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

  • Edgelab

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    • Tel: +41764351267

  • Consulting in Financial Engineering

    • Email
    • Tel: +41 76 4351267
SCHOLARLY PAPERS

27

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15,289

TOTAL CITATIONS
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Top 14,978

in Total Papers Citations

109

Scholarly Papers (27)

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1.

Operators on Inhomogeneous Time Series

Downloads 3,254 ( 8,068)
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 3,254 (7,924)
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 2,169 (15,430)
Citation 3

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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 1,636 (23,914)
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
Fulvio Corsi, Gilles O. Zumbach, Ulrich A. Müller and Michel M. Dacorogna
University of Pisa - Department of Economics, Edgelab, Olsen & Associates and PRS Solutions
Downloads 1,424 (29,512)
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 807 (66,146)
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
Edgelab, Pictet Asset Management and Olsen Group (Olsen & Associates Ltd.)
Downloads 565 (104,611)
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
Gilles O. Zumbach, Michel M. Dacorogna, Jorgen L. Olsen and Richard B. Olsen
Edgelab, PRS Solutions, Olsen & Associates and Lykke CorpOlsen & Associates
Downloads 560 (105,731)
Citation 2

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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 552 (107,693)
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 529 (113,612)

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

10.

A Gentle Introduction to the RM2006 Methodology

Number of pages: 13 Posted: 15 Jun 2009
Gilles O. Zumbach
Edgelab
Downloads 421 (149,329)
Citation 13

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

11.

Time Reversal Invariance in Finance

Number of pages: 23 Posted: 10 Aug 2007
Gilles O. Zumbach
Edgelab
Downloads 413 (152,655)
Citation 4

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Time reversal symmetry, ARCH processes, stochastic volatility processes

12.

Heterogeneous Volatility Cascade in Financial Markets

Downloads 394 (160,974)
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 The University of Manchester - School of Electrical & Electronic Engineering
Downloads 394 (159,411)
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 The University of Manchester - School of Electrical & Electronic Engineering

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

13.

The Empirical Properties of Large Covariance Matrices

Downloads 320 (202,183)
Citation 8

The Empirical Properties of Large Covariance Matrices

Number of pages: 21 Posted: 19 Feb 2009
Gilles O. Zumbach
Edgelab
Downloads 199 (324,183)
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 121 (497,835)
Citation 3

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14.

A Quantitative Approach to Historical Stress Tests

Number of pages: 18 Posted: 07 Aug 2023
Hervé Zumbach and Gilles O. Zumbach
Edgelab and Edgelab
Downloads 273 (239,089)

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historical stress tests, crash, crisis, rally, recovery

15.

Option Pricing and ARCH Processes

Number of pages: 16 Posted: 18 Jan 2012
Gilles O. Zumbach
Edgelab
Downloads 271 (240,909)

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

16.

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 241 (270,936)
Citation 5

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

17.

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
Edgelab
Downloads 206 (315,087)
Citation 1

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implied volatility, ARCH processes, market model, forward variance

18.

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 205 (316,538)
Citation 6

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

19.

Characterizing Heteroskedasticity

Number of pages: 21 Posted: 16 Jun 2009
Gilles O. Zumbach
Edgelab
Downloads 176 (363,843)
Citation 1

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heteroskedasticity, volatility lagged correlation

20.

Inference on Multivariate ARCH Processes with Large Sizes

Number of pages: 22 Posted: 19 Feb 2009
Gilles O. Zumbach
Edgelab
Downloads 137 (448,875)
Citation 8

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Multivariate GARCH processes, covariance matrix, white noise residuals

21.

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 135 (454,202)
Citation 2

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

22.

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 132 (462,631)

Abstract:

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

23.

Cross-Sectional Universalities in Financial Time Series

Number of pages: 25 Posted: 23 Dec 2013
Gilles O. Zumbach
Edgelab
Downloads 126 (479,927)

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

24.

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 101 (566,748)

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

25.

Tile Test for Back-Testing Risk Evaluation

Number of pages: 22 Posted: 25 Nov 2020
Gilles O. Zumbach
Edgelab
Downloads 100 (570,675)

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

26.

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 89 (614,678)

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Markowitz portfolio allocation, covariance regularisation, tactical allocation

27.

On the short term stability of financial ARCH price processes

Number of pages: 14 Posted: 16 Jul 2021
Gilles O. Zumbach
Edgelab
Downloads 53 (812,974)
Citation 1

Abstract:

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ARCH processes, market stability, innovations, drift significance