Olivier SCAILLET
Professeur ordinaire
Geneva Finance Research Institute
Directeur, Geneva Finance Research Institute
Ph.D., Université Paris-Dauphine
Uni Pignon - 411
+41 22 379 88 16
Courriel
Brève biographie
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.
Recherche & 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
