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Author ID: scaillet.olivier Recent zbMATH articles by "Scaillet, Olivier"
Published as: Scaillet, Olivier; Scaillet, O.

Publications by Year

Citations contained in zbMATH Open

28 Publications have been cited 492 times in 376 Documents Cited by Year
Density estimation using inverse and reciprocal inverse Gaussian kernels. Zbl 1049.62038
Scaillet, O.
67
2004
Testing for equality between two copulas. Zbl 1157.62401
Rémillard, Bruno; Scaillet, Olivier
65
2009
A Kolmogorov-Smirnov type test for positive quadrant dependence. Zbl 1077.62036
Scaillet, Olivier
52
2005
Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data. Zbl 1062.62058
Bouezmarni, Taoufik; Scaillet, Olivier
46
2005
Nonparametric estimation and sensitivity analysis of expected shortfall. Zbl 1097.91049
Scaillet, O.
45
2004
Local multiplicative bias correction for asymmetric kernel density estimators. Zbl 1418.62136
Hagmann, M.; Scaillet, O.
27
2007
Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters. Zbl 1107.62037
Scaillet, Olivier
24
2007
Path dependent options on yields in the affine term structure model. Zbl 0913.60005
Leblanc, Boris; Scaillet, Olivier
20
1998
Nonparametric instrumental variable estimation of structural quantile effects. Zbl 1274.62282
Gagliardini, Patrick; Scaillet, Olivier
20
2012
Linear-quadratic jump-diffusion modeling. Zbl 1137.91400
Cheng, Peng; Scaillet, Olivier
16
2007
Testing for stochastic dominance efficiency. Zbl 1198.62157
Scaillet, Olivier; Topaloglou, Nikolas
15
2010
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases. Zbl 1132.91456
Battocchio, Paolo; Menoncin, Francesco; 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.
13
2000
Tikhonov regularization for nonparametric instrumental variable estimators. Zbl 1441.62694
Gagliardini, Patrick; Scaillet, Olivier
11
2012
Multivariate wavelet-based shape-preserving estimation for dependent observations. Zbl 1127.62030
Cosma, Antonio; Scaillet, Olivier; von Sachs, Rainer
10
2007
Time-varying risk premium in large cross-sectional equity data sets. Zbl 1419.91362
Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier
10
2016
Theory and calibration of swap market models. Zbl 1278.91074
Galluccio, S.; Ly, J.-M.; Huang, Z.; Scaillet, O.
6
2007
Testing for concordance ordering. Zbl 1058.62047
Cebrián, Ana C.; Denuit, Michel; Scaillet, Olivier
6
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
3
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
2
2015
A diagnostic criterion for approximate factor structure. Zbl 1452.62909
Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier
2
2019
Compound and exchange options in the affine term structure model. Zbl 1097.91531
Scaillet, O.
1
1996
Guest editorial. Semiparametric methods in econometrics. Zbl 1420.00042
1
2007
A diagnostic criterion for approximate factor structure. Zbl 1452.62909
Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier
2
2019
Time-varying risk premium in large cross-sectional equity data sets. Zbl 1419.91362
Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier
10
2016
Testing for symmetry and conditional symmetry using asymmetric kernels. Zbl 1440.62147
Fernandes, Marcelo; Mendes, Eduardo F.; Scaillet, Olivier
2
2015
Nonparametric instrumental variable estimation of structural quantile effects. Zbl 1274.62282
Gagliardini, Patrick; Scaillet, Olivier
20
2012
Tikhonov regularization for nonparametric instrumental variable estimators. Zbl 1441.62694
Gagliardini, Patrick; Scaillet, Olivier
11
2012
Robust subsampling. Zbl 1441.62626
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio
3
2012
Testing for stochastic dominance efficiency. Zbl 1198.62157
Scaillet, Olivier; Topaloglou, Nikolas
15
2010
Testing for equality between two copulas. Zbl 1157.62401
Rémillard, Bruno; Scaillet, Olivier
65
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
Local multiplicative bias correction for asymmetric kernel density estimators. Zbl 1418.62136
Hagmann, M.; Scaillet, O.
27
2007
Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters. Zbl 1107.62037
Scaillet, Olivier
24
2007
Linear-quadratic jump-diffusion modeling. Zbl 1137.91400
Cheng, Peng; Scaillet, Olivier
16
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
13
2007
Multivariate wavelet-based shape-preserving estimation for dependent observations. Zbl 1127.62030
Cosma, Antonio; Scaillet, Olivier; von Sachs, Rainer
10
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
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
52
2005
Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data. Zbl 1062.62058
Bouezmarni, Taoufik; Scaillet, Olivier
46
2005
Density estimation using inverse and reciprocal inverse Gaussian kernels. Zbl 1049.62038
Scaillet, O.
67
2004
Nonparametric estimation and sensitivity analysis of expected shortfall. Zbl 1097.91049
Scaillet, O.
45
2004
Testing for concordance ordering. Zbl 1058.62047
Cebrián, Ana C.; Denuit, Michel; Scaillet, Olivier
6
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.
13
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
20
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 544 Authors

