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 General framework for modelling mortality to better estimate its relationship with interest rate risks 0 1 1 12 0 1 3 35
A Measure of the Trading Model Performance with a Risk Component 0 0 1 174 0 0 2 380
Allocating Capital to Time: Introducing Credit Migration for Measuring Time-Related Risks 0 1 3 3 0 1 1 1
Allocating Capital to Time: Introducing Credit Migration for Measuring Time-Related Risks 0 0 3 3 0 3 8 8
Approaches and Techniques to Validate Internal Model Results 1 1 1 38 1 2 2 53
Bootstrapping the economy -- a non-parametric method of generating consistent future scenarios 0 0 11 170 2 5 31 413
Consistent high-precision volatility from high-frequency data 0 0 1 490 0 0 5 1,079
Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment 0 0 0 1,329 0 0 5 2,716
Dynamic Financial Analysis - Understanding Risk and Value Creation in Insurance 0 1 2 1,777 0 1 9 4,010
Estimating the risk-adjusted capital is an affair in the tails 0 0 1 89 0 0 7 173
Explicit diversification benefit for dependent risks 0 0 0 21 0 0 2 33
Explicit diversifiction benefit for dependent risks 0 0 0 8 0 0 0 38
Extreme Moves in Foreign Exchange Rates and Risk Limit Setting 0 0 0 488 0 0 4 1,392
Fractals and Intrinsic Time - a Challenge to Econometricians 3 3 7 529 3 4 25 1,507
From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices 0 0 0 846 0 1 5 1,935
Genetic Algorithms with collective sharing for Robust Optimization in Financial Applications 0 0 0 318 0 0 0 881
Going Back to the Basics - Rethinking Market Efficiency 0 0 0 278 0 0 0 576
Heavy tails in high-frequency financial data 0 0 0 682 1 2 5 1,187
Hill, Bootstrap and Jackknife Estimators for Heavy Tails 0 0 1 639 0 0 1 1,177
How Much Reinsurance Do You Really Need? A Case Study 0 1 8 756 0 1 17 1,648
How heavy are the the tails of a stationary HARCH(k) process? - A study of the moments 0 0 0 170 0 0 1 430
Introducing a scale of market shocks 1 1 1 309 1 1 3 785
Is the gamma risk of options insurable? 0 0 0 85 0 1 1 354
Living in a Stochastic World and Managing Complex Risks 0 0 0 32 1 1 5 60
Living in a Stochastic World and Managing Complex Risks 0 0 1 23 0 0 2 41
Long term memories of developed and emerging markets: using the scaling analysis to characterize their stage of development 0 0 0 29 0 1 2 111
Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development 0 0 1 312 0 0 2 698
Multivariate extremes, aggregation and risk estimation 0 0 0 0 0 1 5 983
On the diversification benefit of reinsurance portfolios 0 0 0 11 1 1 3 47
On the intra-daily performance of GARCH processes 0 0 1 277 0 0 1 622
Performance and Risk Measurement Challenges For Hedge Funds: Empirical Considerations 0 0 0 1,021 1 1 2 1,842
Predicting risk with risk measures: an empirical study 0 0 0 2 0 0 0 7
Predicting risk with risk measures: an empirical study 0 0 0 26 0 0 1 53
Pro-Cyclicality of Traditional Risk Measurements: Quantifying and Highlighting Factors at its Source 0 0 0 26 0 1 2 48
Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study 0 0 0 30 0 0 0 42
Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study 0 0 0 13 0 0 0 26
Risk aggregation, dependence structure and diversification benefit 0 0 0 57 0 0 3 148
Risk neutral versus real-world distribution on puclicly listed bank corporations 0 0 1 28 0 0 4 69
The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets 0 0 0 272 0 0 2 671
The Error of Statistical Volatility of Intra-daily Quoted Price Changes Observed over a Time Interval 0 0 0 173 0 0 0 605
The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio 0 0 0 11 0 0 1 45
The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio 0 0 1 24 0 1 2 97
The Main Ingredients of Simple Trading Models for Use in Genetic Algorithm Optimization 0 0 0 479 0 0 1 1,150
The Price of Being a Systemically Important Financial Institution (SIFI) 0 0 0 85 1 1 2 54
The impact of systemic risk on the diversification benefits of a risk portfolio 0 0 0 34 0 0 0 80
Unveiling Non Linearities Through Time Scale Transformations 0 0 0 115 0 0 0 336
Using the Scaling Analysis to Characterize Financial Markets 0 0 1 392 0 0 4 766
Using the Scaling Analysis to Characterize Financial Markets 0 0 1 26 0 2 3 82
Total Working Papers 5 9 48 12,712 12 33 184 29,494


