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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 2020-09-01. Update your information in the RePEc Author Service.

Short-id: pro200


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Working Papers

2017

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

2016

  1. Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    See also Journal Article in Journal of Banking & Finance (2015)
  2. Forecasting Financial Returns with a Structural Macroeconomic Model
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (1)

2014

  1. Optimal Long-Term Allocation with Pension Fund Liabilities
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads

2013

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

2012

  1. Systemic Risk in Europe
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    See also Chapter (2014)
    Journal Article in Review of Finance (2015)

2011

  1. Fourth Order Pseudo Maximum Likelihood Methods
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (5)
    Also in Post-Print, HAL (2011) Downloads View citations (5)
    Working Papers, University of Lausanne, Institute of Health Economics and Management (IEMS) (2008) Downloads
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2009) Downloads

    See also Journal Article in Journal of Econometrics (2011)

2010

  1. Moment Component Analysis: An Illustration with International Stock Markets
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (2)
    See also Journal Article in Journal of Business & Economic Statistics (2018)
  2. Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads

2009

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

2006

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

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 (6)
  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
    Also in Working Papers, HAL (2002)
  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 (8)
  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 (24)
    Also in Working Papers, HAL (2001) View citations (10)
    HEC Research Papers Series, HEC Paris (2001) Downloads View citations (24)
  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
    Working Papers, HAL
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) Downloads View citations (6)
    HEC Research Papers Series, HEC Paris (2001) Downloads View citations (5)
  4. Portfolio allocation in transition economies
    HEC Research Papers Series, HEC Paris Downloads
    Also in Working Papers, HAL (2001)
  5. Testing for differences in the tails of stock-market returns
    Working Papers, HAL View citations (1)
    Also in HEC Research Papers Series, HEC Paris (2001) Downloads View citations (2)

    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 (5)
    Also in Working Papers, HAL (1998) View citations (2)
    HEC Research Papers Series, HEC Paris (1998) Downloads View citations (2)

    See also Journal Article in Journal of Business & Economic Statistics (2001)
  2. Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence
    Working Papers, HAL
    Also in HEC Research Papers Series, HEC Paris (2000) Downloads View citations (5)
    Working papers, Banque de France (2000) Downloads View citations (8)
  3. Entropy Densities
    Working Papers, HAL
    Also in HEC Research Papers Series, HEC Paris (2000) 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 HEC Research Papers Series, HEC Paris (1999) Downloads View citations (15)

1998

  1. Estimating Gram-Charlier Expansions Under Positivity Constraints
    Working Papers, HAL
  2. Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
  3. 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)
  4. Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral
    Working papers, Banque de France Downloads View citations (3)
  5. 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)

1997

  1. Density-embedding Functions
    Working Papers, HAL
    Also in Discussion Papers, Department of Economics, University of York View citations (7)
  2. Estimation et interprétation des densités neutres au risque: une comparaison de méthodes
    Working Papers, HAL
  3. Information Content of Russian Stock Indices
    Working Papers, HAL
  4. Testing the Fisher Relation: the Russian Case
    Working Papers, HAL View citations (1)

1996

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

1995

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

1994

  1. Forecasting Conditional Volatility with Garch and Change of Regime Models: International Evidence
    Working Papers, HAL
  2. Regime Switching: Evidence for the French Stock Market
    Working Papers, HAL View citations (1)
  3. Switching Regressions of Unexpected Macroeconomic Events Explaining the French Stock Index
    Working Papers, HAL
  4. Volatility Clustering, Asymmetry and Hysteresis in Stock Returns: International Evidence
    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. Investment incentives in endogenously growing economies
    Working Papers, HAL
  2. Short horizons vs. empire building: some empirical evidence
    Working Papers, HAL

Journal Articles

2019

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

2018

  1. Moment Component Analysis: An Illustration With International Stock Markets
    Journal of Business & Economic Statistics, 2018, 36, (4), 576-598 Downloads View citations (1)
    See also Working Paper (2010)

2016

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

2015

  1. Estimating the price impact of trades in a high-frequency microstructure model with jumps
    Journal of Banking & Finance, 2015, 61, (S2), S205-S224 Downloads View citations (9)
    See also Working Paper (2016)
  2. Long-term Portfolio Allocation Based on Long-term Macro forecasts
    Bankers, Markets & Investors, 2015, (134), 62-69 Downloads
  3. Systemic Risk in Europe
    Review of Finance, 2015, 19, (1), 145-190 Downloads View citations (36)
    Also in Global Credit Review (GCR), 2013, 03, (01), 1-6 (2013) Downloads

    See also Working Paper (2012)
    Chapter (2014)

2013

  1. Market liquidity and institutional trading during the 2007–8 financial crisis
    International Review of Financial Analysis, 2013, 30, (C), 86-97 Downloads View citations (4)

2011

  1. Fourth order pseudo maximum likelihood methods
    Journal of Econometrics, 2011, 162, (2), 278-293 Downloads View citations (6)
    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 (12)

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 (15)
    See also Working Paper (2004)

2006

  1. Optimal Portfolio Allocation under Higher Moments
    European Financial Management, 2006, 12, (1), 29-55 Downloads View citations (106)
    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 (253)

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 (159)
  2. DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATION
    Econometric Theory, 2003, 19, (5), 778-811 Downloads View citations (25)
  3. Testing for differences in the tails of stock-market returns
    Journal of Empirical Finance, 2003, 10, (5), 559-581 Downloads View citations (59)
    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 (34)
    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 (56)
    See also Working Paper (2000)
  2. Gram-Charlier densities
    Journal of Economic Dynamics and Control, 2001, 25, (10), 1457-1483 Downloads View citations (80)
  3. Reading PIBOR futures options smiles: The 1997 snap election
    Journal of Banking & Finance, 2001, 25, (11), 1957-1987 Downloads View citations (14)

2000

  1. Market Response to Earnings Announcements and Interim Reports: An Analysis of SBF120 Companies
    Annals of Economics and Statistics, 2000, (60), 151-175 Downloads View citations (1)
  2. 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 (42)
    See also Working Paper (1998)
  3. The Evolution of Stock Markets in Transition Economies
    Journal of Comparative Economics, 2000, 28, (3), 456-472 Downloads View citations (55)

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 (33)
    See also Working Paper (1993)

Chapters

2014

  1. Systemic Risk in Europe
    Chapter 1 in Global Credit Review, 2014, pp 1-6 Downloads View citations (8)
    See also Working Paper (2012)
    Journal Article in Review of Finance (2015)
 
Page updated 2020-10-20