Geneva School of Economics and Management Geneva School of Economics and Management

Short bio

Olivier Scaillet is Professor of Probability and Statistics at the University of Geneva. He holds a PhD in Applied Mathematics from the University of Paris IX Dauphine. Oliver Scaillet is Deputy Director ( Education) of the GFRI. His research interests are in Asset Pricing, Econometric Theory and Econometrics applied to Finance and Insurance.

Research & publications

Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy, with L. Camponovo and F. Trojani, Journal of Financial Econometrics, 15, 3, (2017), 377-387. pdf

Time-varying risk premium in large cross-sectional equity datasets with P. Gagliardini and E. Ossola, Econometrica, 84, 3, (2016), 985-1046. Abstract pdf Supplementary Materials Data and Matlab Codes

On ill-posedness of nonparametric instrumental variable regression with convexity constraints, The Econometrics Journal, 19, (2016), 232-236. Abstract pdf

A specification test for nonparametric instrumental variable regression, with P. Gagliardini, forthcoming in Annals of Economics and Statistics, Special Issue on "Inverse Problems in Econometrics". Abstract pdf Technical report Data and Matlab Codes