Michel Dacorogna : Citation Profile


Are you Michel Dacorogna?

14

H index

16

i10 index

1469

Citations

RESEARCH PRODUCTION:

29

Articles

45

Papers

1

Books

RESEARCH ACTIVITY:

   29 years (1990 - 2019). See details.
   Cites by year: 50
   Journals where Michel Dacorogna has often published
   Relations with other researchers
   Recent citing documents: 93.    Total self citations: 18 (1.21 %)

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   Permalink: http://citec.repec.org/pda56
   Updated: 2019-10-15    RAS profile: 2019-07-04    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Michel Dacorogna.

Is cited by:

Bollerslev, Tim (75)

Andersen, Torben (60)

Diebold, Francis (35)

Krištoufek, Ladislav (26)

Gencay, Ramazan (23)

Caporin, Massimiliano (22)

Tabak, Benjamin (18)

MORANA, CLAUDIO (18)

Barndorff-Nielsen, Ole (17)

Shephard, Neil (17)

Los, Cornelis (16)

Cites to:

Olsen, Richard (13)

Bollerslev, Tim (11)

Christoffersen, Peter (6)

Lebaron, Blake (6)

Mandelbrot, Benoît (5)

Tasche, Dirk (4)

ausloos, marcel (4)

Engle, Robert (3)

Scholes, Myron (3)

Diebold, Francis (3)

Brock, William (2)

Main data


Where Michel Dacorogna has published?


Journals with more than one article published# docs
Quantitative Finance3
Economic Notes2
Journal of Banking & Finance2
Annals of Actuarial Science2
Physica A: Statistical Mechanics and its Applications2
Risks2
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany9
Risk and Insurance / University Library of Munich, Germany5
Working Papers / HAL5
Finance / University Library of Munich, Germany4
Papers / arXiv.org4

Recent works citing Michel Dacorogna (2019 and 2018)


YearTitle of citing document
2018Realizing Correlations Across Asset Classes. (2018). Elst, Harry Vander ; Olesen, Kasper V ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-37.

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2018Wavelet-based methods for high-frequency lead-lag analysis. (2018). Koike, Yuta ; Hayashi, Takaki . In: Papers. RePEc:arx:papers:1612.01232.

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2018Multi-scale analysis of lead-lag relationships in high-frequency financial markets. (2018). Hayashi, Takaki ; Koike, Yuta. In: Papers. RePEc:arx:papers:1708.03992.

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2018Valuation of contingent convertible catastrophe bonds - the case for equity conversion. (2018). Burnecki, Krzysztof ; Palmowski, Zbigniew ; Nicol, Mario. In: Papers. RePEc:arx:papers:1804.07997.

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2018Directed Continuous-Time Random Walk with memory. (2018). Klamut, Jaroslaw ; Gubiec, Tomasz. In: Papers. RePEc:arx:papers:1807.01934.

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2018Multiplicative random cascades with additional stochastic process in financial markets. (2018). Maskawa, Jun-ichi ; Murai, Joshin ; Kuroda, Koji . In: Papers. RePEc:arx:papers:1809.00820.

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2019The Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach. (2019). Kanniainen, Juho ; Yue, YE. In: Papers. RePEc:arx:papers:1901.02691.

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2019Feature Engineering for Mid-Price Prediction Forecasting with Deep Learning. (2019). Gabbouj, Moncef ; Kanniainen, Juho ; Mirone, Giorgio ; Ntakaris, Adamantios ; Iosifidis, Alexandros. In: Papers. RePEc:arx:papers:1904.05384.

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2019Rough volatility of Bitcoin. (2019). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:1904.12346.

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2019Signatures of crypto-currency market decoupling from the Forex. (2019). Wkatorek, Marcin ; Stanuszek, Marek ; O'Swikecimka, Pawel ; Minati, Ludovico ; Zd, Stanislaw Dro. In: Papers. RePEc:arx:papers:1906.07834.

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2018Home is Where You Know Your Volatility – Local Investor Sentiment and Stock Market Volatility. (2018). Schneller, D ; Hamid, A ; Heiden, M. In: German Economic Review. RePEc:bla:germec:v:19:y:2018:i:2:p:209-236.

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2017Optimal Enterprise Risk Management and Decision Making With Shared and Dependent Risks. (2017). Ai, Jing ; Wang, Tianyang ; Brockett, Patrick L. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:4:p:1127-1169.

