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Michel Dacorogna

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First Name:Michel
Middle Name:M
Last Name:Dacorogna
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RePEc Short-ID:pda56
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Scheuchzerstrasse 160 8057 Zurich
+41 79 544 73 27

Research output

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Working papers

  1. Marcel Brautigam & Michel Dacorogna & Marie Kratz, 2019. "Pro-Cyclicality of Traditional Risk Measurements: Quantifying and Highlighting Factors at its Source," Papers 1903.03969, arXiv.org, revised Dec 2019.
  2. Marcel, Bräutigam & Michel, Dacorogna & Marie, Kratz, 2018. "Predicting risk with risk measures : an empirical study," ESSEC Working Papers WP1803, ESSEC Research Center, ESSEC Business School.
  3. Dacorogna, Michel M, 2017. "Approaches and Techniques to Validate Internal Model Results," MPRA Paper 79632, University Library of Munich, Germany.
  4. Limani, Jeta & Bettinger, Régis & Dacorogna, Michel M, 2017. "On the diversification benefit of reinsurance portfolios," MPRA Paper 82466, University Library of Munich, Germany.
  5. Michel Dacorogna & Juan-José Francisco Miguelez & Marie Kratz, 2016. "Risk neutral versus real-world distribution on puclicly listed bank corporations," Working Papers hal-01373071, HAL.
  6. Apicella, Giovanna & Dacorogna, Michel M, 2016. "A General framework for modelling mortality to better estimate its relationship with interest rate risks," MPRA Paper 75788, University Library of Munich, Germany.
  7. Dacorogna, Michel M & Busse, Marc, 2016. "The Price of Being a Systemically Important Financial Institution (SIFI)," MPRA Paper 75787, University Library of Munich, Germany.
  8. Rosnan, Chotard & Michel, Dacorogna & Marie, Kratz, 2016. "Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study," ESSEC Working Papers WP1618, ESSEC Research Center, ESSEC Business School.
  9. Dacorogna, Michel & Elbahtouri, Laila & Kratz, Marie, 2015. "Explicit diversifiction benefit for dependent risks," ESSEC Working Papers WP1522, ESSEC Research Center, ESSEC Business School.
  10. Dacorogna, Michel & Kratz, Marie, 2015. "Living in a Stochastic World and Managing Complex Risks," ESSEC Working Papers WP1517, ESSEC Research Center, ESSEC Business School.
  11. Marc Busse & Michel Dacorogna & Marie Kratz, 2013. "The impact of systemic risk on the diversification benefits of a risk portfolio," Papers 1312.0506, arXiv.org.
  12. Canestraro, Davide & Dacorogna, Michel, 2010. "Estimating the risk-adjusted capital is an affair in the tails," MPRA Paper 32831, University Library of Munich, Germany.
  13. Bürgi, Roland & Dacorogna, Michel M & Iles, Roger, 2008. "Risk aggregation, dependence structure and diversification benefit," MPRA Paper 10054, University Library of Munich, Germany.
  14. 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.
  15. 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, University Library of Munich, Germany.
  16. Gilles O. Zumbach & Michel M. Dacorogna & Jorgen L. Olsen & Richard B. Olsen, 2004. "Introducing a scale of market shocks," Finance 0407004, University Library of Munich, Germany.
  17. Fulvio Corsi & Gilles Zumbach & Ulrich Müller & Michel Dacorogna, 2004. "Consistent high-precision volatility from high-frequency data," Finance 0407005, University Library of Munich, Germany.
  18. T. Di Matteo & T. Aste & M. M. Dacorogna, 2004. "Long term memories of developed and emerging markets: using the scaling analysis to characterize their stage of development," Papers cond-mat/0403681, arXiv.org.
