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Details about Michel Dacorogna

Phone:+41 79 544 73 27
Postal address:Scheuchzerstrasse 160 8057 Zurich

Access statistics for papers by Michel Dacorogna.

Last updated 2017-07-12. Update your information in the RePEc Author Service.

Short-id: pda56


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Working Papers

2017

  1. Approaches and Techniques to Validate Internal Model Results
    MPRA Paper, University Library of Munich, Germany Downloads

2016

  1. A General framework for modelling mortality to better estimate its relationship with interest rate risks
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  2. Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study
    ESSEC Working Papers, ESSEC Research Center, ESSEC Business School Downloads
    Also in Working Papers, HAL (2016) Downloads
  3. Risk neutral versus real-world distribution on puclicly listed bank corporations
    Working Papers, HAL Downloads
  4. The Price of Being a Systemically Important Financial Institution (SIFI)
    MPRA Paper, University Library of Munich, Germany Downloads

2015

  1. Explicit diversification benefit for dependent risks
    Working Papers, HAL Downloads View citations (1)
    Also in ESSEC Working Papers, ESSEC Research Center, ESSEC Business School (2015) Downloads View citations (1)
  2. Living in a Stochastic World and Managing Complex Risks
    ESSEC Working Papers, ESSEC Research Center, ESSEC Business School Downloads View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2015) Downloads View citations (2)

2013

  1. The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio
    Working Papers, HAL Downloads View citations (2)
    Also in ESSEC Working Papers, ESSEC Research Center, ESSEC Business School (2013) Downloads View citations (2)
    Papers, arXiv.org (2013) Downloads View citations (2)

    See also Journal Article in Risks (2014)

2010

  1. Estimating the risk-adjusted capital is an affair in the tails
    MPRA Paper, University Library of Munich, Germany Downloads

2008

  1. Risk aggregation, dependence structure and diversification benefit
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)

2005

  1. From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices
    Finance, EconWPA Downloads
    See also Journal Article in Finance Research Letters (2006)
  2. Is the gamma risk of options insurable?
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development
    Econometrics, EconWPA Downloads View citations (92)
    Also in Papers, arXiv.org (2004) Downloads View citations (1)

    See also Journal Article in Journal of Banking & Finance (2005)

2004

  1. Bootstrapping the economy -- a non-parametric method of generating consistent future scenarios
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Consistent high-precision volatility from high-frequency data
    Finance, EconWPA Downloads View citations (21)
    See also Journal Article in Economic Notes (2001)
  3. Introducing a scale of market shocks
    Finance, EconWPA Downloads
  4. Using the Scaling Analysis to Characterize Financial Markets
    Finance, EconWPA Downloads View citations (1)
    Also in Papers, arXiv.org (2003) Downloads View citations (1)

2003

  1. Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment
    Risk and Insurance, EconWPA Downloads View citations (8)
    See also Journal Article in Economic Notes (2003)
  2. Dynamic Financial Analysis - Understanding Risk and Value Creation in Insurance
    Risk and Insurance, EconWPA Downloads View citations (1)
  3. Extreme Moves in Foreign Exchange Rates and Risk Limit Setting
    Risk and Insurance, EconWPA Downloads View citations (1)
  4. How Much Reinsurance Do You Really Need? A Case Study
    Risk and Insurance, EconWPA Downloads
  5. Performance and Risk Measurement Challenges For Hedge Funds: Empirical Considerations
    Risk and Insurance, EconWPA Downloads View citations (1)

2001

  1. Multivariate extremes, aggregation and risk estimation
    CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance View citations (16)
    See also Journal Article in Quantitative Finance (2001)

1996

  1. Heavy tails in high-frequency financial data
    Working Papers, Olsen and Associates Downloads View citations (10)
  2. Hill, Bootstrap and Jackknife Estimators for Heavy Tails
    Working Papers, Olsen and Associates Downloads View citations (14)

