Michel Dacorogna : Citation Profile

14

H index

18

i10 index

2116

Citations

RESEARCH PRODUCTION:

33

Articles

48

Papers

1

Books

RESEARCH ACTIVITY:

   34 years (1990 - 2024). See details.
   Cites by year: 62
   Journals where Michel Dacorogna has often published
   Relations with other researchers
   Recent citing documents: 51.    Total self citations: 26 (1.21 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pda56
   Updated: 2025-04-05    RAS profile: 2025-03-16    
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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)

GUPTA, RANGAN (40)

Krištoufek, Ladislav (38)

Diebold, Francis (36)

Pierdzioch, Christian (32)

Caporin, Massimiliano (30)

Tabak, Benjamin (21)

Shephard, Neil (19)

MORANA, CLAUDIO (18)

Ranaldo, Angelo (17)

Cites to:

Olsen, Richard (15)

Bollerslev, Tim (13)

Lebaron, Blake (10)

ausloos, marcel (7)

Repullo, Rafael (7)

Suarez, Javier (5)

Tasche, Dirk (5)

merton, robert (4)

Lok, Yen (4)

Lucas, Andre (4)

Phillips, Peter (3)

Main data

Production by document typepaperbookarticle19901991199219931994199519961997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024051015Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240255075Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received19941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320242025050100150Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240250500750Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 14Most cited documents123456789101112131415160250500750Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution201308201309201310201311201312201401201402201403201404201405201406201407201408201409201410201411201412201501201502201503201504201505201506201507201508201509201510201511201512201601201602201603201604201605201606201607201608201609201610201611201612201701201702201703201704201705201706201707201708201709201710201711201712201801201802201803201804201805201806201807201808201809201810201811201812201901201902201903201904201905201906201907201908201909201910201911201912202001202002202003202004202005202006202007202008202009202010202011202012202101202102202103202104202105202106202107202108202109202110202111202112202201202202202203202204202205202206202207202208202209202210202211202212202301202302202303202304202305202306202307202308202309202310202311202312202401202402202403202404202405202406202407202408202409202410202411202412202501202502202503202504051015h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Michel Dacorogna has published?

Journals with more than one article published# docs
Risks4
Quantitative Finance3
Journal of Empirical Finance2
Annals of Actuarial Science2
Physica A: Statistical Mechanics and its Applications2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany10
Working Papers / HAL5
ESSEC Working Papers / ESSEC Research Center, ESSEC Business School5
Risk and Insurance / University Library of Munich, Germany5
Papers / arXiv.org4
Finance / University Library of Munich, Germany4

Recent works citing Michel Dacorogna (2025 and 2024)

Year  ↓Title of citing document  ↓
2024Diversification Quotients: Quantifying Diversification via Risk Measures. (2022). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2206.13679.

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2024Revisiting 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.

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2024Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification. (2024). Zhao, Yimiao ; Liu, Yang ; Geng, Bingzhen. In: Papers. RePEc:arx:papers:2404.18029.

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2024Calculating Profits and Losses for Algorithmic Trading Strategies: A Short Guide. (2024). Houweling, Thomas ; Glattfelder, James B. In: Papers. RePEc:arx:papers:2411.14068.

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2025A Modern Paradigm for Algorithmic Trading. (2025). Houweling, Thomas ; Glattfelder, James B ; Olsen, Richard B. In: Papers. RePEc:arx:papers:2501.06032.

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2025Trends and Reversion in Financial Markets on Time Scales from Minutes to Decades. (2025). Safari, Sara A ; Schmidhuber, Christof. In: Papers. RePEc:arx:papers:2501.16772.

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2025A new two-component hybrid model for highly right-skewed data: estimation algorithm and application to finance and rainfall data. (2025). Osatohanmwen, Patrick. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps108.

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2024Oil Market Efficiency, Quantity of Information, and Oil Market Turbulence. (2024). Dogah, Kingsley ; Wadud, Sania ; Gronwald, Marc. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10995.

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2024Examining Volatility Spillover between India and Global Emerging Stock Markets during COVID 19 and Russia-Ukraine War Crisis. (2024). Lakhanpal, Aakriti ; Panchamia, Aastha ; Maurya, Harshita ; Anchan, Veerendra. In: Economics and Applied Informatics. RePEc:ddj:fseeai:y:2024:i:3:p:102-118.

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2024A multifractal approach to understanding Forbush Decrease events: Correlations with geomagnetic storms and space weather phenomena. (2024). Sierra-Porta, D. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:185:y:2024:i:c:s0960077924006416.

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2024Can U.S. macroeconomic indicators forecast cryptocurrency volatility?. (2024). Su, Yi-Kai ; Tzeng, Kae-Yih. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001499.

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2024Stock market bubbles and the realized volatility of oil price returns. (2024). Pierdzioch, Christian ; Nielsen, Joshua ; Gupta, Rangan. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001403.

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2024Why insurance regulators need to require sensitivity settings of internal models for their approval. (2024). Rabitti, Giovanni ; Clemente, Gian Paolo ; Borgonovo, Emanuele. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s154461232301231x.

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2024Intraday variation in cross-sectional stock comovement and impact of index-based strategies. (2024). Shen, Yiwen ; Shi, Meiqi. In: Journal of Financial Markets. RePEc:eee:finmar:v:68:y:2024:i:c:s1386418124000120.

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2024Risk-neutral valuation of GLWB riders in variable annuities. (2024). Zoccolan, Ivan ; Maggistro, Rosario ; Bacinello, Anna Rita. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:114:y:2024:i:c:p:1-14.

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2024A multifractal detrended fluctuation analysis of Islamic and conventional financial markets efficiency during the COVID-19 pandemic. (2024). Suleman, Muhammed Tahir ; Shah, Nida ; Raza, Syed Ali. In: International Economics. RePEc:eee:inteco:v:177:y:2024:i:c:s2110701723000756.

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2024Forecasting international financial stress: The role of climate risks. (2024). Pierdzioch, Christian ; Gupta, Rangan ; del Fava, Santino ; Rognone, Lavinia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:92:y:2024:i:c:s1042443124000416.

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2024Forecasting exchange rate volatility: An amalgamation approach. (2024). Souropanis, Ioannis ; Alexandridis, Antonios K ; Panopoulou, Ekaterini. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001331.

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2024Forecasting day-ahead expected shortfall on the EUR/USD exchange rate: The (I)relevance of implied volatility. (2024). Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1275-1301.

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2024Dynamic interdependence structure of industrial metals and the African stock market. (2024). Woode, John ; Owusu Junior, Peterson ; Adam, Anokye M. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723011662.

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2024How the pandemic-led volatility in the natural resource commodity indices affect U.S and China markets. (2024). Khan, Bareerah ; Ding, Cuicui ; Ahmed, Khalid ; Guo, Qingran. In: Resources Policy. RePEc:eee:jrpoli:v:90:y:2024:i:c:s030142072400103x.

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2024Insights into the dynamics of market efficiency spillover of financial assets in different equity markets. (2024). Choi, Sun-Yong ; Lee, Min-Jae. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:641:y:2024:i:c:s0378437124002280.

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2024Asymmetric effects of commodity and stock market on Chinese green market: Evidence from wavelet-based quantile-on-quantile approach. (2024). Zhang, Shasha ; Niu, Hongli. In: Renewable Energy. RePEc:eee:renene:v:230:y:2024:i:c:s0960148124008620.

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2024Interplay between economic progress, carbon emissions and energy prices on green energy adoption: Evidence from USA and Germany in context of sustainability. (2024). Weerasinghe, Naveen ; Zhang, Zhanren ; Bilan, Yuriy ; Shahzad, U ; Karimi, Mohammad Sharif. In: Renewable Energy. RePEc:eee:renene:v:232:y:2024:i:c:s0960148124011066.

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2024Volatility forecasting on Chinas oil futures: New evidence from interpretable ensemble boosting trees. (2024). Zhu, Yiying ; Lucey, Brian ; Rao, Haicheng ; Feng, Lingbing. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:1595-1615.

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2024Financial stress and realized volatility: The case of agricultural commodities. (2024). Pierdzioch, Christian ; GUPTA, RANGAN ; Cepni, Oguzhan ; Bonato, Matteo. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002356.

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2024Cryptocurrency volatility: A review, synthesis, and research agenda. (2024). Kumar, Satish ; Ahmed, Mohamed Shaker ; Al-Maghyereh, Aktham I ; El-Masry, Ahmed A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002654.

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2024Dynamic Efficiency and Herd Behavior During Pre- and Post-COVID-19 in the NFT Market: Evidence from Multifractal Analysis. (2024). Kumar, Anoop S ; Ozdemir, Onur. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:3:d:10.1007_s10614-023-10522-z.

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2024Forecasting Realized US Stock Market Volatility: Is there a Role for Economic Policy Uncertainty?. (2024). Pierdzioch, Christian ; GUPTA, RANGAN ; Cepni, Oguzhan ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:202408.

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2024Idiosyncrasies of Intraday Risk in Emerging and Developed Markets: Efficacy of the MCS-GARCH Model and Extreme Value Theory. (2024). Paul, Samit ; Banerjee, Aditya. In: Global Business Review. RePEc:sae:globus:v:25:y:2024:i:2:p:468-490.

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2024A Comparative Study of Financial Crises: Fractal Dissection of Investor Rationality. (2024). Vats, Anshul ; Agarwal, Sonali. In: Vision. RePEc:sae:vision:v:28:y:2024:i:2:p:193-209.

