Access Statistics for Michel Dacorogna

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Measure of the Trading Model Performance with a Risk Component 0 1 3 147 0 1 10 301
Consistent high-precision volatility from high-frequency data 4 9 50 286 8 22 111 516
Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment 11 18 109 1,028 38 78 334 1,725
Dynamic Financial Analysis - Understanding Risk and Value Creation in Insurance 19 44 175 1,239 62 152 463 2,473
Extreme Moves in Foreign Exchange Rates and Risk Limit Setting 4 15 44 361 15 45 146 911
Fractals and Intrinsic Time - a Challenge to Econometricians 2 5 32 240 7 24 96 631
From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices 11 27 117 509 25 80 306 1,063
Genetic Algorithms with collective sharing for Robust Optimization in Financial Applications 3 5 16 263 4 7 33 682
Going Back to the Basics - Rethinking Market Efficiency 2 5 13 210 2 5 21 409
Heavy tails in high-frequency financial data 0 8 35 439 1 16 59 725
Hill, Bootstrap and Jackknife Estimators for Heavy Tails 1 8 26 398 2 15 58 745
How Much Reinsurance Do You Really Need? A Case Study 6 14 46 447 18 47 144 780
How heavy are the the tails of a stationary HARCH(k) process? - A study of the moments 1 4 9 149 4 7 22 360
Introducing a scale of market shocks 3 9 26 151 8 18 59 342
Is the gamma risk of options insurable? 2 4 4 4 9 15 15 15
Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development 4 10 31 163 13 29 79 324
Multivariate extremes, aggregation and risk estimation 0 0 0 0 2 14 45 683
On the intra-daily performance of GARCH processes 1 2 9 225 1 4 18 499
Performance and Risk Measurement Challenges For Hedge Funds: Empirical Considerations 4 18 150 869 15 49 308 1,367
The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets 2 6 13 166 5 13 37 413
The Error of Statistical Volatility of Intra-daily Quoted Price Changes Observed over a Time Interval 0 3 7 141 4 11 40 488
The Main Ingredients of Simple Trading Models for Use in Genetic Algorithm Optimization 1 3 17 385 10 19 102 932
Unveiling Non Linearities Through Time Scale Transformations 0 2 3 82 0 3 12 238
Using the Scaling Analysis to Characterize Financial Markets 5 10 30 300 7 16 55 511
Total Working Papers 86 230 965 8,202 260 690 2,573 17,133

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A geographical model for the daily and weekly seasonal volatility in the foreign exchange market 6 27 98 384 18 65 234 841
An Introduction to High-Frequency Finance: Michael M. Dacorogna, Ramazan Gencay, Ulrich Muller, Richard B. Olsen, and Olivier V. Pictet. San Diego, CA: Academic Press, 2001. 383 pp., $79.95, ISBN: 0-12-279671-3 11 43 192 569 25 80 327 1,070
Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment 2 3 13 97 4 8 48 316
Foreign exchange trading models and market behavior 6 15 30 118 9 23 51 228
From default probabilities to credit spreads: Credit risk models do explain market prices 0 1 18 50 3 6 45 116
From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*) 5 14 47 415 8 28 103 1,370
Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development 0 3 11 43 0 3 22 105
Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates 3 6 20 233 6 14 58 526
Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis 3 29 104 422 23 89 333 1,241
The intraday multivariate structure of the Eurofutures markets 2 5 11 46 5 9 24 107
Time-to-Expiry Seasonalities in Eurofutures 0 2 4 55 4 7 22 209
Volatilities of different time resolutions -- Analyzing the dynamics of market components 2 5 33 158 4 13 68 297
Total Journal Articles 40 153 581 2,590 109 345 1,335 6,426

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Statistics updated 2008-07-03