Undated

  1. A Measure of the Trading Model Performance with a Risk Component
    Working Papers, Olsen and Associates Downloads
  2. Fractals and Intrinsic Time - a Challenge to Econometricians
    Working Papers, Olsen and Associates Downloads View citations (8)
  3. Genetic Algorithms with collective sharing for Robust Optimization in Financial Applications
    Working Papers, Olsen and Associates Downloads View citations (1)
  4. Going Back to the Basics - Rethinking Market Efficiency
    Working Papers, Olsen and Associates Downloads View citations (4)
  5. How heavy are the the tails of a stationary HARCH(k) process? - A study of the moments
    Working Papers, Olsen and Associates Downloads
  6. On the intra-daily performance of GARCH processes
    Working Papers, Olsen and Associates Downloads View citations (8)
  7. The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets
    Working Papers, Olsen and Associates Downloads View citations (11)
  8. The Error of Statistical Volatility of Intra-daily Quoted Price Changes Observed over a Time Interval
    Working Papers, Olsen and Associates Downloads
  9. The Main Ingredients of Simple Trading Models for Use in Genetic Algorithm Optimization
    Working Papers, Olsen and Associates Downloads
  10. Unveiling Non Linearities Through Time Scale Transformations
    Working Papers, Olsen and Associates Downloads

Journal Articles

2015

  1. Un changement de paradigme pour l’assurance
    Revue d'économie financière, 2015, n° 118, (2), 205-230 Downloads

2014

  1. The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio
    Risks, 2014, 2, (3), 1-17 Downloads View citations (1)
    See also Working Paper (2013)

2010

  1. Robust Estimation of Reserve Risk
    ASTIN Bulletin: The Journal of the International Actuarial Association, 2010, 40, (02), 453-489 Downloads View citations (3)

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 Downloads View citations (4)

2006

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

2005

  1. 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 Downloads View citations (83)
    See also Working Paper (2005)

2003

  1. 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 Downloads
  2. Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment
    Economic Notes, 2003, 32, (2), 177-195 Downloads View citations (7)
    See also Working Paper (2003)
  3. Foreign exchange trading models and market behavior
    Journal of Economic Dynamics and Control, 2003, 27, (6), 909-935 Downloads View citations (16)
  4. Reflections on risk
    Quantitative Finance, 2003, 3, (2), 22-23 Downloads
  5. Scaling behaviors in differently developed markets
    Physica A: Statistical Mechanics and its Applications, 2003, 324, (1), 183-188 Downloads View citations (58)

2002

  1. Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates
    International Economic Review, 2002, 43, (2), 463-492 Downloads View citations (15)

2001

  1. Consistent High-precision Volatility from High-frequency Data
    Economic Notes, 2001, 30, (2), 183-204 Downloads View citations (10)
    See also Working Paper (2004)
  2. Defining efficiency in heterogeneous markets
    Quantitative Finance, 2001, 1, (2), 198-201 Downloads View citations (8)
  3. Effective return, risk aversion and drawdowns
    Physica A: Statistical Mechanics and its Applications, 2001, 289, (1), 229-248 Downloads View citations (7)
  4. Multivariate extremes, aggregation and risk estimation
    Quantitative Finance, 2001, 1, (1), 79-95 Downloads View citations (12)
    See also Working Paper (2001)
  5. Time-to-Expiry Seasonalities in Eurofutures
    Studies in Nonlinear Dynamics & Econometrics, 2001, 4, (4), 1-6 Downloads View citations (1)

1999

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

1997

  1. 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 Downloads View citations (110)
  2. Volatilities of different time resolutions -- Analyzing the dynamics of market components
    Journal of Empirical Finance, 1997, 4, (2-3), 213-239 Downloads View citations (151)

1995

  1. Heterogeneous real-time trading strategies in the foreign exchange market
    The European Journal of Finance, 1995, 1, (4), 383-403 Downloads View citations (19)

1993

  1. 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 Downloads View citations (207)

1990

  1. 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 Downloads View citations (151)

Books

2001

  1. An Introduction to High-Frequency Finance
    Elsevier Monographs, Elsevier Downloads View citations (283)
 
Page updated 2017-08-18