Olivier Scaillet

According to our database, Olivier Scaillet authored at least 11 papers between 1998 and 2023.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of five.

2023

Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration.

Gaetan Bakalli, Davide A. Cucci, Ahmed Radi, Naser El-Sheimy, Roberto Molinari, Olivier Scaillet, Stéphane Guerrier

IEEE Trans. Signal Process., 2023

2021

Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures.

Denisa Banulescu-Radu, Christophe Hurlin, Jérémy Leymarie, Olivier Scaillet

Manag. Sci., 2021

2020

SWAG: A Wrapper Method for Sparse Learning.

Roberto Molinari, Gaetan Bakalli, Stéphane Guerrier, Cesare Miglioli, Samuel Orso, Olivier Scaillet

CoRR, 2020

2016

Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News.

Pierre Bajgrowicz, Olivier Scaillet, Adrien Treccani

Manag. Sci., 2016

2014

CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue.

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

Comput. Stat. Data Anal., 2014

2009

Testing for equality between two copulas.

Bruno N. Rémillard, Olivier Scaillet

J. Multivar. Anal., 2009

2007

A Kolmogorov-Smirnov-Type Test for Shortfall Dominance Against Parametric Alternatives.

Michel Denuit, Anne-Cécile Goderniaux, Olivier Scaillet

Technometrics, 2007

Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases.

Paolo Battocchio, Francesco Menoncin, Olivier Scaillet

Ann. Oper. Res., 2007

2000

Convergence of discrete time option pricing models under stochastic interest rates.

Jean-Philippe Lesne, Jean-Luc Prigent, Olivier Scaillet

Finance Stochastics, 2000

A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary.

Boris Leblanc, Olivier Renault, Olivier Scaillet

Finance Stochastics, 2000

1998

Path dependent options on yields in the affine term structure model.

Boris Leblanc, Olivier Scaillet

Finance Stochastics, 1998