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 0 0 11 0 0 0 32
A Measure of the Trading Model Performance with a Risk Component 0 0 0 173 0 0 0 378
Approaches and Techniques to Validate Internal Model Results 0 0 2 37 0 0 2 50
Bootstrapping the economy -- a non-parametric method of generating consistent future scenarios 1 4 7 159 3 11 17 382
Consistent high-precision volatility from high-frequency data 0 0 0 489 0 2 3 1,074
Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment 0 0 0 1,329 0 0 3 2,710
Dynamic Financial Analysis - Understanding Risk and Value Creation in Insurance 0 0 0 1,774 0 1 4 3,999
Estimating the risk-adjusted capital is an affair in the tails 0 0 2 88 5 5 7 166
Explicit diversification benefit for dependent risks 0 0 1 21 0 0 1 30
Explicit diversifiction benefit for dependent risks 0 0 0 8 0 0 1 38
Extreme Moves in Foreign Exchange Rates and Risk Limit Setting 1 1 2 488 1 2 7 1,388
Fractals and Intrinsic Time - a Challenge to Econometricians 1 6 15 521 5 12 42 1,476
From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices 0 0 0 846 0 0 0 1,930
Genetic Algorithms with collective sharing for Robust Optimization in Financial Applications 0 0 1 318 0 0 2 881
Going Back to the Basics - Rethinking Market Efficiency 0 0 0 278 1 1 1 576
Heavy tails in high-frequency financial data 0 0 0 682 2 3 3 1,182
Hill, Bootstrap and Jackknife Estimators for Heavy Tails 0 0 2 638 0 2 5 1,176
How Much Reinsurance Do You Really Need? A Case Study 0 1 2 748 0 1 6 1,631
How heavy are the the tails of a stationary HARCH(k) process? - A study of the moments 0 0 1 170 0 0 1 428
Introducing a scale of market shocks 0 1 2 308 0 1 2 782
Is the gamma risk of options insurable? 0 0 0 85 0 0 1 353
Living in a Stochastic World and Managing Complex Risks 0 0 0 32 0 0 2 55
Living in a Stochastic World and Managing Complex Risks 0 0 0 22 0 0 0 39
Long term memories of developed and emerging markets: using the scaling analysis to characterize their stage of development 0 0 0 29 0 0 0 109
Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development 0 0 0 311 0 2 2 696
Multivariate extremes, aggregation and risk estimation 0 0 0 0 0 1 3 978
On the diversification benefit of reinsurance portfolios 0 0 1 11 0 0 2 43
On the intra-daily performance of GARCH processes 0 0 0 276 0 0 1 621
Performance and Risk Measurement Challenges For Hedge Funds: Empirical Considerations 0 1 1 1,021 0 2 2 1,840
Predicting risk with risk measures: an empirical study 0 1 2 2 0 2 4 7
Predicting risk with risk measures: an empirical study 0 0 0 26 0 0 0 52
Pro-Cyclicality of Traditional Risk Measurements: Quantifying and Highlighting Factors at its Source 0 0 1 26 1 3 8 46
Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study 0 0 0 30 0 0 1 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 1 2 57 0 3 4 145
Risk neutral versus real-world distribution on puclicly listed bank corporations 0 0 2 27 0 0 3 65
The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets 0 0 0 272 0 1 3 669
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 23 0 0 0 95
The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio 0 0 0 11 0 0 0 44
The Main Ingredients of Simple Trading Models for Use in Genetic Algorithm Optimization 0 0 0 479 0 0 0 1,149
The Price of Being a Systemically Important Financial Institution (SIFI) 0 0 0 85 0 0 0 52
The impact of systemic risk on the diversification benefits of a risk portfolio 0 0 0 34 1 1 1 80
Unveiling Non Linearities Through Time Scale Transformations 0 0 0 115 0 0 1 336
Using the Scaling Analysis to Characterize Financial Markets 0 0 0 25 0 0 0 79
Using the Scaling Analysis to Characterize Financial Markets 0 0 0 391 0 0 0 762
Total Working Papers 3 16 46 12,662 19 56 145 29,297


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 0 20
A geographical model for the daily and weekly seasonal volatility in the foreign exchange market 1 2 17 998 3 5 27 2,208
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 2 6 17 1,211 3 12 37 2,648
Building up cyber resilience by better grasping cyber risk via a new algorithm for modelling heavy-tailed data 1 1 1 1 3 4 6 6
Consistent High-precision Volatility from High-frequency Data 0 0 0 6 0 0 3 58
Defining efficiency in heterogeneous markets 0 0 1 16 0 1 2 65
Effective return, risk aversion and drawdowns 0 0 0 6 0 0 0 54
Foreign exchange trading models and market behavior 0 0 0 263 0 0 1 534
From default probabilities to credit spreads: Credit risk models do explain market prices 0 0 0 114 1 2 3 322
From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*) 0 3 9 621 0 4 17 1,920
Heterogeneous real-time trading strategies in the foreign exchange market 0 1 4 37 0 1 4 128
High Frequency Trading, a Boon or a Threat? 1 1 1 16 1 1 3 40
How Much Capital Does a Reinsurance Need&quest 0 1 4 79 0 2 9 232
How to Gain Confidence in the Results of Internal Risk Models? Approaches and Techniques for Validation 1 1 1 1 1 1 2 2
Improving the Forecast of Longevity by Combining Models 0 0 2 7 0 0 3 18
Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development 1 1 1 94 3 3 3 261
MEASURING SHOCK IN FINANCIAL MARKETS 0 0 1 20 0 0 1 43
Managing cyber risk, a science in the making 0 0 0 0 0 0 1 1
Multivariate extremes, aggregation and risk estimation 0 0 0 21 0 0 0 71
One-Year Change Methodologies for Fixed-Sum Insurance Contracts 0 0 0 1 0 0 0 27
Pro‐cyclicality beyond business cycle 0 2 4 4 0 4 6 7
Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates 1 1 2 358 2 2 3 866
Reflections on risk 0 0 0 12 0 0 0 29
Robust Estimation of Reserve Risk 0 0 0 8 0 0 1 32
Scaling behaviors in differently developed markets 0 0 0 7 0 0 2 48
Special Issue “Cyber Risk and Security” 0 0 0 0 0 0 2 8
Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis 3 6 31 1,328 4 8 50 3,384
The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio 0 0 0 12 0 0 2 83
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 0 0 1 184
Time-to-Expiry Seasonalities in Eurofutures 0 0 0 81 0 0 0 295
Un changement de paradigme pour l’assurance 0 0 0 6 0 0 0 26
Validation of aggregated risks models 0 0 1 14 0 0 1 19
Volatilities of different time resolutions -- Analyzing the dynamics of market components 0 2 25 558 3 13 61 1,248
Total Journal Articles 11 28 122 5,984 24 63 251 14,914


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 7 17 38 185 10 33 82 461
Total Books 7 17 38 185 10 33 82 461


Statistics updated 2024-05-04