Michael Rockinger
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Michael |
| last: |
Rockinger |
Identifer
Contact
Affiliations
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Université de Lausanne
/ Faculté des Hautes Études Commerciales (HEC)
/ Institut de Banque et Finance (IBF) (weight: 50%)
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Swiss Finance Institute (weight: 50%)
Research profile
author of:
- Market Response to Earnings Announcements and Interim Reports: An Analysis of SBF120 Companies (repec:adr:anecst:y:2000:i:60:p:151-175)
by Alexandros Benos & Michael Rockinger - On Stock Market Returns and Returns on Investments (repec:bde:wpaper:9311)
by Fernando Restoy & G. Michael Rockinger - A Time-Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies (repec:bes:jnlbes:v:19:y:2001:i:1:p:73-84)
by Rockinger, Michael & Urga, Giovanni - The Bank Bias: Segmentation of French Fund Families (repec:bfr:banfra:107)
by Eric Jondeau & Michael Rockinger - Optimal Portfolio Allocation Under Higher Moments (repec:bfr:banfra:108)
by Eric Jondeau & Michael Rockinger - Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral (repec:bfr:banfra:47)
by Eric Jondeau & Michael Rockinger - Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election (repec:bfr:banfra:54)
by Sophie Coutant & Eric Jondeau & Michael Rockinger - Estimating Gram-Charlier Expansions with Positivity Constraints (repec:bfr:banfra:56)
by Eric Jondeau & Michael Rockinger - The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets (repec:bfr:banfra:66)
by Eric Jondeau & Michael Rockinger - Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence (repec:bfr:banfra:77)
by Eric Jondeau & Michael Rockinger - Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis (repec:bfr:banfra:79)
by Michael Rockinger & Eric Jondeau - Conditional Dependency of Financial Series: An Application of Copulas (repec:bfr:banfra:82)
by Michael Rockinger & Eric Jondeau - Asset Allocation in Transition Economies (repec:bfr:banfra:90)
by Eric Jondeau & Michael Rockinger - Optimal Portfolio Allocation under Higher Moments (repec:bla:eufman:v:12:y:2006:i:1:p:29-55)
by Eric Jondeau & Michael Rockinger - On Stock Market Returns and Returns on Investment (repec:bla:jfinan:v:49:y:1994:i:2:p:543-56)
by Restoy, Fernando & Rockinger, G Michael - Artificial neural network small‐sample‐bias‐corrections of the AR(1) parameter close to unit root (repec:bla:stanee:v:79:y:2025:i:1:n:e12354)
by Haozhe Jiang & Ostap Okhrin & Michael Rockinger - The Economic Value of Distributional Timing (repec:chf:rpseri:0635)
by Eric Jondeau & Michael Rockinger - The Impact of News on Higher Moments (repec:chf:rpseri:rp0628)
by Eric Jondeau & Michael Rockinger - Fourth Order Pseudo Maximum Likelihood Methods (repec:chf:rpseri:rp0923)
by Alberto HOLLY & Alain MONFORT & Michael ROCKINGER - Optimal Liquidation Strategies in Illiquid Markets (repec:chf:rpseri:rp0924)
by Eric JONDEAU & Augusto PERILLA & Michael ROCKINGER - Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty (repec:chf:rpseri:rp1041)
by Eric JONDEAU & Michael ROCKINGER - Moment Component Analysis: An Illustration with International Stock Markets (repec:chf:rpseri:rp1043)
by Eric JONDEAU & Emmanuel JURCZENKO & Michael ROCKINGER - Systemic Risk in Europe (repec:chf:rpseri:rp1245)
by Robert F. Engle & Eric Jondeau & Michael Rockinger - Long-Term Portfolio Management with a Structural Macroeconomic Model (repec:chf:rpseri:rp1345)
by Ludovic Cales & Eric Jondeau & Michael Rockinger - Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps (repec:chf:rpseri:rp1347)
by Eric Jondeau & Jérôme Lahaye & Michael Rockinger - Optimal Long-Term Allocation with Pension Fund Liabilities (repec:chf:rpseri:rp1458)
