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Publications Influence

Testing for equality between two copulas

- B. Rémillard, O. Scaillet
- Computer Science, Mathematics
- J. Multivar. Anal.
- 1 May 2006

TLDR

163 38- PDF

Sensitivity Analysis of Values at Risk

- C. Gouriéroux, J. Laurent, O. Scaillet
- Economics
- 1 November 2000

The aim of this paper is to analyze the sensitivity of Value at Risk VaR with respect to portfolio allocation. We derive analytical expressions for the first and second derivatives of the VaR, and… Expand

386 35- PDF

Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs

- Pierre Bajgrowicz, O. Scaillet
- Economics
- 1 December 2011

We revisit the apparent historical success of technical trading rules on daily prices of the DJIA from 1897 to 2008. We use the False Discovery Rate as a new approach to data snooping. The advantage… Expand

114 21- PDF

Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall

- O. Scaillet
- Economics
- 1 January 2004

We consider a nonparametric method to estimate the expected shortfall—that is, the expected loss on a portfolio of financial assets knowing that the loss is larger than a given quantile. We derive… Expand

222 20- PDF

Nonparametric Estimation of Conditional Expected Shortfall

- O. Scaillet
- Economics
- 1 May 2004

We consider a nonparametric method to estimate conditional expected shortfalls, i.e. conditional expected losses knowing that losses are larger than a given loss quantile. We derive the asymptotic… Expand

88 15- PDF

The estimation of copulas : theory and practice

- Arthur Charpentier, Jean-David Fermanian, O. Scaillet
- Computer Science
- 2007

TLDR

116 13- PDF

On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities

- O. Renault, O. Scaillet
- Mathematics
- 1 May 2003

In this paper we analyse recovery rates on defaulted bonds using the Standard and Poor’s/PMD database for the years 1981-1999. Due to the specific nature of the data (observations lie within 0 and… Expand

106 12- PDF

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

- Pierre Bajgrowicz, O. Scaillet, Adrien Treccani
- Computer Science
- Manag. Sci.
- 2016

TLDR

52 12- PDF

Spatial Dependence , Housing Submarkets , and House Price Prediction

- L. Barras, O. Scaillet, R. Wermers
- 2006

This paper compares alternative methods of controlling for the spatial dependence of house prices in a mass appraisal context. Explicit modeling of the error structure is characterized as a… Expand

43 11- PDF

A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence

- O. Scaillet
- Mathematics
- 2005

We consider a consistent test, that is similar to a Kolmogorov-Smirnov test, of the complete set of restrictions that relate to the copula representation of positive quadrant dependence. For such a… Expand

96 9- PDF

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