Michel Dacorogna : Citation Profile

Are you Michel Dacorogna?

14

H index

18

i10 index

2010

Citations

RESEARCH PRODUCTION:

28

Articles

46

Papers

1

Books

RESEARCH ACTIVITY:

   32 years (1990 - 2022). See details.
   Cites by year: 62
   Journals where Michel Dacorogna has often published
   Relations with other researchers
   Recent citing documents: 85.    Total self citations: 23 (1.13 %)

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   Permalink: http://citec.repec.org/pda56
   Updated: 2023-11-04    RAS profile: 2023-02-12    
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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)

Ranaldo, Angelo (17)

Nielsen, Morten (17)

Cites to:

Olsen, Richard (15)

Bollerslev, Tim (13)

Lebaron, Blake (9)

ausloos, marcel (7)

Repullo, Rafael (7)

Suarez, Javier (5)

Tasche, Dirk (4)

Lucas, Andre (4)

merton, robert (4)

Artzner, Philippe (3)

Pelletier, Denis (3)

Main data

Where Michel Dacorogna has published?

Journals with more than one article published# docs
Quantitative Finance3
Risks3
Annals of Actuarial Science2
Physica A: Statistical Mechanics and its Applications2
Journal of Banking & Finance2
Journal of Empirical Finance2

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

Recent works citing Michel Dacorogna (2023 and 2022)

YearTitle of citing document
2022Multifractal analysis of equities. Evidence from the emerging and frontier banking sectors. (2022). Raju, Raghavender G ; Guptha, Siva Kiran ; Poojari, Akash P. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(632):y:2022:i:3(632):p:61-80.

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2022Informational efficiency of credit ratings. (2022). Thomas, Susan ; Singh, Manish K ; Aggarwal, Nidhi. In: Working Papers. RePEc:anf:wpaper:14.

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

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

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2022A Dual Generalized Long Memory Modelling for Forecasting Electricity Spot Price: Neural Network and Wavelet Estimate. (2022). Belkacem, Lotfi ; Boubaker, Heni ; ben Amor, Souhir. In: Papers. RePEc:arx:papers:2204.08289.

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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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2022Precision 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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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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2022Moment?based estimation for the multivariate COGARCH(1,1) process. (2022). Stelzer, Robert ; Do, Thiago. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:49:y:2022:i:2:p:681-717.

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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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2022A relative vectorial multifractal formalism. (2022). Attia, Najmeddine ; Mahjoub, Amal. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:160:y:2022:i:c:s0960077922004313.

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2022Dynamic and frequency spillovers between green bonds, oil and G7 stock markets: Implications for risk management. (2022). Kang, Sanghoon ; Vo, Xuan Vinh ; Naeem, Muhammad Abubakr ; Mensi, Walid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:73:y:2022:i:c:p:331-344.

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

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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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2022Economic importance of correlations for energy and other commodities. (2022). Narayan, Paresh Kumar ; Bannigidadmath, Deepa. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000408.

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2022Multi-scale risk contagion among international oil market, Chinese commodity market and Chinese stock market: A MODWT-Vine quantile regression approach. (2022). Liu, Wenhua ; He, Shaoyi ; Dai, Zhifeng ; Wen, Fenghua. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001335.

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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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2022The economic value of high-frequency data in equity-oil hedge. (2022). Kuang, Wei. In: Energy. RePEc:eee:energy:v:239:y:2022:i:pa:s0360544221021526.

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2022Which cryptocurrency data sources should scholars use?. (2022). Vidal-Tomas, David. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000369.

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2022Multiscaling and rough volatility: An empirical investigation. (2022). di Matteo, T ; Brandi, Giuseppe. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922002757.

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2022Measuring informational efficiency of the European carbon market — A quantitative evaluation of higher order dependence. (2022). Gronwald, Marc ; Sattarhoff, Cristina. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922003532.

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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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2022Fresh evidence on the relationship between market power and default risk of Indian banks. (2022). Ahmad, Wasim ; Khan, Mohammad Azeem. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003639.

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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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2022Realizing correlations across asset classes. (2022). Elst, Harry Vander ; Olesen, Kasper V ; Lunde, Asger ; Gronborg, Niels S. In: Journal of Financial Markets. RePEc:eee:finmar:v:59:y:2022:i:pa:s1386418122000222.

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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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2022Valuing guaranteed minimum accumulation benefits by a change of numéraire approach. (2022). Xiong, Heng ; Mamon, Rogemar ; Huang, Yiming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:103:y:2022:i:c:p:1-26.

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2022Impact of different investment horizons in heterogeneous agent models: Do long-term traders bring market stability?. (2022). Nishiwaki, Takashi. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:196:y:2022:i:c:p:393-401.

