13
H index
18
i10 index
1926
Citations
Michel Dacorogna : Citation Profile
| RESEARCH PRODUCTION: 28 Articles 46 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 Empirical Finance | 2 |
| Physica A: Statistical Mechanics and its Applications | 2 |
| Risks | 2 |
| Journal of Banking & Finance | 2 |
| Annals of Actuarial Science | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| MPRA Paper / University Library of Munich, Germany | 9 |
| Working Papers / HAL | 5 |
| Risk and Insurance / University Library of Munich, Germany | 5 |
| Finance / University Library of Munich, Germany | 4 |
| Papers / arXiv.org | 4 |
Recent works citing Michel Dacorogna (2022 and 2021)
| Year | Title of citing document |
|---|---|
| 2021 | 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 |
| 2021 | 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 |
| 2021 | 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 |
| 2021 | Clustering volatility regimes for dynamic trading strategies. (2020). Prakash, Arjun ; Menzies, Max ; James, Nick ; Francis, Gilad. In: Papers. RePEc:arx:papers:2004.09963. Full description at Econpapers || Download paper |
| 2021 | Multiscale characteristics of the emerging global cryptocurrency market. (2020). Zd, Stanislaw Dro ; Wkatorek, Marcin ; Stanuszek, Marek ; O'Swikecimka, Pawel ; Minati, Ludovico ; Kwapie, Jaroslaw. In: Papers. RePEc:arx:papers:2010.15403. Full description at Econpapers || Download paper |
| 2021 | Dynamical Characteristics of Global Stock Markets Based on Time Dependent Tsallis Non-Extensive Statistics and Generalized Hurst Exponents. (2020). Karakatsanis, Leonidas P ; Antoniades, Ioannis P ; Pavlos, Evgenios G. In: Papers. RePEc:arx:papers:2012.06856. Full description at Econpapers || Download paper |
| 2021 | Deep Hedging under Rough Volatility. (2021). Zuric, Zan ; Teichmann, Josef ; Horvath, Blanka. In: Papers. RePEc:arx:papers:2102.01962. Full description at Econpapers || Download paper |
| 2021 | Power-Law Return-Volatility Cross Correlations of Bitcoin. (2021). Takaishi, T. In: Papers. RePEc:arx:papers:2102.08187. Full description at Econpapers || Download paper |
| 2021 | Forecasting with fractional Brownian motion: a financial perspective. (2021). Garcin, Matthieu. In: Papers. RePEc:arx:papers:2105.09140. Full description at Econpapers || Download paper |
| 2021 | A new look at calendar anomalies: Multifractality and day of the week effect. (2021). Vodenska, Irena ; Stosic, Dusan ; Stanley, Eugene H. In: Papers. RePEc:arx:papers:2106.06164. Full description at Econpapers || Download paper |
| 2021 | Financial Return Distributions: Past, Present, and COVID-19. (2021). Zd, Stanislaw Dro ; Kwapie, Jaroslaw ; Wkatorek, Marcin. In: Papers. RePEc:arx:papers:2107.06659. Full description at Econpapers || Download paper |
| 2021 | Learning to Classify and Imitate Trading Agents in Continuous Double Auction Markets. (2021). Mahfouz, Mahmoud ; Balch, Tucker ; Veloso, Manuela ; Mandic, Danilo. In: Papers. RePEc:arx:papers:2110.01325. Full description at Econpapers || Download paper |
| 2021 | Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300. Full description at Econpapers || Download paper |
| 2021 | Multiplicative Component GARCH Model of Intraday Volatility. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02376. Full description at Econpapers || Download paper |
| 2022 | Multiscaling and rough volatility: an empirical investigation. (2022). di Matteo, T ; Brandi, Giuseppe. In: Papers. RePEc:arx:papers:2201.10466. Full description at Econpapers || Download paper |
| 2022 | Bridging the Gap: Decoding the Intrinsic Nature of Time in Market Data. (2022). Golub, Anton ; Glattfelder, James B. In: Papers. RePEc:arx:papers:2204.02682. Full description at Econpapers || Download paper |
| 2022 | A Dual Generalized Long Memory Modelling for Forecasting Electricity Spot Price: Neural Network and Wavelet Estimate. (2022). Belkacem, Lotfi ; Boubaker, Heni ; ben Amor, Souhir. In: Papers. RePEc:arx:papers:2204.08289. Full description at Econpapers || Download paper |
| 2022 | Diversification Quotients: Quantifying Diversification via Risk Measures. (2022). Lin, Liyuan ; Han, Xia ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2206.13679. Full description at Econpapers || Download paper |
| 2021 | Equity-linked securities option pricing by fractional Brownian motion. (2021). Tang, Weiwei ; Shao, Wei ; Chen, Wenbing ; Yan, Yan ; Wang, Jian. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:144:y:2021:i:c:s0960077921000692. Full description at Econpapers || Download paper |
