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 1 10 3 3 8 19
A Measure of the Trading Model Performance with a Risk Component 0 0 0 173 0 0 1 376
Approaches and Techniques to Validate Internal Model Results 0 1 4 32 1 2 8 38
Bootstrapping the economy -- a non-parametric method of generating consistent future scenarios 0 1 5 127 2 4 13 294
Consistent high-precision volatility from high-frequency data 0 0 0 484 1 5 11 1,048
Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment 0 0 4 1,323 2 4 15 2,689
Dynamic Financial Analysis - Understanding Risk and Value Creation in Insurance 0 1 3 1,757 2 5 13 3,946
Estimating the risk-adjusted capital is an affair in the tails 0 0 0 82 0 1 5 146
Explicit diversification benefit for dependent risks 0 0 0 20 0 1 6 21
Explicit diversifiction benefit for dependent risks 0 0 1 7 0 1 17 33
Extreme Moves in Foreign Exchange Rates and Risk Limit Setting 0 0 3 485 0 1 8 1,372
Fractals and Intrinsic Time - a Challenge to Econometricians 1 7 16 472 5 19 71 1,305
From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices 0 0 0 844 0 0 9 1,925
Genetic Algorithms with collective sharing for Robust Optimization in Financial Applications 1 1 2 316 1 1 4 877
Going Back to the Basics - Rethinking Market Efficiency 0 0 0 274 1 1 3 567
Heavy tails in high-frequency financial data 0 0 5 679 2 3 12 1,167
Hill, Bootstrap and Jackknife Estimators for Heavy Tails 0 2 5 630 1 6 14 1,153
How Much Reinsurance Do You Really Need? A Case Study 0 0 2 744 0 0 4 1,617
How heavy are the the tails of a stationary HARCH(k) process? - A study of the moments 0 0 0 167 0 0 1 422
Introducing a scale of market shocks 0 1 1 304 1 4 8 764
Is the gamma risk of options insurable? 0 0 0 85 0 0 4 340
Living in a Stochastic World and Managing Complex Risks 0 0 0 22 1 1 3 36
Living in a Stochastic World and Managing Complex Risks 0 0 0 32 0 0 19 49
Long term memories of developed and emerging markets: using the scaling analysis to characterize their stage of development 0 0 0 28 0 0 4 104
Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development 0 0 0 307 1 1 4 678
Multivariate extremes, aggregation and risk estimation 0 0 0 0 1 4 10 967
On the diversification benefit of reinsurance portfolios 0 0 0 6 2 3 7 21
On the intra-daily performance of GARCH processes 0 0 1 276 0 0 9 619
Performance and Risk Measurement Challenges For Hedge Funds: Empirical Considerations 0 2 3 1,017 0 4 9 1,826
Predicting risk with risk measures: an empirical study 0 1 1 25 0 1 8 39
Pro-Cyclicality of Traditional Risk Measurements: Quantifying and Highlighting Factors at its Source 0 2 3 21 1 3 13 25
Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study 0 1 1 30 1 2 14 36
Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study 0 1 1 13 0 1 9 17
Risk aggregation, dependence structure and diversification benefit 0 0 1 55 2 2 4 126
Risk neutral versus real-world distribution on puclicly listed bank corporations 0 1 2 23 1 8 13 50
The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets 1 1 1 268 1 2 11 654
The Error of Statistical Volatility of Intra-daily Quoted Price Changes Observed over a Time Interval 0 0 0 170 0 0 3 600
The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio 0 0 0 22 0 3 25 90
The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio 0 0 0 10 0 3 15 35
The Main Ingredients of Simple Trading Models for Use in Genetic Algorithm Optimization 0 0 1 479 0 0 1 1,149
The Price of Being a Systemically Important Financial Institution (SIFI) 0 0 2 85 0 2 7 47
The impact of systemic risk on the diversification benefits of a risk portfolio 0 0 0 34 1 3 14 67
Unveiling Non Linearities Through Time Scale Transformations 0 0 0 114 0 0 1 329
Using the Scaling Analysis to Characterize Financial Markets 0 0 1 25 0 0 1 77
Using the Scaling Analysis to Characterize Financial Markets 0 0 0 391 0 0 3 755
Total Working Papers 3 23 70 12,468 34 104 442 28,515


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 2 3 5 15
A geographical model for the daily and weekly seasonal volatility in the foreign exchange market 1 2 24 939 2 6 43 2,106
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 1 1,177 2 5 29 2,556
Consistent High-precision Volatility from High-frequency Data 0 0 0 5 0 3 13 48
Defining efficiency in heterogeneous markets 0 0 0 14 0 0 1 58
Effective return, risk aversion and drawdowns 1 1 1 5 3 6 13 45
Foreign exchange trading models and market behavior 0 0 0 259 1 1 4 516
From default probabilities to credit spreads: Credit risk models do explain market prices 0 0 0 112 0 0 7 313
From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*) 0 0 3 596 1 2 25 1,858
Heterogeneous real-time trading strategies in the foreign exchange market 0 1 1 30 0 3 7 110
How Much Capital Does a Reinsurance Need&quest 0 0 0 72 0 0 1 216
Improving the Forecast of Longevity by Combining Models 1 1 2 2 1 1 7 8
Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development 0 0 0 88 0 1 5 236
MEASURING SHOCK IN FINANCIAL MARKETS 0 1 3 9 0 2 11 20
Multivariate extremes, aggregation and risk estimation 0 0 1 18 0 2 5 63
One-Year Change Methodologies for Fixed-Sum Insurance Contracts 0 0 0 1 1 2 9 14
Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates 0 0 1 352 1 1 5 848
Reflections on risk 0 0 0 12 0 0 1 28
Robust Estimation of Reserve Risk 0 0 1 7 0 1 4 26
Scaling behaviors in differently developed markets 0 1 2 5 0 2 5 32
Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis 1 10 33 1,227 3 19 66 3,204
The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio 0 0 2 11 1 5 19 67
The Price of Being a Systemically Important Financial Institution (SIFI) 0 1 2 3 0 3 10 21
The intraday multivariate structure of the Eurofutures markets 0 1 3 68 0 1 5 177
Time-to-Expiry Seasonalities in Eurofutures 0 0 0 81 0 0 6 295
Un changement de paradigme pour l’assurance 0 0 0 5 0 0 1 23
Validation of aggregated risks models 0 0 1 5 0 1 3 7
Volatilities of different time resolutions -- Analyzing the dynamics of market components 4 10 25 461 11 39 93 981
Total Journal Articles 8 29 106 5,572 29 109 403 13,891
1 registered items for which data could not be found


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 2 2 29 70 6 17 79 186
Total Books 2 2 29 70 6 17 79 186


Statistics updated 2020-09-04