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2017Forecasting multidimensional tail risk at short and long horizons. (2017). Polanski, Arnold ; Stoja, Evarist. In: Bank of England working papers. RePEc:boe:boeewp:0660.

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2019Score-Driven Models for Realized Volatility. (2019). Palumbo, D ; Harvey, A. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1950.

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2018Multi-scale causality and extreme tail inter-dependence among housing prices. (2018). Uddin, Gazi ; Yoon, Seong-Min ; Ahmed, Ali ; Kang, Sang Hoon. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:301-309.

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2019Does the Malaysian Sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses. (2019). SAITI, BURHAN ; Mat, Gairuzazmi Bin ; Rahman, Maya Puspa ; Bhuiyan, Rubaiyat Ahsan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:675-687.

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2019Asymmetric volatility in equity markets around the world. (2019). Olsen, Torbjorn B ; Molnar, Peter ; Lyocsa, Tefan ; Horpestad, Jone B. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:540-554.

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2018Taylor effect in Bitcoin time series. (2018). Takaishi, Tetsuya ; Adachi, Takanori. In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:5-7.

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2019The scale of predictability. (2019). Bandi, F M ; Tebaldi, C ; Tamoni, A ; Perron, B. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:120-140.

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2018Copula based multivariate semi-Markov models with applications in high-frequency finance. (2018). Damico, Guglielmo ; Petroni, Filippo. In: European Journal of Operational Research. RePEc:eee:ejores:v:267:y:2018:i:2:p:765-777.

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2018Volatility in equity markets and monetary policy rate uncertainty. (2018). Roberts-Sklar, Matt ; Kaminska, Iryna . In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:68-83.

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2018Forecasting global stock market implied volatility indices. (2018). Filis, George ; Degiannakis, Stavros ; Hassani, Hossein. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:111-129.

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2018Multivariate models with long memory dependence in conditional correlation and volatility. (2018). Dark, Jonathan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:162-180.

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2018Crude oil risk forecasting: New evidence from multiscale analysis approach. (2018). He, Kaijian ; Liu, Jia ; Zou, Yingchao . In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:574-583.

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2018Prediction of company failure: Past, present and promising directions for the future. (2018). Jayasekera, Ranadeva . In: International Review of Financial Analysis. RePEc:eee:finana:v:55:y:2018:i:c:p:196-208.

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2018Do ETFs lead the price moves? Evidence from the major US markets. (2018). Buckle, Mike ; Tong, Chen ; Guo, Qian ; Chen, Jing. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:91-103.

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2019Financial markets of the LAC region: Does the crisis influence the financial integration?. (2019). da Silva, Jacinto Vidigal ; Dias, Rui ; Dionisio, Andreia. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:160-173.

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2018Time-varying long-term memory in Bitcoin market. (2018). Jiang, Yonghong ; Ruan, Weihua ; Nie, HE. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:280-284.

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2018Does sentiment matter for stock returns? Evidence from Indian stock market using wavelet approach. (2018). Dash, Saumya Ranjan ; Maitra, Debasish. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:32-39.

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2018Multiple days ahead realized volatility forecasting: Single, combined and average forecasts. (2018). Degiannakis, Stavros. In: Global Finance Journal. RePEc:eee:glofin:v:36:y:2018:i:c:p:41-61.

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2018The intraday volatility spillover index approach and an application in the Brexit vote. (2018). Nishimura, Yusaku ; Sun, Bianxia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:241-253.

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2019Central bank announcements and realized volatility of stock markets in G7 countries. (2019). Molnár, Peter ; Lyócsa, Štefan ; Plihal, Toma ; Molnar, Peter ; Lyocsa, Tefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:117-135.

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2019Intraday effects of the currency market. (2019). Narayan, Paresh Kumar ; Khademalomoom, Siroos. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:65-77.

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2017Forecasting multidimensional tail risk at short and long horizons. (2017). Polanski, Arnold ; Stoja, Evarist. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:958-969.

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2019Risk analysis of high frequency precious metals returns by using long memory model. (2019). Shahbaz, Muhammad ; Naeem, Muhammad ; Mustafa, Faisal ; Saleem, Kashif. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:399-409.

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2019Volatility forecasting of crude oil futures: The role of investor sentiment and leverage effect. (2019). Gong, XU ; Yang, Cai ; Zhang, Hongwei. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:548-563.

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2018Time–frequency wavelet analysis of the interrelationship between the global macro assets and the fear indexes. (2018). Kaffel, Bilel ; Abid, Fathi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1028-1045.

