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Publications

by members of

Institut de Banque et Finance (IBF)
École des Hautes Études Commerciales (HEC)
Université de Lausanne
Lausanne, Switzerland

(Institute of Banking and Finance, Business School, )

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

Undated material is listed at the end

    2008

  1. Alberto Holly & Alain Montfort & Michael Rockinger, 2008. "Fourth order pseudo maximum likelihood methods," Working Papers 0802, University of Lausanne, Institute of Health Economics and Management (IEMS). [Downloadable!]

    2006

  1. Eric Jondeau & Michael Rockinger, 2006. "The Economic Value of Distributional Timing," Swiss Finance Institute Research Paper Series 06-35, Swiss Finance Institute. [Downloadable!]
  2. Eric Jondeau & Michael Rockinger, 2006. "The Impact of News on Higher Moments," Swiss Finance Institute Research Paper Series 06-28, Swiss Finance Institute. [Downloadable!]

    2005

  1. Eric Jondeau & Michael Rockinger, 2005. "Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?," FAME Research Paper Series rp132, International Center for Financial Asset Management and Engineering. [Downloadable!]
  2. Michael Rockinger & Maria Semenova, 2005. "Estimation of Jump-Diffusion Process vis Empirical Characteristic Function," FAME Research Paper Series rp150, International Center for Financial Asset Management and Engineering. [Downloadable!]

    2004

  1. Amine JALAL & Michael ROCKINGER, 2004. "Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data," FAME Research Paper Series rp115, International Center for Financial Asset Management and Engineering. [Downloadable!]

    2002

  1. Eric Jondeau & Michael Rockinger, 2002. "Conditional Dependency of Financial Series: The Copula-GARCH Model," FAME Research Paper Series rp69, International Center for Financial Asset Management and Engineering. [Downloadable!]
  2. Eric Jondeau & Michael Rockinger, 2002. "The Allocation of Assets Under Higher Moments," FAME Research Paper Series rp71, International Center for Financial Asset Management and Engineering. [Downloadable!]

    2001

  1. POON, Ser-Huang & ROCKINGER, Michael & TAWN, Jonathan, 2001. "New Extreme-Value Dependance Measures and Finance Applications," Les Cahiers de Recherche 719, HEC Paris. [Downloadable!]
  2. Poon, Ser-Huang & Rockinger, Michael & Tawn, Jonathan, 2001. "New Extreme-Value Dependence Measures and Finance Applications," CEPR Discussion Papers 2762, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  3. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Portfolio allocation in transition economies," Les Cahiers de Recherche 740, HEC Paris. [Downloadable!]
  4. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Testing for differences in the tails of stock-market returns," Les Cahiers de Recherche 739, HEC Paris. [Downloadable!]
  5. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Conditional dependency of financial series : an application of copulas," Les Cahiers de Recherche 723, HEC Paris. [Downloadable!]

    2000

  1. ROCKINGER, Michael & JONDEAU, Eric, 2000. "Entropy densities," Les Cahiers de Recherche 709, HEC Paris. [Downloadable!]
  2. ROCKINGER, Michael & JONDEAU, Eric, 2000. "Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence," Les Cahiers de Recherche 710, HEC Paris. [Downloadable!]
  3. Rockinger, Michael & Urga, Giovanni, 2000. "A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies," CEPR Discussion Papers 2346, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

    1999

  1. ROCKINGER, Michael & JONDEAU, Eric, 1999. "The Tail Behavior of Stock Returns: Emerging versus Mature Markets," Les Cahiers de Recherche 668, HEC Paris. [Downloadable!]

    1998

  1. Jondeau, Eric & Rockinger, Michael, 1998. "Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities," CEPR Discussion Papers 2009, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  2. Coutant, Sophie & Jondeau, Eric & Rockinger, Michael, 1998. "Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election," CEPR Discussion Papers 2010, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  3. Michael, ROCKINGER & Giovanni, URGA, 1998. "A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies," Les Cahiers de Recherche 635, HEC Paris. [Downloadable!]

