Ulrich A. Müller

Olsen & Associates

Dr.

Seefeldstrasse 233

CH-8008 Zurich

Switzerland

SCHOLARLY PAPERS

19

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CROSSREF CITATIONS

19

Scholarly Papers (19)

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
University of Applied Sciences Western Switzerland - Geneva School of Business Administration and Olsen & Associates
Downloads 1,745 (9,331)
Citation 1

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Operators on Inhomogeneous Time Series

International Journal of Theoretical and Applied Finance
Posted: 03 Mar 2000
Gilles O. Zumbach and Ulrich A. Müller
University of Applied Sciences Western Switzerland - Geneva School of Business Administration and Olsen & Associates

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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 Lykke Corp
Downloads 1,504 (11,845)
Citation 16

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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
DEAR-Consulting, Olsen & Associates, Pictet Asset Management and Lykke Corp

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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
University of Pisa - Department of Economics, University of Applied Sciences Western Switzerland - Geneva School of Business Administration, Olsen & Associates and DEAR-Consulting
Downloads 1,202 (17,145)
Citation 3

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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 740 (33,964)
Citation 5

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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

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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
DEAR-Consulting, Simon Fraser University, Olsen & Associates and Pictet Asset Management
Downloads 616 (44,180)

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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
Pictet & Cie, Banquiers, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA), DEAR-Consulting, Olsen & Associates and Lykke Corp
Downloads 397 (76,354)

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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 377 (81,010)
Citation 1

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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 203 (155,331)

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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 193 (162,801)

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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, Lykke Corp, Pictet Asset Management and World Bank

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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, Lykke Corp and Olsen Group (Olsen & Associates Ltd.)

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12.

Fractals and Intrinsic Time - a Challenge to Econometricians

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

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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

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14.

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, Lykke Corp and Pictet Asset Management

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15.

Going Back to the Basics - Rethinking Market Efficiency

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

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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)

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17.

Unveiling Non-Linearities Through Time Scale Transformations

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

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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

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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

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