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Details about Michael Rockinger

E-mail:
Homepage:http://www.hec.unil.ch/mrockinger
Workplace:Institut de Banque et Finance (IBF) (Institute of Banking and Finance), Faculté des Hautes Études Commerciales (HEC) (Business School), Université de Lausanne (University of Lausanne), (more information at EDIRC)
Swiss Finance Institute, (more information at EDIRC)

Access statistics for papers by Michael Rockinger.

Last updated 2016-11-25. Update your information in the RePEc Author Service.

Short-id: pro200


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Working Papers

2011

  1. Fourth Order Pseudo Maximum Likelihood Methods
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (3)
    Also in Working Papers, University of Lausanne, Institute of Health Economics and Management (IEMS) (2008) Downloads
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads

    See also Journal Article in Journal of Econometrics (2011)

2006

  1. The Economic Value of Distributional Timing
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (2)
  2. The Impact of News on Higher Moments
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (1)

2005

  1. 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 Downloads View citations (5)
  2. Estimation of Jump-Diffusion Process vis Empirical Characteristic Function
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads View citations (1)

2004

  1. Optimal Portfolio Allocation Under Higher Moments
    Working papers, Banque de France Downloads View citations (3)
    See also Journal Article in European Financial Management (2006)
  2. 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 Downloads
    See also Journal Article in Journal of Empirical Finance (2008)
  3. The Bank Bias: Segmentation of French Fund Families
    Working papers, Banque de France Downloads

2002

  1. Asset Allocation in Transition Economies
    Working papers, Banque de France Downloads
  2. Conditional Dependency of Financial Series: The Copula-GARCH Model
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads View citations (7)
  3. The Allocation of Assets Under Higher Moments
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads

2001

  1. Conditional Dependency of Financial Series: An Application of Copulas
    Working papers, Banque de France Downloads View citations (19)
    Also in Les Cahiers de Recherche, HEC Paris (2001) Downloads View citations (19)
  2. Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis
    Working papers, Banque de France Downloads View citations (5)
    See also Journal Article in Journal of Econometrics (2002)
  3. New Extreme-Value Dependance Measures and Finance Applications
    Les Cahiers de Recherche, HEC Paris Downloads View citations (5)
    Also in Working Papers, HAL (2001)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) Downloads View citations (6)
  4. Portfolio allocation in transition economies
    Working Papers, HAL
    Also in Les Cahiers de Recherche, HEC Paris (2001) Downloads
  5. Testing for differences in the tails of stock-market returns
    Les Cahiers de Recherche, HEC Paris Downloads View citations (1)
    See also Journal Article in Journal of Empirical Finance (2003)

2000

  1. 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 Downloads View citations (4)
    Also in Les Cahiers de Recherche, HEC Paris (1998) Downloads View citations (2)
  2. Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence
    Working papers, Banque de France Downloads View citations (8)
    Also in Les Cahiers de Recherche, HEC Paris (2000) Downloads View citations (5)
  3. Entropy densities
    Les Cahiers de Recherche, HEC Paris Downloads View citations (6)

1999

  1. Estimating Gram-Charlier Expansions with Positivity Constraints
    Working papers, Banque de France Downloads
  2. The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets
    Working papers, Banque de France Downloads View citations (2)
    Also in Les Cahiers de Recherche, HEC Paris (1999) Downloads View citations (11)

1998

  1. Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
  2. Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election
    Working papers, Banque de France Downloads View citations (2)
    Also in Working Papers, HAL (1998)
  3. Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral
    Working papers, Banque de France Downloads View citations (3)
  4. Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    Also in Working Papers, HAL (1997)

    See also Journal Article in Journal of International Money and Finance (2000)

1994

  1. Regime Switching: Evidence for the French Stock Market
    Working Papers, HAL
  2. Switching Regressions of Unexpected Macroeconomic Events Explaining the French Stock Index
    Working Papers, HAL

1993

  1. On Stock Market Returns and Returns on Investments
    Working Papers, Banco de España
    Also in Working Papers, HAL (1993)

    See also Journal Article in Journal of Finance (1994)

1992

  1. Remarks concerning 'traditional' investment equations
    Working Papers, HAL

1991

  1. Short horizons vs. empire building: some empirical evidence
    Working Papers, HAL

Undated

  1. Density-Embedding Functions
    Discussion Papers, Department of Economics, University of York View citations (8)
  2. Moment Component Analysis: An Illustration with International Stock Markets
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
  3. Optimal Long-Term Allocation with Pension Fund Liabilities
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
  4. Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads

Journal Articles

2011

  1. Fourth order pseudo maximum likelihood methods
    Journal of Econometrics, 2011, 162, (2), 278-293 Downloads View citations (3)
    See also Working Paper (2011)

2009

  1. On the Importance of Time Variability in Higher Moments for Asset Allocation
    Journal of Financial Econometrics, 2009, 10, (1), 84-123 Downloads
  2. The Impact of Shocks on Higher Moments
    Journal of Financial Econometrics, 2009, 7, (2), 77-105 Downloads View citations (6)

2008

  1. Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data
    Journal of Empirical Finance, 2008, 15, (5), 868-877 Downloads View citations (10)
    See also Working Paper (2004)

2006

  1. Optimal Portfolio Allocation under Higher Moments
    European Financial Management, 2006, 12, (1), 29-55 Downloads View citations (67)
    See also Working Paper (2004)
  2. The Copula-GARCH model of conditional dependencies: An international stock market application
    Journal of International Money and Finance, 2006, 25, (5), 827-853 Downloads View citations (178)

2003

  1. Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements
    Journal of Economic Dynamics and Control, 2003, 27, (10), 1699-1737 Downloads View citations (115)
  2. DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATION
    Econometric Theory, 2003, 19, (05), 778-811 Downloads View citations (23)
  3. Testing for differences in the tails of stock-market returns
    Journal of Empirical Finance, 2003, 10, (5), 559-581 Downloads View citations (47)
    See also Working Paper (2001)
  4. User's guide
    Journal of Economic Dynamics and Control, 2003, 27, (10), 1739-1742 Downloads View citations (2)

2002

  1. Entropy densities with an application to autoregressive conditional skewness and kurtosis
    Journal of Econometrics, 2002, 106, (1), 119-142 Downloads View citations (24)
    See also Working Paper (2001)

2001

  1. 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 (47)
  2. Gram-Charlier densities
    Journal of Economic Dynamics and Control, 2001, 25, (10), 1457-1483 Downloads View citations (62)
  3. Reading PIBOR futures options smiles: The 1997 snap election
    Journal of Banking & Finance, 2001, 25, (11), 1957-1987 Downloads View citations (11)

2000

  1. Reading the smile: the message conveyed by methods which infer risk neutral densities
    Journal of International Money and Finance, 2000, 19, (6), 885-915 Downloads View citations (30)
    See also Working Paper (1998)
  2. The Evolution of Stock Markets in Transition Economies
    Journal of Comparative Economics, 2000, 28, (3), 456-472 Downloads View citations (49)

1997

  1. The 'Devil's Horns' Problem of Inverting Confluent Characteristic Functions
    Econometrica, 1997, 65, (5), 1221-1226 View citations (1)

1994

  1. On Stock Market Returns and Returns on Investment
    Journal of Finance, 1994, 49, (2), 543-56 Downloads View citations (27)
    See also Working Paper (1993)
 
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