Olivier Scaillet
Biographic Data
| ID | 5850150 |
|---|---|
| NAME | Olivier Scaillet |
| GIVEN NAMES | Olivier |
| FAMILY NAME | Scaillet |
| SIGNATURE | SCAILLET O |
| AFFILIATIONS | University of Geneva |
| ORCID | 0000-0002-3948-6891 |
| VERIFIED | Yes |
| TOTAL WORKS | 4 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 4 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 1996 |
| LATEST PUBLICATION YEAR | 2010 |
| H-INDEX | 0 |
Testing for Stochastic Dominance Efficiency
We consider consistent tests for stochastic dominance efficiency at any order of a given portfolio with respect to all possible portfolios constructed from a set of assets. We justify block bootstrap approaches to achieve valid inference in a time series setting. The test statistics are computed using linear and mixed integer programming formulations. Monte Carlo results show that the bootstrap procedure performs well in finite samples. The empir…
Local Transformation Kernel Density Estimation of Loss Distributions
We develop a tailor-made semiparametric asymmetric kernel density estimator for the estimation of actuarial loss distributions. The estimator is obtained by transforming the data with the generalized Champernowne distribution initially fitted to the data. Then the density of the transformed data is estimated by use of local asymmetric kernel methods to obtain superior estimation properties in the tails. We find in a vast simulation study that the…
Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models
We analyze the modifications that occur in indirect inference when a nuisance parameter is not identified under the null hypothesis. We develop a testing procedure adapted to this simulation-based estimation method, and detail its use for detecting the threshold effect in threshold moving average models with contemporaneous and lagged asymmetries. In contrast to existing threshold models, these models allow taking into account the presence of asy…
Estimation de modèles de la structure par terme des taux d'intérêt
Broze Laurence, Scaillet Olivier, Zakoïan Jean-Michel, Jessua Claude. Estimation de modèles de la structure par terme des taux d'intérêt. In: Revue économique, volume 47, n°3, 1996. pp. 511-519
No prominent works on this page.
Estimation de modèles de la structure par terme des taux d'intérêt
Broze Laurence, Scaillet Olivier, Zakoïan Jean-Michel, Jessua Claude. Estimation de modèles de la structure par terme des taux d'intérêt. In: Revue économique, volume 47, n°3, 1996. pp. 511-519
Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models
We analyze the modifications that occur in indirect inference when a nuisance parameter is not identified under the null hypothesis. We develop a testing procedure adapted to this simulation-based estimation method, and detail its use for detecting the threshold effect in threshold moving average models with contemporaneous and lagged asymmetries. In contrast to existing threshold models, these models allow taking into account the presence of asy…
Local Transformation Kernel Density Estimation of Loss Distributions
We develop a tailor-made semiparametric asymmetric kernel density estimator for the estimation of actuarial loss distributions. The estimator is obtained by transforming the data with the generalized Champernowne distribution initially fitted to the data. Then the density of the transformed data is estimated by use of local asymmetric kernel methods to obtain superior estimation properties in the tails. We find in a vast simulation study that the…
Testing for Stochastic Dominance Efficiency
We consider consistent tests for stochastic dominance efficiency at any order of a given portfolio with respect to all possible portfolios constructed from a set of assets. We justify block bootstrap approaches to achieve valid inference in a time series setting. The test statistics are computed using linear and mixed integer programming formulations. Monte Carlo results show that the bootstrap procedure performs well in finite samples. The empir…
Mathematics (4 works) · Computer Science (3 works) · Econometrics (3 works) · Economics (3 works) · Statistics (3 works) · Financial Risk and Volatility Modeling (2 works) · Inference (2 works) · Mathematical optimization (2 works) · Monetary Policy and Economic Impact (2 works) · Applied Mathematics (1 work)