Olivier Scaillet

15 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0000-0002-3948-6891

University of Geneva

Publications

• Dynamic Portfolio Allocation Under Market Incompleteness and Wealth Effects — Operations Research 2026
• Is it alpha or beta? Decomposing hedge fund returns when models are misspecified — Journal of Financial Economics 2024
• Spanning Analysis of Stock Market Anomalies Under Prospect Stochastic Dominance — Management Science 2024
• Saddlepoint Approximations for Spatial Panel Data Models — Journal of the American Statistical Association 2023
• Factors and risk premia in individual international stock returns — Journal of Financial Economics 2021
• Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps — Journal of Financial and Quantitative Analysis 2020
• Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News — Management Science 2016
• Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets — Econometrica 2016
• Technical trading revisited: False discoveries, persistence tests, and transaction costs — Journal of Financial Economics 2012
• Nonparametric Instrumental Variable Estimation of Structural Quantile Effects — Econometrica 2012
• False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas — The Journal of Finance 2010
• Pricing American options under stochastic volatility and stochastic interest rates — Journal of Financial Economics 2010
• Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data — The Annals of Applied Statistics 2009
• Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility — The Review of Financial Studies 2007
• Skill, Scale, and Value Creation in the Mutual Fund Industry — The Journal of Finance