Michel Dacorogna : Citation Profile


Are you Michel Dacorogna?

14

H index

18

i10 index

2018

Citations

RESEARCH PRODUCTION:

33

Articles

46

Papers

1

Books

RESEARCH ACTIVITY:

   33 years (1990 - 2023). See details.
   Cites by year: 61
   Journals where Michel Dacorogna has often published
   Relations with other researchers
   Recent citing documents: 46.    Total self citations: 25 (1.22 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pda56
   Updated: 2024-01-16    RAS profile: 2023-11-07    
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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)

GUPTA, RANGAN (30)

Caporin, Massimiliano (28)

Tabak, Benjamin (21)

MORANA, CLAUDIO (18)

Shephard, Neil (18)

Nielsen, Morten (17)

Ranaldo, Angelo (17)

Cites to:

Olsen, Richard (15)

Bollerslev, Tim (13)

Lebaron, Blake (10)

Repullo, Rafael (7)

ausloos, marcel (7)

Suarez, Javier (5)

Tasche, Dirk (5)

merton, robert (4)

Lok, Yen (4)

Lucas, Andre (4)

Pelletier, Denis (3)

Main data


Where Michel Dacorogna has published?


Journals with more than one article published# docs
Risks4
Quantitative Finance3
Physica A: Statistical Mechanics and its Applications2
Journal of Empirical Finance2
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
Risk and Insurance / University Library of Munich, Germany5
Working Papers / HAL5
Papers / arXiv.org4
Finance / University Library of Munich, Germany4

Recent works citing Michel Dacorogna (2024 and 2023)


YearTitle of citing document
2023Diversification Quotients: Quantifying Diversification via Risk Measures. (2022). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2206.13679.

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2023Precision measurement of the return distribution property of the Chinese stock market index. (2022). Zheng, Yanyan ; Liu, Peng. In: Papers. RePEc:arx:papers:2209.08521.

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2023A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208.

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2023Optimal Cross-Correlation Estimates from Asynchronous Tick-by-Tick Trading Data. (2023). Press, William H. In: Papers. RePEc:arx:papers:2303.16153.

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2023Efficient 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.

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2023Incident-Specific Cyber Insurance. (2023). Zhang, Linfeng ; Quan, Zhiyu ; Linders, Daniel ; Chong, Wing Fung. In: Papers. RePEc:arx:papers:2308.00921.

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2023New general dependence measures: construction, estimation and application to high-frequency stock returns. (2023). Leeuwenkamp, Aleksy ; Hu, Wentao. In: Papers. RePEc:arx:papers:2309.00025.

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2023From 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.

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2023On changepoint detection in functional data using empirical energy distance. (2023). Trapani, Lorenzo ; Horv, Lajos ; Boniece, Cooper B. In: Papers. RePEc:arx:papers:2310.04853.

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2023Revisiting 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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2023A 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.

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2023Investor 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.

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2023Hurst 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.

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2023Time 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.

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2023Co-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.

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2023Volatility 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.

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2023A 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.

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2023Does 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.

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2023Volatility 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.

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2023US 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.

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2023A 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.

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2023Climate 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.

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2023The 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.

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2023Dependence 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.

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2023Incorporating 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.

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2023Impact 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.

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2023Abnormal 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.

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2023Disentangling 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.

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2023Effects 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.

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2023Multiscale 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.

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2023EFFICIENT 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.

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2023CO2 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.

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2023Monetary 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.

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2023Stock 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.

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2023Gold-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.

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2023Financial 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.

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2023Do 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.

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2023Diversification 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.

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2023Heterogeneous 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.

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2023Time?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.

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2023Trading 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.

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2023El 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.

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2023.

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2023Explaining 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.

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Works by Michel Dacorogna:


YearTitleTypeCited
2001Multivariate extremes, aggregation and risk estimation In: CeNDEF Workshop Papers, January 2001.
[Citation analysis]
paper19
2001Multivariate extremes, aggregation and risk estimation.(2001) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 19
article
2013The impact of systemic risk on the diversification benefits of a risk portfolio In: Papers.
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paper6
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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This paper has nother version. Agregated cites: 6
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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: 6
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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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.
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paper195
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: 195
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: 195
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 nother 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 nother version. Agregated cites: 1
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2023Pro?cyclicality beyond business cycle In: Mathematical Finance.
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article0
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 nother version. Agregated cites: 2
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2015Explicit diversifiction benefit for dependent risks In: ESSEC Working Papers.
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2015Explicit diversification benefit for dependent risks.(2015) In: Working Papers.
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This paper has nother version. Agregated cites: 1
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2016Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study In: ESSEC Working Papers.
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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
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2018Predicting risk with risk measures : an empirical study In: ESSEC Working Papers.
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2018Predicting risk with risk measures : an empirical study.(2018) In: Working Papers.
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This paper has nother version. Agregated cites: 2
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2003Foreign exchange trading models and market behavior In: Journal of Economic Dynamics and Control.
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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.
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article3
1997Volatilities of different time resolutions -- Analyzing the dynamics of market components In: Journal of Empirical Finance.
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article331
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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article6
2005From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices.(2005) In: Finance.
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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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article182
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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article281
2001An Introduction to High-Frequency Finance In: Elsevier Monographs.
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book480
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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article126
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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2022Special Issue “Cyber Risk and Security” In: Risks.
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article0
2023How to Gain Confidence in the Results of Internal Risk Models? Approaches and Techniques for Validation In: Risks.
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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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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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2008Risk aggregation, dependence structure and diversification benefit In: MPRA Paper.
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2004Bootstrapping the economy -- a non-parametric method of generating consistent future scenarios In: MPRA Paper.
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2010Estimating the risk-adjusted capital is an affair in the tails In: MPRA Paper.
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2016A General framework for modelling mortality to better estimate its relationship with interest rate risks In: MPRA Paper.
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2017Approaches and Techniques to Validate Internal Model Results In: MPRA Paper.
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2017On the diversification benefit of reinsurance portfolios In: MPRA Paper.
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2005Is the gamma risk of options insurable? In: MPRA Paper.
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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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article135
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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2003Reflections on risk In: Quantitative Finance.
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In: .
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2019Improving the Forecast of Longevity by Combining Models In: North American Actuarial Journal.
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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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The Error of Statistical Volatility of Intra-daily Quoted Price Changes Observed over a Time Interval In: Working Papers.
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How heavy are the the tails of a stationary HARCH(k) process? - A study of the moments In: Working Papers.
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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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The Main Ingredients of Simple Trading Models for Use in Genetic Algorithm Optimization In: Working Papers.
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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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A Measure of the Trading Model Performance with a Risk Component In: Working Papers.
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1996Hill, Bootstrap and Jackknife Estimators for Heavy Tails In: Working Papers.
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1996Heavy tails in high-frequency financial data In: Working Papers.
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2004Introducing a scale of market shocks In: Finance.
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2003How Much Reinsurance Do You Really Need? A Case Study. In: Risk and Insurance.
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2003Dynamic Financial Analysis - Understanding Risk and Value Creation in Insurance In: Risk and Insurance.
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2003Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment In: Risk and Insurance.
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2003Extreme Moves in Foreign Exchange Rates and Risk Limit Setting In: Risk and Insurance.
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2003Performance and Risk Measurement Challenges For Hedge Funds: Empirical Considerations In: Risk and Insurance.
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2000MEASURING SHOCK IN FINANCIAL MARKETS In: International Journal of Theoretical and Applied Finance (IJTAF).
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