Michael Rockinger at IDEAS
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about: Michael Rockinger
Personal Details | Affiliation | Works
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Personal Details
First Name: Michael
Middle Name:
Last Name: Rockinger
Suffix:
RePEc Short-ID: pro200
Email: Homepage:
http://www.hec.unil.ch/mrockinger
Postal Address:
Phone: Affiliation (in no particular order)
École des Hautes Études Commerciales (HEC) (Business School)
Université de Lausanne
Location: Lausanne, Switzerland
Homepage: http://www.hec.unil.ch/
Email:
Phone:
Fax:
Postal: Internef, CH-1015 Lausanne
Handle: RePEc:edi:heclsch (registered authors at this institution )
Institut de Banque et Finance (IBF) (Institute of Banking and Finance)
École des Hautes Études Commerciales (HEC) (Business School)
Université de Lausanne
Location: Lausanne, Switzerland
Homepage: http://www.hec.unil.ch/ibf/
Email:
Phone: +41-21-692.33.84
Fax: +41 21 692 34 35
Postal: Route de Chavannes 33, 1007 Lausanne
Handle: RePEc:edi:ibflsch (registered authors at this institution )
Works | Working papers | Articles | Access
and download statistics | Citations (if
any)| NEP Fields | Download all references for this author: available formats: HTML ,
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Working papers
Eric Jondeau & Michael Rockinger, 2006.
"The Economic Value of Distributional Timing ,"
Swiss Finance Institute Research Paper Series
06-35, Swiss Finance Institute.
[Downloadable!]
Eric Jondeau & Michael Rockinger, 2006.
"The Impact of News on Higher Moments ,"
Swiss Finance Institute Research Paper Series
06-28, Swiss Finance Institute.
[Downloadable!]
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!]
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!]
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!]
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!]
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!]
Rockinger, M. & Jondeau, E., 2001.
"Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis ,"
Papers
79, Banque de France - Direction Generale des Etudes.
Published as:
ROCKINGER, Michael & JONDEAU, Eric, 2001.
"Testing for differences in the tails of stock-market returns ,"
Les Cahiers de Recherche
739, Groupe HEC.
[Downloadable!] Published as:
ROCKINGER, Michael & JONDEAU, Eric, 2001.
"Portfolio allocation in transition economies ,"
Les Cahiers de Recherche
740, Groupe HEC.
[Downloadable!]
ROCKINGER, Michael & JONDEAU, Eric, 2001.
"Conditional dependency of financial series : an application of copulas ,"
Les Cahiers de Recherche
723, Groupe HEC.
[Downloadable!] Other versions:
POON, Ser-Huang & ROCKINGER, Michael & TAWN, Jonathan, 2001.
"New Extreme-Value Dependance Measures and Finance Applications ,"
Les Cahiers de Recherche
719, Groupe HEC.
[Downloadable!] Other versions:
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) Other versions:
ROCKINGER, Michael & JONDEAU, Eric, 2000.
"Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence ,"
Les Cahiers de Recherche
710, Groupe HEC.
[Downloadable!] Other versions:
ROCKINGER, Michael & JONDEAU, Eric, 2000.
"Entropy densities ,"
Les Cahiers de Recherche
709, Groupe HEC.
[Downloadable!]
Jondeau, E. & Rockinger, M., 1999.
"Estimating Gram-Charlier Expansions with Positivity Constraints ,"
Papers
56, Banque de France - Direction Generale des Etudes.
ROCKINGER, Michael & JONDEAU, Eric, 1999.
"The Tail Behavior of Stock Returns: Emerging versus Mature Markets ,"
Les Cahiers de Recherche
668, Groupe HEC.
[Downloadable!] Other versions:
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)
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) Published as:
Coutant, S. & Jondeau, E. & Rockinger, M., 1998.
"Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election ,"
Papers
54, Banque de France - Direction Generale des Etudes.
Jondeau, E. & Rockinger, M., 1997.
"Estimation et interpretation des densites neutres au risque: Une comparaison de methodes ,"
Papers
47, Banque de France - Direction Generale des Etudes.
Fernando Restoy & G. Michael Rockinger, 1993.
"On Stock Market Returns and Returns on Investments ,"
Banco de España Working Papers
9311, Banco de España.
Published as:
Karim Abadir & Michael Rockinger, .
"Density-Embedding Functions ,"
Discussion Papers
97/16, Department of Economics, University of York.
Articles
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)
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) Other versions:
Jondeau, Eric & Rockinger, Michael, 2003.
"User's guide ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 27(10), pages 1739-1742, August.
[Downloadable!] (restricted)
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)
Abadir, Karim M. & Rockinger, Michael, 2003.
"Density Functionals, With An Option-Pricing Application ,"
Econometric Theory ,
Cambridge University Press, vol. 19(05), pages 778-811, August.
[Downloadable!]
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) Other versions:
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.
Jondeau, Eric & Rockinger, Michael, 2001.
"Gram-Charlier densities ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 25(10), pages 1457-1483, October.
[Downloadable!] (restricted)
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)
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) Other versions:
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)
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.
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) Other versions:
NEP Fields 7 papers by this author were announced in NEP , and specifically in the following field reports (number of papers):
NEP-CBA : Central Banking (1) 2007-10-20
NEP-CFN : Corporate Finance (3) 2002-11-28 2002-11-28 2005-04-16 Author is listed
NEP-ECM : Econometrics (1) 2007-10-20
NEP-ETS : Econometric Time Series (1) 2005-04-16
NEP-FIN : Finance (5) 2002-11-28 2002-11-28 2005-04-16 2005-04-16 2005-08-13 Author is listed
NEP-FMK : Financial Markets (1) 2002-11-28
NEP-RMG : Risk Management (3) 2002-11-28 2002-11-28 2005-04-16 Author is listed
NEP-TRA : Transition Economics (1) 2002-11-28
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