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2018Efficiency or speculation? A time-varying analysis of European sovereign debt. (2018). Ferreira, Paulo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1295-1308.

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2018Credit market Jitters in the course of the financial crisis: A permutation entropy approach in measuring informational efficiency in financial assets. (2018). Siokis, Fotios M. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:499:y:2018:i:c:p:266-275.

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2018An improvement of the measurement of time series irreversibility with visibility graph approach. (2018). Wu, Zhenyu ; Xiong, Hui ; Shang, Pengjian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:502:y:2018:i:c:p:370-378.

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2018Stock market efficiency: A comparative analysis of Islamic and conventional stock markets. (2018). Ali, Sajid ; Al-Yahyaee, Khamis Hamed ; Raza, Naveed ; Hussain, Syed Jawad. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:139-153.

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2018A new measurement of financial time irreversibility based on information measures method. (2018). Wang, Yuanyuan ; Shang, Pengjian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:221-230.

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2018On Bitcoin markets (in)efficiency and its evolution. (2018). Krištoufek, Ladislav ; Kristoufek, Ladislav. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:257-262.

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2018Multifractal analysis of Shanghai and Hong Kong stock markets before and after the connect program. (2018). Zhang, Guofu ; Li, Jingjing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:611-622.

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2018Generalized AIC method based on higher-order moments and entropy of financial time series. (2018). Xu, Shiyun ; Shang, Pengjian ; Qiao, Wenxuan ; Shao, Menglin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:1127-1138.

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2018Long-range dependencies of Eastern European stock markets: A dynamic detrended analysis. (2018). Ferreira, Paulo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:454-470.

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2018Dynamic efficiency of European credit sectors: A rolling-window multifractal detrended fluctuation analysis. (2018). Shahzad, Syed Jawad Hussain ; Jammazi, Rania ; Hussain, Syed Jawad ; Aloui, Chaker. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:506:y:2018:i:c:p:337-349.

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2018Deviations from universality in the fluctuation behavior of a heterogeneous complex system reveal intrinsic properties of components: The case of the international currency market. (2018). Chakraborty, Abhijit ; Sinha, Sitabhra ; Easwaran, Soumya . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:599-610.

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2018Forecasting exchange rate using Variational Mode Decomposition and entropy theory. (2018). He, Kaijian ; Chen, Yanhui. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:510:y:2018:i:c:p:15-25.

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2018Asymmetric market efficiency using the index-based asymmetric-MFDFA. (2018). Lee, Minhyuk ; Chang, Woojin ; Kim, Sondo ; Song, Jae Wook. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:512:y:2018:i:c:p:1278-1294.

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2019The stylized facts of prediction markets: Analysis of price changes. (2019). Restocchi, Valerio ; Gerding, Enrico ; McGroarty, Frank. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:515:y:2019:i:c:p:159-170.

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2019Information flow between Ibovespa and constituent companies. (2019). Jale, Jader S ; Stoi, Borko. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:516:y:2019:i:c:p:233-239.

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2019The high frequency multifractal properties of Bitcoin. (2019). Lahmiri, Salim ; Bekiros, Stelios ; Babalos, Vassilios ; Stavroyiannis, Stavros ; Uddin, Gazi Salah. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:520:y:2019:i:c:p:62-71.

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2019Modeling non-stationarities in high-frequency financial time series. (2019). Raberto, Marco ; Scalas, Enrico ; Trinh, Mailan ; Ponta, Linda ; Cincotti, Silvano. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:521:y:2019:i:c:p:173-196.

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2018Volatility spillovers between foreign exchange and stock markets in industrialized countries. (2018). Sosvilla-Rivero, Simon ; Morales-Zumaquero, Amalia . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:70:y:2018:i:c:p:121-136.

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2019Intra-day dynamics of exchange rates: New evidence from quantile regression. (2019). Kuck, Konstantin ; Maderitsch, Robert. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:71:y:2019:i:c:p:247-257.

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2019An analysis of the weak form efficiency, multifractality and long memory of global, regional and European stock markets. (2019). Tiwari, Aviral Kumar ; Mensi, Walid ; Al-Yahyaee, Khamis Hamed. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:72:y:2019:i:c:p:168-177.

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2019Intraday price discovery and volatility spillovers in an emerging market. (2019). Fassas, Athanasios P ; SIRIOPOULOS, COSTAS. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:333-346.

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2019Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?. (2019). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:50-70.

