14
H index
16
i10 index
1529
Citations
Michel Dacorogna : Citation Profile
| RESEARCH PRODUCTION: 29 Articles 45 Papers 1 Books RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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29 years (1990 - 2019). 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:
| Cites to:
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Main data
Where Michel Dacorogna has published?
| Journals with more than one article published | # docs |
|---|---|
| Quantitative Finance | 3 |
| Journal of Banking & Finance | 2 |
| Risks | 2 |
| Physica A: Statistical Mechanics and its Applications | 2 |
| Annals of Actuarial Science | 2 |
| Journal of Empirical Finance | 2 |
| Economic Notes | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| MPRA Paper / University Library of Munich, Germany | 9 |
| Risk and Insurance / University Library of Munich, Germany | 5 |
| Working Papers / HAL | 5 |
| Papers / arXiv.org | 4 |
| Finance / University Library of Munich, Germany | 4 |
Recent works citing Michel Dacorogna (2019 and 2018)
| Year | Title of citing document | |
|---|---|---|
| 2018 | Realizing Correlations Across Asset Classes. (2018). Vander Elst, Harry ; Olesen, Kasper V ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-37. Full description at Econpapers || Download paper | |
| 2018 | Wavelet-based methods for high-frequency lead-lag analysis. (2018). Koike, Yuta ; Hayashi, Takaki . In: Papers. RePEc:arx:papers:1612.01232. Full description at Econpapers || Download paper | |
| 2020 | Multi-scale analysis of lead-lag relationships in high-frequency financial markets. (2018). Koike, Yuta ; Hayashi, Takaki. In: Papers. RePEc:arx:papers:1708.03992. Full description at Econpapers || Download paper | |
| 2018 | Valuation of contingent convertible catastrophe bonds - the case for equity conversion. (2018). Burnecki, Krzysztof ; Palmowski, Zbigniew ; Nicol, Mario. In: Papers. RePEc:arx:papers:1804.07997. Full description at Econpapers || Download paper | |
| 2018 | Directed Continuous-Time Random Walk with memory. (2018). Gubiec, Tomasz ; Klamut, Jaroslaw. In: Papers. RePEc:arx:papers:1807.01934. Full description at Econpapers || Download paper | |
| 2018 | Multiplicative random cascades with additional stochastic process in financial markets. (2018). Murai, Joshin ; Kuroda, Koji ; Maskawa, Jun-ichi . In: Papers. RePEc:arx:papers:1809.00820. Full description at Econpapers || Download paper | |
| 2019 | The Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach. (2019). Yue, YE ; Kanniainen, Juho. In: Papers. RePEc:arx:papers:1901.02691. Full description at Econpapers || Download paper | |
| 2019 | Feature Engineering for Mid-Price Prediction with Deep Learning. (2019). Iosifidis, Alexandros ; Gabbouj, Moncef ; Kanniainen, Juho ; Mirone, Giorgio ; Ntakaris, Adamantios. In: Papers. RePEc:arx:papers:1904.05384. Full description at Econpapers || Download paper | |
| 2019 | Rough volatility of Bitcoin. (2019). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:1904.12346. Full description at Econpapers || Download paper | |
| 2019 | Signatures 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. Full description at Econpapers || Download paper | |
| 2019 | Sector Neutral Portfolios: Long memory motifs persistence in market structure dynamics. (2019). Aste, Tomaso ; Turiel, Jeremy. In: Papers. RePEc:arx:papers:1910.08628. Full description at Econpapers || Download paper | |
| 2020 | Revisiting the Epps effect using volume time averaging: An exercise in R. (2019). Gebbie, Tim ; Bukuru, Roger ; Chang, Patrick. In: Papers. RePEc:arx:papers:1912.02416. Full description at Econpapers || Download paper | |
| 2019 | Get Real: Realism Metrics for Robust Limit Order Book Market Simulations. (2019). Veloso, Manuela ; Dervovic, Danial ; Mahfouz, Mahmoud ; Petosa, Nick ; Byrd, David ; Vyetrenko, Svitlana ; Balch, Tucker Hybinette. In: Papers. RePEc:arx:papers:1912.04941. Full description at Econpapers || Download paper | |
| 2020 | The Impact of the Choice of Risk and Dispersion Measure on Procyclicality. (2020). Kratz, Marie ; Brautigam, Marcel. In: Papers. RePEc:arx:papers:2001.00529. Full description at Econpapers || Download paper | |
| 2020 | On the statistics of scaling exponents and the Multiscaling Value at Risk. (2020). di Matteo, T ; Brandi, Giuseppe. In: Papers. RePEc:arx:papers:2002.04164. Full description at Econpapers || Download paper | |
| 2020 | Investigating the influence Brexit had on Financial Markets, in particular the GBP/EUR exchange rate. (2020). Filletti, Michael. In: Papers. RePEc:arx:papers:2003.05895. Full description at Econpapers || Download paper | |
