Michel Dacorogna : Citation Profile

15

H index

18

i10 index

2198

Citations

RESEARCH PRODUCTION:

34

Articles

48

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   34 years (1990 - 2024). See details.
   Cites by year: 64
   Journals where Michel Dacorogna has often published
   Relations with other researchers
   Recent citing documents: 71.    Total self citations: 26 (1.17 %)

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   Permalink: http://citec.repec.org/pda56
   Updated: 2026-05-02    RAS profile: 2026-04-12    
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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 (79)

Andersen, Torben (63)

GUPTA, RANGAN (43)

Krištoufek, Ladislav (38)

Diebold, Francis (36)

Pierdzioch, Christian (33)

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)

Repullo, Rafael (7)

ausloos, marcel (7)

Tasche, Dirk (5)

Suarez, Javier (5)

Lok, Yen (4)

Lucas, Andre (4)

merton, robert (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
Scandinavian Actuarial Journal2
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, Germany10
Working Papers / HAL5
ESSEC Working Papers / ESSEC Research Center, ESSEC Business School5
Risk and Insurance / University Library of Munich, Germany5
Finance / University Library of Munich, Germany4
Papers / arXiv.org4

Recent works citing Michel Dacorogna (2026 and 2025)

YearTitle of citing document
2025From constant to rough: A survey of continuous volatility modeling. (2023). Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia ; Yurchenko-Tytarenko, Anton. In: Papers. RePEc:arx:papers:2309.01033.

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2024Detecting Structural breakpoints in natural gas and electricity wholesale prices via Bayesian ensemble approach, in the era of energy prices turmoil of 2022 period: the cases of ten European markets. (2024). Gavalakis, George ; Evangelidis, George ; Papaioannou, George P. In: Papers. RePEc:arx:papers:2410.07224.

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2024Approaching multifractal complexity in decentralized cryptocurrency trading. (2024). Zd, Stanislaw Dro ; Stanisz, Tomasz ; Kwapie, Jaroslaw ; Kr, Marcin ; Wkatorek, Marcin. In: Papers. RePEc:arx:papers:2411.05951.

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2025A Modern Paradigm for Algorithmic Trading. (2025). Glattfelder, James ; Houweling, Thomas ; 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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2026Jointly Exchangeable Collective Risk Models: Interaction, Structure, and Limit Theorems. (2025). Weber, Stefan ; Gaigall, Daniel. In: Papers. RePEc:arx:papers:2504.06287.

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2025Impact of the COVID-19 pandemic on the financial market efficiency of price returns, absolute returns, and volatility increment: Evidence from stock and cryptocurrency markets. (2025). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:2504.18960.

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2025Equity Premium Prediction: Taking into Account the Role of Long, even Asymmetric, Swings in Stock Market Behavior. (2025). Ausloos, Marcel ; Un, Kuok Sin. In: Papers. RePEc:arx:papers:2509.10483.

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2025Who sets the range? Funding mechanics and 4h context in crypto markets. (2025). Taufikin, Taufikin ; Hani, Mohamed ; Badawi, Habib. In: Papers. RePEc:arx:papers:2601.06084.

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2026Multiscaling in the Rough Bergomi Model: A Tale of Tails. (2026). di Matteo, Tiziana ; Brandi, Giuseppe. In: Papers. RePEc:arx:papers:2601.11305.

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2026Realised quantile-based estimation of the integrated variance. (2026). Oomen, Roel ; Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.13006.

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2026The Impact of Trump-Era Tariffs on Financial Market Efficiency. (2026). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:2602.00548.

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2026VOLatility Archive for Realized Estimates (VOLARE). (2026). Spagnolo, Fabio ; Otranto, Edoardo ; Gallo, Giampiero ; Insana, Alessandra ; Cruciani, Giulia ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2602.19732.

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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). Wadud, Sania ; Gronwald, Marc ; Dogah, Kingsley. 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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2025Optimal portfolio selection of Chinas green bond and stock markets: Evidence from the multi-frequency extreme risk connectedness. (2025). Dai, Jing ; Huang, Wei-Qiang. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:85:y:2025:i:c:p:208-237.

