14
H index
18
i10 index
2018
Citations
| 14 H index 18 i10 index 2018 Citations RESEARCH PRODUCTION: 33 Articles 46 Papers 1 Books RESEARCH ACTIVITY: 33 years (1990 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pda56 |
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: |
Journals with more than one article published | # docs |
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Risks | 4 |
Quantitative Finance | 3 |
Physica A: Statistical Mechanics and its Applications | 2 |
Journal of Empirical Finance | 2 |
Journal of Banking & Finance | 2 |
Annals of Actuarial Science | 2 |
Working Papers Series with more than one paper published | # docs |
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MPRA Paper / University Library of Munich, Germany | 9 |
Risk and Insurance / University Library of Munich, Germany | 5 |
Working Papers / HAL | 5 |
Papers / arXiv.org | 4 |
Finance / University Library of Munich, Germany | 4 |
Year | Title of citing document |
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2023 | Diversification Quotients: Quantifying Diversification via Risk Measures. (2022). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2206.13679. Full description at Econpapers || Download paper |
2023 | Precision measurement of the return distribution property of the Chinese stock market index. (2022). Zheng, Yanyan ; Liu, Peng. In: Papers. RePEc:arx:papers:2209.08521. Full description at Econpapers || Download paper |
2023 | A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208. Full description at Econpapers || Download paper |
2023 | Optimal Cross-Correlation Estimates from Asynchronous Tick-by-Tick Trading Data. (2023). Press, William H. In: Papers. RePEc:arx:papers:2303.16153. Full description at Econpapers || Download paper |
2023 | Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks. (2023). Usseglio-Carleve, Antoine ; Kratz, Marie ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2304.06950. Full description at Econpapers || Download paper |
2023 | Incident-Specific Cyber Insurance. (2023). Zhang, Linfeng ; Quan, Zhiyu ; Linders, Daniel ; Chong, Wing Fung. In: Papers. RePEc:arx:papers:2308.00921. Full description at Econpapers || Download paper |
2023 | New general dependence measures: construction, estimation and application to high-frequency stock returns. (2023). Leeuwenkamp, Aleksy ; Hu, Wentao. In: Papers. RePEc:arx:papers:2309.00025. Full description at Econpapers || Download paper |
2023 | From constant to rough: A survey of continuous volatility modeling. (2023). Yurchenko-Tytarenko, Anton ; Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2309.01033. Full description at Econpapers || Download paper |
2023 | On changepoint detection in functional data using empirical energy distance. (2023). Trapani, Lorenzo ; Horv, Lajos ; Boniece, Cooper B. In: Papers. RePEc:arx:papers:2310.04853. Full description at Econpapers || Download paper |
2023 | Revisiting Stylized Facts for Modern Stock Markets. (2023). van Oort, Colin M ; Ratliff-Crain, Ethan ; Tivnan, Brian F ; Bagrow, James. In: Papers. RePEc:arx:papers:2311.07738. Full description at Econpapers || Download paper |
2023 | A classical model of speculative asset price dynamics. (2023). Smith, Vernon ; Inoua, Sabiou M. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022001022. Full description at Econpapers || Download paper |
2023 | Investor sentiment and multi-scale positive and negative stock market bubbles in a panel of G7 countries. (2023). Bouri, Elie ; Nielsen, Joshua ; Gupta, Rangan ; van Eyden, Renee. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:38:y:2023:i:c:s2214635023000187. Full description at Econpapers || Download paper |
2023 | Hurst exponent dynamics of S&P 500 returns: Implications for market efficiency, long memory, multifractality and financial crises predictability by application of a nonlinear dynamics analysis framewo. (2023). Vogl, Markus. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:166:y:2023:i:c:s0960077922010633. Full description at Econpapers || Download paper |
2023 | Time series momentum and reversal: Intraday information from realized semivariance. (2023). Wang, Shixuan ; Li, BO ; Lu, Shanglin ; Liu, Zhenya. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:54-77. Full description at Econpapers || Download paper |
2023 | Co-volatility and asymmetric transmission of risks between the global oil and Chinas futures markets. (2023). Klein, Tony ; Ji, Qiang ; Marfatia, Hardik A ; Luo, Jiawen. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005953. Full description at Econpapers || Download paper |
2023 | Volatility spillover across Chinese carbon markets: Evidence from quantile connectedness method. (2023). Peculea, Adelina Dumitrescu ; Huang, Chia-Yun ; Li, Yameng. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000403. Full description at Econpapers || Download paper |
2023 | A wavelet-based methodology to compare the impact of pandemic versus Russia–Ukraine conflict on crude oil sector and its interconnectedness with other energy and non-energy markets. (2023). Deb, Soudeep ; Soni, Anchal ; Roy, Archi. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003286. Full description at Econpapers || Download paper |