| 2021 | Time-frequency connectedness between Asian electricity sectors. (2021). TAGHIZADEH-HESARY, Farhad ; Ngo, Thanh ; Naeem, Muhammad Abubakr ; Arif, Muhammad ; Hasan, Mudassar ; Taghizadehhesary, Farhad. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:69:y:2021:i:c:p:208-224. Full description at Econpapers || Download paper |
| 2022 | Dynamic and frequency spillovers between green bonds, oil and G7 stock markets: Implications for risk management. (2022). Kang, Sanghoon ; Vo, Xuan Vinh ; Naeem, Muhammad Abubakr ; Mensi, Walid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:73:y:2022:i:c:p:331-344. Full description at Econpapers || Download paper |
| 2021 | Social media sentiment, model uncertainty, and volatility forecasting. (2021). Lehrer, Steven ; Zhang, Xinyu ; Xie, Tian. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001450. Full description at Econpapers || Download paper |
| 2022 | Demand shocks and price stickiness in housing market dynamics. (2022). Fan, Ying. In: Economic Modelling. RePEc:eee:ecmode:v:110:y:2022:i:c:s0264999322000669. Full description at Econpapers || Download paper |
| 2021 | Multiscale financial risk contagion between international stock markets: Evidence from EMD-Copula-CoVaR analysis. (2021). Wang, DA ; Liu, Lan ; Luo, Changqing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001303. Full description at Econpapers || Download paper |
| 2021 | Volatility cascades in cryptocurrency trading. (2021). Tsiakas, Ilias ; Gradojevic, Nikola. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:252-265. Full description at Econpapers || Download paper |
| 2021 | Trading the foreign exchange market with technical analysis and Bayesian Statistics. (2021). Stasinakis, Charalampos ; Sermpinis, Georgios ; Hassanniakalager, Arman. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:230-251. Full description at Econpapers || Download paper |
| 2021 | Capturing the dynamics of the China crude oil futures: Markov switching, co-movement, and volatility forecasting. (2021). Lee, Chien-Chiang ; Liu, Min. In: Energy Economics. RePEc:eee:eneeco:v:103:y:2021:i:c:s0140988321004874. Full description at Econpapers || Download paper |
| 2021 | Do oil-price shocks predict the realized variance of U.S. REITs?. (2021). Pierdzioch, Christian ; GUPTA, RANGAN ; Epni, Ouzhan ; Bonato, Matteo. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321005429. Full description at Econpapers || Download paper |
| 2022 | Economic importance of correlations for energy and other commodities. (2022). Narayan, Paresh Kumar ; Bannigidadmath, Deepa. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000408. Full description at Econpapers || Download paper |
| 2022 | Multi-scale risk contagion among international oil market, Chinese commodity market and Chinese stock market: A MODWT-Vine quantile regression approach. (2022). Liu, Wenhua ; He, Shaoyi ; Dai, Zhifeng ; Wen, Fenghua. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001335. Full description at Econpapers || Download paper |
| 2021 | Geopolitical risk and forecastability of tail risk in the oil market: Evidence from over a century of monthly data. (2021). Salisu, Afees ; Pierdzioch, Christian ; GUPTA, RANGAN. In: Energy. RePEc:eee:energy:v:235:y:2021:i:c:s0360544221015814. Full description at Econpapers || Download paper |
| 2022 | The economic value of high-frequency data in equity-oil hedge. (2022). Kuang, Wei. In: Energy. RePEc:eee:energy:v:239:y:2022:i:pa:s0360544221021526. Full description at Econpapers || Download paper |
| 2021 | Asymmetry, tail risk and time series momentum. (2021). Wang, Shixuan ; Lu, Shanglin ; Liu, Zhenya. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002581. Full description at Econpapers || Download paper |
| 2022 | Which cryptocurrency data sources should scholars use?. (2022). Vidal-Tomas, David. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000369. Full description at Econpapers || Download paper |
| 2021 | Volatility spillover around price limits in an emerging market. (2021). Zhang, Jie ; Kryzanowski, Lawrence ; Aktas, Osman Ulas . In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319310888. Full description at Econpapers || Download paper |
| 2021 | One model is not enough: Heterogeneity in cryptocurrencies’ multifractal profiles. (2021). Fernandez Bariviera, Aurelio. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320303925. Full description at Econpapers || Download paper |
| 2021 | FX market volatility modelling: Can we use low-frequency data?. (2021). Výrost, Tomáš ; Lyócsa, Štefan ; Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320315907. Full description at Econpapers || Download paper |
| 2022 | Fresh evidence on the relationship between market power and default risk of Indian banks. (2022). Ahmad, Wasim ; Khan, Mohammad Azeem. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003639. Full description at Econpapers || Download paper |
