Gilles O. Zumbach

Edgelab

Avenue de la Rasude 5

Lausanne, 1006

Switzerland

Consulting in Financial Engineering

Ch. Charles Baudouin 8

Saconnex d'Arve, 1228

Switzerland

SCHOLARLY PAPERS

26

DOWNLOADS
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Top 4,715

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12,213

SSRN CITATIONS
Rank 10,978

SSRN RANKINGS

Top 10,978

in Total Papers Citations

35

CROSSREF CITATIONS

76

Scholarly Papers (26)

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 2,351 (8,371)
Citation 1

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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.

The Riskmetrics 2006 Methodology

Number of pages: 63 Posted: 15 Jun 2009
Gilles O. Zumbach
Edgelab
Downloads 1,775 (13,491)
Citation 39

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risk evaluation, RM2006, heteroskedasticity, fat-tail, long-memory ARCH process

3.

Efficient Estimation of Volatility Using High Frequency Data

Number of pages: 22 Posted: 16 Apr 2002
Gilles O. Zumbach, Fulvio Corsi and Adrian Trapletti
Edgelab, University of Pisa - Department of Economics and Independent
Downloads 1,484 (17,793)
Citation 17

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volatility estimators, high-frequency data, incoherent price formation, daily volatility

4.

Consistent High-Precision Volatility from High-Frequency Data

Number of pages: 19 Posted: 23 Feb 2001
University of Pisa - Department of Economics, Edgelab, Olsen & Associates and DEAR-Consulting
Downloads 1,280 (22,210)
Citation 6

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

5.

Volatility Processes and Volatility Forecast with Long Memory

Number of pages: 26 Posted: 15 Apr 2002
Gilles O. Zumbach
Edgelab
Downloads 684 (53,359)
Citation 20

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long memory volatility processes, ARCH model, volatility forecast

6.

Genetic Programming with Syntactic Restrictions Applied to Financial Volatility Forecasting

Olsen & Associates Working Paper No. GOZ.2000-07-28
Number of pages: 23 Posted: 27 May 2001
Gilles O. Zumbach, Olivier V. Pictet and Oliver Masutti
Edgelab, Pictet Asset Management and Olsen Group (Olsen & Associates Ltd.)
Downloads 521 (75,340)
Citation 5

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Volatility forecasting, Genetic Programming, Syntactic restrictions

7.

Introducing a Scale of Market Shocks

Olsen & Associates Working Paper No. 322
Number of pages: 25 Posted: 03 May 1999
Edgelab, DEAR-Consulting, Olsen & Associates and Lykke Corp
Downloads 507 (77,907)
Citation 3

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8.

A Mean-Variance Approach to Fixed Income Portfolio Allocation

Number of pages: 22 Posted: 08 Jul 2011
Gilles O. Zumbach
Edgelab
Downloads 461 (87,434)

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bond yield, default spread, risk/return scaling, mean-variance portfolio allocation

9.

Considering Time as the Random Variable: The First Hitting Time

Number of pages: 10 Posted: 16 May 1998
Gilles O. Zumbach
Edgelab
Downloads 457 (88,291)
Citation 1

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10.

Time Reversal Invariance in Finance

Number of pages: 23 Posted: 10 Aug 2007
Gilles O. Zumbach
Edgelab
Downloads 371 (112,177)
Citation 4

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Time reversal symmetry, ARCH processes, stochastic volatility processes

11.

A Gentle Introduction to the RM2006 Methodology

Number of pages: 13 Posted: 15 Jun 2009
Gilles O. Zumbach
Edgelab
Downloads 341 (123,260)
Citation 12

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risk evaluation, RM2006, heteroskedasticity, fat-tail, long-memory ARCH process

12.
Downloads 290 (146,122)
Citation 5

Heterogeneous Volatility Cascade in Financial Markets

Olsen & Associates Working Paper No. GOZ.2000-11-06
Number of pages: 10 Posted: 03 Jun 2001
Gilles O. Zumbach and Paul Lynch
Edgelab and University of Manchester - School of Electrical & Electronic Engineering
Downloads 290 (145,404)
Citation 5

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Econophysics, volatility cascade, market components, ARCH model, turbulence

Heterogeneous Volatility Cascade in Financial Markets

Posted: 17 Sep 2001
Gilles O. Zumbach and Paul Lynch
Edgelab and University of Manchester - School of Electrical & Electronic Engineering

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Econophysics, Volatility cascade, Market components, ARCH model, Turbulence

13.
Downloads 248 (170,896)
Citation 8

The Empirical Properties of Large Covariance Matrices

Number of pages: 21 Posted: 19 Feb 2009
Gilles O. Zumbach
Edgelab
Downloads 161 (252,816)
Citation 5

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Covariance matrix, spectrum, spectral density

The Empirical Properties of Large Covariance Matrices

RiskMetrics Journal Vol. 9, No. 1, Winter 2009
Number of pages: 25 Posted: 03 Oct 2009
Gilles O. Zumbach
Edgelab
Downloads 87 (395,038)
Citation 1

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14.

