Details about Michael Rockinger

Homepage:	https://people.unil.ch/michaelrockinger/
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 2025-10-09. Update your information in the RePEc Author Service.

Short-id: pro200

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Working Papers

2023

1. Do Structured Products Improve Portfolio Performance? A Backtesting Exercise
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   See also Journal Article Do structured products improve portfolio performance? A backtesting exercise, Journal of International Money and Finance, Elsevier (2025) (2025)

2017

2. Periodic or Generational Actuarial Tables: Which One to Choose?
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2016

3. Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   See also Journal Article Estimating the price impact of trades in a high-frequency microstructure model with jumps, Journal of Banking & Finance, Elsevier (2015) View citations (13) (2015)
4. Forecasting Financial Returns with a Structural Macroeconomic Model
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)

2014

5. Optimal Long-Term Allocation with Pension Fund Liabilities
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)

2013

6. Long-Term Portfolio Management with a Structural Macroeconomic Model
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2012

7. Systemic Risk in Europe
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (14)
   See also Journal Article Systemic Risk in Europe, Review of Finance, European Finance Association (2015) View citations (104) (2015)
   Chapter Systemic Risk in Europe, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2014) View citations (16) (2014)

2011

8. Fourth Order Pseudo Maximum Likelihood Methods
   Working Papers, Center for Research in Economics and Statistics View citations (6)
   Also in Post-Print, HAL (2011) View citations (7)
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2009)
   See also Journal Article Fourth order pseudo maximum likelihood methods, Journal of Econometrics, Elsevier (2011) View citations (7) (2011)

2010

9. Moment Component Analysis: An Illustration with International Stock Markets
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
   See also Journal Article Moment Component Analysis: An Illustration With International Stock Markets, Journal of Business & Economic Statistics, Taylor & Francis Journals (2018) View citations (13) (2018)
10. Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2009

11. Optimal Liquidation Strategies in Illiquid Markets
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2006

12. The Economic Value of Distributional Timing
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (6)
13. The Impact of News on Higher Moments
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (3)

2005

14. 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 (22)
15. Estimation of Jump-Diffusion Process vis Empirical Characteristic Function
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (1)

2004

16. Optimal Portfolio Allocation Under Higher Moments
    Working papers, Banque de France View citations (5)
    See also Journal Article Optimal Portfolio Allocation under Higher Moments, European Financial Management, European Financial Management Association (2006) View citations (172) (2006)
17. 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 Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data, Journal of Empirical Finance, Elsevier (2008) View citations (23) (2008)
18. The Bank Bias: Segmentation of French Fund Families
    Working papers, Banque de France View citations (4)

2002

19. Asset Allocation in Transition Economies
    Working papers, Banque de France
    Also in Working Papers, HAL (2002)
20. Conditional Dependency of Financial Series: The Copula-GARCH Model
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (15)
21. The Allocation of Assets Under Higher Moments
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering

2001

22. Conditional Dependency of Financial Series: An Application of Copulas
    Working papers, Banque de France View citations (31)
    Also in HEC Research Papers Series, HEC Paris (2001) View citations (33)
    Working Papers, HAL (2001) View citations (30)
23. Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis
    Working papers, Banque de France View citations (5)
    See also Journal Article Entropy densities with an application to autoregressive conditional skewness and kurtosis, Journal of Econometrics, Elsevier (2002) View citations (42) (2002)
24. New Extreme-Value Dependance Measures and Finance Applications
    HEC Research Papers Series, HEC Paris View citations (5)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) View citations (5)
    Working Papers, HAL (2001)
25. Portfolio allocation in transition economies
    Working Papers, HAL
    Also in HEC Research Papers Series, HEC Paris (2001)
26. Testing for differences in the tails of stock-market returns
    HEC Research Papers Series, HEC Paris View citations (2)
    Also in Working Papers, HAL (2001) View citations (2)
    See also Journal Article Testing for differences in the tails of stock-market returns, Journal of Empirical Finance, Elsevier (2003) View citations (75) (2003)

2000

27. 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 (10)
    Also in Working Papers, HAL (1998) View citations (4)
    HEC Research Papers Series, HEC Paris (1998) View citations (5)
    See also Journal Article A Time-Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies, Journal of Business & Economic Statistics, American Statistical Association (2001) View citations (68) (2001)
28. Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence
    Working Papers, HAL View citations (9)
    Also in Working papers, Banque de France (2000) View citations (11)
    HEC Research Papers Series, HEC Paris (2000) View citations (11)
29. Entropy Densities
    Working Papers, HAL
    Also in HEC Research Papers Series, HEC Paris (2000) View citations (6)

