1

The Riskmetrics 2006 Methodology

Zumbach, Gilles O.
Journal:
SSRN Electronic Journal
Year:
2007
Language:
english
File:
PDF, 17.92 MB
english, 2007
2

OPERATORS ON INHOMOGENEOUS TIME SERIES

ZUMBACH, GILLES, MÜLLER, ULRICH
Journal:
International Journal of Theoretical and Applied Finance
Year:
2001
Language:
english
File:
PDF, 483 KB
english, 2001
3

Cross-sectional universalities in financial time series

Zumbach, Gilles
Journal:
Quantitative Finance
Year:
2015
Language:
english
File:
PDF, 504 KB
english, 2015
5

A mean/variance approach to long-term fixed-income portfolio allocation

Zumbach, Gilles
Journal:
Quantitative Finance
Year:
2013
Language:
english
File:
PDF, 735 KB
english, 2013
7

Consistent High-precision Volatility from High-frequency Data

Fulvio Corsi, Gilles Zumbach, Ulrich A. Muller, Michel M. Dacorogna
Journal:
Economic Notes
Year:
2001
Language:
english
File:
PDF, 396 KB
english, 2001
8

Option pricing with realistic ARCH processes

Zumbach, Gilles, Fernández, Luis
Journal:
Quantitative Finance
Year:
2014
Language:
english
File:
PDF, 2.84 MB
english, 2014
9

[Springer Finance] Discrete Time Series, Processes, and Applications in Finance ||

Zumbach, Gilles
Year:
2013
Language:
english
File:
PDF, 22.72 MB
english, 2013
10

Volatility processes and volatility forecast with long memory

Zumbach, Gilles
Journal:
Quantitative Finance
Year:
2004
Language:
english
File:
PDF, 446 KB
english, 2004
11

Time reversal invariance in finance

Zumbach, Gilles
Journal:
Quantitative Finance
Year:
2009
Language:
english
File:
PDF, 555 KB
english, 2009
12

The statistical properties of the innovations in multivariate ARCH processes in high dimensions

Zumbach, Gilles
Journal:
Quantitative Finance
Year:
2013
Language:
english
File:
PDF, 2.95 MB
english, 2013
13

How trading activity scales with company size in the FTSE 100

Zumbach, Gilles
Journal:
Quantitative Finance
Year:
2004
Language:
english
File:
PDF, 362 KB
english, 2004
14

Volatility conditional on price trends

Zumbach, Gilles
Journal:
Quantitative Finance
Year:
2010
Language:
english
File:
PDF, 555 KB
english, 2010
16

Market heterogeneities and the causal structure of volatility

Lynch, Paul E, Zumbach, Gilles O
Journal:
Quantitative Finance
Year:
2003
Language:
english
File:
PDF, 928 KB
english, 2003
17

Option pricing and ARCH processes

Zumbach, Gilles
Journal:
Finance Research Letters
Year:
2012
Language:
english
File:
PDF, 358 KB
english, 2012
18

Empirical properties of large covariance matrices

Zumbach, Gilles
Journal:
Quantitative Finance
Year:
2011
Language:
english
File:
PDF, 1.42 MB
english, 2011
19

Fast and realistic European ARCH option pricing and hedging

Zumbach, Gilles, Fernández, Luis
Journal:
Quantitative Finance
Year:
2013
Language:
english
File:
PDF, 1.47 MB
english, 2013
21

Characterizing heteroskedasticity

Zumbach, Gilles
Journal:
Quantitative Finance
Year:
2011
Language:
english
File:
PDF, 640 KB
english, 2011
22

Heterogeneous volatility cascade in financial markets

Gilles Zumbach, Paul Lynch
Journal:
Physica A: Statistical Mechanics and its Applications
Year:
2001
Language:
english
File:
PDF, 276 KB
english, 2001
24

A Gentle Introduction to the RM2006 Methodology

Zumbach, Gilles O.
Journal:
SSRN Electronic Journal
Year:
2007
Language:
english
File:
PDF, 585 KB
english, 2007
26

Cross-Sectional Universalities in Financial Time Series

Zumbach, Gilles O.
Journal:
SSRN Electronic Journal
Year:
2013
Language:
english
File:
PDF, 105 KB
english, 2013
28

A Historical Perspective on Market Risks Using the DJIA Index Over One Century

Gilles Zumbach, Christopher Finger
Journal:
Wilmott Journal
Year:
2010
Language:
english
File:
PDF, 391 KB
english, 2010
29

Option Pricing and ARCH Processes

Zumbach, Gilles O.
Journal:
SSRN Electronic Journal
Year:
2012
Language:
english
File:
PDF, 307 KB
english, 2012
30

The Empirical Properties of Large Covariance Matrices

Zumbach, Gilles O.
Journal:
SSRN Electronic Journal
Year:
2009
Language:
english
File:
PDF, 1.43 MB
english, 2009
31

Time Reversal Invariance in Finance

Zumbach, Gilles O.
Journal:
SSRN Electronic Journal
Year:
2007
Language:
english
File:
PDF, 127 KB
english, 2007
32

Heterogeneous Volatility Cascade in Financial Markets

Zumbach, Gilles O., Lynch, Paul NMI
Journal:
SSRN Electronic Journal
Year:
2001
Language:
english
File:
PDF, 149 KB
english, 2001
33

Fast and Realistic European ARCH Option Pricing and Hedging

Zumbach, Gilles O., Fernandez, Luis
Journal:
SSRN Electronic Journal
Year:
2011
Language:
english
File:
PDF, 2.28 MB
english, 2011
34

Volatility Processes and Volatility Forecast with Long Memory

Zumbach, Gilles O.
Journal:
SSRN Electronic Journal
Year:
2002
Language:
english
File:
PDF, 388 KB
english, 2002