معرفی
Olivier Scaillet is a Research Fellow at the Swiss Finance Institute, affiliated with the University of Geneva. His work spans financial econometrics, quantitative finance, and risk management, with a focus on stochastic volatility models, copulas, and high-frequency data analysis.
Research Interests:
- Financial econometrics and nonparametric estimation
- Stochastic volatility and jump-diffusion models
- Asset pricing and factor models in large panels
- Systemic risk and recovery rate density estimation
- Machine learning applications in finance
- Market microstructure and high-frequency data dynamics
Scientific Contributions:
- Developed methodologies for nonstandard error analysis in multi-analyst studies
- Advanced techniques for testing stochastic dominance efficiency and latent factor models
- Explored copula-based goodness-of-fit tests and threshold effects in time series
- Innovated in American option pricing under complex market conditions
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