Gilles O. Zumbach

Edgelab

Avenue de la Rasude 5

Lausanne, 1006

Switzerland

SCHOLARLY PAPERS

24

DOWNLOADS
Rank 3,912

SSRN RANKINGS

Top 3,912

in Total Papers Downloads

11,250

SSRN CITATIONS
Rank 12,046

SSRN RANKINGS

Top 12,046

in Total Papers Citations

28

CROSSREF CITATIONS

67

Scholarly Papers (24)

1.
Downloads 1,923 ( 9,283)
Citation 1

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 1,923 (9,095)
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 1,631 (12,100)
Citation 32

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
Edgelab, University of Pisa - Department of Economics and Independent
Downloads 1,421 (15,017)
Citation 3

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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 1,236 (18,566)
Citation 6

Abstract:

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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 646 (46,548)
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 513 (62,396)
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 488 (66,406)
Citation 3

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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
Edgelab
Downloads 447 (74,015)
Citation 1

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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
Edgelab
Downloads 442 (74,954)

Abstract:

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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
Edgelab
Downloads 357 (96,135)
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 305 (114,478)
Citation 9

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

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 282 (123,674)
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 243 (144,788)
Citation 8

The Empirical Properties of Large Covariance Matrices

Number of pages: 21 Posted: 19 Feb 2009
Gilles O. Zumbach
Edgelab
Downloads 157 (215,601)
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
Edgelab
Downloads 86 (335,282)
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 227 (154,582)

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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 189 (183,451)
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 164 (207,452)
Citation 6

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

17.
Downloads 162 (209,637)
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 132 (247,681)
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 106 (290,529)
Citation 2

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

20.

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 92 (318,666)
Citation 2

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

21.

Inference on Multivariate ARCH Processes with Large Sizes

Number of pages: 22 Posted: 19 Feb 2009
Gilles O. Zumbach
Edgelab
Downloads 91 (320,893)
Citation 8

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Multivariate GARCH processes, covariance matrix, white noise residuals

22.

Cross-Sectional Universalities in Financial Time Series

Number of pages: 25 Posted: 23 Dec 2013
Gilles O. Zumbach
Edgelab
Downloads 83 (339,673)

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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 51 (436,881)

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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 19 (598,420)

Abstract:

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