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A change of paradigm for the insurance industry 0 0 0 8 0 0 1 21
A geographical model for the daily and weekly seasonal volatility in the foreign exchange market 2 2 10 1,011 2 2 14 2,225
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 0 0 2 1,216 0 1 14 2,666
Building up cyber resilience by better grasping cyber risk via a new algorithm for modelling heavy-tailed data 1 1 2 4 1 1 3 10
Consistent High-precision Volatility from High-frequency Data 0 0 0 6 1 1 2 60
Defining efficiency in heterogeneous markets 0 0 3 19 0 0 3 68
Effective return, risk aversion and drawdowns 0 0 1 7 0 0 2 56
Foreign exchange trading models and market behavior 1 1 2 265 1 2 5 539
From default probabilities to credit spreads: Credit risk models do explain market prices 0 0 3 117 0 3 9 332
From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*) 1 2 5 626 2 6 14 1,938
Heterogeneous real-time trading strategies in the foreign exchange market 0 0 1 38 0 0 3 131
High Frequency Trading, a Boon or a Threat? 0 0 3 19 0 0 3 43
How Much Capital Does a Reinsurance Need&quest 0 0 1 80 0 0 3 236
How to Gain Confidence in the Results of Internal Risk Models? Approaches and Techniques for Validation 0 0 0 1 0 0 1 3
Improving the Forecast of Longevity by Combining Models 0 0 1 9 0 0 2 21
Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development 0 0 1 95 1 2 5 266
MEASURING SHOCK IN FINANCIAL MARKETS 0 1 2 23 0 1 5 49
Managing cyber risk, a science in the making 0 0 0 0 0 0 1 2
Multivariate extremes, aggregation and risk estimation 0 0 1 22 0 0 2 73
One-Year Change Methodologies for Fixed-Sum Insurance Contracts 1 1 1 2 1 1 2 29
Pro‐cyclicality beyond business cycle 0 0 0 4 0 3 4 11
Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates 0 0 1 359 1 1 3 869
Reflections on risk 0 0 0 12 0 0 0 29
Robust Estimation of Reserve Risk 0 0 0 9 0 0 0 33
Scaling behaviors in differently developed markets 0 0 0 7 0 0 2 50
Special Issue “Cyber Risk and Security” 0 0 1 1 0 0 2 10
Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis 0 3 17 1,347 1 7 47 3,435
The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio 0 0 0 12 0 0 1 84
The Price of Being a Systemically Important Financial Institution (SIFI) 0 0 0 5 0 0 0 27
The intraday multivariate structure of the Eurofutures markets 0 0 0 71 1 1 2 186
Time-to-Expiry Seasonalities in Eurofutures 0 0 0 81 0 0 1 296
Un changement de paradigme pour l’assurance 0 0 0 6 0 0 0 26
Validation of aggregated risks models 0 0 0 14 0 0 0 19
Volatilities of different time resolutions -- Analyzing the dynamics of market components 0 3 20 579 4 10 50 1,301
Total Journal Articles 6 14 78 6,075 16 42 206 15,144


Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
An Introduction to High-Frequency Finance 1 3 27 213 1 6 57 525
Total Books 1 3 27 213 1 6 57 525


Statistics updated 2025-06-06