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2018The asymptotic smile of a multiscaling stochastic volatility model. (2018). Caravenna, Francesco ; Corbetta, Jacopo. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:3:p:1034-1071.

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2018On a notion of partially conditionally identically distributed sequences. (2018). Fortini, Sandra ; Sporysheva, Polina ; Petrone, Sonia. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:3:p:819-846.

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2018The scale of predictability. (2018). Bandi, F M ; Tebaldi, C ; Tamoni, Andrea ; Perron, B. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:85646.

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2018Persistence of Oil Prices in Gas Import Prices and the Resilience of the Oil-Indexation Mechanism. The Case of Spanish Gas Import Prices. (2018). Cansado-Bravo, Pablo ; Rodriguez-Monroy, Carlos. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:12:p:3486-:d:190416.

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2018Forecasting of Realised Volatility with the Random Forests Algorithm. (2018). Luong, Chuong ; Dokuchaev, Nikolai. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:61-:d:175017.

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2019Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time. (2019). Petrov, Vladimir ; Olsen, Richard ; Golub, Anton . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:54-:d:219095.

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2018Modeling High Frequency Data with Long Memory and Structural Change: A-HYEGARCH Model. (2018). Shi, Yanlin ; Yang, Yang. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:26-:d:138135.

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2018On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles. (2018). Chen, James Ming. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:61-:d:150249.

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2019Bivariate FCLT for the Sample Quantile and Measures of Dispersion for Augmented GARCH(p, q) processes. (2019). Kratz, Marie ; Brautigam, Marcel. In: Working Papers. RePEc:hal:wpaper:hal-02176276.

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2018“Incorporating creditors seniority into contingent claim models:Application to peripheral euro area countries”. (2018). Sosvilla-Rivero, Simon ; Singh, Manish K ; Gomez-Puig, Marta. In: IREA Working Papers. RePEc:ira:wpaper:201803.

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2018Multivariate Co-movement Between Islamic Stock and Bond Markets Among the GCC: A Wavelet-Based View. (2018). Aloui, Chaker ; ben Hamida, Hela ; Jammazi, Rania. In: Computational Economics. RePEc:kap:compec:v:52:y:2018:i:2:d:10.1007_s10614-017-9703-7.

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2019Information insensitivity, collateral flows and the logic of financial stability. (2019). Mantovi, Andrea. In: Economics Department Working Papers. RePEc:par:dipeco:2019-ep01.

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2019Oil prices, US exchange rates, and stock market: evidence from Jordan as a net oil importer. (2019). Bouri, Abdelfatteh ; Ghenimi, Ameni ; Hammami, Algia. In: MPRA Paper. RePEc:pra:mprapa:94570.

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2018Forecasting (Good and Bad) Realized Exchange-Rate Volatility: Is there a Role for Realized Skewness and Kurtosis?. (2018). GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos ; Pierdzioch, Christian. In: Working Papers. RePEc:pre:wpaper:201879.

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2018Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks. (2018). ben Maatoug, Abderrazak ; Fatnassi, Ibrahim ; Davidson, Russell ; Lamouchi, Rim. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:10:y:2018:i:1:p:1-25.

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2019A Practical Guide to Harnessing the HAR Volatility Model. (2019). Preve, D ; Clements, A. In: NCER Working Paper Series. RePEc:qut:auncer:2019_01.

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2019Разве стоимость компании действительно зависит от средневзвешенной стоимости капитала и свободного денежн. (2019). П. Жуков Е., ; Zhukov, P. In: Вестник исследований бизнеса и экономики // Review of Business and Economics Studies. RePEc:scn:00rbes:y:2018:i:1:p:17-28.

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2018S&P500 volatility analysis using high-frequency multipower variation volatility proxies. (2018). chin, wencheong ; Lee, Min Cherng. In: Empirical Economics. RePEc:spr:empeco:v:54:y:2018:i:3:d:10.1007_s00181-017-1345-z.

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2019Directed continuous-time random walk with memory. (2019). Klamut, Jarosaw ; Gubiec, Tomasz. In: The European Physical Journal B: Condensed Matter and Complex Systems. RePEc:spr:eurphb:v:92:y:2019:i:4:d:10.1140_epjb_e2019-90453-y.

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2018Beta through the prism of wavelets. (2018). Shah, Aasif ; Farooq, Qaiser ; Tali, Arif. In: Financial Innovation. RePEc:spr:fininn:v:4:y:2018:i:1:d:10.1186_s40854-018-0102-4.

