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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 2023-11-07. Update your information in the RePEc Author Service.

Short-id: pda56


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Working Papers

2019

  1. Pro-Cyclicality of Traditional Risk Measurements: Quantifying and Highlighting Factors at its Source
    Papers, arXiv.org Downloads View citations (3)

2018

  1. Predicting risk with risk measures: an empirical study
    ESSEC Working Papers, ESSEC Research Center, ESSEC Business School Downloads
    Also in Working Papers, HAL (2018) Downloads View citations (2)

2017

  1. Approaches and Techniques to Validate Internal Model Results
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  2. On the diversification benefit of reinsurance portfolios
    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 (6)
  2. Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study
    Working Papers, HAL Downloads
    Also in ESSEC Working Papers, ESSEC Research Center, ESSEC Business School (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 View citations (1)
    See also Journal Article The Price of Being a Systemically Important Financial Institution (SIFI), International Review of Finance, International Review of Finance Ltd. (2017) Downloads View citations (1) (2017)

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
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
    Also in ESSEC Working Papers, ESSEC Research Center, ESSEC Business School (2015) Downloads View citations (3)

2013

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

    See also Journal Article The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio, Risks, MDPI (2014) Downloads View citations (4) (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 (5)

2005

  1. From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices
    Finance, University Library of Munich, Germany Downloads
    See also Journal Article From default probabilities to credit spreads: Credit risk models do explain market prices, Finance Research Letters, Elsevier (2006) Downloads View citations (6) (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, University Library of Munich, Germany Downloads View citations (197)
    Also in Papers, arXiv.org (2004) Downloads View citations (3)

    See also Journal Article Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development, Journal of Banking & Finance, Elsevier (2005) Downloads View citations (199) (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, University Library of Munich, Germany Downloads View citations (22)
    See also Journal Article Consistent High-precision Volatility from High-frequency Data, Economic Notes, Banca Monte dei Paschi di Siena SpA (2001) Downloads View citations (34) (2001)
  3. Introducing a scale of market shocks
    Finance, University Library of Munich, Germany Downloads
  4. Using the Scaling Analysis to Characterize Financial Markets
    Finance, University Library of Munich, Germany Downloads View citations (2)
    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, University Library of Munich, Germany Downloads View citations (17)
  2. Dynamic Financial Analysis - Understanding Risk and Value Creation in Insurance
    Risk and Insurance, University Library of Munich, Germany Downloads View citations (1)
  3. Extreme Moves in Foreign Exchange Rates and Risk Limit Setting
    Risk and Insurance, University Library of Munich, Germany Downloads View citations (1)
  4. How Much Reinsurance Do You Really Need? A Case Study
    Risk and Insurance, University Library of Munich, Germany Downloads
  5. Performance and Risk Measurement Challenges For Hedge Funds: Empirical Considerations
    Risk and Insurance, University Library of Munich, Germany 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 (20)
    See also Journal Article Multivariate extremes, aggregation and risk estimation, Quantitative Finance, Taylor & Francis Journals (2001) Downloads View citations (18) (2001)

1996

  1. Heavy tails in high-frequency financial data
    Working Papers, Olsen and Associates Downloads View citations (11)
  2. Hill, Bootstrap and Jackknife Estimators for Heavy Tails
    Working Papers, Olsen and Associates Downloads View citations (17)

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 (9)
  7. The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets
    Working Papers, Olsen and Associates Downloads View citations (12)
  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

2023

  1. Building up cyber resilience by better grasping cyber risk via a new algorithm for modelling heavy-tailed data
    European Journal of Operational Research, 2023, 311, (2), 708-729 Downloads View citations (3)
  2. How to Gain Confidence in the Results of Internal Risk Models? Approaches and Techniques for Validation
    Risks, 2023, 11, (5), 1-20 Downloads View citations (1)
  3. Managing cyber risk, a science in the making
    Scandinavian Actuarial Journal, 2023, 2023, (10), 1000-1021 Downloads View citations (1)
  4. Pro‐cyclicality beyond business cycle
    Mathematical Finance, 2023, 33, (2), 308-341 Downloads