| 2020 | One model does not fit all: a multi-scale analysis of eighty-four cryptocurrencies. (2020). Fernandez Bariviera, Aurelio. In: Papers. RePEc:arx:papers:2003.09720. Full description at Econpapers || Download paper | |
| 2020 | A wavelet analysis of inter-dependence, contagion and long memory among global equity markets. (2020). Bhandari, Avishek. In: Papers. RePEc:arx:papers:2003.14110. Full description at Econpapers || Download paper | |
| 2020 | An extensive study of stylized facts displayed by Bitcoin returns. (2020). Brigatti, E ; Bertella, M A ; Silva, J N ; F. N. M. de Sousa Filho, . In: Papers. RePEc:arx:papers:2004.05870. Full description at Econpapers || Download paper | |
| 2020 | Clustering volatility regimes for dynamic trading strategies. (2020). Francis, Gilad ; Prakash, Arjun ; Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2004.09963. Full description at Econpapers || Download paper | |
| 2018 | Home 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. Full description at Econpapers || Download paper | |
| 2017 | Optimal 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. Full description at Econpapers || Download paper | |
| 2017 | Forecasting multidimensional tail risk at short and long horizons. (2017). Stoja, Evarist ; Polanski, Arnold. In: Bank of England working papers. RePEc:boe:boeewp:0660. Full description at Econpapers || Download paper | |
| 2019 | Score-Driven Models for Realized Volatility. (2019). Harvey, Andrew ; Palumbo, D. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1950. Full description at Econpapers || Download paper | |
| 2018 | Multi-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. Full description at Econpapers || Download paper | |
| 2019 | Does 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. Full description at Econpapers || Download paper | |
| 2019 | Asymmetric 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. Full description at Econpapers || Download paper | |
| 2019 | An information theory perspective on the informational efficiency of gold price. (2019). Fernandez Bariviera, Aurelio ; Rosso, Osvaldo A ; Sorrosal-Forradellas, Teresa M ; Font-Ferrer, Alejandro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818304534. Full description at Econpapers || Download paper | |
| 2018 | Taylor 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. Full description at Econpapers || Download paper | |
| 2019 | The 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. Full description at Econpapers || Download paper | |
| 2019 | Commonality in liquidity among Middle East and North Africa emerging stock markets: Does it really matter?. (2019). Ftiti, Zied ; Hadhri, Sinda. In: Economic Systems. RePEc:eee:ecosys:v:43:y:2019:i:3:s0939362518302358. Full description at Econpapers || Download paper | |
| 2018 | Copula 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. Full description at Econpapers || Download paper | |
| 2018 | Volatility 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. Full description at Econpapers || Download paper | |
| 2018 | Forecasting 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. Full description at Econpapers || Download paper | |
| 2018 | Multivariate 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. Full description at Econpapers || Download paper | |
| 2018 | Crude 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. Full description at Econpapers || Download paper | |
| 2018 | Prediction 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. Full description at Econpapers || Download paper | |
| 2018 | Do 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. Full description at Econpapers || Download paper | |
| 2019 | Financial 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. Full description at Econpapers || Download paper | |
| 2018 | Time-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. Full description at Econpapers || Download paper | |
| 2018 | Does 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. Full description at Econpapers || Download paper | |
| 2019 | Leverage and evolving heterogeneous beliefs in a simple agent-based financial market. (2019). Gaffeo, Edoardo. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:272-279. Full description at Econpapers || Download paper | |
| 2020 | Rough volatility of Bitcoin. (2020). Takaishi, Tetsuya. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s154461231930337x. Full description at Econpapers || Download paper | |
| 2018 | Multiple 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. Full description at Econpapers || Download paper | |
| 2018 | The 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. Full description at Econpapers || Download paper | |
| 2019 | Central 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. Full description at Econpapers || Download paper | |
