Ulrich A. Müller

Olsen & Associates

Dr.

Seefeldstrasse 233

CH-8008 Zurich

Switzerland

SCHOLARLY PAPERS

19

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CITATIONS
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58

Scholarly Papers (19)

Modelling Short-Term Volatility with GARCH and HARCH Models

Number of pages: 17 Posted: 25 Jun 1997
DEAR-Consulting, Olsen & Associates, Pictet Asset Management and Olsen & Associates
Downloads 1,376 (9,605)
Citation 11

Abstract:

Modelling Short-Term Volatility with GARCH and HARCH Models

"Nonlinear Modelling of High Frequency Financial Time Series" edited by Christian Dunis and Bin Zhou, published by Wiley & Sons, Ltd.
Posted: 21 Oct 1997
DEAR-Consulting, Olsen & Associates, Pictet Asset Management and Olsen & Associates

Abstract:

2.
Downloads 1,257 ( 11,393)
Citation 5

Operators on Inhomogeneous Time Series

Olsen & Associates Working Paper No. 324
Number of pages: 33 Posted: 21 Mar 2000
Gilles O. Zumbach and Ulrich A. Müller
Independent and Olsen & Associates
Downloads 1,257 (11,142)
Citation 5

Abstract:

Operators on Inhomogeneous Time Series

International Journal of Theoretical and Applied Finance
Posted: 03 Mar 2000
Gilles O. Zumbach and Ulrich A. Müller
Independent and Olsen & Associates

Abstract:

3.

Consistent High-Precision Volatility from High-Frequency Data

EFMA 2001 Lugano Meetings; FCO Working Paper No. 2000-09-25
Number of pages: 19 Posted: 23 Feb 2001
Ca' Foscari University of Venice, Independent, Olsen & Associates and DEAR-Consulting
Downloads 1,062 (13,819)
Citation 28

Abstract:

Volatility estimator, high frequency realized volatility, incoherent prices formation, return autocorrelation, volatility bias

Multivariate Extremes, Aggregation and Risk Estimation

Number of pages: 35 Posted: 27 Dec 2000
RWE Trading UK Ltd, DEAR-Consulting, Zurcher Kantonalbank, Olsen & Associates and Cornell University
Downloads 708 (26,458)
Citation 6

Abstract:

Multivariate Extremes, Aggregation and Risk Estimation

Quantitative Finance, Vol. 1, January 2001
Posted: 28 Sep 2001
Olsen & Associates, RWE Trading UK Ltd, DEAR-Consulting, Zurcher Kantonalbank and Cornell University

Abstract:

5.

Effective Return, Risk Aversion and Drawdowns

Olsen & Associates Working Paper No. 321
Number of pages: 24 Posted: 20 Jul 1999
DEAR-Consulting, Simon Fraser University, Olsen & Associates and Pictet Asset Management
Downloads 578 (34,498)
Citation 6

Abstract:

6.

The Intraday Multivariate Structure of the Eurofutures Markets

GBA.1997-11-25
Number of pages: 29 Posted: 03 Aug 1998
Pictet & Cie, Banquiers, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA), DEAR-Consulting, Olsen & Associates and Olsen & Associates
Downloads 368 (61,277)
Citation 1

Abstract:

7.

Volatility Computed by Time Series Operators at High Frequency

Olsen & Associates Working Paper No. 323
Number of pages: 20 Posted: 21 Mar 2000
Ulrich A. Müller
Olsen & Associates
Downloads 349 (64,898)

Abstract:

8.

Ecological Tax Reform and Involuntary Unemployment: Simulation Results for Switzerland

University of St. Gallen, Dept. of Economics, Discussion Paper No. 9806
Number of pages: 25 Posted: 23 Jul 1998
Gebhard Kirchgässner, Ulrich A. Müller and Marcel Savioz
Universität St. Gallen, Olsen & Associates and University of St. Gallen
Downloads 180 (127,064)

Abstract:

9.

From Default Probabilities to Credit Spreads: Credit Risk Models Do Explain Market Prices

Finance Research Letters, Vol. 3, No. 2, June 2006, Pages 79–95,
Number of pages: 18 Posted: 07 Aug 2013
Swiss Coordination Centre for Research in Education, DEAR-Consulting, Olsen & Associates and ETH Zürich - Department of Mathematics
Downloads 98 (157,155)
Citation 1

Abstract:

credit risk modeling, default risk, credit spread, expected default frequency,actual default probability and risk-neutral default probability, bond pricing

10.

Volatilities Of Different Time Resolutions: Analyzing the Dynamics Of Market Components

Posted: 20 Dec 1999
Olsen & Associates, DEAR-Consulting, Olsen Financial Technologies, Olsen & Associates, Pictet Asset Management and World Bank

Abstract:

11.

Heterogeneous Real-Time Trading Strategies in the Foreign Exchange Markets

Posted: 02 Sep 1999
DEAR-Consulting, Olsen & Associates, Olsen Group (Olsen & Associates Ltd.), Pictet Asset Management, Olsen & Associates and Olsen Group (Olsen & Associates Ltd.)

Abstract:

12.

Fractals and Intrinsic Time - A Challenge to Econometricians

Posted: 02 Sep 1999
Olsen & Associates, DEAR-Consulting, Olsen Financial Technologies, Pictet Asset Management, Olsen & Associates and Olsen Group (Olsen & Associates Ltd.)

Abstract:

13.

A Measure of the Trading Model Performance with a Risk Component

Posted: 25 Dec 1998
Michel M. Dacorogna, Ulrich A. Müller and Olivier V. Pictet
DEAR-Consulting, Olsen & Associates and Pictet Asset Management

Abstract:

14.

Going Back to the Basics - Rethinking Market Efficiency

Posted: 20 Dec 1998
Olsen & Associates, DEAR-Consulting, Olsen & Associates and Pictet Asset Management

Abstract:

15.

From The Bird's Eye to the Microscope: A Survey of New Stylized Facts of the Intra-Daily Foreign Exchange Markets

Posted: 20 Dec 1998
Catholic University of Leuven, DEAR-Consulting, Olsen Financial Technologies, Olsen & Associates, Olsen & Associates and Pictet Asset Management

Abstract:

16.

The Distribution Of Extremal Foreign Exchange Rate Returns In Extremely Large Data Sets

Posted: 10 Oct 1998
DEAR-Consulting, Olsen & Associates, Pictet Asset Management and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Abstract:

17.

Unveiling Non-Linearities through Time Scale Transformations

Posted: 23 Aug 1998
Catholic University of Leuven, Pictet Asset Management, Olsen & Associates and DEAR-Consulting

Abstract:

18.

Correlation of High Frequency Financial Time Series

The Financial Markets Tick by Tick, Pierre Lequeux, ed.
Posted: 25 Apr 1998
Mark C. Lundin, Michel M. Dacorogna and Ulrich A. Müller
BNP Paribas - Research & Strategy, DEAR-Consulting and Olsen & Associates

Abstract:

19.

Hill, Bootstrap and Jackknife Estimators for Heavy Tails

Posted: 21 Jan 1997
Olivier V. Pictet, Michel M. Dacorogna and Ulrich A. Müller
Pictet Asset Management, DEAR-Consulting and Olsen & Associates

Abstract: