Gilles O. Zumbach

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

CH-1227 Geneva

Switzerland

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

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 3,546

SSRN RANKINGS

Top 3,546

in Total Papers Downloads

10,510

CITATIONS
Rank 4,806

SSRN RANKINGS

Top 4,806

in Total Papers Citations

109

Scholarly Papers (23)

Actions:
Email selected abstracts
1.

Operators on Inhomogeneous Time Series

Downloads 1,665 ( 9,561)

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

Abstract:

Loading...

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

Abstract:

Loading...

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:

Loading...

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

Abstract:

Loading...

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
Fulvio Corsi, Gilles O. Zumbach, Ulrich A. Müller and Michel M. Dacorogna
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

Abstract:

Loading...

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

Abstract:

Loading...

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)

Abstract:

Loading...

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
Gilles O. Zumbach, Michel M. Dacorogna, Jorgen L. Olsen and Richard B. Olsen
University of Applied Sciences Western Switzerland - Geneva School of Business Administration, DEAR-Consulting, Olsen & Associates and Lykke Corp
Downloads 459 (60,444)
Citation 1

Abstract:

Loading...

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)

Abstract:

Loading...

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)

Abstract:

Loading...

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

Abstract:

Loading...

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:

Loading...

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

12.

Heterogeneous Volatility Cascade in Financial Markets

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

Abstract:

Loading...

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

Abstract:

Loading...

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

13.

The Empirical Properties of Large Covariance Matrices

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:

Loading...

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:

Loading...

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)

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

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:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

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:

Loading...

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)

Abstract:

Loading...

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)

Abstract:

Loading...

Markowitz portfolio allocation, covariance regularisation, tactical allocation