Michel Dacorogna : Citation Profile

Are you Michel Dacorogna?

14

H index

18

i10 index

2076

Citations

RESEARCH PRODUCTION:

31

Articles

46

Papers

1

Books

RESEARCH ACTIVITY:

   33 years (1990 - 2023). See details.
   Cites by year: 62
   Journals where Michel Dacorogna has often published
   Relations with other researchers
   Recent citing documents: 89.    Total self citations: 25 (1.19 %)

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   Permalink: http://citec.repec.org/pda56
   Updated: 2024-12-03    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)

GUPTA, RANGAN (38)

Krištoufek, Ladislav (38)

Diebold, Francis (36)

Pierdzioch, Christian (31)

Caporin, Massimiliano (30)

Tabak, Benjamin (21)

Shephard, Neil (18)

MORANA, CLAUDIO (18)

Ranaldo, Angelo (17)

Cites to:

Olsen, Richard (15)

Bollerslev, Tim (13)

Lebaron, Blake (9)

ausloos, marcel (7)

Repullo, Rafael (7)

Suarez, Javier (5)

merton, robert (4)

Lucas, Andre (4)

Tasche, Dirk (4)

de Vries, Casper (3)

Scholes, Myron (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
Annals of Actuarial Science2
Journal of Empirical Finance2
Journal of Banking & Finance2

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
ESSEC Working Papers / ESSEC Research Center, ESSEC Business School5
Working Papers / HAL5
Papers / arXiv.org4
Finance / University Library of Munich, Germany4

Recent works citing Michel Dacorogna (2024 and 2023)

YearTitle 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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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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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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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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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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2023Regime-dependent effects of macroeconomic uncertainty on realized volatility in the U.S. stock market. (2023). Garrett, Ian ; Liu, Wei. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s026499932300295x.

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2023Do decreases in Distance-to-Default predict rating downgrades?. (2023). Singh, Manish ; Aggarwal, Nidhi ; Thomas, Susan. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s026499932300370x.

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2023Score-driven models for realized volatility. (2023). Palumbo, Dario ; Harvey, Andrew. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001422.

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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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2023Forecasting realized volatility with wavelet decomposition. (2023). Vivian, Andrew ; Souropanis, Ioannis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000993.

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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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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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2023Transmission mechanisms of geopolitical risks to the crude oil market——A pioneering two-stage geopolitical risk analysis approach. (2023). Yin, Jun-Ping ; Jiao, Jing-Wen ; Liu, Yuan ; Zhang, Juan ; Xu, Ping-Feng. In: Energy. RePEc:eee:energy:v:283:y:2023:i:c:s0360544223018431.

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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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2023Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures. (2023). Haugom, Erik ; Hadina, Jelena ; Ewald, Christian ; Yahya, Muhammad ; Stordal, Stle ; Lien, Gudbrand. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s154461232300288x.

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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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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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2023Climate risks and state-level stock market realized volatility. (2023). Pierdzioch, Christian ; GUPTA, RANGAN ; Cepni, Oguzhan ; Bonato, Matteo. In: Journal of Financial Markets. RePEc:eee:finmar:v:66:y:2023:i:c:s1386418123000526.

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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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2023Brazilian stock-market efficiency before and after COVID-19: The roles of fractality and predictability. (2023). Santos, Leandro Dos. In: Global Finance Journal. RePEc:eee:glofin:v:58:y:2023:i:c:s1044028323000820.

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2023Diversification quotients based on VaR and ES. (2023). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:185-197.

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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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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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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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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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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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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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2023Interoperability of the revolutionary blockchain architectures and Islamic and conventional technology markets: Case of Metaverse, HPB, and Bloknet. (2023). Rashidi, Muhammad Mahdi ; Asl, Mahdi Ghaemi ; Zhao, Xin ; Shahzad, Umer ; Vasa, Laszlo. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:92:y:2023:i:c:p:112-131.

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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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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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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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2023A factor pricing model based on double moving average strategy. (2023). Fang, YI ; Chen, Yuzhi ; Wei, Jian ; Li, Xinyue. In: Palgrave Communications. RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-023-02362-x.

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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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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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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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2023Forecasting 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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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]		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.
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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 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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2003Using the Scaling Analysis to Characterize Financial Markets In: Papers.
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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]		paper203
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: 203		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: 203		paper
2001Consistent High-precision Volatility from High-frequency Data In: Economic Notes.
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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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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.
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2015Un changement de paradigme pour l’assurance In: Revue d'économie financière.
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2018A change of paradigm for the insurance industry In: Annals of Actuarial Science.
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2018Validation of aggregated risks models In: Annals of Actuarial Science.
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2010Robust Estimation of Reserve Risk In: ASTIN Bulletin.
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2015Living in a Stochastic World and Managing Complex Risks In: ESSEC Working Papers.
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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		paper
2015Explicit diversifiction benefit for dependent risks In: ESSEC Working Papers.
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