14
H index
17
i10 index
1559
Citations
Michel Dacorogna : Citation Profile
| RESEARCH PRODUCTION: 29 Articles 45 Papers 1 Books RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
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 |
| Physica A: Statistical Mechanics and its Applications | 2 |
| Risks | 2 |
| Economic Notes | 2 |
| Journal of Empirical Finance | 2 |
| Annals of Actuarial Science | 2 |
| Journal of Banking & Finance | 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 (2020 and 2019)
| Year | Title of citing document |
|---|---|
| 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 |
| 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). Prakash, Arjun ; Menzies, Max ; James, Nick ; Francis, Gilad. In: Papers. RePEc:arx:papers:2004.09963. Full description at Econpapers || Download paper |
| 2020 | Hidden Markov Models Applied To Intraday Momentum Trading With Side Information. (2020). Turner, Richard ; Godsill, Simon ; Christensen, Hugh. In: Papers. RePEc:arx:papers:2006.08307. Full description at Econpapers || Download paper |
| 2020 | Risk management of guaranteed minimum maturity benefits under stochastic mortality and regime-switching by Fourier space time-stepping framework. (2020). Hu, Wenlong. In: Papers. RePEc:arx:papers:2006.15483. Full description at Econpapers || Download paper |
| 2020 | Applying Dynamic Training-Subset Selection Methods Using Genetic Programming for Forecasting Implied Volatility. (2020). Abdelmalek, Wafa ; ben Hamida, Sana ; Abid, Fathi. In: Papers. RePEc:arx:papers:2007.07207. 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 |
| 2020 | Long Memory and Stock Market Efficiency: Case of Saudi Arabia. (2020). Lamouchi, Rim Ammar. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-03-5. Full description at Econpapers || Download paper |
| 2020 | Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality. (2020). Kukacka, Jiri ; Krištoufek, Ladislav. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300257. 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 |
| 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 |
| 2020 | Time-frequency causality and connectedness between international prices of energy, food, industry, agriculture and metals. (2020). Tiwari, Aviral ; Shahbaz, Muhammad ; Nasreen, Samia ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s014098831930324x. Full description at Econpapers || Download paper |
| 2020 | Measuring the Brazilian ethanol and gasoline market efficiency using DFA-Hurst and fractal dimension. (2020). Inacio, C. M. C., ; David, S A ; Machado, J. A. T., ; Quintino, D D. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319304098. 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 |
| 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 |
| 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 |
| 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 |
| 2020 | Forecasting realized oil-price volatility: The role of financial stress and asymmetric loss. (2020). Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas, Konstantinos. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:104:y:2020:i:c:s0261560619300075. 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 2020 | Investor Happiness and Predictability of the Realized Volatility of Oil Price. (2020). Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas, Konstantinos ; Bonato, Matteo. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:10:p:4309-:d:362539. Full description at Econpapers || Download paper |
| 2020 | Exploring Arbitrage Strategies in Corporate Social Responsibility Companies. (2020). Ramos-Requena, Jose Pedro ; Montoya-Cruz, Estefania ; Sanchez-Granero, Miguel Angel ; Trinidad-Segovia, Juan Evangelista. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:16:p:6293-:d:394618. 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 |
| 2020 | Risk-Constrained Kelly Portfolios Under Alpha-Stable Laws. (2020). Härdle, Wolfgang ; Hardle, Wolfgang K ; Wesselhofft, Niels. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:3:d:10.1007_s10614-019-09913-y. Full description at Econpapers || Download paper |
| 2020 | A new unbiased additive robust volatility estimation using extreme values of asset prices. (2020). Maheswaran, S ; Shaik, Muneer. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:3:d:10.1007_s11408-020-00355-3. Full description at Econpapers || Download paper |
| 2019 | Do High-frequency-based Measures Improve Conditional Covariance Forecasts?. (2019). Dumitrescu, Elena Ivona ; Banulescu-Radu, Denisa. In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2709. Full description at Econpapers || Download paper |
| 2019 | Information insensitivity, collateral flows and the logic of financial stability. (2019). Mantovi, Andrea. In: Economics Department Working Papers. RePEc:par:dipeco:2019-ep01. Full description at Econpapers || Download paper |
