Concepedia

Olivier Scaillet

OS

67

Publications

4.7K

Citations

33

H-Index

1995

Active since

Affiliations

University of Geneva(Current)

Swiss Finance Institute

Università della Svizzera italiana

Olivier Scaillet is an author at University of Geneva specializing in business, finance, and engineering.

Top concepts

BusinessFinanceStatisticsEngineeringEconomicsAsset PricingEconometricsEstimation TheoryStatistical InferenceFinancial Economics

Publications per year

1995–2024

67

Publications

67

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

Laurent Barras, Olivier Scaillet, Russ Wermers · The Journal of Finance · 2010 · 814 citations · Full text

Economics, Financial Economics, Asset Pricing +13

Sensitivity analysis of Values at Risk

Christian Gouriéroux, Jean‐Paul Laurent, Olivier Scaillet · Journal of Empirical Finance · 2000 · 411 citations · Full text

Risk Assessment, Engineering, Value-at-risk +8

Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall

Olivier Scaillet · Mathematical Finance · 2003 · 279 citations · Full text

Empirical Finance, Engineering, Applied Econometrics +18

Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets

Patrick Gagliardini, Elisa Ossola, Olivier Scaillet · Econometrica · 2016 · 274 citations

Empirical Finance, Economics, Financial Economics +15

Nonparametric estimation of copulas for time series

Jean‐David Fermanian, Olivier Scaillet · The Journal of Risk · 2003 · 200 citations

Density Estimation, Engineering, Gaussian Copulas +11

Rows per page

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