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Olivier Scaillet

Global rank #2596 97%

Institution: Université de Genève

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: https://scaillet.ch

First Publication: 1998

Most Recent: 2025

RePEc ID: psc56 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 3.86 0.50 0.00 8.22
Last 10 Years 0.67 5.20 1.01 0.00 14.09
All Time 0.67 13.24 5.70 0.00 34.87

Publication Statistics

Raw Publications 26
Coauthorship-Adjusted Count 19.70

Publications (26)

Year Article Journal Tier Authors
2025 Mean reversion trading on the naphtha crack Energy Economics A 3
2024 Nonstandard Errors Journal of Finance A 343
2024 Is it alpha or beta? Decomposing hedge fund returns when models are misspecified Journal of Financial Economics A 4
2023 A higher-order correct fast moving-average bootstrap for dependent data Journal of Econometrics A 3
2023 A penalized two-pass regression to predict stock returns with time-varying risk premia Journal of Econometrics A 3
2023 Saddlepoint Approximations for Spatial Panel Data Models Journal of the American Statistical Association B 4
2022 Skill, Scale, and Value Creation in the Mutual Fund Industry Journal of Finance A 3
2021 Factors and risk premia in individual international stock returns Journal of Financial Economics A 3
2020 Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps Journal of Financial and Quantitative Analysis B 4
2020 Spanning tests for Markowitz stochastic dominance Journal of Econometrics A 3
2019 A diagnostic criterion for approximate factor structure Journal of Econometrics A 3
2016 Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets Econometrica S 3
2012 Robust subsampling Journal of Econometrics A 3
2012 Tikhonov regularization for nonparametric instrumental variable estimators Journal of Econometrics A 2
2012 Technical trading revisited: False discoveries, persistence tests, and transaction costs Journal of Financial Economics A 2
2010 False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas Journal of Finance A 3
2010 Pricing American options under stochastic volatility and stochastic interest rates Journal of Financial Economics A 2
2009 Testing for threshold effect in ARFIMA models: Application to US unemployment rate data International Journal of Forecasting B 2
2007 Semiparametric methods in econometrics Journal of Econometrics A 3
2007 Local multiplicative bias correction for asymmetric kernel density estimators Journal of Econometrics A 2
2007 Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility The Review of Financial Studies A 2
2006 A fast subsampling method for nonlinear dynamic models Journal of Econometrics A 2
2005 Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements Journal of Banking & Finance B 2
2005 CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA Econometric Theory B 2
2004 On the way to recovery: A nonparametric bias free estimation of recovery rate densities Journal of Banking & Finance B 2
1998 QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES Econometric Theory B 3