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2025Stock market volatility and multi-scale positive and negative bubbles. (2025). Nel, Jacobus ; Gupta, Rangan ; Pierdzioch, Christian ; Nielsen, Joshua. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002250.

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2025A multifaceted graph-wise network analysis of sector-based financial instruments’ price-based discrepancies with diverse statistical interdependencies. (2025). Kim, Woo Chang ; Choi, Insu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pb:s1062940824002419.

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2025Can we put green bonds in a single basket?. (2025). Zeitun, Rami ; Nautiyal, Neeraj ; Ur, Mobeen ; Saleh, Mamdouh Abdulaziz ; Vo, Xuan Vinh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:80:y:2025:i:c:s1062940825001585.

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2025Multiplicative factor model for volatility. (2025). Engle, Robert ; Ding, Yi ; Zheng, Xinghua ; Li, Yingying. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000132.

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2025On changepoint detection in functional data using empirical energy distance. (2025). Horvath, Lajos ; Trapani, Lorenzo ; Horvth, Lajos ; Boniece, Cooper B. In: Journal of Econometrics. RePEc:eee:econom:v:250:y:2025:i:c:s0304407625000776.

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2025Navigating crude oil volatility forecasts: Assessing the contribution of geopolitical risk. (2025). Filis, George ; Degiannakis, Stavros ; Delis, Panagiotis. In: Energy Economics. RePEc:eee:eneeco:v:148:y:2025:i:c:s0140988325004189.

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2025Market efficiency across intra-daily sampling frequencies for Brent crude oil futures. (2025). Ewald, Christian-Oliver ; Haugom, Erik ; Smith-Meyer, Erik. In: International Review of Financial Analysis. RePEc:eee:finana:v:105:y:2025:i:c:s1057521925005113.

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2025The disposition effect and market volatility prediction. (2025). Cui, Xudong ; Liu, Tong ; Gong, PU. In: International Review of Financial Analysis. RePEc:eee:finana:v:108:y:2025:i:pb:s1057521925008063.

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2025Insider filings as trading signals — Does it pay to be fast?. (2025). Oenschlger, Eike ; Mllenhoff, Steffen. In: Finance Research Letters. RePEc:eee:finlet:v:72:y:2025:i:c:s1544612324015435.

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2025Approximations of multi-period liability values by simple formulas. (2025). Engler, Nils ; Lindskog, Filip. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:123:y:2025:i:c:s0167668725000599.

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2025Floating exchange rate efficiency: Grouping patterns and pandemic impacts. (2025). Portela, Jose ; Rodriguez-Gallego, Alejandro ; Corzo, Teresa ; Martin-Bujack, Karin. In: International Economics. RePEc:eee:inteco:v:182:y:2025:i:c:s2110701725000149.

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2025Multiscale foreign exchange dynamics in India: A wavelet approach. (2025). CHAUBAL, ADITI ; Padha, Vimarsh. In: International Economics. RePEc:eee:inteco:v:184:y:2025:i:c:s2110701725000757.

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2025Exchange rate regime changes and market efficiency: An event study. (2025). Portela, Jose ; Martin-Bujack, Karin ; Corzo, Teresa ; Rodrguez-Gallego, Alejandro. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:100:y:2025:i:c:s1042443125000228.

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2025Forecasting the realized variance in the presence of intraday periodicity. (2025). Hizmeri, Rodrigo ; Izzeldin, Marwan ; Maria, Ana. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002565.

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2026A global assessment of banks’ capacity to support the energy transition: Evidence from developed and emerging markets. (2026). Tachy, Marcelo Martins ; Santos, Layla Dos ; Vasconcelos, Glucia Fernandes. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:160:y:2026:i:c:s0261560625002037.

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2025A parsimonious dynamic mixture for heavy-tailed distributions. (2025). Bee, Marco. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:230:y:2025:i:c:p:193-206.

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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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2025Analyzing clustered factors in the cryptocurrency market with Random Matrix Theory. (2025). Mattera, Raffaele ; Gonzlez, Laura Molero ; Cerqueti, Roy ; Snchez, Miguel Ngel ; Trinidad, Juan Evangelista. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:665:y:2025:i:c:s0378437125001256.

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2025Trends and reversion in financial markets on time scales from minutes to decades. (2025). Schmidhuber, Christof ; Safari, Sara A. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:675:y:2025:i:c:s0378437125004480.

