Michel Dacorogna : Citation Profile


Are you Michel Dacorogna?

13

H index

18

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1926

Citations

RESEARCH PRODUCTION:

28

Articles

46

Papers

1

Books

RESEARCH ACTIVITY:

   29 years (1990 - 2019). See details.
   Cites by year: 66
   Journals where Michel Dacorogna has often published
   Relations with other researchers
   Recent citing documents: 95.    Total self citations: 22 (1.13 %)

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   Permalink: http://citec.repec.org/pda56
   Updated: 2022-08-13    RAS profile: 2021-10-05    
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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 (78)

Andersen, Torben (61)

Krištoufek, Ladislav (38)

Diebold, Francis (36)

Caporin, Massimiliano (28)

Gencay, Ramazan (28)

Tabak, Benjamin (21)

MORANA, CLAUDIO (18)

Shephard, Neil (18)

Barndorff-Nielsen, Ole (17)

Nielsen, Morten (17)

Cites to:

Olsen, Richard (15)

Bollerslev, Tim (13)

Lebaron, Blake (9)

Repullo, Rafael (7)

Christoffersen, Peter (6)

ausloos, marcel (5)

Suarez, Javier (5)

Mandelbrot, Benoît (5)

Lucas, Andre (4)

Tasche, Dirk (4)

Scholes, Myron (3)

Main data


Where Michel Dacorogna has published?


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

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

Recent works citing Michel Dacorogna (2022 and 2021)


YearTitle of citing document
2021Sector Neutral Portfolios: Long memory motifs persistence in market structure dynamics. (2019). Aste, Tomaso ; Turiel, Jeremy. In: Papers. RePEc:arx:papers:1910.08628.

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2021On the statistics of scaling exponents and the Multiscaling Value at Risk. (2020). di Matteo, T ; Brandi, Giuseppe. In: Papers. RePEc:arx:papers:2002.04164.

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2021An 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.

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2021Clustering volatility regimes for dynamic trading strategies. (2020). Prakash, Arjun ; Menzies, Max ; James, Nick ; Francis, Gilad. In: Papers. RePEc:arx:papers:2004.09963.

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2021Multiscale 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.

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2021Dynamical 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.

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2021Deep Hedging under Rough Volatility. (2021). Zuric, Zan ; Teichmann, Josef ; Horvath, Blanka. In: Papers. RePEc:arx:papers:2102.01962.

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2021Power-Law Return-Volatility Cross Correlations of Bitcoin. (2021). Takaishi, T. In: Papers. RePEc:arx:papers:2102.08187.

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2021Forecasting with fractional Brownian motion: a financial perspective. (2021). Garcin, Matthieu. In: Papers. RePEc:arx:papers:2105.09140.

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2021A 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.

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2021Financial Return Distributions: Past, Present, and COVID-19. (2021). Zd, Stanislaw Dro ; Kwapie, Jaroslaw ; Wkatorek, Marcin. In: Papers. RePEc:arx:papers:2107.06659.

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2021Learning 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.

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2021Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300.

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2021Multiplicative Component GARCH Model of Intraday Volatility. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02376.

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2022Multiscaling and rough volatility: an empirical investigation. (2022). di Matteo, T ; Brandi, Giuseppe. In: Papers. RePEc:arx:papers:2201.10466.

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2022Bridging the Gap: Decoding the Intrinsic Nature of Time in Market Data. (2022). Golub, Anton ; Glattfelder, James B. In: Papers. RePEc:arx:papers:2204.02682.

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2022A 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.

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2022Diversification Quotients: Quantifying Diversification via Risk Measures. (2022). Lin, Liyuan ; Han, Xia ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2206.13679.

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2021Equity-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.

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2021Time-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.

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2022Dynamic 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.

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2021Social 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.

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2022Demand shocks and price stickiness in housing market dynamics. (2022). Fan, Ying. In: Economic Modelling. RePEc:eee:ecmode:v:110:y:2022:i:c:s0264999322000669.

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2021Multiscale 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.

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2021Volatility 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.

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2021Trading 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.

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2021Capturing 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.

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2021Do 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.

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2022Economic 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.

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2022Multi-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.

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2021Geopolitical 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.

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2022The 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.

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2021Asymmetry, 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.

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2022Which 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.

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2021Volatility 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.

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2021One 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.

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2021FX 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.

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2022Fresh 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.

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2021A 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.

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2022Valuing 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.

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2021Longevity 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.

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2021A 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.

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2021Does 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.

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2022Impact 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.

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2021Exploring 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.

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2022Cross-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.

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2022Interconnectedness 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.

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2021Combination 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.

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2021The 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.

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2021Bayesian 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.

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2021Dynamical 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.

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2021Is 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.

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2021A 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.

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2022Heterogeneity 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.

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2022Simplified 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.

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2022A 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.

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2022Applying 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.

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2021Testing 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.

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2021A 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.

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2021Modeling 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.

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2021Conditional 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.