Option Pricing and ARCH Processes

Number of pages: 16 Posted: 18 Jan 2012
Gilles O. Zumbach
Edgelab
Downloads 229 (184,478)

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Option pricing, ARCH process, implied volatility, Student innovations, long memory volatility, hedging cost and risk

15.

Option Pricing with Realistic Arch Processes

Number of pages: 50 Posted: 10 Jun 2011
Gilles O. Zumbach and Luis Fernandez
Edgelab and Argentière Capital AG
Downloads 198 (211,186)
Citation 5

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Option pricing, implied volatility, ARCH process, Student innovations, long memory volatility, SP500 European options

16.

Realistic Processes for Stocks from One Day to One Year

Number of pages: 20 Posted: 27 Dec 2010
Gilles O. Zumbach, Luis Fernandez and Caroline Weber
Edgelab, Argentière Capital AG and Lombard Odier & Cie
Downloads 172 (238,614)
Citation 6

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Heteroskedasticity, leverage, fat-tail innovation, ARCH, long-memory, stock time series, L-statistics

17.
Downloads 170 (240,962)
Citation 1

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implied volatility, ARCH processes, market model, forward variance

18.

Characterizing Heteroskedasticity

Number of pages: 21 Posted: 16 Jun 2009
Gilles O. Zumbach
Edgelab
Downloads 136 (288,763)
Citation 1

Abstract:

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heteroskedasticity, volatility lagged correlation

19.

Fast and Realistic European ARCH Option Pricing and Hedging

Number of pages: 24 Posted: 20 Sep 2011
Gilles O. Zumbach and Luis Fernandez
Edgelab and Argentière Capital AG
Downloads 112 (332,575)
Citation 2

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Realistic option pricing, cross-product, implied volatility, replication risk, hedging, SP500 European options, ARCH processes

20.

Inference on Multivariate ARCH Processes with Large Sizes

Number of pages: 22 Posted: 19 Feb 2009
Gilles O. Zumbach
Edgelab
Downloads 101 (356,569)
Citation 8

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Multivariate GARCH processes, covariance matrix, white noise residuals

21.

Using Relative Returns to Accommodate Fat-Tailed Innovations in Processes and Option Pricing

Number of pages: 19 Posted: 19 Oct 2009
Catherine O'Neil and Gilles O. Zumbach
RiskMetrics Group and Edgelab
Downloads 97 (365,930)
Citation 2

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Fat tail distribution, geometric processes, relative returns, Option pricing, ARCH processes

22.

Cross-Sectional Universalities in Financial Time Series

Number of pages: 25 Posted: 23 Dec 2013
Gilles O. Zumbach
Edgelab
Downloads 87 (391,363)

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ARCH processes, stylized facts, universality, time series statistics, cross-sectional statistics, Kolmogorov-Smirnov test, long memory volatility, leverage effect

23.

Stochastic Regularization for the Mean-Variance Allocation Scheme

Number of pages: 45 Posted: 01 Feb 2018 Last Revised: 26 Dec 2018
Gilles O. Zumbach
Edgelab
Downloads 58 (486,345)

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Markowitz portfolio allocation, covariance regularisation, tactical allocation

24.

Tile Test for Back-Testing Risk Evaluation

Number of pages: 22 Posted: 25 Nov 2020
Gilles O. Zumbach
Edgelab
Downloads 33 (605,045)

Abstract:

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Value-at-Risk, distribution forecast, risk evaluation, back test, probability integral transform, PIT, tile test

25.

On the short term stability of financial ARCH price processes

Number of pages: 14 Posted: 16 Jul 2021
Gilles O. Zumbach
Edgelab
Downloads 27 (642,650)

Abstract:

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ARCH processes, market stability, innovations, drift significance

26.

Multivariate Backtests and Copulas for Risk Evaluation

Number of pages: 26 Posted: 14 Jun 2022
Boris David and Gilles O. Zumbach
Edgelab and Edgelab
Downloads 23 (671,033)

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Multivariate risk evaluation, distribution forecast, copula, backtest, probability integral transform, PIT, Rosenblatt transform, tile-test