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2025Who’s more efficient and drives others? Profit sharing rates vs. deposit rates. (2025). Ajmi, Ahdi Noomen ; Hammoudeh, Shawkat ; Gk, Remzi. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:99:y:2025:i:c:s106297692400156x.

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2026How do return and volatility spillovers shape futures markets? Insights from index, commodity, and carbon emission futures. (2026). Samarakoon, S. M. R. K., ; Pradhan, Rudra P. In: Renewable Energy. RePEc:eee:renene:v:256:y:2026:i:pd:s0960148125017744.

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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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2025Measuring multi-scale risk contagion between crude oil, clean energy, and stock market: A MODWT-Vine-copula method. (2025). Zhu, Huiming ; Chen, Yaling ; Liu, Yinpeng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531925000467.

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2025Risk spillover effect and portfolio strategy between Chinese commodity futures market and international green finance market. (2025). Mao, Xiaodan ; Liu, Jian ; Chen, Chaoqiang. In: Research in International Business and Finance. RePEc:eee:riibaf:v:79:y:2025:i:c:s0275531925003320.

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2025Preemptive facility interdiction under damage uncertainty. (2025). Farahani, Reza Zanjirani ; Esmaeeli, Hossein ; Seifi, Abbas ; Noorizadegan, Mahdi. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:197:y:2025:i:c:s136655452500122x.

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2024Anti-Persistent Values of the Hurst Exponent Anticipate Mean Reversion in Pairs Trading: The Cryptocurrencies Market as a Case Study. (2024). Borondo, Javier ; Losada, Juan Carlos ; Grande, Mar. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:18:p:2911-:d:1480990.

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2025A New Two-Component Hybrid Model for Highly Right-Skewed Data: Estimation Algorithm and Application to Rainfall Data from South Tyrol, Italy. (2025). Osatohanmwen, Patrick. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:18:p:2987-:d:1750264.

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2025An Analytical Review of Cyber Risk Management by Insurance Companies: A Mathematical Perspective. (2025). Carannante, Maria ; Mazzoccoli, Alessandro. In: Risks. RePEc:gam:jrisks:v:13:y:2025:i:8:p:144-:d:1714534.

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

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2025Identifying Safe Haven Assets: Evidence from Fractal Market Hypothesis. (2025). Niveditha, P S. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:1:d:10.1007_s10614-024-10572-x.

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2025Explaining the Stylized Facts of Foreign Exchange Markets with a Simple Agent-based Version of Paul de Grauwe’s Chaotic Exchange Rate Model. (2025). Westerhoff, Frank ; Mignot, Sarah. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:2:d:10.1007_s10614-024-10546-z.

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2025Modelling Mixed-Frequency Time Series with Structural Change. (2025). Barrios, Erniel ; Matthew, Adrian. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:6:d:10.1007_s10614-024-10672-8.

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2025Measuring and Forecasting Stock Market Volatilities with High-Frequency Data. (2025). Vo, Minh. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:6:d:10.1007_s10614-024-10674-6.

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2025Sovereign bond yield and cryptocurrency returns within the frontier West African monetary zone: a dynamic contagion analysis. (2025). Ofori-Boateng, Kenneth ; Amewu, Godfred ; Gyamfi, Emmanuel Numapau ; Adom-Dankwa, Akwasi ; Atsu, Francis. In: Palgrave Communications. RePEc:pal:palcom:v:12:y:2025:i:1:d:10.1057_s41599-025-04599-0.

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2025An artificial market model for the forex market. (2025). Yokouchi, Daisuke ; Sasaki, Kimihiko. In: Palgrave Communications. RePEc:pal:palcom:v:12:y:2025:i:1:d:10.1057_s41599-025-04605-5.

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2025Corporate Earnings Announcements and Stock Market Bubbles. (2025). Cepni, Oguzhan ; Can, Ufuk ; Bouri, Elie ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:202543.

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2026From Supply-Chain Disruptions to Speculative Exuberance: How Energy Transportation Uncertainty Drives Oil Price Bubbles. (2026). GUPTA, RANGAN ; Cepni, Oguzhan ; Can, Ufuk ; Polat, Onur. In: Working Papers. RePEc:pre:wpaper:202608.