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2025Monetary policy shocks and multi-scale positive and negative bubbles in an emerging country: the case of India. (2025). Gupta, Rangan ; Cepni, Oguzhan ; Nielsen, Joshua ; Nel, Jacobus. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00692-6.

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2025A Test for Trend Gradual Changes in Heavy Tailed AR (p) Sequences. (2025). Wei, Yuesong ; Xu, Tianming ; Jiang, Dong ; Wang, Chong. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:1:d:10.1007_s00362-024-01626-1.

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Works by Michel Dacorogna:

Year  ↓Title  ↓Type  ↓Cited  ↓
2001Multivariate extremes, aggregation and risk estimation In: CeNDEF Workshop Papers, January 2001.
[Citation analysis]		paper20
2001Multivariate extremes, aggregation and risk estimation.(2001) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 20		article
2013The impact of systemic risk on the diversification benefits of a risk portfolio In: Papers.
[Full Text][Citation analysis]		paper7
2013The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio.(2013) In: ESSEC Working Papers.
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This paper has nother version. Agregated cites: 7		paper
2014The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio.(2014) In: Risks.
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This paper has nother version. Agregated cites: 7		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 nother version. Agregated cites: 7		paper
2019Pro-Cyclicality of Traditional Risk Measurements: Quantifying and Highlighting Factors at its Source In: Papers.
[Full Text][Citation analysis]		paper3
2003Using the Scaling Analysis to Characterize Financial Markets In: Papers.
[Full Text][Citation analysis]		paper3
2004Using the Scaling Analysis to Characterize Financial Markets.(2004) In: Finance.
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This paper has nother version. Agregated cites: 3		paper
2004Long term memories of developed and emerging markets: using the scaling analysis to characterize their stage of development In: Papers.
[Full Text][Citation analysis]		paper205
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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This paper has nother version. Agregated cites: 205		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 nother version. Agregated cites: 205		paper
2001Consistent High-precision Volatility from High-frequency Data In: Economic Notes.
[Full Text][Citation analysis]		article43
2004Consistent high-precision volatility from high-frequency data.(2004) In: Finance.
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This paper has nother version. Agregated cites: 43		paper
2017The Price of Being a Systemically Important Financial Institution (SIFI) In: International Review of Finance.
[Full Text][Citation analysis]		article1
2016The Price of Being a Systemically Important Financial Institution (SIFI).(2016) In: MPRA Paper.
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This paper has nother version. Agregated cites: 1		paper
2023Pro‐cyclicality beyond business cycle In: Mathematical Finance.
[Full Text][Citation analysis]		article0
2001Time-to-Expiry Seasonalities in Eurofutures In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article1
2015Un changement de paradigme pour l’assurance In: Revue d'économie financière.
[Full Text][Citation analysis]		article0
2024Allocating Capital to Time: Introducing Credit Migration for Measuring Time-Related Risks In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2024Allocating Capital to Time: Introducing Credit Migration for Measuring Time-Related Risks.(2024) In: MPRA Paper.
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This paper has nother version. Agregated cites: 0		paper
2018A change of paradigm for the insurance industry In: Annals of Actuarial Science.
[Full Text][Citation analysis]		article1
2018Validation of aggregated risks models In: Annals of Actuarial Science.
[Full Text][Citation analysis]		article1
2010Robust Estimation of Reserve Risk In: ASTIN Bulletin.
[Full Text][Citation analysis]		article2
2015Living in a Stochastic World and Managing Complex Risks In: ESSEC Working Papers.
[Full Text][Citation analysis]		paper3
2015Living in a Stochastic World and Managing Complex Risks.(2015) In: MPRA Paper.
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This paper has nother version. Agregated cites: 3		paper
2015Explicit diversifiction benefit for dependent risks In: ESSEC Working Papers.
[Full Text][Citation analysis]		paper1
2015Explicit diversification benefit for dependent risks.(2015) In: Working Papers.
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This paper has nother version. Agregated cites: 1		paper
2016Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study In: ESSEC Working Papers.
[Full Text][Citation analysis]		paper0
2016Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study.(2016) In: Working Papers.
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This paper has nother version. Agregated cites: 0		paper
2018Predicting risk with risk measures : an empirical study In: ESSEC Working Papers.
[Full Text][Citation analysis]		paper2
2018Predicting risk with risk measures : an empirical study.(2018) In: Working Papers.
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This paper has nother version. Agregated cites: 2		paper
2003Foreign exchange trading models and market behavior In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article22
2023Building 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]		article4
1997Volatilities of different time resolutions -- Analyzing the dynamics of market components In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article353
