Edit Profile Scaillet, Olivier Compute Distance To: Compute Author ID: scaillet.olivier Published as: Scaillet, O.; Scaillet, Olivier Documents Indexed: 33 Publications since 1994 all top 5 Co-Authors 5 single-authored 5 Gagliardini, Patrick 2 Fernandes, Marcelo 2 Gourieroux, Christian 2 Leblanc, Boris 2 Ossola, Elisa 2 Prigent, Jean-Luc 2 Renault, Olivier 2 Topaloglou, Nikolas 2 Zakoïan, Jean-Michel 1 Arvanitis, Stelios 1 Battocchio, Paolo 1 Bouezmarni, Taoufik 1 Broze, Laurence 1 Camponovo, Lorenzo 1 Cebrián, Ana C. 1 Cheng, Peng 1 Cosma, Antonio 1 Denuit, Michel M. 1 Dhaene, Geert 1 Galluccio, Stefano 1 Hagmann, Michael 1 Hong, Hanshu 1 Huang, Ziqian 1 Huber, Philippe 1 Lesne, Jean-Philippe 1 Linton, Oliver Bruce 1 Ly, J.-M. 1 Mendes, Eduardo F. 1 Menoncin, Francesco 1 Rémillard, Bruno N. 1 Rombouts, Jeroen V. K. 1 Trojani, Fabio 1 Veredas, David 1 Victoria-Feser, Maria-Pia 1 von Sachs, Rainer all top 5 Serials 8 Journal of Econometrics 3 Econometrica 3 Finance and Stochastics 3 Mathematical Finance 2 Journal of Multivariate Analysis 1 The Canadian Journal of Statistics 1 Annals of the Institute of Statistical Mathematics 1 Cahiers du Centre d’Études de Recherche Opérationnelle 1 Insurance Mathematics & Economics 1 Annals of Operations Research 1 Applied Mathematical Finance 1 Bernoulli 1 Journal of Nonparametric Statistics 1 Econometric Theory 1 ASTIN Bulletin 1 Journal of the Korean Statistical Society 1 The Annals of Applied Statistics 1 Journal of Business and Economic Statistics all top 5 Fields 26 Statistics (62-XX) 13 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 8 Numerical analysis (65-XX) 5 Probability theory and stochastic processes (60-XX) 2 General and overarching topics; collections (00-XX) 2 Operations research, mathematical programming (90-XX) 1 Combinatorics (05-XX) 1 Integral equations (45-XX) 1 Systems theory; control (93-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH 27 Publications have been cited 400 times in 306 Documents Cited by ▼ Year ▼ Testing for equality between two copulas. Zbl 1157.62401Rémillard, Bruno; Scaillet, Olivier 56 2009 Density estimation using inverse and reciprocal inverse Gaussian kernels. Zbl 1049.62038Scaillet, O. 50 2004 A Kolmogorov-Smirnov type test for positive quadrant dependence. Zbl 1077.62036Scaillet, Olivier 48 2005 Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data. Zbl 1062.62058Bouezmarni, Taoufik; Scaillet, Olivier 34 2005 Nonparametric estimation and sensitivity analysis of expected shortfall. Zbl 1097.91049Scaillet, O. 34 2004 Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters. Zbl 1107.62037Scaillet, Olivier 21 2007 Local multiplicative bias correction for asymmetric kernel density estimators. Zbl 1418.62136Hagmann, M.; Scaillet, O. 19 2007 Nonparametric instrumental variable estimation of structural quantile effects. Zbl 1274.62282Gagliardini, Patrick; Scaillet, Olivier 18 2012 Path dependent options on yields in the affine term structure model. Zbl 0913.60005Leblanc, Boris; Scaillet, Olivier 18 1998 Testing for stochastic dominance efficiency. Zbl 1198.62157Scaillet, Olivier; Topaloglou, Nikolas 14 2010 Linear-quadratic jump-diffusion modeling. Zbl 1137.91400Cheng, Peng; Scaillet, Olivier 13 2007 A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary. Zbl 0944.60027Leblanc, B.; Renault, O.; Scaillet, O. 11 2000 Tikhonov regularization for nonparametric instrumental variable estimators. Zbl 1441.62694Gagliardini, Patrick; Scaillet, Olivier 10 2012 Multivariate wavelet-based shape-preserving estimation for dependent observations. Zbl 1127.62030Cosma, Antonio; Scaillet, Olivier; von Sachs, Rainer 9 2007 Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases. Zbl 1132.91456Battocchio, Paolo; Menoncin, Francesco; Scaillet, Olivier 7 2007 Theory and calibration of swap market models. Zbl 1278.91074Galluccio, S.; Ly, J.-M.; Huang, Z.; Scaillet, O. 6 2007 Time-varying risk premium in large cross-sectional equity data sets. Zbl 1419.91362Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier 5 2016 Testing for concordance ordering. Zbl 1058.62047Cebrián, Ana C.; Denuit, Michel; Scaillet, Olivier 5 2004 Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data. Zbl 1160.62090Huber, Philippe; Scaillet, Olivier; Victoria-Feser, Maria-Pia 4 2009 An autoregressive conditional binomial option pricing model. Zbl 1051.91510Prigent, Jean-Luc; Renault, Olivier; Scaillet, Olivier 4 2002 Instrumental models and indirect encompassing. Zbl 1055.62570Dhaene, Geert; Gourieroux, Christian; Scaillet, Olivier 4 1998 Convergence of discrete time option pricing models under stochastic interest rates. Zbl 0947.60021Lesne, J.