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Information about:
Michel M Dacorogna

Personal Details | Affiliation | Works
This is information that was supplied by Michel Dacorogna in registering through RePEc. If you are Michel M Dacorogna , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Michel
Middle Name: M
Last Name: Dacorogna
Suffix:

RePEc Short-ID: pda56

Email: [This author has chosen not to make the email address public]
Homepage: http://www.scor.com/
Postal Address: SCOR Switzerland General Guisan Quai 26 8022 Zurich Switzerland
Phone: +41 44 639 97 60

Affiliation

(in no particular order)

No affiliation has been provided

Lists

This author is among the top 5% authors according to these criteria:
  1. Number of Downloads through RePEc Services over the past 12 months
  2. Wu-Index

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. T. Di Matteo & T. Aste & Michel M. Dacorogna, 2005. "Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development," Econometrics 0503004, EconWPA. [Downloadable!]
    Other versions:
    Published as:

  2. Stefan Denzler & Michel M. Dacorogna & Ulrich A. Mueller & Alexander McNeil, 2005. "From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices," Finance 0504011, EconWPA. [Downloadable!]
    Published as:

  3. Egli, Daniel & Blum, Peter & Dacorogna, Michel M & Müller, Ulrich A, 2005. "Is the gamma risk of options insurable?," MPRA Paper 8564, University Library of Munich, Germany. [Downloadable!]

  4. Fulvio Corsi & Gilles Zumbach & Ulrich Müller & Michel Dacorogna, 2004. "Consistent high-precision volatility from high-frequency data," Finance 0407005, EconWPA. [Downloadable!]

  5. Gilles O. Zumbach & Michel M. Dacorogna & Jorgen L. Olsen & Richard B. Olsen, 2004. "Introducing a scale of market shocks," Finance 0407004, EconWPA. [Downloadable!]

  6. T. Di Matteo & T. Aste & Michel M. Dacorogna, 2004. "Using the Scaling Analysis to Characterize Financial Markets," Finance 0402014, EconWPA. [Downloadable!]
    Other versions:

  7. Peter Boller & Michel Dacorogna & Hubert Niggli, 2003. "How Much Reinsurance Do You Really Need? A Case Study," Risk and Insurance 0306001, EconWPA. [Downloadable!]

  8. Peter Blum & Michel Dacorogna & Lars Jaeger, 2003. "Performance and Risk Measurement Challenges For Hedge Funds: Empirical Considerations," Risk and Insurance 0311001, EconWPA. [Downloadable!]

  9. Michel Dacorogna & Gianluca Oderda & Tobias Jung, 2003. "Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment," Risk and Insurance 0306003, EconWPA. [Downloadable!]
    Published as:

  10. Michel Dacorogna & Peter Blum, 2003. "Extreme Moves in Foreign Exchange Rates and Risk Limit Setting," Risk and Insurance 0306004, EconWPA. [Downloadable!]

  11. Peter Blum & Michel Dacorogna, 2003. "Dynamic Financial Analysis - Understanding Risk and Value Creation in Insurance," Risk and Insurance 0306002, EconWPA. [Downloadable!]

  12. Michel Dacorogna & Höskuldur Ari Hauksson & Thomas Domenig & Ulrich Müller & Gennady Samorodnitsky, 2001. "Multivariate extremes, aggregation and risk estimation," CeNDEF Workshop Papers, January 2001 P2, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.

  13. Olivier V. Pictet & Michel M. Dacorogna & Ulrich A. Muller, 1996. "Heavy tails in high-frequency financial data," Working Papers 1996-12-11, Olsen and Associates. [Downloadable!]

  14. Olivier V. Pictet & Michel M. Dacorogna & Ulrich A. Muller, 1996. "Hill, Bootstrap and Jackknife Estimators for Heavy Tails," Working Papers 1996-12-10, Olsen and Associates. [Downloadable!]

  15. Richard B. Olsen & Michel M. Dacorogna & Ulrich A. Muller, & Olivier V. Pictet, . "Going Back to the Basics - Rethinking Market Efficiency," Working Papers 1992-09-07., Olsen and Associates. [Downloadable!]

  16. Dominique M. Guillaume & Olivier V. Pictet & Michel M. Dacorogna, . "On the intra-daily performance of GARCH processes," Working Papers 1994-07-31, Olsen and Associates. [Downloadable!]

  17. U. A. Muller & M. M. Dacorogna & R. D. Dave & O. V. Pictet & R. B. Olsen & J.R. Ward, . "Fractals and Intrinsic Time - a Challenge to Econometricians," Working Papers 1993-08-16, Olsen and Associates. [Downloadable!]

  18. M. M. Dacorogna,, . "The Main Ingredients of Simple Trading Models for Use in Genetic Algorithm Optimization," Working Papers 1993-03-22., Olsen and Associates. [Downloadable!]

  19. Michel M. Dacorogna & Ulrich A. Muller & Paul Embrechts & Gennady Samorodnitsky, . "How heavy are the the tails of a stationary HARCH(k) process? - A study of the moments," Working Papers 1995-02-24., Olsen and Associates. [Downloadable!]

  20. M. M. Dacorogna & U. A. Muller & O. V. Pictet, . "A Measure of the Trading Model Performance with a Risk Component," Working Papers 1991-05-24., Olsen and Associates. [Downloadable!]