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2021Existence 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.

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2022How 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.

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2021Climate 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.

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2021Volatility 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.

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2021New 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.

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2021A 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.

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2021How 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.

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2021Deep 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.

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2021The 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.

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2021El 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.

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2021Forecasting with fractional Brownian motion: a financial perspective. (2021). Garcin, Matthieu. In: Working Papers. RePEc:hal:wpaper:hal-03230167.

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2021Forecasting 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.

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2021Forecasting 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.

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2022Directors 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.

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2021Investor 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.

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2021Geopolitical 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.

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2021Rare 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.

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2021Stylized 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.

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2021Modelling 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.

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2021Modeling 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.

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2022DeepPricing: 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.

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2021Asymptotic 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.

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2021Growth 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.

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2021Realized 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.

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2021Who 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.

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2022Global 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.

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2022Measuring 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.

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2021An 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.

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2021Scheduled 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.

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2022Forecasting 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.

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2021Forecasting 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.

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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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paper
2014The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio.(2014) In: Risks.
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article
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: 5
paper
2019Pro-Cyclicality of Traditional Risk Measurements: Quantifying and Highlighting Factors at its Source In: Papers.
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paper3
2003Using the Scaling Analysis to Characterize Financial Markets In: Papers.
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paper2
2004Using the Scaling Analysis to Characterize Financial Markets.(2004) In: Finance.
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This paper has another version. Agregated cites: 2
paper
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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article
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: 183
paper
2001Consistent High-precision Volatility from High-frequency Data In: Economic Notes.
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article42
2004Consistent high-precision volatility from high-frequency data.(2004) In: Finance.
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This paper has another version. Agregated cites: 42
paper
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
paper
2001Time-to-Expiry Seasonalities in Eurofutures In: Studies in Nonlinear Dynamics & Econometrics.
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article1
2015Un changement de paradigme pour l’assurance 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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article1
2018Validation of aggregated risks models In: Annals of Actuarial Science.
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article0
2010Robust Estimation of Reserve Risk In: ASTIN Bulletin.
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article2
2015Living in a Stochastic World and Managing Complex Risks In: ESSEC Working Papers.
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paper2
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
paper
2015Explicit diversifiction benefit for dependent risks In: ESSEC Working Papers.
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paper1
2015Explicit diversification benefit for dependent risks.(2015) In: Working Papers.
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This paper has another version. Agregated cites: 1
paper
2016Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study In: ESSEC Working Papers.
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paper0
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
paper
2018Predicting risk with risk measures : an empirical study In: ESSEC Working Papers.
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paper2
2018Predicting risk with risk measures : an empirical study.(2018) In: Working Papers.
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This paper has another version. Agregated cites: 2
paper
2003Foreign exchange trading models and market behavior In: Journal of Economic Dynamics and Control.
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article22
1997Volatilities of different time resolutions -- Analyzing the dynamics of market components In: Journal of Empirical Finance.
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article292
1999The intraday multivariate structure of the Eurofutures markets In: Journal of Empirical Finance.
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article6
2006From default probabilities to credit spreads: Credit risk models do explain market prices In: Finance Research Letters.
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article5
2005From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices.(2005) In: Finance.
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paper
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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article178
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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article276
2001An Introduction to High-Frequency Finance In: Elsevier Monographs.
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book473
2001Effective return, risk aversion and drawdowns In: Physica A: Statistical Mechanics and its Applications.
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article12
2003Scaling behaviors in differently developed markets In: Physica A: Statistical Mechanics and its Applications.
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article120
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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article0
2018One-Year Change Methodologies for Fixed-Sum Insurance Contracts In: Risks.
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article1
2016Risk neutral versus real-world distribution on puclicly listed bank corporations In: Working Papers.
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paper0
2002Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates In: International Economic Review.
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article23
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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paper3
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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paper0
2016A General framework for modelling mortality to better estimate its relationship with interest rate risks In: MPRA Paper.
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paper5
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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paper0
2005Is the gamma risk of options insurable? In: MPRA Paper.
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paper0
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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article129
1995Heterogeneous real-time trading strategies in the foreign exchange market In: The European Journal of Finance.
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article28
2001Defining efficiency in heterogeneous markets In: Quantitative Finance.
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article10
2003Reflections on risk In: Quantitative Finance.
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article0
2019Improving the Forecast of Longevity by Combining Models In: North American Actuarial Journal.
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article1
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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paper0
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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paper11
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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paper0
1996Hill, Bootstrap and Jackknife Estimators for Heavy Tails In: Working Papers.
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paper13
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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paper0
2003How Much Reinsurance Do You Really Need? A Case Study. In: Risk and Insurance.
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paper0
2003Dynamic Financial Analysis - Understanding Risk and Value Creation in Insurance In: Risk and Insurance.
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paper0
2003Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment In: Risk and Insurance.
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paper14
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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article3

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated August, 1st 2022. Contact: CitEc Team