by Eric JONDEAU & Michael ROCKINGER - Forecasting Financial Returns with a Structural Macroeconomic Model (repec:chf:rpseri:rp1613)
by Eric Jondeau & Michael Rockinger - Periodic or Generational Actuarial Tables: Which One to Choose? (repec:chf:rpseri:rp1771)
by Severine Arnold (-Gaille) & Anca Jijiie & Eric Jondeau & Michael Rockinger - Do Structured Products Improve Portfolio Performance? A Backtesting Exercise (repec:chf:rpseri:rp2347)
by Florian Perusset & Michael Rockinger - Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities (repec:cpr:ceprdp:2009)
by Jondeau, Eric & Rockinger, Michael - Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election (repec:cpr:ceprdp:2010)
by Coutant, Sophie & Jondeau, Eric & Rockinger, Michael - A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies (repec:cpr:ceprdp:2346)
by Rockinger, Michael & Urga, Giovanni - New Extreme-Value Dependence Measures and Finance Applications (repec:cpr:ceprdp:2762)
by Rockinger, Michael & Poon, Ser-Huang & Tawn, Jonathan - Fourth Order Pseudo Maximum Likelihood Methods (repec:crs:wpaper:2011-05)
by Alberto HOLLY & Alain MONFORT & Michael ROCKINGER - Density Functionals, With An Option-Pricing Application (repec:cup:etheor:v:19:y:2003:i:05:p:778-811_19)
by Abadir, Karim M. & Rockinger, Michael - A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies (repec:ebg:heccah:0635)
by Michael, ROCKINGER & Giovanni, URGA - The Tail Behavior of Stock Returns: Emerging versus Mature Markets (repec:ebg:heccah:0668)
by ROCKINGER, Michael & JONDEAU, Eric - Entropy densities (repec:ebg:heccah:0709)
by ROCKINGER, Michael & JONDEAU, Eric - Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence (repec:ebg:heccah:0710)
by ROCKINGER, Michael & JONDEAU, Eric - New Extreme-Value Dependance Measures and Finance Applications (repec:ebg:heccah:0719)
by POON, Ser-Huang & ROCKINGER, Michael & TAWN, Jonathan - Conditional dependency of financial series : an application of copulas (repec:ebg:heccah:0723)
by ROCKINGER, Michael & JONDEAU, Eric - Testing for differences in the tails of stock-market returns (repec:ebg:heccah:0739)
by ROCKINGER, Michael & JONDEAU, Eric - Portfolio allocation in transition economies (repec:ebg:heccah:0740)
by ROCKINGER, Michael & JONDEAU, Eric - The 'Devil's Horns' Problem of Inverting Confluent Characteristic Functions (repec:ecm:emetrp:v:65:y:1997:i:5:p:1221-1226)
by Karim M. Abadir & Michael Rockinger - Gram-Charlier densities (repec:eee:dyncon:v:25:y:2001:i:10:p:1457-1483)
by Jondeau, Eric & Rockinger, Michael - Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements (repec:eee:dyncon:v:27:y:2003:i:10:p:1699-1737)
by Jondeau, Eric & Rockinger, Michael - User's guide (repec:eee:dyncon:v:27:y:2003:i:10:p:1739-1742)
by Jondeau, Eric & Rockinger, Michael - Entropy densities with an application to autoregressive conditional skewness and kurtosis (repec:eee:econom:v:106:y:2002:i:1:p:119-142)
by Rockinger, Michael & Jondeau, Eric - Fourth order pseudo maximum likelihood methods (repec:eee:econom:v:162:y:2011:i:2:p:278-293)
by Holly, Alberto & Monfort, Alain & Rockinger, Michael - Testing for differences in the tails of stock-market returns (repec:eee:empfin:v:10:y:2003:i:5:p:559-581)
by Jondeau, Eric & Rockinger, Michael - Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data (repec:eee:empfin:v:15:y:2008:i:5:p:868-877)
by Jalal, Amine & Rockinger, Michael - Market liquidity and institutional trading during the 2007–8 financial crisis (repec:eee:finana:v:30:y:2013:i:c:p:86-97)
by Poon, Ser-Huang & Rockinger, Michael & Stathopoulos, Konstantinos - Reading PIBOR futures options smiles: The 1997 snap election (repec:eee:jbfina:v:25:y:2001:i:11:p:1957-1987)