2023 | Does green improve portfolio optimisation?. (2023). Moussa, Faten ; Boubaker, Sabri ; Banerjee, Ameet Kumar ; Akhtaruzzaman, MD. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003298. Full description at Econpapers || Download paper |
2023 | Volatility forecasting of crude oil futures market: Which structural change-based HAR models have better performance?. (2023). Zhang, Han. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004045. Full description at Econpapers || Download paper |
2023 | US monetary policy and BRICS stock market bubbles. (2023). GUPTA, RANGAN ; Nielsen, Joshua ; Nel, Jacobus. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006122. Full description at Econpapers || Download paper |
2023 | A new look at financial markets efficiency from linear response theory. (2023). de Las, Javier F ; Sanchez-Granero, Miguel A ; Clara-Rahola, Joaquim ; Puertas, Antonio M ; Trinidad-Segovia, Juan E. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006316. Full description at Econpapers || Download paper |
2023 | Climate risks and realized volatility of major commodity currency exchange rates. (2023). GUPTA, RANGAN ; Pierdzioch, Christian ; Cepni, Oguzhan ; Bonato, Matteo. In: Journal of Financial Markets. RePEc:eee:finmar:v:62:y:2023:i:c:s1386418122000519. Full description at Econpapers || Download paper |
2023 | The economic impact of daily volatility persistence on energy markets. (2023). Wang, Jianxin ; Thomas, Alice Carole ; Nikitopoulos, Christina Sklibosios. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000423. Full description at Econpapers || Download paper |
2023 | Dependence structure among rare earth and financial markets: A multiscale-vine copula approach. (2023). Bouri, Elie ; Kamal, Elham. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003379. Full description at Econpapers || Download paper |
2023 | Incorporating improved directional change and regime change detection to formulate trading strategies in foreign exchange markets. (2023). Wu, Bing ; Li, Danping ; Zhang, Weijie ; Hu, Shicheng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:622:y:2023:i:c:s0378437123003655. Full description at Econpapers || Download paper |
2023 | Impact of Covid-19 on corporate solvency and possible policy responses in the EU. (2023). Abbas, Syed Kumail ; Naqvi, Bushra ; Rahat, Birjees ; Mirza, Nawazish. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:87:y:2023:i:c:p:181-190. Full description at Econpapers || Download paper |
2023 | Abnormal trading volume, news and market efficiency: Evidence from the Jamaica Stock Exchange. (2023). Swidler, Steve ; Wright, Calvin. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922001908. Full description at Econpapers || Download paper |
2023 | Disentangling the impact of economic and health crises on financial markets. (2023). Fernandez Bariviera, Aurelio ; Sorrosal-Forradellas, Maria-Teresa ; Fabregat-Aibar, Laura. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000545. Full description at Econpapers || Download paper |
2023 | Effects of Crude Oil Price Shocks on Stock Markets and Currency Exchange Rates in the Context of Russia-Ukraine Conflict: Evidence from G7 Countries. (2023). Paul, Biswajit ; Bagchi, Bhaskar. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:2:p:64-:d:1045044. Full description at Econpapers || Download paper |
2023 | Multiscale Volatility Analysis for Noisy High-Frequency Prices. (2023). Leung, Tim ; Zhao, Theodore. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:7:p:117-:d:1179658. Full description at Econpapers || Download paper |
2023 | EFFICIENT ESTIMATION IN EXTREME VALUE REGRESSION MODELS OF HEDGE FUND TAIL RISKS. (2023). Usseglio-Carleve, Antoine ; Kratz, Marie ; Hambuckers, Julien. In: Working Papers. RePEc:hal:wpaper:hal-04090916. Full description at Econpapers || Download paper |
2023 | CO2 Emission Allowances Risk Prediction with GAS and GARCH Models. (2023). Tiwari, Aviral ; Trabelsi, Nader. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:2:d:10.1007_s10614-021-10231-5. Full description at Econpapers || Download paper |
2023 | Monetary Policy Shocks and Multi-Scale Positive and Negative Bubbles in an Emerging Country: The Case of India. (2023). GUPTA, RANGAN ; Nielsen, Joshua ; Nel, Jacobus ; Cepni, Oguzhan. In: Working Papers. RePEc:pre:wpaper:202305. Full description at Econpapers || Download paper |
2023 | Stock Market Volatility and Multi-Scale Positive and Negative Bubbles. (2023). Pierdzioch, Christian ; Nielsen, Joshua ; Nel, Jacobus ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:202310. Full description at Econpapers || Download paper |
2023 | Gold-to-Platinum Price Ratio and the Predictability of Bubbles in Financial Markets. (2023). Demirer, Riza ; Nielsen, Joshua ; Gupta, Rangan ; Gabauer, David. In: Working Papers. RePEc:pre:wpaper:202317. Full description at Econpapers || Download paper |
2023 | Financial Stress and Realized Volatility: The Case of Agricultural Commodities. (2023). Pierdzioch, Christian ; Gupta, Rangan ; Cepni, Oguzhan ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:202320. Full description at Econpapers || Download paper |