-P.; Prigent, J.-L.; Scaillet, O. 3 2000 Robust subsampling. Zbl 1441.62626Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio 2 2012 A fast subsampling method for nonlinear dynamic models. Zbl 1345.62094Hong, H.; Scaillet, O. 2 2006 Testing for symmetry and conditional symmetry using asymmetric kernels. Zbl 1440.62147Fernandes, Marcelo; Mendes, Eduardo F.; Scaillet, Olivier 1 2015 Guest editorial. Semiparametric methods in econometrics. Zbl 1420.00042Fernandes, Marcelo (ed.); Linton, Oliver (ed.); Scaillet, Olivier (ed.) 1 2007 Compound and exchange options in the affine term structure model. Zbl 1097.91531Scaillet, O. 1 1996 Time-varying risk premium in large cross-sectional equity data sets. Zbl 1419.91362Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier 5 2016 Testing for symmetry and conditional symmetry using asymmetric kernels. Zbl 1440.62147Fernandes, Marcelo; Mendes, Eduardo F.; Scaillet, Olivier 1 2015 Nonparametric instrumental variable estimation of structural quantile effects. Zbl 1274.62282Gagliardini, Patrick; Scaillet, Olivier 18 2012 Tikhonov regularization for nonparametric instrumental variable estimators. Zbl 1441.62694Gagliardini, Patrick; Scaillet, Olivier 10 2012 Robust subsampling. Zbl 1441.62626Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio 2 2012 Testing for stochastic dominance efficiency. Zbl 1198.62157Scaillet, Olivier; Topaloglou, Nikolas 14 2010 Testing for equality between two copulas. Zbl 1157.62401Rémillard, Bruno; Scaillet, Olivier 56 2009 Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data. Zbl 1160.62090Huber, Philippe; Scaillet, Olivier; Victoria-Feser, Maria-Pia 4 2009 Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters. Zbl 1107.62037Scaillet, Olivier 21 2007 Local multiplicative bias correction for asymmetric kernel density estimators. Zbl 1418.62136Hagmann, M.; Scaillet, O. 19 2007 Linear-quadratic jump-diffusion modeling. Zbl 1137.91400Cheng, Peng; Scaillet, Olivier 13 2007 Multivariate wavelet-based shape-preserving estimation for dependent observations. Zbl 1127.62030Cosma, Antonio; Scaillet, Olivier; von Sachs, Rainer 9 2007 Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases. Zbl 1132.91456Battocchio, Paolo; Menoncin, Francesco; Scaillet, Olivier 7 2007 Theory and calibration of swap market models. Zbl 1278.91074Galluccio, S.; Ly, J.-M.; Huang, Z.; Scaillet, O. 6 2007 Guest editorial. Semiparametric methods in econometrics. Zbl 1420.00042Fernandes, Marcelo (ed.); Linton, Oliver (ed.); Scaillet, Olivier (ed.) 1 2007 A fast subsampling method for nonlinear dynamic models. Zbl 1345.62094Hong, H.; Scaillet, O. 2 2006 A Kolmogorov-Smirnov type test for positive quadrant dependence. Zbl 1077.62036Scaillet, Olivier 48 2005 Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data. Zbl 1062.62058Bouezmarni, Taoufik; Scaillet, Olivier 34 2005 Density estimation using inverse and reciprocal inverse Gaussian kernels. Zbl 1049.62038Scaillet, O. 50 2004 Nonparametric estimation and sensitivity analysis of expected shortfall. Zbl 1097.91049Scaillet, O. 34 2004 Testing for concordance ordering. Zbl 1058.62047Cebrián, Ana C.; Denuit, Michel; Scaillet, Olivier 5 2004 An autoregressive conditional binomial option pricing model. Zbl 1051.91510Prigent, 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 0944.60027Leblanc, B.; Renault, O.; Scaillet, O. 11 2000 Convergence of discrete time option pricing models under stochastic interest rates. Zbl 0947.60021Lesne, J.-P.; Prigent, J.-L.; Scaillet, O. 3 2000 Path dependent options on yields in the affine term structure model. Zbl 0913.60005Leblanc, Boris; Scaillet, Olivier 18 1998 Instrumental models and indirect encompassing. Zbl 1055.62570Dhaene, Geert; Gourieroux, Christian; Scaillet, Olivier 4 1998 Compound and exchange options in the affine term structure model. Zbl 1097.91531Scaillet, O. 1 1996 all cited Publications top 5 cited Publications 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 all top 5 Cited in 15 Fields 235 Statistics (62-XX) 105 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 82 Probability theory and stochastic processes (60-XX) 26 Numerical analysis (65-XX) 14 Operations research, mathematical programming (90-XX) 7 Systems theory; control (93-XX) 3 Partial differential equations (35-XX) 3 Integral transforms, operational calculus (44-XX) 3 Biology and other natural sciences (92-XX) 2 Special functions (33-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Computer science (68-XX) 1 Statistical mechanics, structure of matter (82-XX) 1 Geophysics (86-XX) Citations by Year