1999

30. Estimating Gram-Charlier Expansions with Positivity Constraints
    Working papers, Banque de France View citations (1)
31. The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets
    Working papers, Banque de France View citations (3)
    Also in HEC Research Papers Series, HEC Paris (1999) View citations (19)

1998

32. Estimating Gram-Charlier Expansions Under Positivity Constraints
    Working Papers, HAL View citations (2)
33. Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
34. Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election
    Working Papers, HAL View citations (2)
    Also in Working papers, Banque de France (1998) View citations (4)
35. Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral
    Working papers, Banque de France View citations (3)
36. Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
    Also in Working Papers, HAL (1997) View citations (3)
    See also Journal Article Reading the smile: the message conveyed by methods which infer risk neutral densities, Journal of International Money and Finance, Elsevier (2000) View citations (52) (2000)

1997

37. Density-embedding Functions
    Working Papers, HAL View citations (1)
    Also in Discussion Papers, Department of Economics, University of York View citations (8)
38. Estimation et interprétation des densités neutres au risque: une comparaison de méthodes
    Working Papers, HAL View citations (3)
39. Information Content of Russian Stock Indices
    Working Papers, HAL
40. Testing the Fisher Relation: the Russian Case
    Working Papers, HAL View citations (1)

1996

41. Volatility Indices for the French Financial Market
    Working Papers, HAL

1995

42. Determinants of Capital Flow to Mutual Funds
    Working Papers, HAL View citations (1)
43. The devil's horns: a problem with the densities of AR statistics
    Working Papers, HAL

1994

44. Forecasting Conditional Volatility with Garch and Change of Regime Models: International Evidence
    Working Papers, HAL
45. Regime Switching: Evidence for the French Stock Market
    Working Papers, HAL View citations (3)
46. Switching Regressions of Unexpected Macroeconomic Events Explaining the French Stock Index
    Working Papers, HAL
47. Volatility Clustering, Asymmetry and Hysteresis in Stock Returns: International Evidence
    Working Papers, HAL

1993

48. On Stock Market Returns and Returns on Investments
    Working Papers, Banco de España
    Also in Working Papers, HAL (1993)
    See also Journal Article On Stock Market Returns and Returns on Investment, Journal of Finance, American Finance Association (1994) View citations (46) (1994)

1992

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

1991

50. Investment incentives in endogenously growing economies
    Working Papers, HAL
51. Short horizons vs. empire building: some empirical evidence
    Working Papers, HAL

Journal Articles

2025

1. Artificial neural network small‐sample‐bias‐corrections of the AR(1) parameter close to unit root
   Statistica Neerlandica, 2025, 79, (1)
2. Do structured products improve portfolio performance? A backtesting exercise
   Journal of International Money and Finance, 2025, 157, (C)
   See also Working Paper Do Structured Products Improve Portfolio Performance? A Backtesting Exercise, Swiss Finance Institute Research Paper Series (2023) (2023)
3. Observations concerning the estimation of Heston’s stochastic volatility model using HF data
   Statistical Papers, 2025, 66, (4), 1-23 View citations (1)

2024

4. Unfolding the Transitions in Sustainability Reporting
   Sustainability, 2024, 16, (2), 1-31

2023

5. Distributional properties of continuous time processes: from CIR to bates
   AStA Advances in Statistical Analysis, 2023, 107, (3), 397-419
6. Rebalancing with transaction costs: theory, simulations, and actual data
   Financial Markets and Portfolio Management, 2023, 37, (2), 121-160 View citations (3)

2019

7. Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race
   Journal of Money, Credit and Banking, 2019, 51, (8), 2239-2291

2018

8. Moment Component Analysis: An Illustration With International Stock Markets
   Journal of Business & Economic Statistics, 2018, 36, (4), 576-598 View citations (13)
   See also Working Paper Moment Component Analysis: An Illustration with International Stock Markets, Swiss Finance Institute Research Paper Series (2010) View citations (1) (2010)

2016

9. Violating United Nations Global Compact Principles: An Event Study
   Bankers, Markets & Investors, 2016, (144), 4-19 View citations (1)

