Details about Michel Dacorogna

Access statistics for papers by Michel Dacorogna.

Last updated 2009-11-17. Update your information in the RePEc Author Service.

Short-id: pda56

Working Papers

2005

1. From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices
   Finance, EconWPA
   See also Journal Article in Finance Research Letters (2006)
2. Is the gamma risk of options insurable?
   MPRA Paper, University Library of Munich, Germany
3. Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development
   Econometrics, EconWPA View citations
   Also in Quantitative Finance Papers, arXiv.org (2004)
   See also Journal Article in Journal of Banking & Finance (2005)

2004

4. Bootstrapping the economy -- a non-parametric method of generating consistent future scenarios
   MPRA Paper, University Library of Munich, Germany
5. Consistent high-precision volatility from high-frequency data
   Finance, EconWPA View citations
6. Introducing a scale of market shocks
   Finance, EconWPA
7. Using the Scaling Analysis to Characterize Financial Markets
   Finance, EconWPA
   Also in Quantitative Finance Papers, arXiv.org (2003)

2003

8. Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment
   Risk and Insurance, EconWPA
   See also Journal Article in Economic Notes (2003)
9. Dynamic Financial Analysis - Understanding Risk and Value Creation in Insurance
   Risk and Insurance, EconWPA View citations
10. Extreme Moves in Foreign Exchange Rates and Risk Limit Setting
    Risk and Insurance, EconWPA
11. How Much Reinsurance Do You Really Need? A Case Study
    Risk and Insurance, EconWPA
12. Performance and Risk Measurement Challenges For Hedge Funds: Empirical Considerations
    Risk and Insurance, EconWPA View citations

2001

13. Multivariate extremes, aggregation and risk estimation
    CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance View citations

1996

14. Heavy tails in high-frequency financial data
    Working Papers, Olsen and Associates View citations
15. Hill, Bootstrap and Jackknife Estimators for Heavy Tails
    Working Papers, Olsen and Associates View citations

Undated

16. A Measure of the Trading Model Performance with a Risk Component
    Working Papers, Olsen and Associates
17. Fractals and Intrinsic Time - a Challenge to Econometricians
    Working Papers, Olsen and Associates View citations
18. Genetic Algorithms with collective sharing for Robust Optimization in Financial Applications
    Working Papers, Olsen and Associates View citations
19. Going Back to the Basics - Rethinking Market Efficiency
    Working Papers, Olsen and Associates View citations
20. How heavy are the the tails of a stationary HARCH(k) process? - A study of the moments
    Working Papers, Olsen and Associates
21. On the intra-daily performance of GARCH processes
    Working Papers, Olsen and Associates View citations
22. The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets
    Working Papers, Olsen and Associates View citations
23. The Error of Statistical Volatility of Intra-daily Quoted Price Changes Observed over a Time Interval
    Working Papers, Olsen and Associates
24. The Main Ingredients of Simple Trading Models for Use in Genetic Algorithm Optimization
    Working Papers, Olsen and Associates
25. Unveiling Non Linearities Through Time Scale Transformations
    Working Papers, Olsen and Associates

Journal Articles

2009

1. How Much Capital Does a Reinsurance Need&quest
   The Geneva Papers on Risk and Insurance - Issues and Practice, 2009, 34, (2), 159-174

2006

2. From default probabilities to credit spreads: Credit risk models do explain market prices
   Finance Research Letters, 2006, 3, (2), 79-95
   See also Working Paper (2005)

2005

3. Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development
   Journal of Banking & Finance, 2005, 29, (4), 827-851 View citations
   See also Working Paper (2005)

2003

4. An Introduction to High-Frequency Finance: Michael M. Dacorogna, Ramazan Gencay, Ulrich Muller, Richard B. Olsen, and Olivier V. Pictet. San Diego, CA: Academic Press, 2001. 383 pp., $79.95, ISBN: 0-12-279671-3
   International Review of Economics & Finance, 2003, 12, (4), 525-529
5. Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment
   Economic Notes, 2003, 32, (2), 177-195
   See also Working Paper (2003)
6. Foreign exchange trading models and market behavior
   Journal of Economic Dynamics and Control, 2003, 27, (6), 909-935 View citations

2002

7. Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates
   International Economic Review, 2002, 43, (2), 463-492 View citations

2001

8. Time-to-Expiry Seasonalities in Eurofutures
   Studies in Nonlinear Dynamics & Econometrics, 2001, 4, (4)

1999

9. The intraday multivariate structure of the Eurofutures markets
   Journal of Empirical Finance, 1999, 6, (5), 479-513

1997

10. From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*)
    Finance and Stochastics, 1997, 1, (2), 95-129 View citations
11. Volatilities of different time resolutions -- Analyzing the dynamics of market components
    Journal of Empirical Finance, 1997, 4, (2-3), 213-239 View citations

1993

12. A geographical model for the daily and weekly seasonal volatility in the foreign exchange market
    Journal of International Money and Finance, 1993, 12, (4), 413-438 View citations

1990

13. Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis
    Journal of Banking & Finance, 1990, 14, (6), 1189-1208 View citations