| 2021 | A time–frequency comovement and causality relationship between Bitcoin hashrate and energy commodity markets. (2021). Kang, Sanghoon ; Ur, Mobeen. In: Global Finance Journal. RePEc:eee:glofin:v:49:y:2021:i:c:s1044028320302763. Full description at Econpapers || Download paper |
| 2022 | Valuing guaranteed minimum accumulation benefits by a change of numéraire approach. (2022). Xiong, Heng ; Mamon, Rogemar ; Huang, Yiming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:103:y:2022:i:c:p:1-26. Full description at Econpapers || Download paper |
| 2021 | Longevity risk and capital markets: The 2019-20 update. (2021). , Andrew ; Blake, David. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:395-439. Full description at Econpapers || Download paper |
| 2021 | A Practical Guide to harnessing the HAR volatility model. (2021). Clements, Adam ; Daniel, . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002417. Full description at Econpapers || Download paper |
| 2021 | Does parameterization affect the complexity of agent-based models?. (2021). Krištoufek, Ladislav ; Kristoufek, Ladislav ; Kukacka, Jiri. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:192:y:2021:i:c:p:324-356. Full description at Econpapers || Download paper |
| 2022 | Impact of different investment horizons in heterogeneous agent models: Do long-term traders bring market stability?. (2022). Nishiwaki, Takashi. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:196:y:2022:i:c:p:393-401. Full description at Econpapers || Download paper |
| 2021 | Exploring diversification opportunities across commodities and financial markets: Evidence from time-frequency based spillovers. (2021). Dar, Arif ; Shah, Adil Ahmad. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003275. Full description at Econpapers || Download paper |
| 2022 | Cross-correlations between economic policy uncertainty and precious and industrial metals: A multifractal cross-correlation analysis. (2022). Ferreira, Paulo ; Bibi, Rashida ; Zil-e-huma,, ; Aslam, Faheem. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004815. Full description at Econpapers || Download paper |
| 2022 | Interconnectedness among commodities, the real sector of Ghana and external shocks. (2022). Adam, Anokye M ; Abeka, Mac Junior ; Yusuf, Mawusi Ayisat ; Quaicoe, Serebour ; Addison, Alex ; Asafo-Adjei, Emmanuel ; Boateng, Ebenezer. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721005183. Full description at Econpapers || Download paper |
| 2021 | Combination of transition probability distribution and stable Lorentz distribution in stock markets. (2021). Chang, Chuo ; Liu, Chang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:565:y:2021:i:c:s0378437120308529. Full description at Econpapers || Download paper |
| 2021 | The use of scaling properties to detect relevant changes in financial time series: A new visual warning tool. (2021). di Matteo, T ; Magafas, L ; Brandi, Giuseppe ; Antoniades, I P. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:565:y:2021:i:c:s0378437120308591. Full description at Econpapers || Download paper |
| 2021 | Bayesian analysis of static and dynamic Hurst parameters under stochastic volatility. (2021). Tsionas, Mike G. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:567:y:2021:i:c:s0378437120309456. Full description at Econpapers || Download paper |
| 2021 | Dynamical characteristics of global stock markets based on time dependent Tsallis non-extensive statistics and generalized Hurst exponents. (2021). Pavlos, E G ; Karakatsanis, L P ; Antoniades, I P. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:578:y:2021:i:c:s0378437121003940. Full description at Econpapers || Download paper |
| 2021 | Is the choice of the candlestick dimension relevant in econophysics?. (2021). Bosco, A R ; de Resende, Charlene C. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:582:y:2021:i:c:s0378437121005069. Full description at Econpapers || Download paper |
| 2021 | A theoretical framework for the TTA algorithm. (2021). Sanchez-Granero, M A ; Gomez-Aguila, A. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:582:y:2021:i:c:s0378437121005616. Full description at Econpapers || Download paper |
| 2022 | Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression. (2022). TILFANI, Oussama ; Krištoufek, Ladislav ; Ferreira, Paulo ; el Boukfaoui, My Youssef ; Kristoufek, Ladislav. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:588:y:2022:i:c:s0378437121008037. Full description at Econpapers || Download paper |
| 2022 | Simplified calculations of time correlation functions in non-stationary complex financial systems. (2022). Jiang, Xiong-Fei ; Li, Yan ; Zheng, BO ; Jin, Li-fu ; Zhang, Jiu. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:589:y:2022:i:c:s0378437121008736. Full description at Econpapers || Download paper |
