Dacorogna Michel: search on Z-Library

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1

An Introduction to High-Frequency Finance || TRADING MODELS

Dacorogna, Michel M.

Year:

2001

Language:

english

File:

PDF, 3.88 MB

english, 2001

2

From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets

Dominique M. Guillaume, Michel M. Dacorogna, Rakhal R. Davé, Ulrich A. Müller, Richard B. Olsen, Olivier V. Pictet

Journal:

Finance and Stochastics

Year:

1997

Language:

english

File:

PDF, 1013 KB

english, 1997

3

Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates

GenÇay Ramazan, Ballocchi Giuseppe, Dacorogna Michel, Olsen Richard, Pictet Olivier

Journal:

International Economic Review

Year:

2002

Language:

english

File:

PDF, 179 KB

english, 2002

4

Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis

Ulrich A. Müller, Michel M. Dacorogna, Richard B. Olsen, Olivier V. Pictet, Matthias Schwarz, Claude Morgenegg

Journal:

Journal of Banking & Finance

Year:

1990

Language:

english

File:

PDF, 1.19 MB

english, 1990

5

MEASURING SHOCK IN FINANCIAL MARKETS

ZUMBACH, GILLES O., DACOROGNA, MICHEL M., OLSEN, JØRGEN L., OLSEN, RICHARD B.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2000

Language:

english

File:

PDF, 194 KB

english, 2000

6

Foreign exchange trading models and market behavior

Ramazan Gençay, Michel Dacorogna, Richard Olsen, Olivier Pictet

Journal:

Journal of Economic Dynamics and Control

Year:

2003

Language:

english

File:

PDF, 209 KB

english, 2003

7

Consistent High-precision Volatility from High-frequency Data

Fulvio Corsi, Gilles Zumbach, Ulrich A. Muller, Michel M. Dacorogna

Journal:

Year:

2001

Language:

english

File:

PDF, 396 KB

english, 2001

8

Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development

T. Di Matteo, T. Aste, Michel M. Dacorogna

Journal:

Journal of Banking & Finance

Year:

2005

Language:

english

File:

PDF, 619 KB

english, 2005

9

An Introduction to High-Frequency Finance || TIME SERIES OF INTEREST

Dacorogna, Michel M.

Year:

2001

Language:

english

File:

PDF, 2.90 MB

english, 2001

10

Volatilities of different time resolutions — Analyzing the dynamics of market components

Ulrich A. Müller, Michel M. Dacorogna, Rakhal D. Davé, Richard B. Olsen, Olivier V. Pictet, Jacob E. von Weizsäcker

Journal:

Journal of Empirical Finance

Year:

1997

Language:

english

File:

PDF, 1.34 MB

english, 1997

11

Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates

Ramazan Gençay, Giuseppe Ballocchi, Michel Dacorogna, Richard Olsen and Olivier Pictet

Journal:

International Economic Review

Year:

2002

Language:

english

File:

PDF, 538 KB

english, 2002

12

Modelling Short-Term Volatility with GARCH and HARCH Models

Dacorogna, Michel M., Müller, Ulrich A., Pictet, Olivier V., Olsen, Richard B.

Journal:

SSRN Electronic Journal

Year:

1997

Language:

english

File:

PDF, 240 KB

english, 1997

13

The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio

Busse, Marc, Dacorogna, Michel, Kratz, Marie

Journal:

Year:

2014

Language:

english

File:

PDF, 296 KB

english, 2014

14

Changing time scale for short-term forecasting in financial markets

Michel M. Dacorogna, Cindy L. Gauvreau, Ulrich A. Müller, Richard B. Olsen, Olivier V. Pictet

Journal:

Journal of Forecasting

Year:

1996

Language:

english

File:

PDF, 1.78 MB

english, 1996

15

The intraday multivariate structure of the Eurofutures markets

Giuseppe Ballocchi, Michel M. Dacorogna, Carl M. Hopman, Ulrich A. Müller, Richard B. Olsen

Journal:

Journal of Empirical Finance

Year:

1999

Language:

english

File:

PDF, 670 KB

english, 1999

16

How Much Capital Does a Reinsurance Need?