| 2019 | Oil prices, US exchange rates, and stock market: evidence from Jordan as a net oil importer. (2019). Bouri, Abdelfatteh ; Ghenimi, Ameni ; Hammami, Algia. In: MPRA Paper. RePEc:pra:mprapa:94570. Full description at Econpapers || Download paper |
| 2019 | Risk Aversion and the Predictability of Crude Oil Market Volatility: A Forecasting Experiment with Random Forests. (2019). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza ; Gkillas, Konstantinos. In: Working Papers. RePEc:pre:wpaper:201972. Full description at Econpapers || Download paper |
| 2020 | Forecasting Realized Volatility of Bitcoin: The Role of the Trade War. (2020). GUPTA, RANGAN ; Pierdzioch, Christian ; Gkillas, Konstantinos ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:202003. Full description at Econpapers || Download paper |
| 2020 | Investor Happiness and Predictability of the Realized Volatility of Oil Price. (2020). GUPTA, RANGAN ; Pierdzioch, Christian ; Gkillas, Konstantinos ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:202009. Full description at Econpapers || Download paper |
| 2019 | A Practical Guide to Harnessing the HAR Volatility Model. (2019). Preve, Daniel ; Clements, Adam. In: NCER Working Paper Series. RePEc:qut:auncer:2019_01. Full description at Econpapers || Download paper |
| 2019 | Разве стоимость компании действительно зависит от средневзвешенной стоимости капитала и свободного денежн. (2019). П. Жуков Е., ; Zhukov, P. In: Вестник исследований бизнеса и экономики // Review of Business and Economics Studies. RePEc:scn:00rbes:y:2018:i:1:p:17-28. Full description at Econpapers || Download paper |
| 2019 | Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model. (2019). ben Ameur, Hachmi ; Cheffou, Abdoulkarim Idi ; Louhichi, Wael ; Jawadi, Fredj. In: Annals of Operations Research. RePEc:spr:annopr:v:281:y:2019:i:1:d:10.1007_s10479-018-2793-3. Full description at Econpapers || Download paper |
| 2019 | Estimating stochastic volatility: the rough side to equity returns. (2019). Grimm, Lukas ; Schmitt, Daniel ; Haynes, Jonathan . In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00261-y. Full description at Econpapers || Download paper |
| 2020 | Dynamic long-range dependences in the Swiss stock market. (2020). Ferreira, Paulo. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1549-x. Full description at Econpapers || Download paper |
| 2019 | Directed continuous-time random walk with memory. (2019). Klamut, Jarosaw ; Gubiec, Tomasz. In: The European Physical Journal B: Condensed Matter and Complex Systems. RePEc:spr:eurphb:v:92:y:2019:i:4:d:10.1140_epjb_e2019-90453-y. Full description at Econpapers || Download paper |
| 2019 | Score-driven currency exchange rate seasonality as applied to the Guatemalan Quetzal/US Dollar. (2019). Blazsek, Szabolcs ; Ayala, Astrid. In: SERIEs: Journal of the Spanish Economic Association. RePEc:spr:series:v:10:y:2019:i:1:d:10.1007_s13209-018-0186-0. Full description at Econpapers || Download paper |
| 2019 | Forecasting Realized Volatility: The role of implied volatility, leverage effect, overnight returns and volatility of realized volatility. (2019). Tsakou, Katerina ; McMillan, David ; Kambouroudis, Dimos. In: Working Papers. RePEc:swn:wpaper:2019-03. Full description at Econpapers || Download paper |
| 2019 | Multivariate realized volatility forecasts of agricultural commodity futures. (2019). Chen, Langnan ; Luo, Jiawen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:12:p:1565-1586. Full description at Econpapers || Download paper |
| 2019 | Forecasting the Realized Variance in the Presence of Intraday Periodicity. (2019). Hizmeri, Rodrigo ; DUMITRU, ANA-MARIA ; Izzeldin, Marwan. In: EconStor Preprints. RePEc:zbw:esprep:193631. Full description at Econpapers || Download paper |
| 2019 | High-dimensional sparse financial networks through a regularised regression model. (2019). Costola, Michele ; Bernardi, Mauro. In: SAFE Working Paper Series. RePEc:zbw:safewp:244. Full description at Econpapers || Download paper |
| 2019 | How dynamic hedging affects stock price movements: Evidence from German option and certificate markets. (2019). Fischer, Georg. In: Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe. RePEc:zbw:upadbr:b3519. 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 | 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 | 132 |
| 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: 132 | 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: 132 | paper | |
| 2001 | Consistent High-precision Volatility from High-frequency Data In: Economic Notes. [Full Text][Citation analysis] | article | 34 |
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