| 2022 | A novel time-varying FIGARCH model for improving volatility predictions. (2022). Zhao, Lutao ; Zhang, Xinru ; Zhu, Hongli ; Chen, Xuehui. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:589:y:2022:i:c:s0378437121008839. Full description at Econpapers || Download paper |
| 2022 | Applying Hurst Exponent in pair trading strategies on Nasdaq 100 index. (2022). Lepaczuk, Robert ; Bui, Quynh. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:592:y:2022:i:c:s037843712100964x. Full description at Econpapers || Download paper |
| 2021 | Testing unobserved market heterogeneity in financial markets: The case of Banco Popular. (2021). Sosvilla-Rivero, Simon ; Gomez-Deniz, Emilio ; Perez-Rodriguez, Jorge V. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:151-160. Full description at Econpapers || Download paper |
| 2021 | A new approach to portfolio management in the Brazilian equity market: Does assets efficiency level improve performance?. (2021). MacIel, Leandro. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:81:y:2021:i:c:p:38-56. Full description at Econpapers || Download paper |
| 2021 | Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?. (2021). Lyocsa, Tefan ; Plihal, Toma. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:811-829. Full description at Econpapers || Download paper |
| 2021 | Conditional volatility persistence and volatility spillovers in the foreign exchange market. (2021). Su, Fei. In: Research in International Business and Finance. RePEc:eee:riibaf:v:55:y:2021:i:c:s0275531920301094. Full description at Econpapers || Download paper |
| 2021 | Existence of long memory in crude oil and petroleum products: Generalised Hurst exponent approach. (2021). Umar, Zaghum ; Tiwari, Aviral Kumar ; Alqahtani, Faisal. In: Research in International Business and Finance. RePEc:eee:riibaf:v:57:y:2021:i:c:s0275531921000246. Full description at Econpapers || Download paper |
| 2022 | How to calm down the markets? The effects of COVID-19 economic policy responses on financial market uncertainty. (2022). Plihal, Toma ; Deev, Oleg. In: Research in International Business and Finance. RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531922000010. Full description at Econpapers || Download paper |
| 2021 | Climate Risks and the Realized Volatility Oil and Gas Prices: Results of an Out-of-Sample Forecasting Experiment. (2021). Pierdzioch, Christian ; GUPTA, RANGAN. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:23:p:8085-:d:693917. Full description at Econpapers || Download paper |
| 2021 | Volatility Spillover Dynamics between Large-, Mid-, and Small-Cap Stocks in the Time-Frequency Domain: Implications for Portfolio Management. (2021). Tiwari, Aviral ; Aikins, Emmanuel Joel ; Dash, Ashutosh ; Jena, Sangram Keshari. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:11:p:531-:d:674249. Full description at Econpapers || Download paper |
| 2021 | New Dataset for Forecasting Realized Volatility: Is the Tokyo Stock Exchange Co-Location Dataset Helpful for Expansion of the Heterogeneous Autoregressive Model in the Japanese Stock Market?. (2021). Hamori, Shigeyuki ; Kinkyo, Takuji ; Tanaka, Katsuyuki ; Higashide, Takuo. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:215-:d:551574. Full description at Econpapers || Download paper |
| 2021 | A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets. (2021). Kyriazis, Nikolaos A. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:293-:d:582208. Full description at Econpapers || Download paper |
| 2021 | How Fast Does the Clock of Finance Run?—A Time-Definition Enforcing Stationarity and Quantifying Overnight Duration. (2021). Stella, Attilio L ; Baldovin, Fulvio ; Caraglio, Michele. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:8:p:384-:d:616116. Full description at Econpapers || Download paper |
| 2021 | . Full description at Econpapers || Download paper |
| 2021 | . Full description at Econpapers || Download paper |
| 2021 | . Full description at Econpapers || Download paper |
| 2021 | Deep Hedging under Rough Volatility. (2021). Teichmann, Josef ; Horvath, Blanka ; Uri, AN ; Nuri, A. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:7:p:138-:d:597662. Full description at Econpapers || Download paper |
| 2021 | The Nexus of Sophisticated Digital Assets with Economic Policy Uncertainty: A Survey of Empirical Findings and an Empirical Investigation. (2021). Kyriazis, Nikolaos A. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:10:p:5383-:d:552611. Full description at Econpapers || Download paper |
