Olivier Scaillet

Finance · Assurances et gestion des risques · 2002–2017

A researcher in the Science corpus: 12 papers; trusts 61 researchers and is trusted by 58 researchers here, as inferred from the citation graph.

Subfields

• Finance — 102 citations into it; #787 of 10,518 by trust here, #1,689 by citations
• Economics and Econometrics — 96 citations into it; #7,125 of 23,481 by trust here, #8,485 by citations
• Statistics and Probability — 51 citations into it; #1,431 of 12,932 by trust here, #3,893 by citations
• Accounting — 27 citations into it; #3,211 of 8,970 by trust here, #5,223 by citations
• Management Science and Operations Research — 27 citations into it; #1,928 of 11,946 by trust here, #7,262 by citations
• Artificial Intelligence — 16 citations into it; #7,504 of 35,345 by trust here, #23,731 by citations
• Demography — 10 citations into it; #297 of 4,236 by trust here, #1,391 by citations
• Strategy and Management — 8 citations into it

Whom Olivier Scaillet trusts overall

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

1. Bernard Walter Silverman
2. Songxi Chen
3. Michel Denault
4. Dirk Tasche
5. Jean-David Fermanian
6. Taoufik Bouezmarni
7. Jushan Bai
8. Eugene F. Fama
9. Sydney C. Ludvigson
10. A. Onatski

Who trusts Olivier Scaillet overall

1. S. Chen
2. Ivan Kojadinovic
3. Zongwu Cai
4. Andrew J. Patton
5. Jean-David Fermanian
6. Taoufik Bouezmarni
7. Carlos Martins-Filho
8. Ivana Komunjer
9. Sylvain Benoît
10. Célestin C. Kokonendji

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. Determining the Number of Factors in Approximate Factor Models
2. Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
3. Inferential Theory for Factor Models of Large Dimensions
4. Forecasting Using Principal Components From a Large Number of Predictors
5. Eigenvalue Ratio Test for the Number of Factors
6. Covariance regularization by thresholding
7. Density Estimation for Statistics and Data Analysis
8. On the distribution of the largest eigenvalue in principal components analysis
9. Determining the Number of Factors from Empirical Distribution of Eigenvalues (Review of Economics and Statistics)
10. Determining the Number of Factors in the General Dynamic Factor Model

Their papers

• Nonparametric Estimation of Conditional Expected Shortfall (2004) — 112 citations
• Density estimation using inverse and reciprocal inverse Gaussian kernels (2004) — 193 citations
• False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas. (2005) — 810 citations
• Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets (2016) — 181 citations
• CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA (2005) — 129 citations
• High-Frequency Jump Analysis of the Bitcoin Market* (2017) — 140 citations
• A diagnostic criterion for approximate factor structure (2016) — 66 citations
• Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators (2007) — 76 citations
• A kolmogorov‐smirnov type test for positive quadrant dependence (2005) — 123 citations
• Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall (2004) — 268 citations
• Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements (2003) — 56 citations
• Nonparametric Estimation of Copulas for Time Series (2002) — 261 citations