Olivier Scaillet
Université de Genève
H-index: 38
Europe-Switzerland
Top articles of Olivier Scaillet
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Predictability hidden by Anomalous Observations in Financial Data | Econometrics and Statistics | Lorenzo Camponovo Olivier Scaillet Fabio Trojani | 2024/4/2 |
Is it alpha or beta? Decomposing hedge fund returns when models are misspecified | Journal of Financial Economics | David Ardia Laurent Barras Patrick Gagliardini Olivier Scaillet | 2024/4/1 |
Sparse spanning portfolios and under-diversification with second-order stochastic dominance | arXiv preprint arXiv:2402.01951 | Stelios Arvanitis Olivier Scaillet Nikolas Topaloglou | 2024/2/2 |
Acknowledgment to the Reviewers of Econometrics in 2022 | Abdolreza Nazemi Jean-Baptiste Hasse Alessandra Luati Jean-Christophe Statnik Alex Maynard | 2023 | |
Eigenvalue tests for the number of latent factors in short panels | Journal of Financial Econometrics | Alain-Philippe Fortin Patrick Gagliardini Olivier Scaillet | 2023/9/8 |
A higher-order correct fast moving-average bootstrap for dependent data | Journal of Econometrics | Davide La Vecchia Alban Moor Olivier Scaillet | 2023/7/1 |
Latent Factor Analysis in short panels | arXiv preprint arXiv:2306.14004 | Alain-Philippe Fortin Patrick Gagliardini Olivier Scaillet | 2023/6/24 |
Saddlepoint approximations for spatial panel data models | Journal of the American Statistical Association | Chaonan Jiang Davide La Vecchia Elvezio Ronchetti Olivier Scaillet | 2023/4/3 |
A penalized two-pass regression to predict stock returns with time-varying risk premia | Journal of Econometrics | Gaetan Bakalli Stéphane Guerrier Olivier Scaillet | 2023/12/1 |
Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration | IEEE Transactions on Signal Processing | Gaetan Bakalli Davide A Cucci Ahmed Radi Naser El-Sheimy Roberto Molinari | 2023/3/29 |
Spanning analysis of stock market anomalies under Prospect Stochastic Dominance | Management Science | Stelios Arvanitis Olivier Scaillet Nikolas Topaloglou | 2023/10/20 |
Non-Standard Errors | Anna Dreber Albert J Menkveld Felix Holzmeister Magnus Johannesson Juergen Huber | 2021/11/11 | |
Practical Applications of Asset Allocation Implications of Illiquid Assets | Practical Applications | Tony Berrada Olivier Scaillet Zhicheng Zhang | 2022/12/21 |
Asset allocation implications of illiquid assets | The Journal of Investing | Tony Berrada Olivier Scaillet Zhicheng Zhang | 2022/4/15 |
Skill, scale, and value creation in the mutual fund industry | The Journal of Finance | Laurent Barras Patrick Gagliardini Olivier Scaillet | 2022/2 |
Is it alpha or beta? a formal evaluation of hedge fund models | David Ardia Laurent Barras Patrick Gagliardini Olivier Scaillet | 2022 | |
Backtesting marginal expected shortfall and related systemic risk measures | Management science | Denisa Banulescu-Radu Christophe Hurlin Jérémy Leymarie Olivier Scaillet | 2021/9 |
Factors and risk premia in individual international stock returns | Journal of Financial Economics | Ines Chaieb Hugues Langlois Olivier Scaillet | 2021/8/1 |
Hedge fund performance under misspecified models | David Ardia Laurent Barras Patrick Gagliardini Olivier Scaillet | 2020 | |
Swag: A Wrapper Method for Sparse Learning | arXiv preprint arXiv:2006.12837 | Roberto Molinari Gaetan Bakalli Stéphane Guerrier Cesare Miglioli Samuel Orso | 2020/6/23 |
Co-Authors
