CENTRE EMILE BERNHEIM DE RECHERCHE INTERDISCIPLINAIRE EN GESTION
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Olivier SCAILLET
Associated Professor
Professor at University of Geneva and Swiss Finance Institute

Research fields

Financial Econometrics (elected fellow of SoFiE in 2013) - Term Structure Modelling - Risk Management in Finance and Insurance - Derivative Pricing - Asset Allocation

most representative publications

  • Barras L., Scaillet O. and Wermers R., (2010), "False discoveries in mutual fund performance: Measuring luck in estimated alphas", Journal of Finance, 65, pp. 179-216.
  • Gagliardini P. and Scaillet O., (2012), "Nonparametric instrumental variable estimators of quantile structural effects", Econometrica, 80, pp. 1533-1562.
  • Bajgrowicz P. and Scaillet O., (2012), "Technical trading revisited: persistence tests, transaction costs, and false discoveries", Journal of Financial Economics, 106, pp. 473-491.
  • Medvedev A. and Scaillet O., (2010), "Pricing American options under stochastic volatility and stochastic interest rates", Journal of Financial Economics, 98, pp. 145-159.
  • Gagliardini P., Ossola E. and Scaillet O., (2016), "Time-varying risk premium in large cross-sectional equity datasets", Econometrica, 84, 3, pp. 985-1046.
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      • Textiles & Batteries in the Circular Economy
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    • Papers in Scientific Reviews
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    • Annual Reports
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