by Coutant, Sophie & Jondeau, Eric & Rockinger, Michael - Estimating the price impact of trades in a high-frequency microstructure model with jumps (repec:eee:jbfina:v:61:y:2015:i:s2:p:s205-s224)
by Jondeau, Eric & Lahaye, Jérôme & Rockinger, Michael - The Evolution of Stock Markets in Transition Economies (repec:eee:jcecon:v:28:y:2000:i:3:p:456-472)
by Rockinger, Michael & Urga, Giovanni - Do structured products improve portfolio performance? A backtesting exercise (repec:eee:jimfin:v:157:y:2025:i:c:s0261560625001317)
by Perusset, Florian & Rockinger, Michael - Reading the smile: the message conveyed by methods which infer risk neutral densities (repec:eee:jimfin:v:19:y:2000:i:6:p:885-915)
by Jondeau, Eric & Rockinger, Michael - The Copula-GARCH model of conditional dependencies: An international stock market application (repec:eee:jimfin:v:25:y:2006:i:5:p:827-853)
by Jondeau, Eric & Rockinger, Michael - Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data (repec:fam:rpseri:rp115)
by Amine JALAL & Michael ROCKINGER - Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion? (repec:fam:rpseri:rp132)
by Eric Jondeau & Michael Rockinger - Estimation of Jump-Diffusion Process vis Empirical Characteristic Function (repec:fam:rpseri:rp150)
by Michael Rockinger & Maria Semenova - Conditional Dependency of Financial Series: The Copula-GARCH Model (repec:fam:rpseri:rp69)
by Eric Jondeau & Michael Rockinger - The Allocation of Assets Under Higher Moments (repec:fam:rpseri:rp71)
by Eric Jondeau & Michael Rockinger - Unfolding the Transitions in Sustainability Reporting (repec:gam:jsusta:v:16:y:2024:i:2:p:809-:d:1321018)
by Yao Li & Michael Rockinger - Fourth order pseudo maximum likelihood methods (repec:hal:journl:hal-00815562)
by Alberto Holly & Alain Monfort & Michael Rockinger - New Extreme-Value Dependance Measures and Finance Applications (repec:hal:wpaper:hal-00597018)
by Ser-Huang Poon & Michael Rockinger & J. Tawn - Asset Allocation in Transition Economies (repec:hal:wpaper:hal-00597773)
by Michael Rockinger & Eric Jondeau - Conditional Dependency of Financial Series: An Application of Copulas (repec:hal:wpaper:hal-00601478)
by Michael Rockinger & Eric Jondeau - Testing for differences in the tails of stock-market returns (repec:hal:wpaper:hal-00601480)
by Michael Rockinger & Eric Jondeau - Portfolio allocation in transition economies (repec:hal:wpaper:hal-00601482)
by Michael Rockinger & Eric Jondeau - Entropy Densities (repec:hal:wpaper:hal-00601485)
by Michael Rockinger & Eric Jondeau - Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence (repec:hal:wpaper:hal-00601486)
by Michael Rockinger & Eric Jondeau - A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies (repec:hal:wpaper:hal-00601498)
by Michael Rockinger & Giovanni Urga - Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election (repec:hal:wpaper:hal-00601499)
by Michael Rockinger & S. Coutant & Eric Jondeau - Estimating Gram-Charlier Expansions Under Positivity Constraints (repec:hal:wpaper:hal-00601500)
by Michael Rockinger & Eric Jondeau - Information Content of Russian Stock Indices (repec:hal:wpaper:hal-00601586)
by Michael Rockinger & Giovanni Urga - Estimation et interprétation des densités neutres au risque: une comparaison de méthodes (repec:hal:wpaper:hal-00601588)
by Michael Rockinger & Eric Jondeau - Density-embedding Functions (repec:hal:wpaper:hal-00601589)
by Michael Rockinger & Karim Abadir - Testing the Fisher Relation: the Russian Case (repec:hal:wpaper:hal-00601590)
by Michael Rockinger & Brigitte Granville - Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities (repec:hal:wpaper:hal-00601591)