  21. Ulrich A. Muller & Michel M. Dacorogna & Olivier V. Pictet, . "The Error of Statistical Volatility of Intra-daily Quoted Price Changes Observed over a Time Interval," Working Papers 1995-07-31, Olsen and Associates. [Downloadable!]

  22. Olivier V. Pictet & Michel M. Dacorogna & Rakhal D. Dave & Bastien Chopard & Roberto Schirru & Marco Tomassini, . "Genetic Algorithms with collective sharing for Robust Optimization in Financial Applications," Working Papers 1995-02-06., Olsen and Associates. [Downloadable!]

  23. Michel M. Dacorogna, & Ulrich A. Muller & Olivier V. Pictet & Casper De Vries,, . "The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets," Working Papers 1992-10-22, Olsen and Associates. [Downloadable!]

  24. Dominique M. Guillaume & Olivier V. Pictet & Ulrich A. Muller & Michel M. Dacorogna, . "Unveiling Non Linearities Through Time Scale Transformations," Working Papers 1994-06-26, Olsen and Associates. [Downloadable!]

Articles

  1. Jean-Luc Besson & Michel M Dacorogna & Paolo de Martin & Michael Kastenholz & Michael Moller, 2009. "How Much Capital Does a Reinsurance Need?," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan Journals, vol. 34(2), pages 159-174, April. [Downloadable!] (restricted)

  2. Denzler, Stefan M. & Dacorogna, Michel M. & Muller, Ulrich A. & McNeil, Alexander J., 2006. "From default probabilities to credit spreads: Credit risk models do explain market prices," Finance Research Letters, Elsevier, vol. 3(2), pages 79-95, June. [Downloadable!] (restricted)
    Other versions:

  3. Matteo, T. Di & Aste, T. & Dacorogna, Michel M., 2005. "Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 827-851, April. [Downloadable!] (restricted)
    Other versions:

  4. Gencay, Ramazan & Dacorogna, Michel & Olsen, Richard & Pictet, Olivier, 2003. "Foreign exchange trading models and market behavior," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 909-935, April. [Downloadable!] (restricted)

  5. Terzi, Andrea, 2003. "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: 0-1," International Review of Economics & Finance, Elsevier, vol. 12(4), pages 525-529. [Downloadable!] (restricted)

  6. Gianluca Oderda & Michel M. Dacorogna & Tobias Jung, 2003. "Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 32(2), pages 177-195, 07. [Downloadable!] (restricted)
    Other versions:

  7. Ramazan GenÁay & Giuseppe Ballocchi & Michel Dacorogna & Richard Olsen & Olivier Pictet, 2002. "Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 43(2), pages 463-492, May. [Downloadable!] (restricted)

  8. Giuseppe Ballocchi & Michael Dacorogna & Ramazan Gençay & Barbara Piccinato, 2001. "Time-to-Expiry Seasonalities in Eurofutures," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 4(4), pages 19-32. [Downloadable!] (restricted)

  9. Ballocchi, Giuseppe & Dacorogna, Michel M. & Hopman, Carl M. & Muller, Ulrich A. & Olsen, Richard B., 1999. "The intraday multivariate structure of the Eurofutures markets," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 479-513, December. [Downloadable!] (restricted)

  10. Richard B. Olsen & Ulrich A. Müller & Michel M. Dacorogna & Olivier V. Pictet & Rakhal R. Davé & Dominique M. Guillaume, 1997. "From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*)," Finance and Stochastics, Springer, vol. 1(2), pages 95-129. [Downloadable!] (restricted)

  11. Muller, Ulrich A. & Dacorogna, Michel M. & Dave, Rakhal D. & Olsen, Richard B. & Pictet, Olivier V. & von Weizsacker, Jacob E., 1997. "Volatilities of different time resolutions -- Analyzing the dynamics of market components," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 213-239, June. [Downloadable!] (restricted)

  12. Dacorogna, Michael M. & Muller, Ulrich A. & Nagler, Robert J. & Olsen, Richard B. & Pictet, Olivier V., 1993. "A geographical model for the daily and weekly seasonal volatility in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 12(4), pages 413-438, August. [Downloadable!] (restricted)

  13. Muller, Ulrich A. & Dacorogna, Michel M. & Olsen, Richard B. & Pictet, Olivier V. & Schwarz, Matthias & Morgenegg, Claude, 1990. "Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis," Journal of Banking & Finance, Elsevier, vol. 14(6), pages 1189-1208, December. [Downloadable!] (restricted)

NEP Fields

10 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (4) 2003-06-25 2003-06-25 2003-06-25 2004-02-23 Author is listed
  2. NEP-CMP: Computational Economics (4) 2003-06-25 2003-06-25 2003-06-25 2004-02-23 Author is listed
  3. NEP-ETS: Econometric Time Series (2) 2004-02-23 2004-07-11
  4. NEP-FIN: Finance (6) 2003-06-25 2003-11-09 2004-02-23 2004-07-11 2005-04-16 2005-04-16 Author is listed
  5. NEP-FMK: Financial Markets (1) 2004-02-23
  6. NEP-IAS: Insurance Economics (2) 2003-06-25 2003-06-25
  7. NEP-IFN: International Finance (2) 2003-07-21 2004-02-23
  8. NEP-MAC: Macroeconomics (1) 2003-06-25
  9. NEP-RMG: Risk Management (5) 2003-06-25 2003-06-25 2003-06-25 2003-06-25 2003-11-09 Author is listed
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This page was last updated on 2009-10-28.

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