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Scaillet, Olivier

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Author ID: scaillet.olivier Recent zbMATH articles by "Scaillet, Olivier"
Published as: Scaillet, O.; Scaillet, Olivier
Documents Indexed: 33 Publications since 1994

Publications by Year

Citations contained in zbMATH

27 Publications have been cited 400 times in 306 Documents Cited by Year
Testing for equality between two copulas. Zbl 1157.62401
Rémillard, Bruno; Scaillet, Olivier
56
2009
Density estimation using inverse and reciprocal inverse Gaussian kernels. Zbl 1049.62038
Scaillet, O.
50
2004
A Kolmogorov-Smirnov type test for positive quadrant dependence. Zbl 1077.62036
Scaillet, Olivier
48
2005
Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data. Zbl 1062.62058
Bouezmarni, Taoufik; Scaillet, Olivier
34
2005
Nonparametric estimation and sensitivity analysis of expected shortfall. Zbl 1097.91049
Scaillet, O.
34
2004
Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters. Zbl 1107.62037
Scaillet, Olivier
21
2007
Local multiplicative bias correction for asymmetric kernel density estimators. Zbl 1418.62136
Hagmann, M.; Scaillet, O.
19
2007
Nonparametric instrumental variable estimation of structural quantile effects. Zbl 1274.62282
Gagliardini, Patrick; Scaillet, Olivier
18
2012
Path dependent options on yields in the affine term structure model. Zbl 0913.60005
Leblanc, Boris; Scaillet, Olivier
18
1998
Testing for stochastic dominance efficiency. Zbl 1198.62157
Scaillet, Olivier; Topaloglou, Nikolas
14
2010
Linear-quadratic jump-diffusion modeling. Zbl 1137.91400
Cheng, Peng; Scaillet, Olivier
13
2007
A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary. Zbl 0944.60027
Leblanc, B.; Renault, O.; Scaillet, O.
11
2000
Tikhonov regularization for nonparametric instrumental variable estimators. Zbl 1441.62694
Gagliardini, Patrick; Scaillet, Olivier
10
2012
Multivariate wavelet-based shape-preserving estimation for dependent observations. Zbl 1127.62030
Cosma, Antonio; Scaillet, Olivier; von Sachs, Rainer
9
2007
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases. Zbl 1132.91456
Battocchio, Paolo; Menoncin, Francesco; Scaillet, Olivier
7
2007
Theory and calibration of swap market models. Zbl 1278.91074
Galluccio, S.; Ly, J.-M.; Huang, Z.; Scaillet, O.
6
2007
Time-varying risk premium in large cross-sectional equity data sets. Zbl 1419.91362
Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier
5
2016
Testing for concordance ordering. Zbl 1058.62047
Cebrián, Ana C.; Denuit, Michel; Scaillet, Olivier
5
2004
Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data. Zbl 1160.62090
Huber, Philippe; Scaillet, Olivier; Victoria-Feser, Maria-Pia
4
2009
An autoregressive conditional binomial option pricing model. Zbl 1051.91510
Prigent, Jean-Luc; Renault, Olivier; Scaillet, Olivier
4
2002
Instrumental models and indirect encompassing. Zbl 1055.62570
Dhaene, Geert; Gourieroux, Christian; Scaillet, Olivier
4
1998
Convergence of discrete time option pricing models under stochastic interest rates. Zbl 0947.60021
Lesne, J.-P.; Prigent, J.-L.; Scaillet, O.
3
2000
Robust subsampling. Zbl 1441.62626
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio
2
2012
A fast subsampling method for nonlinear dynamic models. Zbl 1345.62094
Hong, H.; Scaillet, O.
2
2006
Testing for symmetry and conditional symmetry using asymmetric kernels. Zbl 1440.62147
Fernandes, Marcelo; Mendes, Eduardo F.; Scaillet, Olivier
1
2015
Guest editorial. Semiparametric methods in econometrics. Zbl 1420.00042