by Michael Rockinger & Eric Jondeau - Volatility Indices for the French Financial Market (repec:hal:wpaper:hal-00602020)
by Michael Rockinger & Michel Crouhy - The devil's horns: a problem with the densities of AR statistics (repec:hal:wpaper:hal-00602732)
by Michael Rockinger & Karim M. Abadir - Determinants of Capital Flow to Mutual Funds (repec:hal:wpaper:hal-00602733)
by Michael Rockinger - Volatility Clustering, Asymmetry and Hysteresis in Stock Returns: International Evidence (repec:hal:wpaper:hal-00607660)
by Michael Rockinger & Michel Crouhy - Regime Switching: Evidence for the French Stock Market (repec:hal:wpaper:hal-00607661)
by Michael Rockinger - Switching Regressions of Unexpected Macroeconomic Events Explaining the French Stock Index (repec:hal:wpaper:hal-00607662)
by Michael Rockinger - On stock market returns and returns on investment (repec:hal:wpaper:hal-00608358)
by Michael Rockinger & Fernando Restoy - Remarks concerning 'traditional' investment equations (repec:hal:wpaper:hal-00611414)
by Michael Rockinger - Short horizons vs. empire building: some empirical evidence (repec:hal:wpaper:hal-00611968)
by Michael Rockinger - Investment incentives in endogenously growing economies (repec:hal:wpaper:hal-00611970)
by Michael Rockinger & F. Restoy - Forecasting Conditional Volatility with Garch and Change of Regime Models: International Evidence (repec:hal:wpaper:hal-00612796)
by Michael Rockinger & M. Crouhy - Rebalancing with transaction costs: theory, simulations, and actual data (repec:kap:fmktpm:v:37:y:2023:i:2:d:10.1007_s11408-022-00419-6)
by Rim Bernoussi & Michael Rockinger - On the Importance of Time Variability in Higher Moments for Asset Allocation (repec:oup:jfinec:v:10:y:2009:i:1:p:84-123)
by Eric Jondeau & Michael Rockinger - The Impact of Shocks on Higher Moments (repec:oup:jfinec:v:7:y:2009:i:2:p:77-105)
by Eric Jondeau & Michael Rockinger - Systemic Risk in Europe (repec:oup:revfin:v:19:y:2015:i:1:p:145-190.)
by Robert Engle & Eric Jondeau & Michael Rockinger - Long-term Portfolio Allocation Based on Long-term Macro forecasts (repec:rbq:journl:i:134:p:62-69)
by Éric Jondeau & Michael Rockinger - Violating United Nations Global Compact Principles: An Event Study (repec:rbq:journl:i:144:p:4-19)
by Anastasia Borisova & Michael Rockinger - Simulating the Cox–Ingersoll–Ross and Heston processes: matching the first four moments (repec:rsk:journ0:7954785)
by Ostap Okhrin & Michael Rockinger & Manuel Schmid - Distributional properties of continuous time processes: from CIR to bates (repec:spr:alstar:v:107:y:2023:i:3:d:10.1007_s10182-022-00459-3)
by Ostap Okhrin & Michael Rockinger & Manuel Schmid - Financial Modeling Under Non-Gaussian Distributions (repec:spr:sprfln:978-1-84628-696-4)
by Eric Jondeau & Ser-Huang Poon & Michael Rockinger - Observations concerning the estimation of Heston’s stochastic volatility model using HF data (repec:spr:stpapr:v:66:y:2025:i:4:d:10.1007_s00362-025-01710-0)
by Ostap Okhrin & Michael Rockinger & Manuel Schmid - Moment Component Analysis: An Illustration With International Stock Markets (repec:taf:jnlbes:v:36:y:2018:i:4:p:576-598)
by Eric Jondeau & Emmanuel Jurczenko & Michael Rockinger - Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race (repec:wly:jmoncb:v:51:y:2019:i:8:p:2239-2291)
by Eric Jondeau & Michael Rockinger - Systemic Risk in Europe (repec:wsi:gcrxxx:v:03:y:2013:i:01:n:s2010493613500013)
by Eric Jondeau & Michael Rockinger - Systemic Risk in Europe (repec:wsi:wschap:9789814566148_0001)
by Eric Jondeau & Michael Rockinger - Density-Embedding Functions (repec:yor:yorken:97/16)
by Karim Abadir & Michael Rockinger