| 2019 | Intraday 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. Full description at Econpapers || Download paper | |
| 2017 | Forecasting 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. Full description at Econpapers || Download paper | |
| 2020 | Trading and non-trading period realized market volatility: Does it matter for forecasting the volatility of US stocks?. (2020). Lyócsa, Štefan ; Todorova, Neda. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:628-645. Full description at Econpapers || Download paper | |
| 2019 | Risk 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. Full description at Econpapers || Download paper | |
| 2019 | Volatility 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. Full description at Econpapers || Download paper | |
| 2018 | Time–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. Full description at Econpapers || Download paper | |
| 2018 | Efficiency 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. Full description at Econpapers || Download paper | |
| 2018 | Credit 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. Full description at Econpapers || Download paper | |
| 2018 | An 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. Full description at Econpapers || Download paper | |
| 2018 | Stock 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. Full description at Econpapers || Download paper | |
| 2018 | A 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. Full description at Econpapers || Download paper | |
| 2018 | On 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. Full description at Econpapers || Download paper | |
| 2018 | Multifractal 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. Full description at Econpapers || Download paper | |
| 2018 | Generalized 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. Full description at Econpapers || Download paper | |
| 2018 | Long-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. Full description at Econpapers || Download paper | |
| 2018 | Dynamic 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. Full description at Econpapers || Download paper | |
| 2018 | Deviations 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. Full description at Econpapers || Download paper | |
| 2018 | Forecasting 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. Full description at Econpapers || Download paper | |
| 2018 | Asymmetric 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. Full description at Econpapers || Download paper | |
| 2019 | The 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. Full description at Econpapers || Download paper | |
| 2019 | Information 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. Full description at Econpapers || Download paper | |
| 2019 | The 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. Full description at Econpapers || Download paper | |
| 2019 | Modeling 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. Full description at Econpapers || Download paper | |
| 2019 | Development of an agent-based speculation game for higher reproducibility of financial stylized facts. (2019). Hashimoto, Gaku ; Chen, YU ; Katahira, Kei ; Okuda, Hiroshi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:524:y:2019:i:c:p:503-518. Full description at Econpapers || Download paper | |
| 2019 | Spillover effects of Great Recession on Hong-Kong’s Real Estate Market: An analysis based on Causality Plane and Tsallis Curves of Complexity–Entropy. (2019). Siokis, Fotios M ; Argyroudis, George S. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:524:y:2019:i:c:p:576-586. Full description at Econpapers || Download paper | |
| 2019 | Trading as sharp movements in oil prices and technical trading signals emitted with big data concerns. (2019). Huang, Paoyu ; Ni, Yensen ; Day, Min-Yuh. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:349-372. Full description at Econpapers || Download paper | |
| 2019 | Multifractal characterization of Brazilian market sectors. (2019). , Paulo ; Stosic, Darko. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:956-964. Full description at Econpapers || Download paper | |
| 2019 | A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio. (2019). Belkacem, Lotfi ; Boubaker, Heni ; Karmous, Aida. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119312695. Full description at Econpapers || Download paper | |
| 2019 | A novel approach to detect volatility clusters in financial time series. (2019). Sanchez-Granero, M A ; Fernandez-Martinez, M ; Trinidad, J E. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:535:y:2019:i:c:s0378437119314098. Full description at Econpapers || Download paper | |
