Olivier Scaillet

12 papers Journal 12
YearRankTypeTitle / Venue / Authors
2026 J jnl
Dynamic Portfolio Allocation Under Market Incompleteness and Wealth Effects.
Oper. Res.
Yiwen Shen, Chenxu Li, Olivier Scaillet, Yueting Jiang
2023 J jnl
Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration.
IEEE Trans. Signal Process.
Gaetan Bakalli, Davide A. Cucci, Ahmed Radi, Naser El-Sheimy, Roberto Molinari, Olivier Scaillet, Stéphane Guerrier
2021 J jnl
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures.
Manag. Sci.
Denisa Banulescu-Radu, Christophe Hurlin, Jérémy Leymarie, Olivier Scaillet
2020 J jnl
SWAG: A Wrapper Method for Sparse Learning.
CoRR
Roberto Molinari, Gaetan Bakalli, Stéphane Guerrier, Cesare Miglioli, Samuel Orso, Olivier Scaillet
2016 J jnl
Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News.
Manag. Sci.
Pierre Bajgrowicz, Olivier Scaillet, Adrien Treccani
2014 J jnl
CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue.
Comput. Stat. Data Anal.
Erricos John Kontoghiorghes, Herman K. van Dijk, David A. Belsley, Tim Bollerslev, Francis X. Diebold, Jean-Marie Dufour, Robert F. Engle, Andrew Harvey, Siem Jan Koopman, Hashem Pesaran, Peter C. B. Phillips, Richard J. Smith, Mike West, Qiwei Yao, Alessandra Amendola, Monica Billio, Cathy W. S. Chen, Carl Chiarella, Ana Colubi, Manfred Deistler, Christian Francq, Marc Hallin, Eric Jacquier, Kenneth Judd, Gary Koop, Helmut Lütkepohl, James G. MacKinnon, Stefan Mittnik, Yasuhiro Omori, D. S. G. Pollock, Tommaso Proietti, Jeroen V. K. Rombouts, Olivier Scaillet, Willi Semmler, Mike K. P. So, Mark F. J. Steel, Robert Taylor, Elias Tzavalis, Jean-Michel Zakoian, H. Peter Boswijk, Alessandra Luati, John M. Maheu
2009 J jnl
Testing for equality between two copulas.
J. Multivar. Anal.
Bruno N. Rémillard, Olivier Scaillet
2007 J jnl
A Kolmogorov-Smirnov-Type Test for Shortfall Dominance Against Parametric Alternatives.
Technometrics
Michel Denuit, Anne-Cécile Goderniaux, Olivier Scaillet
2007 J jnl
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases.
Ann. Oper. Res.
Paolo Battocchio, Francesco Menoncin, Olivier Scaillet
2000 J jnl
A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary.
Finance Stochastics
Boris Leblanc, Olivier Renault, Olivier Scaillet
2000 J jnl
Convergence of discrete time option pricing models under stochastic interest rates.
Finance Stochastics
Jean-Philippe Lesne, Jean-Luc Prigent, Olivier Scaillet
1998 J jnl
Path dependent options on yields in the affine term structure model.
Finance Stochastics
Boris Leblanc, Olivier Scaillet