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2018Sequential monitoring of portfolio betas. (2018). Golosnoy, Vasyl. In: Statistical Papers. RePEc:spr:stpapr:v:59:y:2018:i:2:d:10.1007_s00362-016-0783-6.

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2018A multivariate volatility vine copula model. (2018). Brechmann, E C ; Okhrin, Y ; Heiden, M. In: Econometric Reviews. RePEc:taf:emetrv:v:37:y:2018:i:4:p:281-308.

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2018Leverage and evolving heterogeneous beliefs in a simple agent-based financial market. (2018). Gaffeo, Edoardo. In: DEM Working Papers. RePEc:trn:utwprg:2018/03.

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2018Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei. In: PhD Thesis. RePEc:uts:finphd:2-2018.

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2018Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei. In: PhD Thesis. RePEc:uts:finphd:39.

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2018Does the Information Content of Central Bank Speeches Impact on the Level of Exchange Rate? A Comparative Study of Canadian and Australian Central Bank Communications. (2018). Boulter, Terry ; Bhattacharya, Sukanto ; Masawi, Becksndale. In: Review of Pacific Basin Financial Markets and Policies (RPBFMP). RePEc:wsi:rpbfmp:v:21:y:2018:i:01:n:s0219091518500054.

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2019Forecasting the Realized Variance in the Presence of Intraday Periodicity. (2019). DUMITRU, ANA-MARIA ; Izzeldin, Marwan ; Hizmeri, Rodrigo. In: EconStor Preprints. RePEc:zbw:esprep:193631.

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2019High-dimensional sparse financial networks through a regularised regression model. (2019). Costola, Michele ; Bernardi, Mauro. In: SAFE Working Paper Series. RePEc:zbw:safewp:244.

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Works by Michel Dacorogna:


