Ulrich A. Müller

Olsen & Associates

Dr.

Seefeldstrasse 233

CH-8008 Zurich

Switzerland

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SCHOLARLY PAPERS

18

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TOTAL CITATIONS
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Top 35,862

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42

Scholarly Papers (18)

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1.

Operators on Inhomogeneous Time Series

Downloads 3,259 ( 8,113)

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
Edgelab and Olsen & Associates
Downloads 3,259 (7,967)

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Operators on Inhomogeneous Time Series

Posted: 03 Mar 2000
Gilles O. Zumbach and Ulrich A. Müller
Edgelab and Olsen & Associates

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2.

Modelling Short-Term Volatility with GARCH and Harch Models

Downloads 1,978 (17,984)
Citation 26

Modelling Short-Term Volatility with GARCH and Harch Models

Number of pages: 17 Posted: 25 Jun 1997
Michel M. Dacorogna, Ulrich A. Müller, Olivier V. Pictet and Richard B. Olsen
PRS Solutions, Olsen & Associates, Pictet Asset Management and Lykke CorpOlsen & Associates
Downloads 1,978 (17,660)
Citation 26

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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
Michel M. Dacorogna, Ulrich A. Müller, Olivier V. Pictet and Richard B. Olsen
PRS Solutions, Olsen & Associates, Pictet Asset Management and Lykke CorpOlsen & Associates

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3.

Consistent High-Precision Volatility from High-Frequency Data

Number of pages: 19 Posted: 23 Feb 2001
Fulvio Corsi, Gilles O. Zumbach, Ulrich A. Müller and Michel M. Dacorogna
University of Pisa - Department of Economics, Edgelab, Olsen & Associates and PRS Solutions
Downloads 1,426 (29,678)
Citation 6

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

4.

Multivariate Extremes, Aggregation and Risk Estimation

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Citation 6

Multivariate Extremes, Aggregation and Risk Estimation

Number of pages: 35 Posted: 27 Dec 2000
Hoskuldur Ari Hauksson, Michel M. Dacorogna, Thomas Domenig, Ulrich A. Müller and Gennady Samorodnitsky
RWE Trading UK Ltd, PRS Solutions, Zurcher Kantonalbank, Olsen & Associates and Cornell University
Downloads 815 (64,762)
Citation 6

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Multivariate Extremes, Aggregation and Risk Estimation

Posted: 28 Sep 2001
Ulrich A. Müller, Hoskuldur Ari Hauksson, Michel M. Dacorogna, Thomas Domenig and Gennady Samorodnitsky
Olsen & Associates, RWE Trading UK Ltd, PRS Solutions, Zurcher Kantonalbank and Cornell University

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5.

Effective Return, Risk Aversion and Drawdowns

Olsen & Associates Working Paper No. 321
Number of pages: 24 Posted: 20 Jul 1999
Michel M. Dacorogna, Ramazan Gencay, Ulrich A. Müller and Olivier V. Pictet
PRS Solutions, Simon Fraser University, Olsen & Associates and Pictet Asset Management
Downloads 679 (83,450)
Citation 1

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6.

The Intraday Multivariate Structure of the Eurofutures Markets

GBA.1997-11-25
Number of pages: 29 Posted: 03 Aug 1998
Giuseppe Ballocchi, Carl M. Hopman, Michel M. Dacorogna, Ulrich A. Müller and Richard B. Olsen
Pictet & Cie, Banquiers, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA), PRS Solutions, Olsen & Associates and Lykke CorpOlsen & Associates
Downloads 458 (136,376)
Citation 1

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7.

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 318 (205,224)
Citation 2

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8.

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
Stefan Denzler, Michel M. Dacorogna, Ulrich A. Müller and Alexander McNeil
Swiss Coordination Centre for Research in Education, PRS Solutions, Olsen & Associates and ETH Zürich - Department of Mathematics
Downloads 298 (220,101)

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

9.

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

Posted: 20 Dec 1999
Ulrich A. Müller, Michel M. Dacorogna, Rakhal Dave, Richard B. Olsen, Olivier V. Pictet and Jakob von Weizsäcker
Olsen & Associates, PRS Solutions, Olsen Financial Technologies, Lykke CorpOlsen & Associates, Pictet Asset Management and World Bank

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10.

Heterogeneous Real-Time Trading Strategies in the Foreign Exchange Markets

Posted: 02 Sep 1999
Michel M. Dacorogna, Ulrich A. Müller, Christian Jost, Olivier V. Pictet, Richard B. Olsen and J. Robert Ward
PRS Solutions, Olsen & Associates, Olsen Group (Olsen & Associates Ltd.), Pictet Asset Management, Lykke CorpOlsen & Associates and Olsen Group (Olsen & Associates Ltd.)

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11.

Fractals and Intrinsic Time - a Challenge to Econometricians

Posted: 02 Sep 1999
Ulrich A. Müller, Michel M. Dacorogna, Rakhal Dave, Olivier V. Pictet, Richard B. Olsen and J. Robert Ward
Olsen & Associates, PRS Solutions, Olsen Financial Technologies, Pictet Asset Management, Lykke CorpOlsen & Associates and Olsen Group (Olsen & Associates Ltd.)

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12.

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
PRS Solutions, Olsen & Associates and Pictet Asset Management

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13.

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
Dominique M. Guillaume, Michel M. Dacorogna, Rakhal Dave, Ulrich A. Müller, Richard B. Olsen and Olivier V. Pictet
Catholic University of Leuven, PRS Solutions, Olsen Financial Technologies, Olsen & Associates, Lykke CorpOlsen & Associates and Pictet Asset Management

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14.

Going Back to the Basics - Rethinking Market Efficiency

Posted: 20 Dec 1998
Richard B. Olsen, Michel M. Dacorogna, Ulrich A. Müller and Olivier V. Pictet
Lykke CorpOlsen & Associates, PRS Solutions, Olsen & Associates and Pictet Asset Management

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15.

The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets

Posted: 10 Oct 1998
Michel M. Dacorogna, Ulrich A. Müller, Olivier V. Pictet and Casper G. de Vries
PRS Solutions, Olsen & Associates, Pictet Asset Management and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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16.

Unveiling Non-Linearities Through Time Scale Transformations

Posted: 23 Aug 1998
Dominique M. Guillaume, Olivier V. Pictet, Ulrich A. Müller and Michel M. Dacorogna
Catholic University of Leuven, Pictet Asset Management, Olsen & Associates and PRS Solutions

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17.

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, PRS Solutions and Olsen & Associates

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18.

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, PRS Solutions and Olsen & Associates

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