Michel Dacorogna

Names

first:	Michel
middle:	M
last:	Dacorogna

Contact

homepage:	http://www.scor.com/
phone:	+41 44 639 97 60
postal address:	SCOR Switzerland General Guisan Quai 26 8022 Zurich Switzerland

Research profile

author of:

• Multivariate extremes, aggregation and risk estimation (paper, details)
  by Michel Dacorogna & Höskuldur Ari Hauksson & Thomas Domenig & Ulrich Müller & Gennady Samorodnitsky
• On the intra-daily performance of GARCH processes (paper, details)
  by Dominique M. Guillaume & Olivier V. Pictet & Michel M. Dacorogna
• Unveiling Non Linearities Through Time Scale Transformations (paper, details)
  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 (paper, details)
  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 (paper, details)
  by Michel M. Dacorogna & Ulrich A. Muller & Paul Embrechts & Gennady Samorodnitsky
• Genetic Algorithms with collective sharing for Robust Optimization in Financial Applications (paper, details)
  by Olivier V. Pictet & Michel M. Dacorogna & Rakhal D. Dave & Bastien Chopard & Roberto Schirru & Marco Tomassini
• Fractals and Intrinsic Time - a Challenge to Econometricians (paper, details)
  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 (paper, details)
  by M. M. Dacorogna,
• The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets (paper, details)
  by Michel M. Dacorogna, & Ulrich A. Muller & Olivier V. Pictet & Casper De Vries,
• Going Back to the Basics - Rethinking Market Efficiency (paper, details)
  by Richard B. Olsen & Michel M. Dacorogna & Ulrich A. Muller, & Olivier V. Pictet
• A Measure of the Trading Model Performance with a Risk Component (paper, details)
  by M. M. Dacorogna & U. A. Muller & O. V. Pictet
• Hill, Bootstrap and Jackknife Estimators for Heavy Tails (paper, details)
  by Olivier V. Pictet & Michel M. Dacorogna & Ulrich A. Muller
• Heavy tails in high-frequency financial data (paper, details)
  by Olivier V. Pictet & Michel M. Dacorogna & Ulrich A. Muller
• Using the Scaling Analysis to Characterize Financial Markets (paper, details)
  by T. Di Matteo & T. Aste & Michel M. Dacorogna
• How Much Reinsurance Do You Really Need? A Case Study. (paper, details)
  by Peter Boller & Michel Dacorogna & Hubert Niggli
• Dynamic Financial Analysis - Understanding Risk and Value Creation in Insurance (paper, details)
  by Peter Blum & Michel Dacorogna
• Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment (paper, details)
  by Michel Dacorogna & Gianluca Oderda & Tobias Jung
• Extreme Moves in Foreign Exchange Rates and Risk Limit Setting (paper, details)
  by Michel Dacorogna & Peter Blum
• Performance and Risk Measurement Challenges For Hedge Funds: Empirical Considerations (paper, details)
  by Peter Blum & Michel Dacorogna & Lars Jaeger
• Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment (article, details)
  by Gianluca Oderda & Michel M. Dacorogna & Tobias Jung
• Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates (article, details)
  by Ramazan GenÁay & Giuseppe Ballocchi & Michel Dacorogna & Richard Olsen & Olivier Pictet
• From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*) (article, details)
  by Richard B. Olsen & Ulrich A. Müller & Michel M. Dacorogna & Olivier V. Pictet & Rakhal R. Davé & Dominique M. Guillaume
• Time-to-Expiry Seasonalities in Eurofutures (article, details)
  by Giuseppe Ballocchi & Michael Dacorogna & Ramazan Gençay & Barbara Piccinato
• Foreign exchange trading models and market behavior (article, details)
  by Gencay, Ramazan & Dacorogna, Michel & Olsen, Richard & Pictet, Olivier
• The intraday multivariate structure of the Eurofutures markets (article, details)
  by Ballocchi, Giuseppe & Dacorogna, Michel M. & Hopman, Carl M. & Muller, Ulrich A. & Olsen, Richard B.
• Consistent high-precision volatility from high-frequency data (paper, details)
  by Fulvio Corsi & Gilles Zumbach & Ulrich Müller & Michel Dacorogna
• Introducing a scale of market shocks (paper, details)
  by Gilles O. Zumbach & Michel M. Dacorogna & Jorgen L. Olsen & Richard B. Olsen
• Volatilities of different time resolutions -- Analyzing the dynamics of market components (article, details)
  by Muller, Ulrich A. & Dacorogna, Michel M. & Dave, Rakhal D. & Olsen, Richard B. & Pictet, Olivier V. & von Weizsacker, Jacob E.
• Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis (article, details)
  by Muller, Ulrich A. & Dacorogna, Michel M. & Olsen, Richard B. & Pictet, Olivier V. & Schwarz, Matthias & Morgenegg, Claude
• A geographical model for the daily and weekly seasonal volatility in the foreign exchange market (article, details)
  by Dacorogna, Michael M. & Muller, Ulrich A. & Nagler, Robert J. & Olsen, Richard B. & Pictet, Olivier V.
• 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 (article, details)
  by Terzi, Andrea
• Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development (paper, details)
  by T. Di Matteo & T. Aste & Michel M. Dacorogna
• From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices (paper, details)
  by Stefan Denzler & Michel M. Dacorogna & Ulrich A. Mueller & Alexander McNeil
• Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development (article, details)
  by Matteo, T. Di & Aste, T. & Dacorogna, Michel M.
• From default probabilities to credit spreads: Credit risk models do explain market prices (article, details)
  by Denzler, Stefan M. & Dacorogna, Michel M. & Muller, Ulrich A. & McNeil, Alexander J.
• Is the gamma risk of options insurable? (paper, details)
  by Egli, Daniel & Blum, Peter & Dacorogna, Michel M. & Müller, Ulrich A.