Olivier Scaillet - researchr alias

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Viewing Publication 1 - 11 from 11

2023

Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor CalibrationGaetan Bakalli, Davide A. Cucci, Ahmed Radi, Naser El-Sheimy, Roberto Molinari, Olivier Scaillet, Stéphane Guerrier. tsp, 71:1103-1114, 2023. [doi]

2021

Backtesting Marginal Expected Shortfall and Related Systemic Risk MeasuresDenisa Banulescu-Radu, Christophe Hurlin, Jérémy Leymarie, Olivier Scaillet. mansci, 67(9):5730-5754, 2021. [doi]

2016

Jumps in High-Frequency Data: Spurious Detections, Dynamics, and NewsPierre Bajgrowicz, Olivier Scaillet, Adrien Treccani. mansci, 62(8):2198-2217, 2016. [doi]

2014

2009

Testing for equality between two copulasBruno Rémillard, Olivier Scaillet. ma, 100(3):377-386, 2009. [doi]

2007

Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phasesPaolo Battocchio, Francesco Menoncin, Olivier Scaillet. anor, 152(1):141-165, 2007. [doi]

A Kolmogorov-Smirnov-Type Test for Shortfall Dominance Against Parametric AlternativesMichel Denuit, Anne-Cécile Goderniaux, Olivier Scaillet. technometrics, 49(1):88-99, 2007. [doi]

2000

A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundaryBoris Leblanc, Olivier Renault, Olivier Scaillet. fs, 4(1):109-111, 2000. [doi]

Convergence of discrete time option pricing models under stochastic interest ratesJean-Philippe Lesne, Jean-Luc Prigent, Olivier Scaillet. fs, 4(1):81-93, 2000. [doi]

1998

Path dependent options on yields in the affine term structure modelBoris Leblanc, Olivier Scaillet. fs, 2(4):349-367, 1998. [doi]

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