Besson, Jean-Luc, Dacorogna, Michel M, Martin, Paolo de, Kastenholz, Michael, Moller, Michael

Journal:

Geneva Papers on Risk and Insurance - Issues and Practice

Year:

2009

Language:

english

File:

PDF, 306 KB

english, 2009

17

Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates

Gencay, Ramazan, Dacorogna, Michel M., Ballocchi, Giuseppe, Olsen, Richard B., Pictet, Olivier V.

Journal:

SSRN Electronic Journal

Year:

1999

File:

PDF, 8.46 MB

1999

18

Reflections on risk

Dacorogna, Michel M

Journal:

Quantitative Finance

Year:

2003

Language:

english

File:

PDF, 115 KB

english, 2003

19

From default probabilities to credit spreads: Credit risk models do explain market prices

Stefan M. Denzler, Michel M. Dacorogna, Ulrich A. Müller, Alexander J. McNeil

Journal:

Finance Research Letters

Year:

2006

Language:

english

File:

PDF, 481 KB

english, 2006

20

Econophysicists find a forum

Dacorogna, Michel

Journal:

Year:

1999

Language:

english

File:

PDF, 5.06 MB

english, 1999

21

Calculation of the pressure dependence of the superconducting transition temperature of aluminum

Dacorogna, Michel M., Cohen, Marvin L., Lam, Pui K.

Journal:

Physical Review B

Year:

1986

Language:

english

File:

PDF, 301 KB

english, 1986

22

First-principles study of the structural properties of alkali metals

Dacorogna, Michel M., Cohen, Marvin L.

Journal:

Physical Review B

Year:

1986

Language:

english

File:

PDF, 656 KB

english, 1986

23

SPIE Proceedings [SPIE SPIE Third International Symposium on Fluctuations and Noise - Austin, TX (Monday 23 May 2005)] Noise and Fluctuations in Econophysics and Finance - From default probabilities to credit spreads: credit risk models explain market prices (Keynote Address)

Denzler, Stefan M., Abbott, Derek, Bouchaud, Jean-Philippe, Dacorogna, Michel M., Muller, Ulrich A., Gabaix, Xavier, McCauley, Joseph L., McNeil, Alexander J.

Year:

2005

Language:

english

File:

PDF, 368 KB

english, 2005

24

Heavy Tails in High-frequency Financial Data

Dacorogna, Michel M., Pictet, Olivier V.

Journal:

SSRN Electronic Journal

Year:

1997

Language:

english

File:

PDF, 320 KB

english, 1997

25

The Price of Being a Systemically Important Financial Institution (SIFI)

Dacorogna, Michel, Busse, Marc

Journal:

International Review of Finance

Year:

2017

Language:

english

File:

PDF, 679 KB

english, 2017

26

Pressure increase of the electron-phonon interaction in superconducting hexagonal silicon

Dacorogna, Michel M., Chang, K. J., Cohen, Marvin L.

Journal:

Physical Review B

Year:

1985

Language:

english

File:

PDF, 156 KB

english, 1985

27

Self-consistent calculation of electron-phonon couplings

Lam, Pui K., Dacorogna, Michel M., Cohen, Marvin L.

Journal:

Physical Review B

Year:

1986

Language:

english

File:

PDF, 466 KB

english, 1986

28

Effective return, risk aversion and drawdowns

Michel M. Dacorogna, Ramazan Gençay, Ulrich A. Müller, Olivier V. Pictet

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2001

Language:

english

File:

PDF, 131 KB

english, 2001

29

The Price of Being a Systemically Important Financial Institution (SIFI)

Dacorogna, Michel M., Busse, Marc

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 79 KB

english, 2016

30

Multivariate Extremes, Aggregation and Risk Estimation

Hauksson, Hoskuldur Ari, Dacorogna, Michel M., Domenig, Thomas, Müller, Ulrich A., Samorodnitsky, Gennady

Journal:

SSRN Electronic Journal

Year:

2000

File:

PDF, 359 KB

2000

31

Validation of aggregated risks models

Dacorogna, Michel, Elbahtouri, Laila, Kratz, Marie

Journal:

Annals of Actuarial Science

Year:

2017

Language:

english

File:

PDF, 579 KB

english, 2017

32

A Change of Paradigm for the Insurance Industry

Dacorogna, Michel M.