    1993

  1. Fernando Restoy & G. Michael Rockinger, 1993. "On Stock Market Returns and Returns on Investments," Banco de España Working Papers 9311, Banco de España.

    Undated

  1. Karim Abadir & Michael Rockinger, . "Density-Embedding Functions," Discussion Papers 97/16, Department of Economics, University of York.

Journal articles

    2009

  1. Eric Jondeau & Michael Rockinger, 2009. "The Impact of Shocks on Higher Moments," Journal of Financial Econometrics, Oxford University Press, vol. 7(2), pages 77-105, Spring. [Downloadable!] (restricted)

    2008

  1. Jalal, Amine & Rockinger, Michael, 2008. "Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 868-877, December. [Downloadable!] (restricted)

    2006

  1. Jondeau, Eric & Rockinger, Michael, 2006. "The Copula-GARCH model of conditional dependencies: An international stock market application," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 827-853, August. [Downloadable!] (restricted)
  2. Eric Jondeau & Michael Rockinger, 2006. "Optimal Portfolio Allocation under Higher Moments," European Financial Management, Blackwell Publishing Ltd, vol. 12(1), pages 29-55. [Downloadable!] (restricted)

    2003

  1. Jondeau, Eric & Rockinger, Michael, 2003. "Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1699-1737, August. [Downloadable!] (restricted)
  2. Jondeau, Eric & Rockinger, Michael, 2003. "User's guide," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1739-1742, August. [Downloadable!] (restricted)
  3. Jondeau, Eric & Rockinger, Michael, 2003. "Testing for differences in the tails of stock-market returns," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 559-581, December. [Downloadable!] (restricted)
  4. Abadir, Karim M. & Rockinger, Michael, 2003. "Density Functionals, With An Option-Pricing Application," Econometric Theory, Cambridge University Press, vol. 19(05), pages 778-811, October. [Downloadable!]

    2002

  1. Rockinger, Michael & Jondeau, Eric, 2002. "Entropy densities with an application to autoregressive conditional skewness and kurtosis," Journal of Econometrics, Elsevier, vol. 106(1), pages 119-142, January. [Downloadable!] (restricted)

    2001

  1. Jondeau, Eric & Rockinger, Michael, 2001. "Gram-Charlier densities," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1457-1483, October. [Downloadable!] (restricted)
  2. Coutant, Sophie & Jondeau, Eric & Rockinger, Michael, 2001. "Reading PIBOR futures options smiles: The 1997 snap election," Journal of Banking & Finance, Elsevier, vol. 25(11), pages 1957-1987, November. [Downloadable!] (restricted)
  3. Rockinger, Michael & Urga, Giovanni, 2001. "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, vol. 19(1), pages 73-84, January.

    2000

  1. Rockinger, Michael & Urga, Giovanni, 2000. "The Evolution of Stock Markets in Transition Economies," Journal of Comparative Economics, Elsevier, vol. 28(3), pages 456-472, September. [Downloadable!] (restricted)
  2. Jondeau, Eric & Rockinger, Michael, 2000. "Reading the smile: the message conveyed by methods which infer risk neutral densities," Journal of International Money and Finance, Elsevier, vol. 19(6), pages 885-915, December. [Downloadable!] (restricted)

    1997

  1. Karim M. Abadir & Michael Rockinger, 1997. "The 'Devil's Horns' Problem of Inverting Confluent Characteristic Functions," Econometrica, Econometric Society, vol. 65(5), pages 1221-1226, September.

    1994

  1. Restoy, Fernando & Rockinger, G Michael, 1994. " On Stock Market Returns and Returns on Investment," Journal of Finance, American Finance Association, vol. 49(2), pages 543-56, June. [Downloadable!] (restricted)
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This page was last updated on 2009-12-2.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.