Details about Michael Rockinger

Access statistics for papers by Michael Rockinger.

Last updated 2012-07-16. Update your information in the RePEc Author Service.

Short-id: pro200

Working Papers

2011

1. Fourth Order Pseudo Maximum Likelihood Methods
   Working Papers, Centre de Recherche en Economie et Statistique
   Also in Working Papers, University of Lausanne, Institute of Health Economics and Management (IEMS) (2008)
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   See also Journal Article in Journal of Econometrics (2011)

2006

2. The Economic Value of Distributional Timing
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)
3. The Impact of News on Higher Moments
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)

2005

4. Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?
   FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (3)
5. Estimation of Jump-Diffusion Process vis Empirical Characteristic Function
   FAME Research Paper Series, International Center for Financial Asset Management and Engineering

2004

6. Optimal Portfolio Allocation Under Higher Moments
   Working papers, Banque de France View citations (2)
   See also Journal Article in European Financial Management (2006)
7. Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data
   FAME Research Paper Series, International Center for Financial Asset Management and Engineering
   See also Journal Article in Journal of Empirical Finance (2008)
8. The Bank Bias: Segmentation of French Fund Families
   Working papers, Banque de France

2002

9. Asset Allocation in Transition Economies
   Working papers, Banque de France
10. Conditional Dependency of Financial Series: The Copula-GARCH Model
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (3)
11. The Allocation of Assets Under Higher Moments
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering

2001

12. Conditional Dependency of Financial Series: An Application of Copulas
    Working papers, Banque de France View citations (15)
    Also in Les Cahiers de Recherche, HEC Paris (2001) View citations (17)
13. Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis
    Working papers, Banque de France View citations (4)
    See also Journal Article in Journal of Econometrics (2002)
14. New Extreme-Value Dependance Measures and Finance Applications
    Les Cahiers de Recherche, HEC Paris View citations (4)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) View citations (5)
15. Portfolio allocation in transition economies
    Les Cahiers de Recherche, HEC Paris
16. Testing for differences in the tails of stock-market returns
    Les Cahiers de Recherche, HEC Paris View citations (1)
    See also Journal Article in Journal of Empirical Finance (2003)

2000

17. A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
    Also in Les Cahiers de Recherche, HEC Paris (1998)
18. Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence
    Working papers, Banque de France View citations (8)
    Also in Les Cahiers de Recherche, HEC Paris (2000) View citations (5)
19. Entropy densities
    Les Cahiers de Recherche, HEC Paris View citations (6)

1999

20. The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets
    Working papers, Banque de France
    Also in Les Cahiers de Recherche, HEC Paris (1999) View citations (9)

1998

21. Estimating Gram-Charlier Expansions with Positivity Constraints
    Working papers, Banque de France
22. Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
23. Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election
    Working papers, Banque de France View citations (2)
24. Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral
    Working papers, Banque de France View citations (4)
25. Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
    See also Journal Article in Journal of International Money and Finance (2000)

1993

26. On Stock Market Returns and Returns on Investments
    Banco de España Working Papers, Banco de España
    See also Journal Article in Journal of Finance (1994)

Undated

27. Density-Embedding Functions
    Discussion Papers, Department of Economics, University of York View citations (8)
28. Moment Component Analysis: An Illustration with International Stock Markets
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
29. Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute

Journal Articles

2012

1. On the Importance of Time Variability in Higher Moments for Asset Allocation
   Journal of Financial Econometrics, 2012, 10, (1), 84-123

2011

2. Fourth order pseudo maximum likelihood methods
   Journal of Econometrics, 2011, 162, (2), 278-293
   See also Working Paper (2011)

2009

3. The Impact of Shocks on Higher Moments
   Journal of Financial Econometrics, 2009, 7, (2), 77-105 View citations (1)

2008

4. Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data
   Journal of Empirical Finance, 2008, 15, (5), 868-877 View citations (2)
   See also Working Paper (2004)

2006

5. Optimal Portfolio Allocation under Higher Moments
   European Financial Management, 2006, 12, (1), 29-55 View citations (24)
   See also Working Paper (2004)
6. The Copula-GARCH model of conditional dependencies: An international stock market application
   Journal of International Money and Finance, 2006, 25, (5), 827-853 View citations (56)

2003

7. Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements
   Journal of Economic Dynamics and Control, 2003, 27, (10), 1699-1737 View citations (48)
8. DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATION
   Econometric Theory, 2003, 19, (05), 778-811 View citations (15)
9. Testing for differences in the tails of stock-market returns
   Journal of Empirical Finance, 2003, 10, (5), 559-581 View citations (21)
   See also Working Paper (2001)
10. User's guide
    Journal of Economic Dynamics and Control, 2003, 27, (10), 1739-1742 View citations (2)

2002

11. Entropy densities with an application to autoregressive conditional skewness and kurtosis
    Journal of Econometrics, 2002, 106, (1), 119-142 View citations (6)
    See also Working Paper (2001)

2001

12. A Time-Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies
    Journal of Business & Economic Statistics, 2001, 19, (1), 73-84 View citations (30)
13. Gram-Charlier densities
    Journal of Economic Dynamics and Control, 2001, 25, (10), 1457-1483 View citations (23)
14. Reading PIBOR futures options smiles: The 1997 snap election
    Journal of Banking & Finance, 2001, 25, (11), 1957-1987 View citations (3)

2000

15. Market Response to Earnings Announcements and Interim Reports: An Analysis of SBF120 Companies
    Annales d'Economie et de Statistique, 2000, (60), 151-175
16. Reading the smile: the message conveyed by methods which infer risk neutral densities
    Journal of International Money and Finance, 2000, 19, (6), 885-915 View citations (22)
    See also Working Paper (1998)
17. The Evolution of Stock Markets in Transition Economies
    Journal of Comparative Economics, 2000, 28, (3), 456-472 View citations (37)

1997

18. The 'Devil's Horns' Problem of Inverting Confluent Characteristic Functions
    Econometrica, 1997, 65, (5), 1221-1226

1994

19. On Stock Market Returns and Returns on Investment
    Journal of Finance, 1994, 49, (2), 543-56 View citations (18)
    See also Working Paper (1993)