YearTitleTypeCited
2001Multivariate extremes, aggregation and risk estimation In: CeNDEF Workshop Papers, January 2001.
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paper17
2001Multivariate extremes, aggregation and risk estimation.(2001) In: Quantitative Finance.
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2013The impact of systemic risk on the diversification benefits of a risk portfolio In: Papers.
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2013The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio.(2013) In: ESSEC Working Papers.
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2014The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio.(2014) In: Risks.
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2013The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 4
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2019Pro-Cyclicality of Traditional Risk Measurements: Quantifying and Highlighting Factors at its Source In: Papers.
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2003Using the Scaling Analysis to Characterize Financial Markets In: Papers.
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2004Using the Scaling Analysis to Characterize Financial Markets.(2004) In: Finance.
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This paper has another version. Agregated cites: 2
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2004Long term memories of developed and emerging markets: using the scaling analysis to characterize their stage of development In: Papers.
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2005Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development.(2005) In: Journal of Banking & Finance.
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2005Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development.(2005) In: Econometrics.
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This paper has another version. Agregated cites: 118
paper
2001Consistent High-precision Volatility from High-frequency Data In: Economic Notes.
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article34
2004Consistent high-precision volatility from high-frequency data.(2004) In: Finance.
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This paper has another version. Agregated cites: 34
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2003Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment In: Economic Notes.
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2003Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment.(2003) In: Risk and Insurance.
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2017The Price of Being a Systemically Important Financial Institution (SIFI) In: International Review of Finance.
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article1
2016The Price of Being a Systemically Important Financial Institution (SIFI).(2016) In: MPRA Paper.
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This paper has another version. Agregated cites: 1
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2001Time-to-Expiry Seasonalities in Eurofutures In: Studies in Nonlinear Dynamics & Econometrics.
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article1
2015Un changement de paradigme pour lâassurance In: Revue d'économie financière.
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article0
2018A change of paradigm for the insurance industry In: Annals of Actuarial Science.
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2018Validation of aggregated risks models In: Annals of Actuarial Science.
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2010Robust Estimation of Reserve Risk In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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article2
2015Living in a Stochastic World and Managing Complex Risks In: ESSEC Working Papers.
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2015Living in a Stochastic World and Managing Complex Risks.(2015) In: MPRA Paper.
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This paper has another version. Agregated cites: 2
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2015Explicit diversifiction benefit for dependent risks In: ESSEC Working Papers.
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2015Explicit diversification benefit for dependent risks.(2015) In: Working Papers.
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This paper has another version. Agregated cites: 1
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2016Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study In: ESSEC Working Papers.
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2016Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study.(2016) In: Working Papers.
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This paper has another version. Agregated cites: 0
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2003Foreign exchange trading models and market behavior In: Journal of Economic Dynamics and Control.
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article18
1997Volatilities of different time resolutions -- Analyzing the dynamics of market components In: Journal of Empirical Finance.
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article185
1999The intraday multivariate structure of the Eurofutures markets In: Journal of Empirical Finance.
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article5
2006From default probabilities to credit spreads: Credit risk models do explain market prices In: Finance Research Letters.
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article3
2005From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices.(2005) In: Finance.
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This paper has another version. Agregated cites: 3
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1990Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis In: Journal of Banking & Finance.
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article156
1993A geographical model for the daily and weekly seasonal volatility in the foreign exchange market In: Journal of International Money and Finance.
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article239
2001An Introduction to High-Frequency Finance In: Elsevier Monographs.
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book361
2001Effective return, risk aversion and drawdowns In: Physica A: Statistical Mechanics and its Applications.
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article7
2003Scaling behaviors in differently developed markets In: Physica A: Statistical Mechanics and its Applications.
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article70
2003An 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: 0-1 In: International Review of Economics & Finance.
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2018One-Year Change Methodologies for Fixed-Sum Insurance Contracts In: Risks.
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article0
2016Risk neutral versus real-world distribution on puclicly listed bank corporations In: Working Papers.
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paper0
2018Predicting risk with risk measures : an empirical study In: Working Papers.
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2002Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates In: International Economic Review.
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article18
2009How Much Capital Does a Reinsurance Need? In: The Geneva Papers on Risk and Insurance - Issues and Practice.
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article5
2008Risk aggregation, dependence structure and diversification benefit In: MPRA Paper.
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paper1
2004Bootstrapping the economy -- a non-parametric method of generating consistent future scenarios In: MPRA Paper.
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paper0
2010Estimating the risk-adjusted capital is an affair in the tails In: MPRA Paper.
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2016A General framework for modelling mortality to better estimate its relationship with interest rate risks In: MPRA Paper.
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paper1
2017Approaches and Techniques to Validate Internal Model Results In: MPRA Paper.
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paper0
2017On the diversification benefit of reinsurance portfolios In: MPRA Paper.
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2005Is the gamma risk of options insurable? In: MPRA Paper.
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1997From the birds eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*) In: Finance and Stochastics.
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article114
1995Heterogeneous real-time trading strategies in the foreign exchange market In: The European Journal of Finance.
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article20
2001Defining efficiency in heterogeneous markets In: Quantitative Finance.
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article8
2003Reflections on risk In: Quantitative Finance.
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2019Improving the Forecast of Longevity by Combining Models In: North American Actuarial Journal.
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On the intra-daily performance of GARCH processes In: Working Papers.
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paper8
Unveiling Non Linearities Through Time Scale Transformations In: Working Papers.
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paper0
The Error of Statistical Volatility of Intra-daily Quoted Price Changes Observed over a Time Interval In: Working Papers.
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How heavy are the the tails of a stationary HARCH(k) process? - A study of the moments In: Working Papers.
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paper0
Genetic Algorithms with collective sharing for Robust Optimization in Financial Applications In: Working Papers.
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paper1
Fractals and Intrinsic Time - a Challenge to Econometricians In: Working Papers.
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paper8
The Main Ingredients of Simple Trading Models for Use in Genetic Algorithm Optimization In: Working Papers.
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paper0
The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets In: Working Papers.
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paper14
Going Back to the Basics - Rethinking Market Efficiency In: Working Papers.
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paper4
A Measure of the Trading Model Performance with a Risk Component In: Working Papers.
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1996Hill, Bootstrap and Jackknife Estimators for Heavy Tails In: Working Papers.
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paper15
1996Heavy tails in high-frequency financial data In: Working Papers.
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paper11
2004Introducing a scale of market shocks In: Finance.
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2003How Much Reinsurance Do You Really Need? A Case Study. In: Risk and Insurance.
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2003Dynamic Financial Analysis - Understanding Risk and Value Creation in Insurance In: Risk and Insurance.
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2003Extreme Moves in Foreign Exchange Rates and Risk Limit Setting In: Risk and Insurance.
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paper1
2003Performance and Risk Measurement Challenges For Hedge Funds: Empirical Considerations In: Risk and Insurance.
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paper1
2000MEASURING SHOCK IN FINANCIAL MARKETS In: International Journal of Theoretical and Applied Finance (IJTAF).
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