  19. Müller, Ulrich A & Bürgi, Roland & Dacorogna, Michel M, 2004. "Bootstrapping the economy -- a non-parametric method of generating consistent future scenarios," MPRA Paper 17755, University Library of Munich, Germany.
  20. T. Di Matteo & T. Aste & M. M. Dacorogna, 2003. "Using the Scaling Analysis to Characterize Financial Markets," Papers cond-mat/0302434, arXiv.org.
  21. Michel Dacorogna & Peter Blum, 2003. "Extreme Moves in Foreign Exchange Rates and Risk Limit Setting," Risk and Insurance 0306004, University Library of Munich, Germany.
  22. Peter Blum & Michel Dacorogna & Lars Jaeger, 2003. "Performance and Risk Measurement Challenges For Hedge Funds: Empirical Considerations," Risk and Insurance 0311001, University Library of Munich, Germany.
  23. Michel Dacorogna & Gianluca Oderda & Tobias Jung, 2003. "Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment," Risk and Insurance 0306003, University Library of Munich, Germany.
  24. Peter Boller & Michel Dacorogna & Hubert Niggli, 2003. "How Much Reinsurance Do You Really Need? A Case Study," Risk and Insurance 0306001, University Library of Munich, Germany.
  25. Peter Blum & Michel Dacorogna, 2003. "Dynamic Financial Analysis - Understanding Risk and Value Creation in Insurance," Risk and Insurance 0306002, University Library of Munich, Germany.
  26. 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.
  27. 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.
  28. 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.
  29. Richard B. Olsen & Michel M. Dacorogna & Ulrich A. Muller, & Olivier V. Pictet, "undated". "Going Back to the Basics - Rethinking Market Efficiency," Working Papers 1992-09-07., Olsen and Associates.
  30. Dominique M. Guillaume & Olivier V. Pictet & Michel M. Dacorogna, "undated". "On the intra-daily performance of GARCH processes," Working Papers 1994-07-31, Olsen and Associates.
  31. M. M. Dacorogna & U. A. Muller & O. V. Pictet, "undated". "A Measure of the Trading Model Performance with a Risk Component," Working Papers 1991-05-24., Olsen and Associates.
  32. Michel M. Dacorogna, & Ulrich A. Muller & Olivier V. Pictet & Casper De Vries,, "undated". "The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets," Working Papers 1992-10-22, Olsen and Associates.
  33. Michel M. Dacorogna & Ulrich A. Muller & Paul Embrechts & Gennady Samorodnitsky, "undated". "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.
  34. U. A. Muller & M. M. Dacorogna & R. D. Dave & O. V. Pictet & R. B. Olsen & J.R. Ward, "undated". "Fractals and Intrinsic Time - a Challenge to Econometricians," Working Papers 1993-08-16, Olsen and Associates.
  35. M. M. Dacorogna,, "undated". "The Main Ingredients of Simple Trading Models for Use in Genetic Algorithm Optimization," Working Papers 1993-03-22., Olsen and Associates.
  36. Ulrich A. Muller & Michel M. Dacorogna & Olivier V. Pictet, "undated". "The Error of Statistical Volatility of Intra-daily Quoted Price Changes Observed over a Time Interval," Working Papers 1995-07-31, Olsen and Associates.
  37. Dominique M. Guillaume & Olivier V. Pictet & Ulrich A. Muller & Michel M. Dacorogna, "undated". "Unveiling Non Linearities Through Time Scale Transformations," Working Papers 1994-06-26, Olsen and Associates.
  38. Olivier V. Pictet & Michel M. Dacorogna & Rakhal D. Dave & Bastien Chopard & Roberto Schirru & Marco Tomassini, "undated". "Genetic Algorithms with collective sharing for Robust Optimization in Financial Applications," Working Papers 1995-02-06., Olsen and Associates.