| 2021 | El Niño, La Niña, and the Forecastability of the Realized Variance of Heating Oil Price Movements. (2021). Pierdzioch, Christian ; GUPTA, RANGAN ; Balcilar, Mehmet ; Bouri, Elie. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:14:p:7987-:d:596011. Full description at Econpapers || Download paper |
| 2021 | Forecasting with fractional Brownian motion: a financial perspective. (2021). Garcin, Matthieu. In: Working Papers. RePEc:hal:wpaper:hal-03230167. Full description at Econpapers || Download paper |
| 2021 | Forecasting Realized Volatility of Bitcoin: The Role of the Trade War. (2021). Pierdzioch, Christian ; Gupta, Rangan ; Gkillas, Konstantinos ; Bouri, Elie. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:1:d:10.1007_s10614-020-10022-4. Full description at Econpapers || Download paper |
| 2021 | Forecasting Volatility for an Optimal Portfolio with Stylized Facts Using Copulas. (2021). Boubaker, Heni ; Karmous, Aida ; Belkacem, Lotfi. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:2:d:10.1007_s10614-020-10041-1. Full description at Econpapers || Download paper |
| 2022 | Directors and officers liability insurance and default risk. (2022). Huang, Li-Su . In: The Geneva Papers on Risk and Insurance - Issues and Practice. RePEc:pal:gpprii:v:47:y:2022:i:2:d:10.1057_s41288-020-00197-0. Full description at Econpapers || Download paper |
| 2021 | Investor Confidence and Forecastability of US Stock Market Realized Volatility : Evidence from Machine Learning. (2021). Pierdzioch, Christian ; Nel, Jacobus ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:202118. Full description at Econpapers || Download paper |
| 2021 | Geopolitical Risk and Forecastability of Tail Risk in the Oil Market: Evidence from Over a Century of Monthly Data. (2021). Salisu, Afees ; GUPTA, RANGAN ; Pierdzioch, Christian. In: Working Papers. RePEc:pre:wpaper:202122. Full description at Econpapers || Download paper |
| 2021 | Rare Disaster Risks and Volatility of the Term-Structure of US Treasury Securities: The Role of El Nino and La Nina Events. (2021). GUPTA, RANGAN ; van Eyden, Renee ; Bouri, Elie ; Nel, Jacobus. In: Working Papers. RePEc:pre:wpaper:202155. Full description at Econpapers || Download paper |
| 2021 | Stylized Facts of High-frequency Financial Time Series Data. (2021). Srivastava, Bhavana ; Shakeel, Moonis. In: Global Business Review. RePEc:sae:globus:v:22:y:2021:i:2:p:550-564. Full description at Econpapers || Download paper |
| 2021 | Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach. (2021). ausloos, marcel ; Shakeel, Bilal ; Dhesi, Gurjeet. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03305-z. Full description at Econpapers || Download paper |
| 2021 | Modeling fractional cointegration between high and low stock prices in Asian countries. (2021). Sibbertsen, Philipp ; Afzal, Alia. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:2:d:10.1007_s00181-019-01784-4. Full description at Econpapers || Download paper |
| 2022 | DeepPricing: pricing convertible bonds based on financial time-series generative adversarial networks. (2022). Wang, Shuyi ; Zhao, Xuejun ; Zhang, Zili ; Tan, Xiaoyu. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00369-y. Full description at Econpapers || Download paper |
| 2021 | Asymptotic theory for regression models with fractional local to unity root errors. (2021). Sabzikar, Farzad ; Brabanter, Kris. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:84:y:2021:i:7:d:10.1007_s00184-021-00812-7. Full description at Econpapers || Download paper |
| 2021 | Growth and dynamics of Econophysics: a bibliometric and network analysis. (2021). Khurana, Parul ; Sharma, Kiran. In: Scientometrics. RePEc:spr:scient:v:126:y:2021:i:5:d:10.1007_s11192-021-03884-4. Full description at Econpapers || Download paper |
| 2021 | Realized Volatility, Jump and Beta: evidence from Canadian Stock Market. (2021). Chowdhury, Biplob ; Gajurel, Dinesh. In: Applied Economics. RePEc:taf:applec:v:53:y:2021:i:55:p:6376-6397. Full description at Econpapers || Download paper |
| 2021 | Who drives the dance? Further insights from a time?frequency wavelet analysis of the interrelationship between stock markets and uncertainty. (2021). Ben Amar, Amine ; Carlotti, Jeanetienne. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:1623-1636. Full description at Econpapers || Download paper |
| 2022 | Global equity market volatility forecasting: New evidence. (2022). Ma, Feng ; Lei, Likun ; Wei, YU ; Liang, Chao. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:594-609. Full description at Econpapers || Download paper |
| 2022 | Measuring relative volatility in high?frequency data under the directional change approach. (2022). , Edward ; Li, Shengnan ; O'Hara, John. In: Intelligent Systems in Accounting, Finance and Management. RePEc:wly:isacfm:v:29:y:2022:i:2:p:86-102. Full description at Econpapers || Download paper |
