Edit Profile (opens in new tab) Dacorogna, Michel M. Compute Distance To: Compute Author ID: 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 all top 5 Co-Authors 0 single-authored 8 Müller, Ulrich A. 6 Pictet, Olivier V. 3 Gencay, Ramazan 3 Olsen, Richard B. 2 Samorodnitsky, Gennady Pinkhosovich 1 Albrecher, Hansjörg 1 Apicella, Giovanna 1 Aste, Tomaso 1 Ballocchi, Giuseppe 1 Busse, Marc 1 Davé, Rakhal R. 1 de Vries, Casper C. 1 Di Lorenzo, Emilia 1 Di Matteo, Tiziana 1 Domenig, Thomas 1 Embrechts, Paul 1 Guillaume, Dominique M. 1 Hauksson, Höskuldur Ari 1 Möller, Michael 1 Olsen, Jørgen L. 1 Piccinato, Barbara 1 Sahiti, Suzane 1 Sibillo, Marilena 1 Zumbach, Gilles O. all top 5 Serials 2 Physica A 1 Journal of Economic Dynamics & Control 1 Finance and Stochastics 1 Studies in Nonlinear Dynamics and Econometrics 1 International Journal of Theoretical and Applied Finance 1 Extremes 1 Quantitative Finance 1 ASTIN Bulletin 1 North American Actuarial Journal 1 European Actuarial Journal Fields 12 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 5 Statistics (62-XX) 2 Probability theory and stochastic processes (60-XX) 1 Numerical analysis (65-XX) Publications by Year all cited Publications top 5 cited Publications 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 0889.90021Guillaume, 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 1072.91565Di Matteo, T.; Aste, T.; Dacorogna, M. M. 27 2003 Heavy tails in high-frequency financial data. Zbl 0926.91024Müller, Ulrich A.; Dacorogna, Michel M.; Pictet, Olivier V. 11 1998 Extremal forex returns in extremely large data sets. Zbl 1008.62054Dacorogna, Michel M.; Müller, Ulrich A.; Pictet, Olivier V.; de Vries, Casper C. 7 2001 Measuring shock in financial markets. Zbl 0970.91027Zumbach, Gilles O.; Dacorogna, Michel M.; Olsen, Jørgen L.; Olsen, Richard B. 5 2000 Effective return, risk aversion and drawdowns. Zbl 0971.91510Dacorogna, M. M.; Gençay, R.; Müller, U. A.; Pictet, O. V. 4 2001 Multivariate extremes, aggregation and risk estimation. Zbl 1405.91555Hauksson, H. A.; Dacorogna, M.; Domenig, T.; Müller, U.; Samorodnitsky, G. 4 2001 Hill, bootstrap and jackknife estimators for heavy tails. Zbl 0945.62050Pictet, Olivier V.; Dacorogna, Michel M.; Müller, Ulrich A. 3 1998 Equalization reserves for natural catastrophes and shareholder value: a simulation study. Zbl 1273.91451Dacorogna, Michel M.; Albrecher, Hansjörg; Moller, Michael; Sahiti, Suzane 3 2013 Improving the forecast of longevity by combining models. Zbl 1410.91253Apicella, 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 0914.60065Embrechts, Paul; Samorodnitsky, Gennady; Dacorogna, Michel M.; Müller, Ulrich A. 1 1998 Robust estimation of reserve risk. Zbl 1235.91082Busse, Marc; Müller, Ulrich; Dacorogna, Michel 1 2010 Foreign exchange trading models and market behavior. Zbl 1178.91107Gençay, Ramazan; Dacorogna, Michel; Olsen, Richard; Pictet, Olivier 1 2003 Improving the forecast of longevity by combining models. Zbl 1410.91253Apicella, Giovanna; Dacorogna, Michel; Di Lorenzo, Emilia; Sibillo, Marilena 3 2019 Equalization reserves for natural catastrophes and shareholder value: a simulation study. Zbl 1273.91451Dacorogna, Michel M.; Albrecher, Hansjörg; Moller, Michael; Sahiti, Suzane 3 2013 Robust estimation of reserve risk. Zbl 1235.91082Busse, Marc; Müller, Ulrich; Dacorogna, Michel 1 2010 Scaling behaviors in differently developed markets. Zbl 1072.91565Di Matteo, T.; Aste, T.; Dacorogna, M. M. 27 2003 Foreign exchange trading models and market behavior. Zbl 1178.91107Gençay, Ramazan; Dacorogna, Michel; Olsen, Richard; Pictet, Olivier 1 2003 Extremal forex returns in extremely large data sets. Zbl 1008.62054Dacorogna, Michel M.; Müller, Ulrich A.; Pictet, Olivier V.; de Vries, Casper C. 7 2001 Effective return, risk aversion and drawdowns. Zbl 0971.91510Dacorogna, M. M.; Gençay, R.; Müller, U. A.; Pictet, O. V. 4 2001 Multivariate extremes, aggregation and risk estimation. Zbl 1405.91555Hauksson, H. A.; Dacorogna, M.; Domenig, T.; Müller, U.; Samorodnitsky, G. 4 2001 Measuring shock in financial markets. Zbl 0970.91027Zumbach, Gilles O.; Dacorogna, Michel M.; Olsen, Jørgen L.; Olsen, Richard B. 5 2000 Heavy tails in high-frequency financial data. Zbl 0926.91024Müller, Ulrich A.; Dacorogna, Michel M.; Pictet, Olivier V. 11 1998 Hill, bootstrap and jackknife estimators for heavy tails. Zbl 0945.62050Pictet, 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 0914.60065Embrechts, 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 0889.90021Guillaume, Dominique M.; Dacorogna, Michel M.; Davé, Rakhal R.; Müller, Ulrich A.; Olsen, Richard B.; Pictet, Olivier V. 59 1997 all cited Publications top 5 cited Publications all top 5 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 all top 5 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 all top 5 Cited in 12 Fields 85 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 55 Statistics (62-XX) 25 Probability theory and stochastic processes (60-XX) 6 Statistical mechanics, structure of matter (82-XX) 5 Operations research, mathematical programming (90-XX) 4 Numerical analysis (65-XX) 3 Computer science (68-XX) 2 Measure and integration (28-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Systems theory; control (93-XX) 1 General and overarching topics; collections (00-XX) 1 Biology and other natural sciences (92-XX) Citations by Year