1999The intraday multivariate structure of the Eurofutures markets In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article7
2006From default probabilities to credit spreads: Credit risk models do explain market prices In: Finance Research Letters.
[Full Text][Citation analysis]		article7
2005From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices.(2005) In: Finance.
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This paper has nother version. Agregated cites: 7		paper
1990Statistical 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]		article185
1993A 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]		article279
2001An Introduction to High-Frequency Finance In: Elsevier Monographs.
[Full Text][Citation analysis]		book492
2001Effective return, risk aversion and drawdowns In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article12
2003Scaling behaviors in differently developed markets In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article128
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: 0-12-279671-3 In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article0
2022Special Issue “Cyber Risk and Security” In: Risks.
[Full Text][Citation analysis]		article0
2023How to Gain Confidence in the Results of Internal Risk Models? Approaches and Techniques for Validation In: Risks.
[Full Text][Citation analysis]		article1
2018One-Year Change Methodologies for Fixed-Sum Insurance Contracts In: Risks.
[Full Text][Citation analysis]		article1
2016Risk neutral versus real-world distribution on puclicly listed bank corporations In: Working Papers.
[Full Text][Citation analysis]		paper0
2002Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates In: International Economic Review.
[Full Text][Citation analysis]		article27
2009How Much Capital Does a Reinsurance Need? In: The Geneva Papers on Risk and Insurance - Issues and Practice.
[Full Text][Citation analysis]		article5
2008Risk aggregation, dependence structure and diversification benefit In: MPRA Paper.
[Full Text][Citation analysis]		paper4
2004Bootstrapping the economy -- a non-parametric method of generating consistent future scenarios In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2010Estimating the risk-adjusted capital is an affair in the tails In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2016A General framework for modelling mortality to better estimate its relationship with interest rate risks In: MPRA Paper.
[Full Text][Citation analysis]		paper6
2017Approaches and Techniques to Validate Internal Model Results In: MPRA Paper.
[Full Text][Citation analysis]		paper1
2017On the diversification benefit of reinsurance portfolios In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2005Is the gamma risk of options insurable? In: MPRA Paper.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		article163
1995Heterogeneous real-time trading strategies in the foreign exchange market In: The European Journal of Finance.
[Full Text][Citation analysis]		article28
2001Defining efficiency in heterogeneous markets In: Quantitative Finance.
[Full Text][Citation analysis]		article14
2003Reflections on risk In: Quantitative Finance.
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In: .
[Full Text][Citation analysis]		article2
2019Improving the Forecast of Longevity by Combining Models In: North American Actuarial Journal.
[Full Text][Citation analysis]		article1
On the intra-daily performance of GARCH processes In: Working Papers.
[Full Text][Citation analysis]		paper8
Unveiling Non Linearities Through Time Scale Transformations In: Working Papers.
[Full Text][Citation analysis]		paper0
The Error of Statistical Volatility of Intra-daily Quoted Price Changes Observed over a Time Interval In: Working Papers.
[Full Text][Citation analysis]		paper0
How heavy are the the tails of a stationary HARCH(k) process? - A study of the moments In: Working Papers.
[Full Text][Citation analysis]		paper0
Genetic Algorithms with collective sharing for Robust Optimization in Financial Applications In: Working Papers.
[Full Text][Citation analysis]		paper1
Fractals and Intrinsic Time - a Challenge to Econometricians In: Working Papers.
[Full Text][Citation analysis]		paper8
The Main Ingredients of Simple Trading Models for Use in Genetic Algorithm Optimization In: Working Papers.
[Full Text][Citation analysis]		paper0
The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets In: Working Papers.
[Full Text][Citation analysis]		paper11
Going Back to the Basics - Rethinking Market Efficiency In: Working Papers.
[Full Text][Citation analysis]		paper4
A Measure of the Trading Model Performance with a Risk Component In: Working Papers.
[Full Text][Citation analysis]		paper0
1996Hill, Bootstrap and Jackknife Estimators for Heavy Tails In: Working Papers.
[Full Text][Citation analysis]		paper16
1996Heavy tails in high-frequency financial data In: Working Papers.
[Full Text][Citation analysis]		paper11
2004Introducing a scale of market shocks In: Finance.
[Full Text][Citation analysis]		paper0
2003How Much Reinsurance Do You Really Need? A Case Study. In: Risk and Insurance.
[Full Text][Citation analysis]		paper0
2003Dynamic Financial Analysis - Understanding Risk and Value Creation in Insurance In: Risk and Insurance.
[Full Text][Citation analysis]		paper0
2003Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment In: Risk and Insurance.
[Full Text][Citation analysis]		paper16
2003Extreme Moves in Foreign Exchange Rates and Risk Limit Setting In: Risk and Insurance.
[Full Text][Citation analysis]		paper1
2003Performance and Risk Measurement Challenges For Hedge Funds: Empirical Considerations In: Risk and Insurance.
[Full Text][Citation analysis]		paper1
2000MEASURING SHOCK IN FINANCIAL MARKETS In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article4

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