| 2020 | Testing the efficient market hypothesis in Latin American stock markets. (2020). Sanchez-Granero, M A ; Trinidad-Segovia, J E ; Ramos-Requena, J P ; Balladares, K A. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:540:y:2020:i:c:s037843711931739x. Full description at Econpapers || Download paper | |
| 2020 | Stochastic resonance of drawdown risk in energy market prices. (2020). Dong, Yang ; Li, Jiang-Cheng ; Hu, Xiao-Bing ; Wen, Shu-Hui. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:540:y:2020:i:c:s0378437119317479. Full description at Econpapers || Download paper | |
| 2018 | Volatility 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. Full description at Econpapers || Download paper | |
| 2019 | Intra-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. Full description at Econpapers || Download paper | |
| 2019 | An 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. Full description at Econpapers || Download paper | |
| 2019 | Intraday 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. Full description at Econpapers || Download paper | |
| 2019 | Are 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. Full description at Econpapers || Download paper | |
| 2018 | The 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. Full description at Econpapers || Download paper | |
| 2018 | On 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. Full description at Econpapers || Download paper | |
| 2018 | The scale of predictability. (2018). Tebaldi, C ; Tamoni, Andrea ; Perron, B ; Bandi, F M. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:85646. Full description at Econpapers || Download paper | |
| 2019 | The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. (2019). Tsionas, Mike ; Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo. In: Working Papers. RePEc:fip:feddwp:1902. Full description at Econpapers || Download paper | |
| 2019 | Forecast Bitcoin Volatility with Least Squares Model Averaging. (2019). Xie, Tian. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:3:p:40-:d:267321. Full description at Econpapers || Download paper | |
| 2018 | Persistence 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. Full description at Econpapers || Download paper | |
| 2018 | Forecasting 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. Full description at Econpapers || Download paper | |
| 2019 | Instantaneous 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. Full description at Econpapers || Download paper | |
| 2020 | Parsimonious Heterogeneous ARCH Models for High Frequency Modeling. (2020). Morettin, Pedro Alberto ; Ruilova, Juan Carlos. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:2:p:38-:d:322796. Full description at Econpapers || Download paper | |
| 2018 | Modeling 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. Full description at Econpapers || Download paper | |
| 2018 | On 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. Full description at Econpapers || Download paper | |
| 2020 | Multifractal Detrended Fluctuation Analysis (MF-DFA) of Stock Market Indexes. Empirical Evidence from Seven Central and Eastern European Markets. (2020). Booc, Claudiu ; Barna, Flavia Mirela ; Milo, Marius Cristian ; Haiegan, Cornel. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:2:p:535-:d:307486. Full description at Econpapers || Download paper | |
| 2019 | Bivariate 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. Full description at Econpapers || Download paper | |
| 2019 | Fractal analysis of the multifractality of foreign exchange rates. (2019). Garcin, Matthieu. In: Working Papers. RePEc:hal:wpaper:hal-02283915. Full description at Econpapers || Download paper | |
| 2018 | On the Dependence between Quantiles and Dispersion Estimators. (2018). Kratz, Marie ; Brautigam, Marcel. In: Working Papers. RePEc:hal:wpaper:hal-02296832. Full description at Econpapers || Download paper | |
| 2018 | Price Dynamics in an Order-Driven Market with Bayesian Learning. (2018). Li, Dongxin ; Zhu, Hongliang ; Wang, Jiahua. In: Complexity. RePEc:hin:complx:8254068. Full description at Econpapers || Download paper | |
| 2018 | Traders’ Networks of Interactions and Structural Properties of Financial Markets: An Agent-Based Approach. (2018). Cincotti, Silvano ; Ponta, Linda. In: Complexity. RePEc:hin:complx:9072948. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Works by Michel Dacorogna:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2001 | Multivariate extremes, aggregation and risk estimation In: CeNDEF Workshop Papers, January 2001. [Citation analysis] | paper | 17 |
| 2001 | Multivariate extremes, aggregation and risk estimation.(2001) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | article | |