Fernandes, Marcelo (ed.); Linton, Oliver (ed.); Scaillet, Olivier (ed.)
1
2007
Compound and exchange options in the affine term structure model. Zbl 1097.91531
Scaillet, O.
1
1996
Time-varying risk premium in large cross-sectional equity data sets. Zbl 1419.91362
Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier
5
2016
Testing for symmetry and conditional symmetry using asymmetric kernels. Zbl 1440.62147
Fernandes, Marcelo; Mendes, Eduardo F.; Scaillet, Olivier
1
2015
Nonparametric instrumental variable estimation of structural quantile effects. Zbl 1274.62282
Gagliardini, Patrick; Scaillet, Olivier
18
2012
Tikhonov regularization for nonparametric instrumental variable estimators. Zbl 1441.62694
Gagliardini, Patrick; Scaillet, Olivier
10
2012
Robust subsampling. Zbl 1441.62626
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio
2
2012
Testing for stochastic dominance efficiency. Zbl 1198.62157
Scaillet, Olivier; Topaloglou, Nikolas
14
2010
Testing for equality between two copulas. Zbl 1157.62401
Rémillard, Bruno; Scaillet, Olivier
56
2009
Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data. Zbl 1160.62090
Huber, Philippe; Scaillet, Olivier; Victoria-Feser, Maria-Pia
4
2009
Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters. Zbl 1107.62037
Scaillet, Olivier
21
2007
Local multiplicative bias correction for asymmetric kernel density estimators. Zbl 1418.62136
Hagmann, M.; Scaillet, O.
19
2007
Linear-quadratic jump-diffusion modeling. Zbl 1137.91400
Cheng, Peng; Scaillet, Olivier
13
2007
Multivariate wavelet-based shape-preserving estimation for dependent observations. Zbl 1127.62030
Cosma, Antonio; Scaillet, Olivier; von Sachs, Rainer
9
2007
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases. Zbl 1132.91456
Battocchio, Paolo; Menoncin, Francesco; Scaillet, Olivier
7
2007
Theory and calibration of swap market models. Zbl 1278.91074
Galluccio, S.; Ly, J.-M.; Huang, Z.; Scaillet, O.
6
2007
Guest editorial. Semiparametric methods in econometrics. Zbl 1420.00042
Fernandes, Marcelo (ed.); Linton, Oliver (ed.); Scaillet, Olivier (ed.)
1
2007
A fast subsampling method for nonlinear dynamic models. Zbl 1345.62094
Hong, H.; Scaillet, O.
2
2006
A Kolmogorov-Smirnov type test for positive quadrant dependence. Zbl 1077.62036
Scaillet, Olivier
48
2005
Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data. Zbl 1062.62058
Bouezmarni, Taoufik; Scaillet, Olivier
34
2005
Density estimation using inverse and reciprocal inverse Gaussian kernels. Zbl 1049.62038
Scaillet, O.
50
2004
Nonparametric estimation and sensitivity analysis of expected shortfall. Zbl 1097.91049
Scaillet, O.
34
2004
Testing for concordance ordering. Zbl 1058.62047
Cebrián, Ana C.; Denuit, Michel; Scaillet, Olivier
5
2004
An autoregressive conditional binomial option pricing model. Zbl 1051.91510
Prigent, Jean-Luc; Renault, Olivier; Scaillet, Olivier
4
2002
A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary. Zbl 0944.60027
Leblanc, B.; Renault, O.; Scaillet, O.
11
2000
Convergence of discrete time option pricing models under stochastic interest rates. Zbl 0947.60021
Lesne, J.-P.; Prigent, J.-L.; Scaillet, O.
3
2000
Path dependent options on yields in the affine term structure model. Zbl 0913.60005
Leblanc, Boris; Scaillet, Olivier
18
1998
Instrumental models and indirect encompassing. Zbl 1055.62570
Dhaene, Geert; Gourieroux, Christian; Scaillet, Olivier
4
1998
Compound and exchange options in the affine term structure model. Zbl 1097.91531
Scaillet, O.
1
1996
all top 5

