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Dacorogna, Michel M.

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Author ID: dacorogna.michel-m Recent zbMATH articles by "Dacorogna, Michel M."
Published as: Dacorogna, Michel M.; Dacorogna, Michel; Dacorogna, M. M.; Dacorogna, Michael; Dacorogna, M.
Documents Indexed: 14 Publications since 1997
Co-Authors: 24 Co-Authors with 14 Joint Publications
414 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

13 Publications have been cited 129 times in 122 Documents Cited by Year
From the bird’s eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets. Zbl 0889.90021
Guillaume, Dominique M.; Dacorogna, Michel M.; Davé, Rakhal R.; Müller, Ulrich A.; Olsen, Richard B.; Pictet, Olivier V.
59
1997
Scaling behaviors in differently developed markets. Zbl 1072.91565
Di Matteo, T.; Aste, T.; Dacorogna, M. M.
27
2003
Heavy tails in high-frequency financial data. Zbl 0926.91024
Müller, Ulrich A.; Dacorogna, Michel M.; Pictet, Olivier V.
11
1998
Extremal forex returns in extremely large data sets. Zbl 1008.62054
Dacorogna, Michel M.; Müller, Ulrich A.; Pictet, Olivier V.; de Vries, Casper C.
7
2001
Measuring shock in financial markets. Zbl 0970.91027
Zumbach, Gilles O.; Dacorogna, Michel M.; Olsen, Jørgen L.; Olsen, Richard B.
5
2000
Effective return, risk aversion and drawdowns. Zbl 0971.91510
Dacorogna, M. M.; Gençay, R.; Müller, U. A.; Pictet, O. V.
4
2001
Multivariate extremes, aggregation and risk estimation. Zbl 1405.91555
Hauksson, H. A.; Dacorogna, M.; Domenig, T.; Müller, U.; Samorodnitsky, G.
4
2001
Hill, bootstrap and jackknife estimators for heavy tails. Zbl 0945.62050
Pictet, Olivier V.; Dacorogna, Michel M.; Müller, Ulrich A.
3
1998
Equalization reserves for natural catastrophes and shareholder value: a simulation study. Zbl 1273.91451
Dacorogna, Michel M.; Albrecher, Hansjörg; Moller, Michael; Sahiti, Suzane
3
2013
Improving the forecast of longevity by combining models. Zbl 1410.91253
Apicella, Giovanna; Dacorogna, Michel; Di Lorenzo, Emilia; Sibillo, Marilena
3
2019
How heavy are the tails of a stationary \(\text{HARCH}(k)\) process? A study of the moments. Zbl 0914.60065
Embrechts, Paul; Samorodnitsky, Gennady; Dacorogna, Michel M.; Müller, Ulrich A.
1
1998
Robust estimation of reserve risk. Zbl 1235.91082
Busse, Marc; Müller, Ulrich; Dacorogna, Michel
1
2010
Foreign exchange trading models and market behavior. Zbl 1178.91107
Gençay, Ramazan; Dacorogna, Michel; Olsen, Richard; Pictet, Olivier
1
2003
Improving the forecast of longevity by combining models. Zbl 1410.91253
Apicella, Giovanna; Dacorogna, Michel; Di Lorenzo, Emilia; Sibillo, Marilena
3
2019
Equalization reserves for natural catastrophes and shareholder value: a simulation study. Zbl 1273.91451
Dacorogna, Michel M.; Albrecher, Hansjörg; Moller, Michael; Sahiti, Suzane
3
2013
Robust estimation of reserve risk. Zbl 1235.91082
Busse, Marc; Müller, Ulrich; Dacorogna, Michel
1
2010
Scaling behaviors in differently developed markets. Zbl 1072.91565
Di Matteo, T.; Aste, T.; Dacorogna, M. M.
27
2003
Foreign exchange trading models and market behavior. Zbl 1178.91107
Gençay, Ramazan; Dacorogna, Michel; Olsen, Richard; Pictet, Olivier
1
2003
Extremal forex returns in extremely large data sets. Zbl 1008.62054
Dacorogna, Michel M.; Müller, Ulrich A.; Pictet, Olivier V.; de Vries, Casper C.
7
2001
Effective return, risk aversion and drawdowns. Zbl 0971.91510
Dacorogna, M. M.; Gençay, R.; Müller, U. A.; Pictet, O. V.
4
2001
Multivariate extremes, aggregation and risk estimation. Zbl 1405.91555
Hauksson, H. A.; Dacorogna, M.; Domenig, T.; Müller, U.; Samorodnitsky, G.
4
2001
Measuring shock in financial markets. Zbl 0970.91027
Zumbach, Gilles O.; Dacorogna, Michel M.; Olsen, Jørgen L.; Olsen, Richard B.
5
2000
Heavy tails in high-frequency financial data. Zbl 0926.91024
Müller, Ulrich A.; Dacorogna, Michel M.; Pictet, Olivier V.
11
1998
Hill, bootstrap and jackknife estimators for heavy tails. Zbl 0945.62050
Pictet, Olivier V.; Dacorogna, Michel M.; Müller, Ulrich A.
3
1998
How heavy are the tails of a stationary \(\text{HARCH}(k)\) process? A study of the moments. Zbl 0914.60065
Embrechts, Paul; Samorodnitsky, Gennady; Dacorogna, Michel M.; Müller, Ulrich A.
1
1998
From the bird’s eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets. Zbl 0889.90021
Guillaume, Dominique M.; Dacorogna, Michel M.; Davé, Rakhal R.; Müller, Ulrich A.; Olsen, Richard B.; Pictet, Olivier V.
59
1997
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Cited by 223 Authors