| 2013 | The impact of systemic risk on the diversification benefits of a risk portfolio In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2013 | The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio.(2013) In: ESSEC Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2014 | The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio.(2014) In: Risks. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
| 2013 | The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2019 | Pro-Cyclicality of Traditional Risk Measurements: Quantifying and Highlighting Factors at its Source In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2003 | Using the Scaling Analysis to Characterize Financial Markets In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2004 | Using the Scaling Analysis to Characterize Financial Markets.(2004) In: Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2004 | Long term memories of developed and emerging markets: using the scaling analysis to characterize their stage of development In: Papers. [Full Text][Citation analysis] | paper | 129 |
| 2005 | Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development.(2005) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 129 | article | |
| 2005 | Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development.(2005) In: Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 129 | paper | |
| 2001 | Consistent High-precision Volatility from High-frequency Data In: Economic Notes. [Full Text][Citation analysis] | article | 34 |
| 2004 | Consistent high-precision volatility from high-frequency data.(2004) In: Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
| 2003 | Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment In: Economic Notes. [Full Text][Citation analysis] | article | 12 |
| 2003 | Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment.(2003) In: Risk and Insurance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 2017 | The Price of Being a Systemically Important Financial Institution (SIFI) In: International Review of Finance. [Full Text][Citation analysis] | article | 1 |
| 2016 | The Price of Being a Systemically Important Financial Institution (SIFI).(2016) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2001 | Time-to-Expiry Seasonalities in Eurofutures In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2015 | Un changement de paradigme pour lâassurance In: Revue d'économie financière. [Full Text][Citation analysis] | article | 0 |
| 2018 | A change of paradigm for the insurance industry In: Annals of Actuarial Science. [Full Text][Citation analysis] | article | 0 |
| 2018 | Validation of aggregated risks models In: Annals of Actuarial Science. [Full Text][Citation analysis] | article | 0 |
| 2010 | Robust Estimation of Reserve Risk In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 2 |
| 2015 | Living in a Stochastic World and Managing Complex Risks In: ESSEC Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2015 | Living in a Stochastic World and Managing Complex Risks.(2015) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2015 | Explicit diversifiction benefit for dependent risks In: ESSEC Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2015 | Explicit diversification benefit for dependent risks.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2016 | Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study In: ESSEC Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2003 | Foreign exchange trading models and market behavior In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 19 |
| 1997 | Volatilities of different time resolutions -- Analyzing the dynamics of market components In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 197 |
| 1999 | The intraday multivariate structure of the Eurofutures markets In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 6 |
| 2006 | From default probabilities to credit spreads: Credit risk models do explain market prices In: Finance Research Letters. [Full Text][Citation analysis] | article | 3 |
| 2005 | From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices.(2005) In: Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 1990 | Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 160 |
| 1993 | A geographical model for the daily and weekly seasonal volatility in the foreign exchange market In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 246 |
| 2001 | An Introduction to High-Frequency Finance In: Elsevier Monographs. [Full Text][Citation analysis] | book | 374 |
| 2001 | Effective return, risk aversion and drawdowns In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 8 |
| 2003 | Scaling behaviors in differently developed markets In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 72 |
| 2003 | 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: 0-1 In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 0 |