Cited by 456 Authors

14 Bücher, Axel
11 Scaillet, Olivier
10 Bouzebda, Salim
10 Kojadinovic, Ivan
10 Quessy, Jean-François
8 Bouezmarni, Taoufik
7 Igarashi, Gaku
7 Kakizawa, Yoshihide
6 Florens, Jean-Pierre
6 Genest, Christian
6 Segers, Johan
5 Adjabi, Smail
5 Aissani, Djamil
5 Dette, Holger
5 Mesfioui, Mhamed
5 Rombouts, Jeroen V. K.
5 Topaloglou, Nikolas
4 Fève, Frédérique
4 Hirukawa, Masayuki
4 Volgushev, Stanislav
4 Yan, Jun
4 Zari, Tarek
3 Arvanitis, Stelios
3 Bareche, Aïcha
3 Breunig, Christoph
3 Chen, Xiaohong
3 Fermanian, Jean-David
3 Fernandes, Marcelo
3 Gijbels, Irène
3 Gourieroux, Christian
3 Grammig, Joachim
3 Joshi, Mark S.
3 Nešlehová, Johanna G.
3 Post, Thierry
3 Rémillard, Bruno N.
3 Sakudo, Mari
3 Shi, Jianhong
3 Song, Weixing
3 Sznajder, Dominik
3 Zougab, Nabil
2 Almeida, Caio
2 Beare, Brendan K.
2 Berghaus, Betina Hedwig
2 Cai, Jingheng
2 Cai, Zongwu
2 Centorrino, Samuele
2 Côté, Marie-Pier
2 Gagliardini, Patrick
2 Guo, Xu
2 Hanif, Muhammad Fainan
2 Ip, Edward Haksing
2 Jasiak, Joann
2 Josa-Fombellida, Ricardo
2 Kato, Kengo
2 Kiessé, Tristan Senga
2 Kim, Joseph Hyun Tae
2 Kokonendji, Célestin Clotaire
2 Kulasekera, K. B.
2 Ledwina, Teresa
2 Leippold, Markus
2 Lescot, Paul
2 Li, Xu
2 Magnasco, Marcelo O.
2 Menoncin, Francesco
2 Nadarajah, Saralees
2 Nielsen, Jens Perch
2 Ortega, Eva-María
2 Padgett, William Jowayne
2 Patie, Pierre
2 Penev, Spiridon I.
2 Pinar, Mehmet
2 Plante, Jean-François
2 Pouzo, Demian
2 Regis, Luca
2 Seo, Juwon
2 Shi, Peng
2 Song, Peter Xue-Kun
2 Song, Xinyuan
2 Stengos, Thanasis
2 Sufana, Razvan
2 Taillefumier, Thibaud
2 Wang, Xian
2 Xiao, Juxia
2 Xiao, Zhijie
2 Yang, Xuewei
2 Ziane, Yasmina
1 Abadir, Karim M.
1 Abdallah, Anas
1 Adusumilli, Karun
1 Al Mohamad, Diaa
1 Alili, Larbi
1 Allen, Jason
1 Alonso, José A. Vilalta
1 Alvarez-Andrade, Sergio
1 Alvo, Mayer
1 Ametrano, Ferdinando M.
1 Amiri, Aboubacar
1 Anderson, Edward James
1 Arismendi, Juan Carlos
1 Atuncar, Gregorio Saravia
...and 356 more Authors
all top 5

Cited in 85 Serials

36 Journal of Econometrics
18 Computational Statistics and Data Analysis
16 Journal of Multivariate Analysis
16 Insurance Mathematics & Economics
14 Econometric Theory
11 Journal of Nonparametric Statistics
11 Quantitative Finance
10 Statistics & Probability Letters
10 Communications in Statistics. Theory and Methods
9 Journal of Statistical Planning and Inference
8 Journal of Economic Dynamics & Control
8 European Journal of Operational Research
7 The Canadian Journal of Statistics
5 The Annals of Statistics
5 Mathematical Methods of Statistics
5 Statistical Papers
5 Bernoulli
4 Scandinavian Journal of Statistics
4 Economics Letters
4 Finance and Stochastics
4 International Journal of Theoretical and Applied Finance
3 Annals of the Institute of Statistical Mathematics
3 Journal of the American Statistical Association
3 Communications in Statistics. Simulation and Computation
3 Test
3 Scandinavian Actuarial Journal
3 Review of Derivatives Research
3 Dependence Modeling
2 Journal of Statistical Physics
2 Metrika
2 Journal of Applied Probability
2 Stochastic Analysis and Applications
2 Statistics
2 Journal of Statistical Computation and Simulation
2 Stochastic Processes and their Applications
2 Mathematical Finance
2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 Journal of Applied Statistics
2 Comptes Rendus. Mathématique. Académie des Sciences, Paris
2 Stochastics and Dynamics
2 Asia-Pacific Financial Markets
2 Statistical Methodology
2 Journal of the Korean Statistical Society
2 Electronic Journal of Statistics
2 Journal of Econometric Methods
1 Computers & Mathematics with Applications
1 Journal of Mathematical Biology
1 Psychometrika
1 Automatica
1 Information Sciences
1 International Economic Review
1 Journal of Computational and Applied Mathematics
1 Ricerche di Matematica
1 Operations Research Letters
1 Statistical Science
1 Computers & Operations Research
1 Journal of Theoretical Probability
1 Applied Mathematics Letters
1 Science in China. Series A
1 Annals of Operations Research
1 Computational Statistics
1 Mathematical Programming. Series A. Series B
1 Applied Mathematics. Series B (English Edition)
1 Applicationes Mathematicae
1 Journal of Mathematical Sciences (New York)
1 Applied Mathematical Finance
1 ACM Transactions on Modeling and Computer Simulation
1 Mathematical Problems in Engineering
1 Extremes
1 Statistical Inference for Stochastic Processes
1 Journal of Economic Growth
1 Stochastic Environmental Research and Risk Assessment
1 Stochastic Models
1 ASTIN Bulletin
1 North American Actuarial Journal
1 Statistical Methods and Applications
1 Stochastics
1 AStA. Advances in Statistical Analysis
1 The Annals of Applied Statistics
1 Journal of Probability and Statistics
1 Sankhyā. Series B
1 European Actuarial Journal
1 Statistics and Computing
1 Journal of Statistical Distributions and Applications
1 Cogent Mathematics

Citations by Year