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2022Social interaction, volatility clustering, and momentum. (2022). Shi, Lei ; Santi, Caterina ; Li, Kai ; He, Xue-Zhong. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:203:y:2022:i:c:p:125-149.

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2022Liquidity in the global currency market. (2022). de Magistris, Paolo Santucci ; Ranaldo, Angelo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:146:y:2022:i:3:p:859-883.

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2022On the tail behaviour of aggregated random variables. (2022). Tawn, Jonathan A ; Richards, Jordan. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:192:y:2022:i:c:s0047259x22000732.

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2022Cross-correlations between economic policy uncertainty and precious and industrial metals: A multifractal cross-correlation analysis. (2022). Ferreira, Paulo ; Bibi, Rashida ; Zil-e-huma,, ; Aslam, Faheem. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004815.

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2022Interconnectedness among commodities, the real sector of Ghana and external shocks. (2022). Adam, Anokye M ; Abeka, Mac Junior ; Yusuf, Mawusi Ayisat ; Quaicoe, Serebour ; Addison, Alex ; Asafo-Adjei, Emmanuel ; Boateng, Ebenezer. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721005183.

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2022Climate risks and forecastability of the realized volatility of gold and other metal prices. (2022). Pierdzioch, Christian ; GUPTA, RANGAN. In: Resources Policy. RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722001295.

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2022Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression. (2022). TILFANI, Oussama ; Krištoufek, Ladislav ; Ferreira, Paulo ; el Boukfaoui, My Youssef ; Kristoufek, Ladislav. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:588:y:2022:i:c:s0378437121008037.

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2022Simplified calculations of time correlation functions in non-stationary complex financial systems. (2022). Jiang, Xiong-Fei ; Li, Yan ; Zheng, BO ; Jin, Li-fu ; Zhang, Jiu. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:589:y:2022:i:c:s0378437121008736.

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2022A novel time-varying FIGARCH model for improving volatility predictions. (2022). Zhao, Lutao ; Zhang, Xinru ; Zhu, Hongli ; Chen, Xuehui. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:589:y:2022:i:c:s0378437121008839.

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2022Applying Hurst Exponent in pair trading strategies on Nasdaq 100 index. (2022). Lepaczuk, Robert ; Bui, Quynh. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:592:y:2022:i:c:s037843712100964x.

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2022Reducing systemic risk in a multi-layer network using reinforcement learning. (2022). Ku, Hyejin ; Le, Richard. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:605:y:2022:i:c:s0378437122006458.

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2022Dynamic risk resonance between crude oil and stock market by econophysics and machine learning. (2022). Tao, Chen ; Han, XU ; Xu, Ming-Zhe ; Li, Jiang-Cheng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:607:y:2022:i:c:s0378437122007701.

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2022A high-frequency approach to VaR measures and forecasts based on the HAR-QREG model with jumps. (2022). Song, Yuping ; Xu, Yang ; Huang, Jiefei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:608:y:2022:i:p1:s0378437122008111.

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2022Equity premium prediction: Taking into account the role of long, even asymmetric, swings in stock market behavior. (2022). Ausloos, Marcel ; Un, Kuok Sin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:608:y:2022:i:p1:s0378437122008433.

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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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2022Early market efficiency testing among hydrogen players. (2022). Saenz-Diez, Rocio ; Portela, Jose ; Martin-Bujack, Karin ; Santamaria, Teresa Corzo. In: International Review of Economics & Finance. RePEc:eee:reveco:v:82:y:2022:i:c:p:723-742.

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2022How to calm down the markets? The effects of COVID-19 economic policy responses on financial market uncertainty. (2022). Plihal, Toma ; Deev, Oleg. In: Research in International Business and Finance. RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531922000010.

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2022Regional imbalances of market efficiency in China’s pilot emission trading schemes (ETS): A multifractal perspective. (2022). Abedin, Mohammad Zoynul ; Zhang, Zhen ; Yang, Xiaoli ; Chai, Shanglei ; Lucey, Brian. In: Research in International Business and Finance. RePEc:eee:riibaf:v:63:y:2022:i:c:s0275531922001441.

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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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2022Co-Jumps, Co-Jump Tests, and Volatility Forecasting: Monte Carlo and Empirical Evidence. (2022). Yao, Chun ; Peng, Weijia. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:8:p:334-:d:874107.

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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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2023How to Gain Confidence in the Results of Internal Risk Models? Approaches and Techniques for Validation. (2023). Dacorogna, Michel. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:5:p:98-:d:1150550.

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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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2022Foreign Exchange Multivariate Multifractal Analysis. (2022). Malevergne, Yannick ; Jaffres, Laurent ; Senneret, Marc ; Jaffard, Stephane ; Wendt, Herwig ; Abry, Patrice. In: Post-Print. RePEc:hal:journl:hal-03735497.