15 Bücher, Axel
13 Quessy, Jean-François
11 Kakizawa, Yoshihide
11 Scaillet, Olivier
10 Bouzebda, Salim
10 Kojadinovic, Ivan
9 Igarashi, Gaku
8 Adjabi, Smail
8 Bouezmarni, Taoufik
6 Florens, Jean-Pierre
6 Genest, Christian
6 Mesfioui, Mhamed
6 Segers, Johan
5 Aissani, Djamil
5 Dette, Holger
5 Rombouts, Jeroen V. K.
5 Topaloglou, Nikolas
5 Zougab, Nabil
4 Arvanitis, Stelios
4 Fève, Frédérique
4 Hirukawa, Masayuki
4 Kiessé, Tristan Senga
4 Rémillard, Bruno N.
4 Shi, Jianhong
4 Song, Weixing
4 Volgushev, Stanislav
4 Yan, Jun
4 Zari, Tarek
4 Ziane, Yasmina
3 Bahraoui, Tarik
3 Bareche, Aïcha
3 Beare, Brendan K.
3 Breunig, Christoph
3 Chen, Xiaohong
3 Fermanian, Jean-David
3 Fernandes, Marcelo
3 Geenens, Gery
3 Gijbels, Irène
3 Gourieroux, Christian
3 Grammig, Joachim
3 Joshi, Mark S.
3 Kokonendji, Célestin Clotaire
3 Li, Xu
3 Nešlehová, Johanna G.
3 Ouimet, Frédéric
3 Post, Thierry
3 Sakudo, Mari
3 Seo, Juwon
3 Sznajder, Dominik
3 Xiao, Juxia
2 Almeida, Caio
2 Balakrishnan, Narayanaswamy
2 Berghaus, Betina Hedwig
2 Cai, Jingheng
2 Cai, Zongwu
2 Camponovo, Lorenzo
2 Centorrino, Samuele
2 Chaubey, Yogendra Prasad
2 Côté, Marie-Pier
2 Feng, Long
2 Gagliardini, Patrick
2 Giesecke, Kay
2 Guo, Xu
2 Ip, Edward Haksing
2 Jasiak, Joann
2 Josa-Fombellida, Ricardo
2 Kato, Kengo
2 Kim, Joseph Hyun Tae
2 Kulasekera, Karunarathna B.
2 Ledwina, Teresa
2 Leippold, Markus
2 Lescot, Paul
2 Linton, Oliver Bruce
2 Lipton, Alexander
2 Liu, Binghui
2 Luo, Zhongde
2 Magnasco, Marcelo O.
2 Menoncin, Francesco
2 Nadarajah, Saralees
2 Nielsen, Jens Perch
2 Ortega, Eva-María
2 Otsu, Taisuke
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 Shi, Peng
2 Song, Peter Xue-Kun
2 Song, Xinyuan
2 Stengos, Thanasis
2 Sufana, Razvan
2 Taillefumier, Thibaud
2 Wang, Xian
2 Xiao, Zhijie
2 Yang, Xuewei
2 Yao, Haixiang
2 Zhang, Shulin
...and 444 more Authors
all top 5

Cited in 95 Serials

42 Journal of Econometrics
22 Journal of Multivariate Analysis
19 Computational Statistics and Data Analysis
18 Insurance Mathematics & Economics
17 Communications in Statistics. Theory and Methods
15 Econometric Theory
13 European Journal of Operational Research
13 Quantitative Finance
12 Journal of Nonparametric Statistics
10 Statistics & Probability Letters
9 Journal of Statistical Planning and Inference
8 Journal of Economic Dynamics & Control
7 The Canadian Journal of Statistics
7 Statistical Papers
6 The Annals of Statistics
5 Econometric Reviews
5 Journal of Statistical Computation and Simulation
5 Mathematical Methods of Statistics
5 Bernoulli
5 Journal of Applied Statistics
5 Dependence Modeling
4 Scandinavian Journal of Statistics
4 Annals of the Institute of Statistical Mathematics
4 Economics Letters
4 Finance and Stochastics
4 International Journal of Theoretical and Applied Finance
4 Electronic Journal of Statistics
3 Journal of Statistical Physics
3 Journal of the American Statistical Association
3 Stochastic Analysis and Applications
3 Annals of Operations Research
3 Communications in Statistics. Simulation and Computation
3 Test
3 Scandinavian Actuarial Journal
3 Review of Derivatives Research
3 Journal of the Korean Statistical Society
2 Metrika
2 Journal of Applied Probability
2 Statistics
2 Computers & Operations Research
2 Stochastic Processes and their Applications
2 Journal of Mathematical Sciences (New York)
2 Mathematical Finance
2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 Comptes Rendus. Mathématique. Académie des Sciences, Paris
2 Stochastics and Dynamics
2 Asia-Pacific Financial Markets
2 Journal of Industrial and Management Optimization
2 Statistical Methodology
2 Journal of Computational and Graphical Statistics
2 European Actuarial Journal
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 Mathematics of Operations Research
1 Ricerche di Matematica
1 Operations Research Letters
1 Statistical Science
1 Journal of Theoretical Probability
1 Applied Mathematics Letters
1 Science in China. Series A
1 Computational Statistics
1 Mathematical Programming. Series A. Series B
1 Applied Mathematics. Series B (English Edition)
1 Applicationes Mathematicae
1 Filomat
1 Monte Carlo Methods and Applications
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 Decisions in Economics and Finance
1 Stochastic Models
1 ASTIN Bulletin
1 North American Actuarial Journal
1 REVSTAT
1 Statistical Methods and Applications
1 Stochastics
1 Journal of Statistical Theory and Practice
1 AStA. Advances in Statistical Analysis
1 The Annals of Applied Statistics
1 Journal of Probability and Statistics
1 Sankhyā. Series A
1 Sankhyā. Series B
1 Statistics and Computing
1 Journal of Statistical Distributions and Applications
1 Cogent Mathematics

Citations by Year