Concepedia

Gilles Zumbach

GZ

Statistics

Publications

27

Citations

989

H-Index

18

Active since

2000

Affiliations

University of Manchester(Current)

University of Pisa

Gilles Zumbach is an author at University of Manchester specializing in volatility modeling, asset pricing, and finance.

Top concepts

FinanceBusinessAsset PricingVolatility ModelingEconomicsFinancial EconomicsTime Series EconometricsStatisticsEngineeringManagement

Publications per year

2000–2012

27

Publications

27

Consistent High‐precision Volatility from High‐frequency Data

Fulvio Corsi, Gilles Zumbach, Ulrich Müller et al. · Economic Notes · 2001 · 130 citations

Volatility Modeling, Engineering, Volatility Bias +17

Market heterogeneities and the causal structure of volatility

Paul Lynch, Gilles Zumbach · Quantitative Finance · 2003 · 107 citations

Volatility Modeling, Engineering, Time Series Econometrics +18

The Riskmetrics 2006 Methodology

Gilles Zumbach · SSRN Electronic Journal · 2007 · 97 citations · Full text

Volatility processes and volatility forecast with long memory

Gilles Zumbach · Quantitative Finance · 2004 · 86 citations

Forecasting Methodology, Volatility Modeling, Multivariate Stochastic Volatility +13

Knowledge-intensive genetic discovery in foreign exchange markets

Siddhartha Bhattacharyya, Olivier V. Pictet, Gilles Zumbach · IEEE Transactions on Evolutionary Computation · 2002 · 64 citations

Trade, High-frequency Foreign Exchange, Knowledge-intensive Genetic Discovery +17

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