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 1.77 MB

english, 2015

33

Equalization reserves for natural catastrophes and shareholder value: a simulation study

Michel M. Dacorogna, Hansjörg Albrecher, Michael Moller…

Journal:

European Actuarial Journal

Year:

2013

Language:

english

File:

PDF, 771 KB

english, 2013

34

Self-Consistent Calculation of the q Dependence of the Electron-Phonon Coupling in Aluminum

Dacorogna, Michel M., Cohen, Marvin L., Lam, Pui K.

Journal:

Physical Review Letters

Year:

1985

Language:

english

File:

PDF, 713 KB

english, 1985

35

A Change of Paradigm for the Insurance Industry

Dacorogna, Michel M.

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 1.77 MB

english, 2015

36

SPECIAL ISSUE ON INSURANCE LINKED SECURITIES, ASSET AND BALANCE SHEET MANAGEMENT || How Much Capital Does a Reinsurance Need?

Jean-Luc Besson, Michel M. Dacorogna, Paolo de Martin, Michael Kastenholz and Michael Moller

Journal:

Geneva Papers on Risk and Insurance - Issues and Practice

Year:

2009

Language:

english

File:

PDF, 1.54 MB

english, 2009

37

The Intraday Multivariate Structure of the Eurofutures Markets

Ballocchi, Giuseppe, Hopman, Carl M., Dacorogna, Michel M., Müller, Ulrich A., Olsen, Richard B.

Journal:

SSRN Electronic Journal

Year:

1998

Language:

english

File:

PDF, 578 KB

english, 1998

38

Living in a Stochastic World and Managing Complex Risks

Dacorogna, Michel M., Kratz, Marie

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 307 KB

english, 2015

39

Credit Risk Models – Do They Deliver Their Promises? A Quantitative Assessment

Gianluca Oderda, Michel M. Dacorogna, Tobias Jung

Journal:

Year:

2003

Language:

english

File:

PDF, 155 KB

english, 2003

40

Theoretical study of superconductivity in highly condensed Si

Marvin L. Cohen, K.J. Chang, Michel M. Dacorogna

Journal:

Year:

1985

Language:

english

File:

PDF, 398 KB

english, 1985

41

Superconductivity of Silicon

Martinez, G, Mignot, J M, Chouteau, G, Chang, K J, Dacorogna, Michel M, Cohen, Marvin L

Journal:

Physica Scripta

Year:

1986

Language:

english

File:

PDF, 410 KB

english, 1986

42

One-electron formulation of the electron-phonon coupling problem by the density functional approach

Joseph Ashkenazi, Michel Dacorogna

Journal:

Year:

1981

Language:

english

File:

PDF, 154 KB

english, 1981

43

Intraday Statistical Properties of Eurofutures

Gencay, Ramazan, Ballocchi, Giuseppe, Dacorogna, Michel M., Piccinato, Barbara

Journal:

SSRN Electronic Journal

Year:

1999

File:

PDF, 531 KB

1999

44

A change of paradigm for the insurance industry

Dacorogna, Michel

Journal:

Annals of Actuarial Science

Year:

2018

Language:

english

File:

PDF, 506 KB

english, 2018

45

Risk Measure Estimates in Quiet and Turbulent Times: An Empirical Study

Chotard, Rosnan, Dacorogna, Michel M., Kratz, Marie

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 685 KB

english, 2016

46

Superconductivity in High-Pressure Metallic Phases of Si

Chang, K. J., Dacorogna, Michel M., Cohen, Marvin L., Mignot, J. M., Chouteau, G., Martinez, G.

Journal:

Physical Review Letters

Year:

1985

Language:

english

File:

PDF, 616 KB

english, 1985

47

Extremal Forex Returns in Extremely Large Data Sets

Michel M. Dacorogna, Ulrich A. Müller, Olivier V. Pictet, Casper G. de Vries

Journal:

Year:

2001

Language:

english

File:

PDF, 135 KB

english, 2001

48

One-Year Change Methodologies for Fixed-Sum Insurance Contracts

Dacorogna, Michel, Ferriero, Alessandro, Krief, David

Journal:

Year:

2018

File:

PDF, 1.03 MB

2018

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