2015

10. Estimating the price impact of trades in a high-frequency microstructure model with jumps
    Journal of Banking & Finance, 2015, 61, (S2), S205-S224 View citations (13)
    See also Working Paper Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps, Swiss Finance Institute Research Paper Series (2016) (2016)
11. Long-term Portfolio Allocation Based on Long-term Macro forecasts
    Bankers, Markets & Investors, 2015, (134), 62-69
12. Systemic Risk in Europe
    Review of Finance, 2015, 19, (1), 145-190 View citations (104)
    Also in Global Credit Review (GCR), 2013, 03, (01), 1-6 (2013)
    See also Chapter Systemic Risk in Europe, World Scientific Book Chapters, 2014, 1-6 (2014) View citations (16) (2014)
    Working Paper Systemic Risk in Europe, Swiss Finance Institute Research Paper Series (2012) View citations (14) (2012)

2013

13. Market liquidity and institutional trading during the 2007–8 financial crisis
    International Review of Financial Analysis, 2013, 30, (C), 86-97 View citations (6)

2011

14. Fourth order pseudo maximum likelihood methods
    Journal of Econometrics, 2011, 162, (2), 278-293 View citations (7)
    See also Working Paper Fourth Order Pseudo Maximum Likelihood Methods, Working Papers (2011) View citations (6) (2011)

2009

15. On the Importance of Time Variability in Higher Moments for Asset Allocation
    Journal of Financial Econometrics, 2009, 10, (1), 84-123
16. The Impact of Shocks on Higher Moments
    Journal of Financial Econometrics, 2009, 7, (2), 77-105 View citations (18)

2008

17. 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 (23)
    See also Working Paper Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data, FAME Research Paper Series (2004) (2004)

2006

18. Optimal Portfolio Allocation under Higher Moments
    European Financial Management, 2006, 12, (1), 29-55 View citations (172)
    See also Working Paper Optimal Portfolio Allocation Under Higher Moments, Working papers (2004) View citations (5) (2004)
19. 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 (376)

2003

20. Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements
    Journal of Economic Dynamics and Control, 2003, 27, (10), 1699-1737 View citations (237)
21. DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATION
    Econometric Theory, 2003, 19, (5), 778-811 View citations (31)
22. Testing for differences in the tails of stock-market returns
    Journal of Empirical Finance, 2003, 10, (5), 559-581 View citations (75)
    See also Working Paper Testing for differences in the tails of stock-market returns, HEC Research Papers Series (2001) View citations (2) (2001)
23. User's guide
    Journal of Economic Dynamics and Control, 2003, 27, (10), 1739-1742 View citations (2)

2002

24. Entropy densities with an application to autoregressive conditional skewness and kurtosis
    Journal of Econometrics, 2002, 106, (1), 119-142 View citations (42)
    See also Working Paper Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis, Working papers (2001) View citations (5) (2001)

2001

25. 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 (68)
    See also Working Paper A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies, CEPR Discussion Papers (2000) View citations (10) (2000)
26. Gram-Charlier densities
    Journal of Economic Dynamics and Control, 2001, 25, (10), 1457-1483 View citations (88)
27. Reading PIBOR futures options smiles: The 1997 snap election
    Journal of Banking & Finance, 2001, 25, (11), 1957-1987 View citations (20)

2000

28. Market Response to Earnings Announcements and Interim Reports: An Analysis of SBF120 Companies
    Annals of Economics and Statistics, 2000, (60), 151-175 View citations (3)
29. 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 (52)
    See also Working Paper Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities, CEPR Discussion Papers (1998) View citations (5) (1998)
30. The Evolution of Stock Markets in Transition Economies
    Journal of Comparative Economics, 2000, 28, (3), 456-472 View citations (62)

1997

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

1994

32. On Stock Market Returns and Returns on Investment
    Journal of Finance, 1994, 49, (2), 543-56 View citations (46)
    See also Working Paper On Stock Market Returns and Returns on Investments, Working Papers (1993) (1993)

Undated

33. Simulating the Cox–Ingersoll–Ross and Heston processes: matching the first four moments
    Journal of Computational Finance

Books

2007

1. Financial Modeling Under Non-Gaussian Distributions
   Springer Finance, Springer View citations (10)

Chapters

2014

1. Systemic Risk in Europe
   Chapter 1 in Global Credit Review, 2014, pp 1-6 View citations (16)
   See also Working Paper Systemic Risk in Europe, Swiss Finance Institute (2012) View citations (14) (2012)
   Journal Article Systemic Risk in Europe, European Finance Association (2015) View citations (104) (2015)