Michel Dacorogna
Names
| first: |
Michel |
| middle: |
M |
| last: |
Dacorogna |
Identifer
Contact
| phone: |
+41 79 544 73 27 |
| postal address: |
Scheuchzerstrasse 160
8057 Zurich |
Research profile
author of:
- Multivariate extremes, aggregation and risk estimation (RePEc:ams:cdws01:p2)
by Michel Dacorogna & Höskuldur Ari Hauksson & Thomas Domenig & Ulrich Müller & Gennady Samorodnitsky - The impact of systemic risk on the diversification benefits of a risk portfolio (RePEc:arx:papers:1312.0506)
by Marc Busse & Michel Dacorogna & Marie Kratz - Pro-Cyclicality of Traditional Risk Measurements: Quantifying and Highlighting Factors at its Source (RePEc:arx:papers:1903.03969)
by Marcel Brautigam & Michel Dacorogna & Marie Kratz - Using the Scaling Analysis to Characterize Financial Markets (RePEc:arx:papers:cond-mat/0302434)
by T. Di Matteo & T. Aste & M. M. Dacorogna - Long term memories of developed and emerging markets: using the scaling analysis to characterize their stage of development (RePEc:arx:papers:cond-mat/0403681)
by T. Di Matteo & T. Aste & M. M. Dacorogna - High Frequency Trading, a Boon or a Threat? (RePEc:ban:bancar:v:1:y:2020:m:january:p:89-96)
by Michel Dacorogna - Consistent High-precision Volatility from High-frequency Data (RePEc:bla:ecnote:v:30:y:2001:i:2:p:183-204)
by Fulvio Corsi & Gilles Zumbach & Ulrich A. Muller & Michel M. Dacorogna - The Price of Being a Systemically Important Financial Institution (SIFI) (RePEc:bla:irvfin:v:17:y:2017:i:4:p:611-616)
by Michel Dacorogna & Marc Busse - Pro‐cyclicality beyond business cycle (RePEc:bla:mathfi:v:33:y:2023:i:2:p:308-341)
by Marcel Bräutigam & Michel Dacorogna & Marie Kratz - Time-to-Expiry Seasonalities in Eurofutures (RePEc:bpj:sndecm:v:4:y:2001:i:4:n:4)
by Ballocchi Giuseppe & Dacorogna Michael & Gençay Ramazan & Piccinato Barbara - Un changement de paradigme pour l’assurance (RePEc:cai:refaef:ecofi_118_0205)
by Michel Dacorogna - A change of paradigm for the insurance industry (RePEc:cup:anacsi:v:12:y:2018:i:02:p:211-232_00)
by Dacorogna, Michel - Validation of aggregated risks models (RePEc:cup:anacsi:v:12:y:2018:i:02:p:433-454_00)
by Dacorogna, Michel & Elbahtouri, Laila & Kratz, Marie - Robust Estimation of Reserve Risk (RePEc:cup:astinb:v:40:y:2010:i:02:p:453-489_00)
by Busse, Marc & Müller, Ulrich & Dacorogna, Michel - The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio (RePEc:ebg:essewp:dr-13021)
by Busse, Marc & Dacorogna, Michel & Kratz, Marie - Living in a Stochastic World and Managing Complex Risks (RePEc:ebg:essewp:dr-15017)
by Dacorogna, Michel & Kratz, Marie - Explicit diversifiction benefit for dependent risks (RePEc:ebg:essewp:dr-15022)
by Dacorogna, Michel & Elbahtouri, Laila & Kratz, Marie - Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study (RePEc:ebg:essewp:dr-16018)
by Rosnan, Chotard & Michel, Dacorogna & Marie, Kratz - Predicting risk with risk measures : an empirical study (RePEc:ebg:essewp:dr-18003)
by Marcel, Bräutigam & Michel, Dacorogna & Marie, Kratz - Foreign exchange trading models and market behavior (RePEc:eee:dyncon:v:27:y:2003:i:6:p:909-935)
by Gencay, Ramazan & Dacorogna, Michel & Olsen, Richard & Pictet, Olivier - Building up cyber resilience by better grasping cyber risk via a new algorithm for modelling heavy-tailed data (RePEc:eee:ejores:v:311:y:2023:i:2:p:708-729)
by Dacorogna, Michel & Debbabi, Nehla & Kratz, Marie - Volatilities of different time resolutions -- Analyzing the dynamics of market components (RePEc:eee:empfin:v:4:y:1997:i:2-3:p:213-239)
by Muller, Ulrich A. & Dacorogna, Michel M. & Dave, Rakhal D. & Olsen, Richard B. & Pictet, Olivier V. & von Weizsacker, Jacob E. - The intraday multivariate structure of the Eurofutures markets (RePEc:eee:empfin:v:6:y:1999:i:5:p:479-513)
by Ballocchi, Giuseppe & Dacorogna, Michel M. & Hopman, Carl M. & Muller, Ulrich A. & Olsen, Richard B. - From default probabilities to credit spreads: Credit risk models do explain market prices (RePEc:eee:finlet:v:3:y:2006:i:2:p:79-95)
by Denzler, Stefan M. & Dacorogna, Michel M. & Muller, Ulrich A. & McNeil, Alexander J. - Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis (RePEc:eee:jbfina:v:14:y:1990:i:6:p:1189-1208)
by Muller, Ulrich A. & Dacorogna, Michel M. & Olsen, Richard B. & Pictet, Olivier V. & Schwarz, Matthias & Morgenegg, Claude - Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development (RePEc:eee:jbfina:v:29:y:2005:i:4:p:827-851)
by Matteo, T. Di & Aste, T. & Dacorogna, Michel M. - A geographical model for the daily and weekly seasonal volatility in the foreign exchange market (RePEc:eee:jimfin:v:12:y:1993:i:4:p:413-438)
by Dacorogna, Michael M. & Muller, Ulrich A. & Nagler, Robert J. & Olsen, Richard B. & Pictet, Olivier V. - An Introduction to High-Frequency Finance (RePEc:eee:monogr:9780122796715)
by Gençay, Ramazan & Dacorogna, Michel & Muller, Ulrich A. & Pictet, Olivier & Olsen, Richard - Effective return, risk aversion and drawdowns (RePEc:eee:phsmap:v:289:y:2001:i:1:p:229-248)
by Dacorogna, Michel M. & Gençay, Ramazan & Müller, Ulrich A. & Pictet, Olivier V. - Scaling behaviors in differently developed markets (RePEc:eee:phsmap:v:324:y:2003:i:1:p:183-188)
by Di Matteo, T. & Aste, T. & Dacorogna, M.M. - 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: 0-1 (RePEc:eee:reveco:v:12:y:2003:i:4:p:525-529)
by Terzi, Andrea - Special Issue “Cyber Risk and Security” (RePEc:gam:jrisks:v:10:y:2022:i:6:p:112-:d:826368)
by Michel Dacorogna & Marie Kratz - How to Gain Confidence in the Results of Internal Risk Models? Approaches and Techniques for Validation (RePEc:gam:jrisks:v:11:y:2023:i:5:p:98-:d:1150550)
by Michel Dacorogna - The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio (RePEc:gam:jrisks:v:2:y:2014:i:3:p:260-276:d:37965)
by Marc Busse & Michel Dacorogna & Marie Kratz - One-Year Change Methodologies for Fixed-Sum Insurance Contracts (RePEc:gam:jrisks:v:6:y:2018:i:3:p:75-:d:160853)
by Michel Dacorogna & Alessandro Ferriero & David Krief - The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio (RePEc:hal:wpaper:hal-00914844)
by Marc Busse & Michel Dacorogna & Marie Kratz - Explicit diversification benefit for dependent risks (RePEc:hal:wpaper:hal-01256869)
by Michel Dacorogna & Laila Elbahtouri & Marie Kratz - Risk neutral versus real-world distribution on puclicly listed bank corporations (RePEc:hal:wpaper:hal-01373071)
by Michel Dacorogna & Juan-José Francisco Miguelez & Marie Kratz - Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study (RePEc:hal:wpaper:hal-01424285)
by Rosnan Chotard & Michel Dacorogna & Marie Kratz - Predicting risk with risk measures : an empirical study (RePEc:hal:wpaper:hal-01791026)
by Marcel Bräutigam & Michel Dacorogna & Marie Kratz - Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates (RePEc:ier:iecrev:v:43:y:2002:i:2:p:463-492)
by Ramazan GenÁay & Giuseppe Ballocchi & Michel Dacorogna & Richard Olsen & Olivier Pictet - How Much Capital Does a Reinsurance Need? (RePEc:pal:gpprii:v:34:y:2009:i:2:p:159-174)
by Jean-Luc Besson & Michel M Dacorogna & Paolo de Martin & Michael Kastenholz & Michael Moller - Risk aggregation, dependence structure and diversification benefit (RePEc:pra:mprapa:10054)
by Bürgi, Roland & Dacorogna, Michel M & Iles, Roger - Bootstrapping the economy -- a non-parametric method of generating consistent future scenarios (RePEc:pra:mprapa:17755)
by Müller, Ulrich A & Bürgi, Roland & Dacorogna, Michel M - Estimating the risk-adjusted capital is an affair in the tails (RePEc:pra:mprapa:32831)
by Canestraro, Davide & Dacorogna, Michel - Living in a Stochastic World and Managing Complex Risks (RePEc:pra:mprapa:67402)
by Dacorogna, Michel M & Kratz, Marie - The Price of Being a Systemically Important Financial Institution (SIFI) (RePEc:pra:mprapa:75787)
by Dacorogna, Michel M & Busse, Marc - A General framework for modelling mortality to better estimate its relationship with interest rate risks (RePEc:pra:mprapa:75788)
by Apicella, Giovanna & Dacorogna, Michel M - Approaches and Techniques to Validate Internal Model Results (RePEc:pra:mprapa:79632)
by Dacorogna, Michel M - On the diversification benefit of reinsurance portfolios (RePEc:pra:mprapa:82466)
by Limani, Jeta & Bettinger, Régis & Dacorogna, Michel M - Is the gamma risk of options insurable? (RePEc:pra:mprapa:8564)
by Egli, Daniel & Blum, Peter & Dacorogna, Michel M & Müller, Ulrich A - From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*) (RePEc:spr:finsto:v:1:y:1997:i:2:p:95-129)
by Richard B. Olsen & Ulrich A. Müller & Michel M. Dacorogna & Olivier V. Pictet & Rakhal R. Davé & Dominique M. Guillaume - Heterogeneous real-time trading strategies in the foreign exchange market (RePEc:taf:eurjfi:v:1:y:1995:i:4:p:383-403)
by M. M. Dacorogna & U. A. Muller & C. Jost & O. V. Pictet & J. R. Ward - Multivariate extremes, aggregation and risk estimation (RePEc:taf:quantf:v:1:y:2001:i:1:p:79-95)
by H. A. Hauksson & M. Dacorogna & T. Domenig & U. Mller & G. Samorodnitsky - Defining efficiency in heterogeneous markets (RePEc:taf:quantf:v:1:y:2001:i:2:p:198-201)
by M. Dacorogna & U. Mller & R. Olsen & O. Pictet - Reflections on risk (RePEc:taf:quantf:v:3:y:2003:i:2:p:22-23)
by Michel Dacorogna - Managing cyber risk, a science in the making (RePEc:taf:sactxx:v:2023:y:2023:i:10:p:1000-1021)
by Michel Dacorogna & Marie Kratz - Improving the Forecast of Longevity by Combining Models (RePEc:taf:uaajxx:v:23:y:2019:i:2:p:298-319)
by Giovanna Apicella & Michel Dacorogna & Emilia Di Lorenzo & Marilena Sibillo - On the intra-daily performance of GARCH processes (RePEc:wop:olaswp:_001)
by Dominique M. Guillaume & Olivier V. Pictet & Michel M. Dacorogna - Unveiling Non Linearities Through Time Scale Transformations (RePEc:wop:olaswp:_002)
by Dominique M. Guillaume & Olivier V. Pictet & Ulrich A. Muller & Michel M. Dacorogna - The Error of Statistical Volatility of Intra-daily Quoted Price Changes Observed over a Time Interval (RePEc:wop:olaswp:_003)
by Ulrich A. Muller & Michel M. Dacorogna & Olivier V. Pictet - How heavy are the the tails of a stationary HARCH(k) process? - A study of the moments (RePEc:wop:olaswp:_004)
by Michel M. Dacorogna & Ulrich A. Muller & Paul Embrechts & Gennady Samorodnitsky - Genetic Algorithms with collective sharing for Robust Optimization in Financial Applications (RePEc:wop:olaswp:_005)
by Olivier V. Pictet & Michel M. Dacorogna & Rakhal D. Dave & Bastien Chopard & Roberto Schirru & Marco Tomassini - Fractals and Intrinsic Time - a Challenge to Econometricians (RePEc:wop:olaswp:_009)
by U. A. Muller & M. M. Dacorogna & R. D. Dave & O. V. Pictet & R. B. Olsen & J.R. Ward - The Main Ingredients of Simple Trading Models for Use in Genetic Algorithm Optimization (RePEc:wop:olaswp:_011)
by M. M. Dacorogna, - The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets (RePEc:wop:olaswp:_012)
by Michel M. Dacorogna, & Ulrich A. Muller & Olivier V. Pictet & Casper De Vries, - Going Back to the Basics - Rethinking Market Efficiency (RePEc:wop:olaswp:_013)
by Richard B. Olsen & Michel M. Dacorogna & Ulrich A. Muller, & Olivier V. Pictet - A Measure of the Trading Model Performance with a Risk Component (RePEc:wop:olaswp:_014)
by M. M. Dacorogna & U. A. Muller & O. V. Pictet - Hill, Bootstrap and Jackknife Estimators for Heavy Tails (RePEc:wop:olaswp:_015)
by Olivier V. Pictet & Michel M. Dacorogna & Ulrich A. Muller - Heavy tails in high-frequency financial data (RePEc:wop:olaswp:_016)
by Olivier V. Pictet & Michel M. Dacorogna & Ulrich A. Muller - Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development (RePEc:wpa:wuwpem:0503004)
by T. Di Matteo & T. Aste & Michel M. Dacorogna - Using the Scaling Analysis to Characterize Financial Markets (RePEc:wpa:wuwpfi:0402014)
by T. Di Matteo & T. Aste & Michel M. Dacorogna - Introducing a scale of market shocks (RePEc:wpa:wuwpfi:0407004)
by Gilles O. Zumbach & Michel M. Dacorogna & Jorgen L. Olsen & Richard B. Olsen - Consistent high-precision volatility from high-frequency data (RePEc:wpa:wuwpfi:0407005)
by Fulvio Corsi & Gilles Zumbach & Ulrich Müller & Michel Dacorogna - From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices (RePEc:wpa:wuwpfi:0504011)
by Stefan Denzler & Michel M. Dacorogna & Ulrich A. Mueller & Alexander McNeil - How Much Reinsurance Do You Really Need? A Case Study (RePEc:wpa:wuwpri:0306001)
by Peter Boller & Michel Dacorogna & Hubert Niggli - Dynamic Financial Analysis - Understanding Risk and Value Creation in Insurance (RePEc:wpa:wuwpri:0306002)
by Peter Blum & Michel Dacorogna - Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment (RePEc:wpa:wuwpri:0306003)
by Michel Dacorogna & Gianluca Oderda & Tobias Jung - Extreme Moves in Foreign Exchange Rates and Risk Limit Setting (RePEc:wpa:wuwpri:0306004)
by Michel Dacorogna & Peter Blum - Performance and Risk Measurement Challenges For Hedge Funds: Empirical Considerations (RePEc:wpa:wuwpri:0311001)
by Peter Blum & Michel Dacorogna & Lars Jaeger - Measuring Shock In Financial Markets (RePEc:wsi:ijtafx:v:03:y:2000:i:03:n:s0219024900000188)
by Gilles O. Zumbach & Michel M. Dacorogna & Jørgen L. Olsen & Richard B. Olsen