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 |
5 |
152 |
2 |
4 |
17 |
318 |
| Consistent high-precision volatility from high-frequency data |
5 |
17 |
58 |
344 |
14 |
32 |
131 |
647 |
| Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment |
7 |
23 |
89 |
1,117 |
20 |
52 |
227 |
1,952 |
| Dynamic Financial Analysis - Understanding Risk and Value Creation in Insurance |
8 |
41 |
187 |
1,426 |
47 |
131 |
544 |
3,017 |
| Extreme Moves in Foreign Exchange Rates and Risk Limit Setting |
4 |
10 |
31 |
392 |
15 |
35 |
168 |
1,079 |
| Fractals and Intrinsic Time - a Challenge to Econometricians |
2 |
6 |
23 |
263 |
6 |
13 |
78 |
709 |
| From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices |
14 |
37 |
131 |
640 |
26 |
87 |
358 |
1,421 |
| Genetic Algorithms with collective sharing for Robust Optimization in Financial Applications |
0 |
8 |
18 |
281 |
2 |
13 |
50 |
732 |
| Going Back to the Basics - Rethinking Market Efficiency |
1 |
3 |
17 |
227 |
3 |
9 |
41 |
450 |
| Heavy tails in high-frequency financial data |
7 |
20 |
60 |
499 |
14 |
31 |
87 |
812 |
| Hill, Bootstrap and Jackknife Estimators for Heavy Tails |
4 |
14 |
53 |
451 |
8 |
23 |
91 |
836 |
| How Much Reinsurance Do You Really Need? A Case Study |
8 |
14 |
68 |
515 |
20 |
41 |
165 |
945 |
| How heavy are the the tails of a stationary HARCH(k) process? - A study of the moments |
0 |
1 |
7 |
156 |
0 |
1 |
18 |
378 |
| Introducing a scale of market shocks |
2 |
7 |
31 |
182 |
6 |
19 |
83 |
425 |
| Is the gamma risk of options insurable? |
1 |
10 |
32 |
36 |
12 |
32 |
90 |
105 |
| Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development |
1 |
4 |
33 |
196 |
1 |
5 |
70 |
394 |
| Multivariate extremes, aggregation and risk estimation |
0 |
0 |
0 |
0 |
6 |
21 |
60 |
743 |
| On the intra-daily performance of GARCH processes |
2 |
3 |
8 |
233 |
2 |
3 |
11 |
510 |
| Performance and Risk Measurement Challenges For Hedge Funds: Empirical Considerations |
3 |
13 |
55 |
924 |
5 |
25 |
153 |
1,520 |
| The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets |
1 |
4 |
21 |
187 |
3 |
16 |
62 |
475 |
| The Error of Statistical Volatility of Intra-daily Quoted Price Changes Observed over a Time Interval |
1 |
3 |
6 |
147 |
3 |
7 |
30 |
518 |
| The Main Ingredients of Simple Trading Models for Use in Genetic Algorithm Optimization |
0 |
6 |
19 |
404 |
2 |
12 |
49 |
981 |
| Unveiling Non Linearities Through Time Scale Transformations |
3 |
5 |
11 |
93 |
3 |
5 |
20 |
258 |
| Using the Scaling Analysis to Characterize Financial Markets |
0 |
2 |
22 |
322 |
4 |
9 |
55 |
566 |
| Total Working Papers |
74 |
252 |
985 |
9,187 |
224 |
626 |
2,658 |
19,791 |
| 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 |
10 |
36 |
107 |
491 |
23 |
64 |
252 |
1,093 |
| 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 |
9 |
48 |
169 |
738 |
21 |
97 |
348 |
1,418 |
| Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment |
0 |
3 |
15 |
112 |
1 |
4 |
32 |
348 |
| Foreign exchange trading models and market behavior |
3 |
6 |
18 |
136 |
8 |
15 |
40 |
268 |
| From default probabilities to credit spreads: Credit risk models do explain market prices |
1 |
2 |
14 |
64 |
1 |
3 |
49 |
165 |
| From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*) |
2 |
8 |
51 |
466 |
6 |
20 |
94 |
1,464 |
| How Much Capital Does a Reinsurance Need&quest |
3 |
8 |
8 |
8 |
7 |
18 |
18 |
18 |
| Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development |
0 |
2 |
10 |
53 |
1 |
4 |
20 |
125 |
| Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates |
3 |
8 |
33 |
266 |
8 |
22 |
89 |
615 |
| Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis |
18 |
44 |
153 |
575 |
40 |
100 |
477 |
1,718 |
| The intraday multivariate structure of the Eurofutures markets |
0 |
0 |
3 |
49 |
0 |
1 |
12 |
119 |
| Time-to-Expiry Seasonalities in Eurofutures |
3 |
6 |
13 |
68 |
4 |
7 |
23 |
232 |
| Volatilities of different time resolutions -- Analyzing the dynamics of market components |
7 |
14 |
48 |
206 |
10 |
22 |
77 |
374 |
| Total Journal Articles |
59 |
185 |
642 |
3,232 |
130 |
377 |
1,531 |
7,957 |
|
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