Articles

  1. Marcel Bräutigam & Michel Dacorogna & Marie Kratz, 2023. "Pro‐cyclicality beyond business cycle," Mathematical Finance, Wiley Blackwell, vol. 33(2), pages 308-341, April.
  2. Dacorogna, Michel & Debbabi, Nehla & Kratz, Marie, 2023. "Building up cyber resilience by better grasping cyber risk via a new algorithm for modelling heavy-tailed data," European Journal of Operational Research, Elsevier, vol. 311(2), pages 708-729.
  3. Michel Dacorogna, 2023. "How to Gain Confidence in the Results of Internal Risk Models? Approaches and Techniques for Validation," Risks, MDPI, vol. 11(5), pages 1-20, May.
  4. Michel Dacorogna & Marie Kratz, 2023. "Managing cyber risk, a science in the making," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2023(10), pages 1000-1021, November.
  5. Michel Dacorogna & Marie Kratz, 2022. "Special Issue “Cyber Risk and Security”," Risks, MDPI, vol. 10(6), pages 1-4, May.
  6. Michel Dacorogna, 2020. "High Frequency Trading, a Boon or a Threat?," BANCARIA, Bancaria Editrice, vol. 1, pages 89-96, January.
  7. Giovanna Apicella & Michel Dacorogna & Emilia Di Lorenzo & Marilena Sibillo, 2019. "Improving the Forecast of Longevity by Combining Models," North American Actuarial Journal, Taylor & Francis Journals, vol. 23(2), pages 298-319, April.
  8. Dacorogna, Michel, 2018. "A change of paradigm for the insurance industry," Annals of Actuarial Science, Cambridge University Press, vol. 12(2), pages 211-232, September.
  9. Dacorogna, Michel & Elbahtouri, Laila & Kratz, Marie, 2018. "Validation of aggregated risks models," Annals of Actuarial Science, Cambridge University Press, vol. 12(2), pages 433-454, September.
  10. Michel Dacorogna & Alessandro Ferriero & David Krief, 2018. "One-Year Change Methodologies for Fixed-Sum Insurance Contracts," Risks, MDPI, vol. 6(3), pages 1-29, July.
  11. Michel Dacorogna & Marc Busse, 2017. "The Price of Being a Systemically Important Financial Institution (SIFI)," International Review of Finance, International Review of Finance Ltd., vol. 17(4), pages 611-616, December.
  12. Michel Dacorogna, 2015. "Un changement de paradigme pour l’assurance," Revue d'économie financière, Association d'économie financière, vol. 0(2), pages 205-230.
  13. Marc Busse & Michel Dacorogna & Marie Kratz, 2014. "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," Risks, MDPI, vol. 2(3), pages 1-17, July.
  14. Busse, Marc & Müller, Ulrich & Dacorogna, Michel, 2010. "Robust Estimation of Reserve Risk," ASTIN Bulletin, Cambridge University Press, vol. 40(2), pages 453-489, November.
  15. 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;The Geneva Association, vol. 34(2), pages 159-174, April.
  16. 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.
  17. 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.
  18. Di Matteo, T. & Aste, T. & Dacorogna, M.M., 2003. "Scaling behaviors in differently developed markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 183-188.
  19. Michel Dacorogna, 2003. "Reflections on risk," Quantitative Finance, Taylor & Francis Journals, vol. 3(2), pages 22-23.
  20. 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.
  21. 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.
  22. 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.
  23. Ballocchi Giuseppe & Dacorogna Michael & Gençay Ramazan & Piccinato Barbara, 2001. "Time-to-Expiry Seasonalities in Eurofutures," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 4(4), pages 1-6, January.
  24. M. Dacorogna & U. Mller & R. Olsen & O. Pictet, 2001. "Defining efficiency in heterogeneous markets," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 198-201.
  25. Fulvio Corsi & Gilles Zumbach & Ulrich A. Muller & Michel M. Dacorogna, 2001. "Consistent High-precision Volatility from High-frequency Data," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 30(2), pages 183-204, July.
  26. Dacorogna, Michel M. & Gençay, Ramazan & Müller, Ulrich A. & Pictet, Olivier V., 2001. "Effective return, risk aversion and drawdowns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 289(1), pages 229-248.
  27. H. A. Hauksson & M. Dacorogna & T. Domenig & U. Mller & G. Samorodnitsky, 2001. "Multivariate extremes, aggregation and risk estimation," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 79-95.
  28. Gilles O. Zumbach & Michel M. Dacorogna & Jørgen L. Olsen & Richard B. Olsen, 2000. "Measuring Shock In Financial Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 347-355.
  29. 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.
  30. 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.
  31. 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.
  32. M. M. Dacorogna & U. A. Muller & C. Jost & O. V. Pictet & J. R. Ward, 1995. "Heterogeneous real-time trading strategies in the foreign exchange market," The European Journal of Finance, Taylor & Francis Journals, vol. 1(4), pages 383-403.
  33. 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.
  34. 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.

Books

  1. Gençay, Ramazan & Dacorogna, Michel & Muller, Ulrich A. & Pictet, Olivier & Olsen, Richard, 2001. "An Introduction to High-Frequency Finance," Elsevier Monographs, Elsevier, edition 1, number 9780122796715.

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 25 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (21) 2003-06-25 2003-06-25 2003-06-25 2003-06-25 2003-11-09 2011-08-22 2013-12-06 2014-01-17 2015-08-25 2015-10-25 2015-11-15 2016-03-06 2016-12-04 2017-01-08 2017-01-08 2017-02-26 2017-04-23 2017-06-18 2017-11-19 2018-05-28 2019-03-18. Author is listed
  2. NEP-BAN: Banking (8) 2011-08-22 2016-03-06 2016-12-04 2017-01-08 2017-02-26 2017-04-23 2018-05-28 2019-03-18. Author is listed
  3. 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
  4. NEP-CFN: Corporate Finance (5) 2003-06-25 2003-06-25 2003-06-25 2004-02-23 2017-02-26. Author is listed
  5. NEP-CMP: Computational Economics (4) 2003-06-25 2003-06-25 2003-06-25 2004-02-23
  6. NEP-IAS: Insurance Economics (3) 2003-06-25 2003-06-25 2011-08-22
  7. NEP-ETS: Econometric Time Series (2) 2004-02-23 2004-07-11
  8. NEP-IFN: International Finance (2) 2003-07-21 2004-02-23
  9. NEP-MAC: Macroeconomics (2) 2003-06-25 2017-01-08
  10. NEP-ORE: Operations Research (2) 2014-01-17 2015-10-25
  11. NEP-CBA: Central Banking (1) 2017-01-08
  12. NEP-FMK: Financial Markets (1) 2004-02-23
  13. NEP-HPE: History and Philosophy of Economics (1) 2015-11-15

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