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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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2022Directors and officers liability insurance and default risk. (2022). Huang, Li-Su . In: The Geneva Papers on Risk and Insurance - Issues and Practice. RePEc:pal:gpprii:v:47:y:2022:i:2:d:10.1057_s41288-020-00197-0.

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2022Climate Risks and State-Level Stock-Market Realized Volatility. (2022). Cepni, Oguzhan ; Gupta, Rangan ; Pierdzioch, Christian ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:202246.

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2022Business Applications and State-Level Stock Market Realized Volatility: A Forecasting Experiment. (2022). Pierdzioch, Christian ; Bonato, Matteo ; Cepni, Oguzhan ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:202247.

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2022Investor Sentiment and Multi-Scale Positive and Negative Stock Market Bubbles in a Panel of G7 Countries. (2022). GUPTA, RANGAN ; van Eyden, Renee ; Bouri, Elie ; Nielsen, Joshua. In: Working Papers. RePEc:pre:wpaper:202256.

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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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2022Autoencoding Conditional GAN for Portfolio Allocation Diversification. (2022). Yi, Shao ; Lu, Jun. In: Applied Economics and Finance. RePEc:rfa:aefjnl:v:9:y:2022:i:3:p:55-68.

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2022DeepPricing: pricing convertible bonds based on financial time-series generative adversarial networks. (2022). Wang, Shuyi ; Zhao, Xuejun ; Zhang, Zili ; Tan, Xiaoyu. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00369-y.

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2022Improvement in Hurst exponent estimation and its application to financial markets. (2022). Gomez-Aguila, A ; Trinidad-Segovia, J E ; Sanchez-Granero, M A. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00394-x.

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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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2022Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019). (2022). Vogl, Markus. In: SN Business & Economics. RePEc:spr:snbeco:v:2:y:2022:i:12:d:10.1007_s43546-022-00359-3.

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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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2022Global equity market volatility forecasting: New evidence. (2022). Ma, Feng ; Lei, Likun ; Wei, YU ; Liang, Chao. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:594-609.

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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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2022Measuring relative volatility in high?frequency data under the directional change approach. (2022). O'Hara, John ; Li, Shengnan. In: Intelligent Systems in Accounting, Finance and Management. RePEc:wly:isacfm:v:29:y:2022:i:2:p:86-102.

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2022Forecasting the volatility of agricultural commodity futures: The role of co?volatility and oil volatility. (2022). Luo, Jiawen ; Ji, Qiang ; Marfatia, Hardik A. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:2:p:383-404.

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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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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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2013The impact of systemic risk on the diversification benefits of a risk portfolio In: Papers.
[Full Text][Citation analysis]		paper6
2013The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio.(2013) In: ESSEC Working Papers.
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2014The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio.(2014) In: Risks.
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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 another version. Agregated cites: 6		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 another 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]		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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2005Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development.(2005) In: Econometrics.
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This paper has another version. Agregated cites: 195		paper
2001Consistent High-precision Volatility from High-frequency Data In: Economic Notes.
[Full Text][Citation analysis]		article42
2004Consistent high-precision volatility from high-frequency data.(2004) In: Finance.
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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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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
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]		article3
2015Living in a Stochastic World and Managing Complex Risks In: ESSEC Working Papers.
[Full Text][Citation analysis]		paper2
2015Living in a Stochastic World and Managing Complex Risks.(2015) In: MPRA Paper.
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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 another 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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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 another version. Agregated cites: 2		paper
2003Foreign exchange trading models and market behavior In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article22
1997Volatilities of different time resolutions -- Analyzing the dynamics of market components In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article325
1999The intraday multivariate structure of the Eurofutures markets In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article6
2006From default probabilities to credit spreads: Credit risk models do explain market prices In: Finance Research Letters.
[Full Text][Citation analysis]		article6
2005From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices.(2005) In: Finance.
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This paper has another version. Agregated cites: 6		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]		article181
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]		article281
2001An Introduction to High-Frequency Finance In: Elsevier Monographs.
[Full Text][Citation analysis]		book480
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]		article126
2022Special Issue “Cyber Risk and Security” In: Risks.
[Full Text][Citation analysis]		article0
2018One-Year Change Methodologies for Fixed-Sum Insurance Contracts In: Risks.
[Full Text][Citation analysis]		article2
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]		article23
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]		paper3
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]		paper5
2017Approaches and Techniques to Validate Internal Model Results In: MPRA Paper.
[Full Text][Citation analysis]		paper0
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]		article134
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]		article10
2003Reflections on risk In: Quantitative Finance.
[Full Text][Citation analysis]		article0
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]		paper15
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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