| 2021 | An empirical study on the role of trading volume and data frequency in volatility forecasting. (2021). Lee, Chien-Chiang ; Choo, Weichong ; Liu, Min. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:5:p:792-816. Full description at Econpapers || Download paper |
| 2021 | Scheduled macroeconomic news announcements and Forex volatility forecasting. (2021). Plihal, Toma. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:8:p:1379-1397. Full description at Econpapers || Download paper |
| 2022 | Forecasting the volatility of agricultural commodity futures: The role of co?volatility and oil volatility. (2022). Luo, Jiawen ; Ji, Qiang ; Marfatia, Hardik A. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:2:p:383-404. Full description at Econpapers || Download paper |
| 2021 | Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility. (2021). Tsakou, Katerina ; McMillan, David G ; Kambouroudis, Dimos S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:10:p:1618-1639. Full description at Econpapers || Download paper |
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 | 5 |
| 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: 5 | 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: 5 | 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: 5 | paper | |
| 2019 | Pro-Cyclicality of Traditional Risk Measurements: Quantifying and Highlighting Factors at its Source In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 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 | 183 |
| 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: 183 | 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: 183 | paper | |
| 2001 | Consistent High-precision Volatility from High-frequency Data In: Economic Notes. [Full Text][Citation analysis] | article | 42 |
| 2004 | Consistent high-precision volatility from high-frequency data.(2004) In: Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 42 | 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 l’assurance 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 | 1 |
| 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 | |
| 2018 | Predicting risk with risk measures : an empirical study In: ESSEC Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2018 | Predicting risk with risk measures : an empirical study.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2003 | Foreign exchange trading models and market behavior In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 22 |
| 1997 | Volatilities of different time resolutions -- Analyzing the dynamics of market components In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 292 |
| 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 | 5 |
| 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: 5 | 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 | 178 |
| 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 | 276 |
| 2001 | An Introduction to High-Frequency Finance In: Elsevier Monographs. [Full Text][Citation analysis] | book | 473 |
| 2001 | Effective return, risk aversion and drawdowns In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 12 |
| 2003 | Scaling behaviors in differently developed markets In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 120 |
| 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 | 1 |
| 2016 | Risk neutral versus real-world distribution on puclicly listed bank corporations In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2002 | Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates In: International Economic Review. [Full Text][Citation analysis] | article | 23 |
| 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 | 3 |
| 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 | 5 |
| 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 | 129 |
| 1995 | Heterogeneous real-time trading strategies in the foreign exchange market In: The European Journal of Finance. [Full Text][Citation analysis] | article | 28 |
| 2001 | Defining efficiency in heterogeneous markets In: Quantitative Finance. [Full Text][Citation analysis] | article | 10 |
| 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 | 1 |
| 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 | 11 | |
| 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 | 13 |
| 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 | Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment In: Risk and Insurance. [Full Text][Citation analysis] | paper | 14 |
| 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 | 3 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated August, 1st 2022. Contact: CitEc Team