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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). Agarwal, Sonali ; Vats, Anshul. In: Vision. RePEc:sae:vision:v:28:y:2024:i:2:p:193-209.

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2024Asymptotics for credit portfolio losses due to defaults in a multi-sector model. (2024). Zhang, Zhimin ; Yang, Yang ; Chen, Shaoying. In: Annals of Operations Research. RePEc:spr:annopr:v:337:y:2024:i:1:d:10.1007_s10479-024-05934-5.

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2025Long-range dependence and asset return anomaly. (2025). Xiang, Yun ; Deng, Shijie. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06376-9.

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2025Correlation and price spillover effects among green assets. (2025). Tiwari, Aviral ; Aikins, Emmanuel Joel ; Kumar, Satish. In: Annals of Operations Research. RePEc:spr:annopr:v:347:y:2025:i:1:d:10.1007_s10479-024-06154-7.

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2025Lee–Carter model: assessing the potential to capture gender-related mortality dynamics. (2025). Sibillo, Marilena ; Apicella, Giovanna ; Piscopo, Gabriella ; di Lorenzo, Emilia. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:48:y:2025:i:2:d:10.1007_s10203-023-00417-x.

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2025Dynamic predictive pattern of non-fungible tokens: insight from uncertainties, geopolitical risk, and market sentiments. (2025). Akorsu, Patrick Kwashie ; Woode, John Kingsley ; Bambir, John ; Adjei, Audrey Foriwaa. In: Digital Finance. RePEc:spr:digfin:v:7:y:2025:i:3:d:10.1007_s42521-025-00134-7.

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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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2025Coin impact on cross-crypto realized volatility and dynamic cryptocurrency volatility connectedness. (2025). Sahiner, Mehmet ; Korkusuz, Burak. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00881-x.

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2026Advances in forecasting realized volatility: a review of methodologies. (2026). Leushuis, Radmir Mishelevich ; Petkov, Nicolai. In: Financial Innovation. RePEc:spr:fininn:v:12:y:2026:i:1:d:10.1186_s40854-025-00809-5.

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2026Pattern-guided forecasting framework for metal price prediction with grouping decomposed series. (2026). Kim, Hoki ; Lee, Jaewook. In: Financial Innovation. RePEc:spr:fininn:v:12:y:2026:i:1:d:10.1186_s40854-025-00833-5.

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2025Dynamic interdependence between crude oil and the automobile equities amid uncertainties. (2025). Akorsu, Patrick Kwashie ; Kumordzie, Maxwell ; Agyei, Samuel Kwaku ; Woode, John Kingsley ; Adjei, Audrey Foriwaa. In: Future Business Journal. RePEc:spr:futbus:v:11:y:2025:i:1:d:10.1186_s43093-025-00526-6.

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2025Generative-Discriminative Machine Learning Models for High-Frequency Financial Regime Classification. (2025). Peters, Gareth W ; Koukorinis, Andreas ; Germano, Guido. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:27:y:2025:i:2:d:10.1007_s11009-025-10148-8.

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2026Herd investing and market inefficiency in forex markets over the COVID-19 outbreak: the multifractality analysis. (2026). Yalinta, Selin ; Zdemir, Onur. In: SN Business & Economics. RePEc:spr:snbeco:v:6:y:2026:i:3:d:10.1007_s43546-026-01072-1.

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

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2025Testing mean stationarity of intraday volatility curves. (2025). Andersen, Torben G ; Tan, Yingwen ; Todorov, Viktor ; Zhang, Zhiyuan. In: Quantitative Economics. RePEc:wly:quante:v:16:y:2025:i:3:p:1059-1091.

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Works by Michel Dacorogna:

YearTitleTypeCited
2001Multivariate extremes, aggregation and risk estimation In: CeNDEF Workshop Papers, January 2001.
[Citation analysis]		paper21
2001Multivariate extremes, aggregation and risk estimation.(2001) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 21		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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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.
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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.
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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: 215		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: 215		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: 44		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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This paper has nother version. Agregated cites: 1		paper
2023Pro‐cyclicality beyond business cycle In: Mathematical Finance.
[Full Text][Citation analysis]		article0
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