2023 | Do U.S. economic conditions at the state level predict the realized volatility of oil-price returns? A quantile machine-learning approach. (2023). GUPTA, RANGAN ; Pierdzioch, Christian. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00435-5. Full description at Econpapers || Download paper |
2023 | Diversification evidence of bitcoin and gold from wavelet analysis. (2023). Zhang, Changyong ; Husain, Afzol ; Bhuiyan, Rubaiyat Ahsan. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00495-1. Full description at Econpapers || Download paper |
2023 | Heterogeneous Behavior and Volatility Transmission in the Forex Market using High-Frequency Data. (2023). Shira, Ruba Khalid ; Lamouchi, Rim Ammar. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:13:y:2023:i:3:f:13_3_3. Full description at Econpapers || Download paper |
2023 | Time?frequency dynamics between fear connectedness of stocks and alternative assets. (2023). Balli, Faruk ; Hasan, Md Iftekhar ; Agyemang, Abraham ; Naeem, Muhammad Abubakr. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:2:p:2188-2201. Full description at Econpapers || Download paper |
2023 | Trading volume and realized volatility forecasting: Evidence from the China stock market. (2023). Lee, Chien-Chiang ; Choo, Weichong ; Liu, Min. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:1:p:76-100. Full description at Econpapers || Download paper |
2023 | El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices: Evidence from a machine learning approach. (2023). Pierdzioch, Christian ; Gupta, Rangan ; Epni, Ouzhan ; Bonato, Matteo. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:785-801. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Explaining the stylized facts of foreign exchange markets with a simple agent-based version of Paul de Grauwes chaotic exchange rate model. (2023). Westerhoff, Frank H ; Mignot, Sarah. In: BERG Working Paper Series. RePEc:zbw:bamber:279554. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2001 | Multivariate extremes, aggregation and risk estimation In: CeNDEF Workshop Papers, January 2001. [Citation analysis] | paper | 19 |
2001 | Multivariate extremes, aggregation and risk estimation.(2001) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | article | |
2013 | The impact of systemic risk on the diversification benefits of a risk portfolio In: Papers. [Full Text][Citation analysis] | paper | 6 |
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 nother version. Agregated cites: 6 | 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 nother version. Agregated cites: 6 | 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 nother version. Agregated cites: 6 | 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 | 3 |
2004 | Using the Scaling Analysis to Characterize Financial Markets.(2004) In: Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | 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 | 195 |
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 nother version. Agregated cites: 195 | 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 nother version. Agregated cites: 195 | 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 nother 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 nother version. Agregated cites: 1 | paper | |
2023 | Pro?cyclicality beyond business cycle In: Mathematical Finance. [Full Text][Citation analysis] | article | 0 |
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 nother 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 nother 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 nother 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 nother 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 |
2023 | Building up cyber resilience by better grasping cyber risk via a new algorithm for modelling heavy-tailed data In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 3 |
1997 | Volatilities of different time resolutions -- Analyzing the dynamics of market components In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 331 |
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 | 6 |
2005 | From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices.(2005) In: Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | 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 | 182 |
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 | 281 |
2001 | An Introduction to High-Frequency Finance In: Elsevier Monographs. [Full Text][Citation analysis] | book | 480 |
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 | 126 |
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 |
2022 | Special Issue “Cyber Risk and Security” In: Risks. [Full Text][Citation analysis] | article | 0 |
2023 | How to Gain Confidence in the Results of Internal Risk Models? Approaches and Techniques for Validation In: Risks. [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 | 135 |
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 |
In: . [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 | 16 |
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 | 15 |
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 | 4 |
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