Working Papers

From Olsen and Associates
Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel ().

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

1996-12-11: Heavy tails in high-frequency financial data

Olivier V. Pictet, Michel Dacorogna and Ulrich A. Muller

1996-12-10: Hill, Bootstrap and Jackknife Estimators for Heavy Tails

Olivier V. Pictet, Michel Dacorogna and Ulrich A. Muller

1995-07-31: The Error of Statistical Volatility of Intra-daily Quoted Price Changes Observed over a Time Interval

Ulrich A. Muller, Michel Dacorogna and Olivier V. Pictet

1995-02-24.: How heavy are the the tails of a stationary HARCH(k) process? - A study of the moments

Michel Dacorogna, Ulrich A. Muller, Paul Embrechts and Gennady Samorodnitsky

1995-02-06.: Genetic Algorithms with collective sharing for Robust Optimization in Financial Applications

Olivier V. Pictet, Michel Dacorogna, Rakhal D. Dave, Bastien Chopard, Roberto Schirru and Marco Tomassini

1994-07-31: On the intra-daily performance of GARCH processes

Dominique M. Guillaume, Olivier V. Pictet and Michel Dacorogna

1994-06-26: Unveiling Non Linearities Through Time Scale Transformations

Dominique M. Guillaume, Olivier V. Pictet, Ulrich A. Muller and Michel Dacorogna

1994-01-31.: Hedging Currency Risks -- Dynamic Hedging Strategies Based on O&A Trading Models

U. A. Muller

1993-08-16: Fractals and Intrinsic Time - a Challenge to Econometricians

U. A. Muller, Michel Dacorogna, R. D. Dave, O. V. Pictet, Richard Olsen and J.R. Ward

1993-06-18.: Statistics of Variables Observed Over Overlapping Intervals

U. A. Muller

1993-03-22.: The Main Ingredients of Simple Trading Models for Use in Genetic Algorithm Optimization

Michel Dacorogna

1992-10-22: The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets

Michel Dacorogna, Ulrich A. Muller, Olivier V. Pictet and Casper de Vries

1992-09-07.: Going Back to the Basics - Rethinking Market Efficiency

Richard Olsen, Michel Dacorogna, Ulrich A. Muller, and Olivier V. Pictet

1991-05-24.: A Measure of the Trading Model Performance with a Risk Component

Michel Dacorogna, U. A. Muller and O. V. Pictet