Olivier Scaillet

Finance · with Topaloglou · 2005–2010

A researcher in the Science corpus: 4 papers; trusts 29 researchers and is trusted by 11 researchers here, as inferred from the citation graph.

Subfields

• Finance — 33 citations into it; #3,385 of 10,518 by trust here, #4,732 by citations
• Economics and Econometrics — 19 citations into it; #11,174 of 23,481 by trust here, #15,581 by citations
• Statistics and Probability — 16 citations into it
• Management Science and Operations Research — 7 citations into it
• General Decision Sciences — 6 citations into it
• Demography — 5 citations into it

Whom Olivier Scaillet trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Jean-David Fermanian
2. Thierry Post
3. Alberto Abadie
4. Edward Carlstein
5. Russell Davidson
6. Jun Pan
7. David S. Bates
8. Peter P. Carr
9. Xiaohong Chen
10. Oliver B. Linton

Who trusts Olivier Scaillet overall

1. Andrew J. Patton
2. Christian Genest
3. Gery Geenens
4. R. Lord
5. Alain Monfort
6. Jean-David Fermanian
7. Bruno R'emillard
8. Arthur Charpentier
9. Masaaki Fukasawa
10. Giulia Livieri

Papers from Olivier Scaillet's perspective

Ordered by how strongly the researchers Olivier Scaillet trusts endorse each paper. Same corpus, a different order for every researcher.

1. Post-'87 crash fears in the S&P 500 futures option market
2. Mixing: Properties and Examples
3. Specification Analysis of Affine Term Structure Models
4. The Use of Subseries Values for Estimating the Variance of a General Statistic from a Stationary Sequence
5. The jump-risk premia implicit in options: evidence from an integrated time-series study $
6. LARGE SAMPLE PROPERTIES OF GENERALIZED METHOD OF
7. Weak Convergence of Empirical Copula Processes
8. Option Valuation under Stochastic Volatility
9. Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality
10. Generalized autoregressive conditional heteroskedasticity

Their papers

• Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility (2007) — 118 citations
• Testing for Stochastic Dominance Efficiency (2010) — 101 citations
• LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING (2007) — 103 citations
• National Centre of Competence in Research Financial Valuation and Risk Management (2005) — 70 citations