss Finance Institute: Research paper series ; 2006,33
Cosma, Antonio [Author]; Galluccio, Stefano [Author]; Pederzoli, Paola [Author]; Scaillet, Olivier [Author]

Early exercise decision in American options with dividends, stochastic volatility and jumps

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Geneva: Swiss Finance Institute, December 9, 2016

Published in: Swiss Finance Institute: Research paper series ; 2016,73
Cosma, Antonio [Author]; Galluccio, Stefano [Author]; Pederzoli, Paola [Author]; Scaillet, Olivier [Author]

Valuing American options using fast recursive projections

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https://wwwen.uni.lu/content/download/88945/1088550/file/2015_20%20Valuing%20American%20options%20using%20fast%20recursive%20projections.pdf

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Luxembourg: Center for Research in Economics and Management, University of Luxembourg, Faculty of Law, Economics and Finance, December, 2015

Published in: Centre for Research in Economics and Management: CREA discussion paper ; 20150020

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