2022

  1. Special Issue “Cyber Risk and Security”
    Risks, 2022, 10, (6), 1-4 Downloads View citations (1)

2020

  1. High Frequency Trading, a Boon or a Threat?
    BANCARIA, 2020, 1, 89-96 Downloads

2019

  1. Improving the Forecast of Longevity by Combining Models
    North American Actuarial Journal, 2019, 23, (2), 298-319 Downloads View citations (1)

2018

  1. A change of paradigm for the insurance industry
    Annals of Actuarial Science, 2018, 12, (2), 211-232 Downloads View citations (1)
  2. One-Year Change Methodologies for Fixed-Sum Insurance Contracts
    Risks, 2018, 6, (3), 1-29 Downloads View citations (2)
  3. Validation of aggregated risks models
    Annals of Actuarial Science, 2018, 12, (2), 433-454 Downloads View citations (2)

2017

  1. The Price of Being a Systemically Important Financial Institution (SIFI)
    International Review of Finance, 2017, 17, (4), 611-616 Downloads View citations (1)
    See also Working Paper The Price of Being a Systemically Important Financial Institution (SIFI), MPRA Paper (2016) Downloads View citations (1) (2016)

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 (4)
    See also Working Paper The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio, ESSEC Working Papers (2013) Downloads View citations (2) (2013)

2010

  1. Robust Estimation of Reserve Risk
    ASTIN Bulletin, 2010, 40, (2), 453-489 Downloads View citations (5)

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 (5)

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 (6)
    See also Working Paper From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices, Finance (2005) Downloads (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 (199)
    See also Working Paper Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development, Econometrics (2005) Downloads View citations (197) (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. Foreign exchange trading models and market behavior
    Journal of Economic Dynamics and Control, 2003, 27, (6), 909-935 Downloads View citations (22)
  3. Reflections on risk
    Quantitative Finance, 2003, 3, (2), 22-23 Downloads
  4. Scaling behaviors in differently developed markets
    Physica A: Statistical Mechanics and its Applications, 2003, 324, (1), 183-188 Downloads View citations (127)

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 (24)

2001

  1. Consistent High-precision Volatility from High-frequency Data
    Economic Notes, 2001, 30, (2), 183-204 Downloads View citations (34)
    See also Working Paper Consistent high-precision volatility from high-frequency data, Finance (2004) Downloads View citations (22) (2004)
  2. Defining efficiency in heterogeneous markets
    Quantitative Finance, 2001, 1, (2), 198-201 Downloads View citations (15)
  3. Effective return, risk aversion and drawdowns
    Physica A: Statistical Mechanics and its Applications, 2001, 289, (1), 229-248 Downloads View citations (12)
  4. Multivariate extremes, aggregation and risk estimation
    Quantitative Finance, 2001, 1, (1), 79-95 Downloads View citations (18)
    See also Working Paper Multivariate extremes, aggregation and risk estimation, CeNDEF Workshop Papers, January 2001 (2001) View citations (20) (2001)
  5. Time-to-Expiry Seasonalities in Eurofutures
    Studies in Nonlinear Dynamics & Econometrics, 2001, 4, (4), 1-6 Downloads View citations (1)

2000

  1. MEASURING SHOCK IN FINANCIAL MARKETS
    International Journal of Theoretical and Applied Finance (IJTAF), 2000, 03, (03), 347-355 Downloads View citations (4)

1999

  1. The intraday multivariate structure of the Eurofutures markets
    Journal of Empirical Finance, 1999, 6, (5), 479-513 Downloads View citations (8)

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 (137)
  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 (345)

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 (29)

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 (286)

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 (192)

Books

2001

  1. An Introduction to High-Frequency Finance
    Elsevier Monographs, Elsevier Downloads View citations (496)
 
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