Gilles O. Zumbach

University of Applied Sciences Western Switzerland - Geneva School of Business Administration

CH-1227 Geneva

Switzerland

SCHOLARLY PAPERS

23

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CITATIONS
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109

Scholarly Papers (23)

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 1,665 (9,385)
Citation 5

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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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2.

The Riskmetrics 2006 Methodology

Number of pages: 63 Posted: 15 Jun 2009
Gilles O. Zumbach
University of Applied Sciences Western Switzerland - Geneva School of Business Administration
Downloads 1,504 (11,275)
Citation 10

Abstract:

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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
University of Applied Sciences Western Switzerland - Geneva School of Business Administration, University of Pisa - Department of Economics and Independent
Downloads 1,379 (12,978)
Citation 7

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

4.

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 1,184 (16,440)
Citation 28

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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
University of Applied Sciences Western Switzerland - Geneva School of Business Administration
Downloads 620 (41,146)
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
University of Applied Sciences Western Switzerland - Geneva School of Business Administration, Pictet Asset Management and Olsen Group (Olsen & Associates Ltd.)
Downloads 509 (53,083)

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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
University of Applied Sciences Western Switzerland - Geneva School of Business Administration, DEAR-Consulting, Olsen & Associates and Lykke Corp
Downloads 459 (60,444)
Citation 1

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8.

Considering Time as the Random Variable: The First Hitting Time

Number of pages: 10 Posted: 16 May 1998
Gilles O. Zumbach
University of Applied Sciences Western Switzerland - Geneva School of Business Administration
Downloads 440 (63,615)

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9.

A Mean-Variance Approach to Fixed Income Portfolio Allocation

Number of pages: 22 Posted: 08 Jul 2011
Gilles O. Zumbach
University of Applied Sciences Western Switzerland - Geneva School of Business Administration
Downloads 376 (76,655)

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

10.

Time Reversal Invariance in Finance

Number of pages: 23 Posted: 10 Aug 2007
Gilles O. Zumbach
University of Applied Sciences Western Switzerland - Geneva School of Business Administration
Downloads 354 (82,256)
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
University of Applied Sciences Western Switzerland - Geneva School of Business Administration
Downloads 277 (107,797)
Citation 5

Abstract:

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

12.
Downloads 267 (112,013)
Citation 9

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
University of Applied Sciences Western Switzerland - Geneva School of Business Administration and University of Manchester - School of Electrical & Electronic Engineering
Downloads 267 (111,484)
Citation 9

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

Heterogeneous Volatility Cascade in Financial Markets

Forthcoming in Physica A
Posted: 17 Sep 2001
Gilles O. Zumbach and Paul Lynch
University of Applied Sciences Western Switzerland - Geneva School of Business Administration and University of Manchester - School of Electrical & Electronic Engineering

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

13.
Downloads 234 (128,255)
Citation 5

The Empirical Properties of Large Covariance Matrices

Number of pages: 21 Posted: 19 Feb 2009
Gilles O. Zumbach
University of Applied Sciences Western Switzerland - Geneva School of Business Administration
Downloads 152 (190,238)
Citation 5

Abstract:

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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
University of Applied Sciences Western Switzerland - Geneva School of Business Administration
Downloads 82 (297,872)
Citation 5

Abstract:

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14.

Option Pricing and ARCH Processes

Number of pages: 16 Posted: 18 Jan 2012
Gilles O. Zumbach
University of Applied Sciences Western Switzerland - Geneva School of Business Administration
Downloads 223 (134,441)

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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
University of Applied Sciences Western Switzerland - Geneva School of Business Administration and Argentière Capital AG
Downloads 185 (160,031)
Citation 2

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

16.

Volatility Forecasts and the At-the-Money Implied Volatility: A Multi-Components ARCH Approach and its Relation with Market Models

Number of pages: 21 Posted: 12 Dec 2008
Gilles O. Zumbach
University of Applied Sciences Western Switzerland - Geneva School of Business Administration
Downloads 160 (181,774)
Citation 2

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implied volatility, ARCH processes, market model, forward variance

17.

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
University of Applied Sciences Western Switzerland - Geneva School of Business Administration, Argentière Capital AG and Lombard Odier & Cie
Downloads 159 (182,795)
Citation 3

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

18.

Characterizing Heteroskedasticity

Number of pages: 21 Posted: 16 Jun 2009
Gilles O. Zumbach
University of Applied Sciences Western Switzerland - Geneva School of Business Administration
Downloads 130 (215,417)
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
University of Applied Sciences Western Switzerland - Geneva School of Business Administration and Argentière Capital AG
Downloads 105 (251,861)
Citation 1

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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
University of Applied Sciences Western Switzerland - Geneva School of Business Administration
Downloads 88 (282,654)
Citation 5

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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 University of Applied Sciences Western Switzerland - Geneva School of Business Administration
Downloads 84 (290,928)
Citation 1

Abstract:

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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
University of Applied Sciences Western Switzerland - Geneva School of Business Administration
Downloads 80 (299,496)

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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
University of Applied Sciences Western Switzerland - Geneva School of Business Administration
Downloads 28 (468,146)

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Markowitz portfolio allocation, covariance regularisation, tactical allocation