6 Di Matteo, Tiziana
5 Stanley, H. Eugene
4 Barndorff-Nielsen, Ole Eiler
4 Chen, Zhanshou
4 Gencay, Ramazan
4 Gopikrishnan, Parameswaran
4 Plerou, Vasiliki
4 Sornette, Didier
4 Tian, Zheng
3 Aste, Tomaso
3 Caporin, Massimiliano
3 Gabaix, Xavier
3 Kokoszka, Piotr S.
3 Kristoufek, Ladislav
3 Malevergne, Yannick
3 Stelzer, Robert
3 Tsang, Edward P. K.
3 Westerhoff, Frank H.
3 Wu, Yang-Che
2 Amaral, Luís A. N.
2 Baldovin, Fulvio
2 Berkes, István
2 Buonocore, Riccardo J.
2 Caraglio, Michele
2 Centanni, Silvia
2 Chang, Woojin
2 Horváth, Lajos
2 Jin, Zi
2 Lee, Hojin
2 Lux, Thomas C. H.
2 Minozzo, Marco
2 Olivares, Felipe
2 Olsen, Richard B.
2 Pitselis, Georgios
2 Platen, Eckhard
2 Qi, Peiyan
2 Qin, Ruibing
2 Rachev, Svetlozar T.
2 Rosso, Osvaldo A.
2 Sánchez Granero, Miguel Ángel
2 Selçuk, Faruk
2 Stella, Attilio L.
2 Zunino, Luciano
1 Albin, J. M. P.
1 Albrecher, Hansjörg
1 Allen, David E.
1 Andersen, Torben G.
1 Ausloos, Marcel R.
1 Bacry, Emmanuel
1 Badounas, Ioannis
1 Bakhach, Amer
1 Bariviera, Aurelio F.
1 Bartolozzi, Margherita
1 Bekiros, Stelios D.
1 Ben Ameur, Hachmi
1 Bianchi, Sergio
1 Bisig, T.
1 Blake, David
1 Bochud, Thierry
1 Boitout, Nicolas
1 Bollerslev, Tim
1 Bordignon, Silvano
1 Bottazzi, Giulio
1 Bozikas, Apostolos
1 Brandi, G.
1 Breymann, Wolfgang
1 Cairns, Andrew J. G.
1 Camana, F.
1 Casqueiro, Patrícia Xufre
1 Chaiyakan, Songkomkrit
1 Challet, Damien
1 Chang, Lo-Bin
1 Chen, Jun
1 Chen, Wenbing
1 Chen, Xuehui
1 Chen, Yangquan
1 Chinthalapati, Venkata L. Raju
1 Chopping, Thomas
1 Christodoulakis, George A.
1 Clémençon, Stéphan
1 Dacorogna, Michel M.
1 Davis, Richard A.
1 de Vries, Casper George
1 Devolder, Pierre
1 Dhesi, Gurjeet S.
1 Dosi, Giovanni
1 Dupuis, Debbie J.
1 El Sayed, Abdul Rahman
1 Embrechts, Paul
1 Falk, Michael
1 Fazeli, S. Mahdi
1 Fenn, Daniel J.
1 Fernández Martínez, Manuel
1 Ferreira, Helena
1 Ferreira, Marta
1 Francis, Gilad
1 Frey, Rüdiger
1 Fuh, Cheng-Der
1 Garavaglia, Mario
1 Gay, Roger
...and 123 more Authors
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Cited in 53 Serials

16 Quantitative Finance
15 Physica A
8 International Journal of Theoretical and Applied Finance
7 Journal of Economic Dynamics & Control
6 Insurance Mathematics & Economics
4 Chaos, Solitons and Fractals
4 Journal of Statistical Planning and Inference
3 Journal of Econometrics
2 Physics Letters. A
2 Statistics & Probability Letters
2 Annals of Operations Research
2 The Annals of Applied Probability
2 Communications in Statistics. Theory and Methods
2 European Journal of Operational Research
2 Computational Statistics and Data Analysis
2 Extremes
2 Statistical Modelling
2 Journal of the Korean Statistical Society
2 The European Physical Journal B. Condensed Matter and Complex Systems
2 Algorithms
2 European Actuarial Journal
1 International Journal of Modern Physics B
1 The Canadian Journal of Statistics
1 Computers & Mathematics with Applications
1 Journal of Statistical Physics
1 Lithuanian Mathematical Journal
1 Scandinavian Journal of Statistics
1 The Annals of Statistics
1 International Statistical Review
1 Journal of the American Statistical Association
1 Journal of Applied Probability
1 Journal of Mathematical Economics
1 Mathematics and Computers in Simulation
1 Acta Applicandae Mathematicae
1 Applied Mathematics Letters
1 Mathematical and Computer Modelling
1 Computational Statistics
1 Communications in Statistics. Simulation and Computation
1 Journal of Statistical Computation and Simulation
1 Computational Optimization and Applications
1 Statistical Papers
1 Applied Mathematical Finance
1 Mathematical Finance
1 Chaos
1 Fractional Calculus & Applied Analysis
1 Communications in Nonlinear Science and Numerical Simulation
1 Econometric Theory
1 Decisions in Economics and Finance
1 Advances in Complex Systems
1 North American Actuarial Journal
1 Asia-Pacific Financial Markets
1 Computational Management Science
1 Journal of Statistical Mechanics: Theory and Experiment

Citations by Year