| 2018 | One-Year Change Methodologies for Fixed-Sum Insurance Contracts In: Risks. [Full Text][Citation analysis] | article | 0 |
| 2016 | Risk neutral versus real-world distribution on puclicly listed bank corporations In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Predicting risk with risk measures : an empirical study In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2002 | Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates In: International Economic Review. [Full Text][Citation analysis] | article | 19 |
| 2009 | How Much Capital Does a Reinsurance Need? In: The Geneva Papers on Risk and Insurance - Issues and Practice. [Full Text][Citation analysis] | article | 5 |
| 2008 | Risk aggregation, dependence structure and diversification benefit In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
| 2004 | Bootstrapping the economy -- a non-parametric method of generating consistent future scenarios In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Estimating the risk-adjusted capital is an affair in the tails In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2016 | A General framework for modelling mortality to better estimate its relationship with interest rate risks In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
| 2017 | Approaches and Techniques to Validate Internal Model Results In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2017 | On the diversification benefit of reinsurance portfolios In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2005 | Is the gamma risk of options insurable? In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 1997 | From the birds eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*) In: Finance and Stochastics. [Full Text][Citation analysis] | article | 120 |
| 1995 | Heterogeneous real-time trading strategies in the foreign exchange market In: The European Journal of Finance. [Full Text][Citation analysis] | article | 20 |
| 2001 | Defining efficiency in heterogeneous markets In: Quantitative Finance. [Full Text][Citation analysis] | article | 7 |
| 2003 | Reflections on risk In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2019 | Improving the Forecast of Longevity by Combining Models In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 0 |
| On the intra-daily performance of GARCH processes In: Working Papers. [Full Text][Citation analysis] | paper | 8 | |
| Unveiling Non Linearities Through Time Scale Transformations In: Working Papers. [Full Text][Citation analysis] | paper | 0 | |
| The Error of Statistical Volatility of Intra-daily Quoted Price Changes Observed over a Time Interval In: Working Papers. [Full Text][Citation analysis] | paper | 0 | |
| How heavy are the the tails of a stationary HARCH(k) process? - A study of the moments In: Working Papers. [Full Text][Citation analysis] | paper | 0 | |
| Genetic Algorithms with collective sharing for Robust Optimization in Financial Applications In: Working Papers. [Full Text][Citation analysis] | paper | 1 | |
| Fractals and Intrinsic Time - a Challenge to Econometricians In: Working Papers. [Full Text][Citation analysis] | paper | 8 | |
| The Main Ingredients of Simple Trading Models for Use in Genetic Algorithm Optimization In: Working Papers. [Full Text][Citation analysis] | paper | 0 | |
| The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets In: Working Papers. [Full Text][Citation analysis] | paper | 14 | |
| Going Back to the Basics - Rethinking Market Efficiency In: Working Papers. [Full Text][Citation analysis] | paper | 4 | |
| A Measure of the Trading Model Performance with a Risk Component In: Working Papers. [Full Text][Citation analysis] | paper | 0 | |
| 1996 | Hill, Bootstrap and Jackknife Estimators for Heavy Tails In: Working Papers. [Full Text][Citation analysis] | paper | 15 |
| 1996 | Heavy tails in high-frequency financial data In: Working Papers. [Full Text][Citation analysis] | paper | 11 |
| 2004 | Introducing a scale of market shocks In: Finance. [Full Text][Citation analysis] | paper | 0 |
| 2003 | How Much Reinsurance Do You Really Need? A Case Study. In: Risk and Insurance. [Full Text][Citation analysis] | paper | 0 |
| 2003 | Dynamic Financial Analysis - Understanding Risk and Value Creation in Insurance In: Risk and Insurance. [Full Text][Citation analysis] | paper | 0 |
| 2003 | Extreme Moves in Foreign Exchange Rates and Risk Limit Setting In: Risk and Insurance. [Full Text][Citation analysis] | paper | 1 |
| 2003 | Performance and Risk Measurement Challenges For Hedge Funds: Empirical Considerations In: Risk and Insurance. [Full Text][Citation analysis] | paper | 1 |
| 2000 | MEASURING SHOCK IN FINANCIAL MARKETS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
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