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Information about:
Michael Rockinger

Personal Details | Affiliation | Works
This is information that was supplied by Michael Rockinger in registering through RePEc. If you are Michael Rockinger , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

Personal Details

First Name: Michael
Middle Name:
Last Name: Rockinger
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RePEc Short-ID: pro200

Email:
Homepage: http://www.hec.unil.ch/mrockinger
Postal Address:
Phone:

Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  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!]

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

  3. Eric Jondeau & Michael Rockinger, 2006. "The Impact of News on Higher Moments," Swiss Finance Institute Research Paper Series 06-28, Swiss Finance Institute. [Downloadable!]

  4. 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!]

  5. 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!]

  6. 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!]
    Published as:

  7. 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!]

  8. 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!]

  9. Rockinger, M. & Jondeau, E., 2001. "Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis," Documents de Travail 79, Banque de France. [Downloadable!]

  10. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Testing for differences in the tails of stock-market returns," Les Cahiers de Recherche 739, HEC Paris. [Downloadable!]
    Published as:

  11. Rockinger, M. & Jondeau, E., 2001. "Conditional Dependency of Financial Series: An Application of Copulas," Documents de Travail 82, Banque de France. [Downloadable!]

  12. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Portfolio allocation in transition economies," Les Cahiers de Recherche 740, HEC Paris. [Downloadable!]

  13. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Conditional dependency of financial series : an application of copulas," Les Cahiers de Recherche 723, HEC Paris. [Downloadable!]

  14. POON, Ser-Huang & ROCKINGER, Michael & TAWN, Jonathan, 2001. "New Extreme-Value Dependance Measures and Finance Applications," Les Cahiers de Recherche 719, HEC Paris. [Downloadable!]
    Other versions:

  15. 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:

  16. Jondeau, E. & Rockinger, M., 2000. "Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence," Documents de Travail 77, Banque de France. [Downloadable!]

  17. ROCKINGER, Michael & JONDEAU, Eric, 2000. "Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence," Les Cahiers de Recherche 710, HEC Paris. [Downloadable!]

  18. ROCKINGER, Michael & JONDEAU, Eric, 2000. "Entropy densities," Les Cahiers de Recherche 709, HEC Paris. [Downloadable!]

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

  20. Jondeau, E. & Rockinger, M., 1999. "The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets," Documents de Travail 66, Banque de France. [Downloadable!]

  21. 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)

  22. Jondeau, E. & Rockinger, M., 1998. "Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral," Documents de Travail 47, Banque de France. [Downloadable!]

  23. Jondeau, E. & Rockinger, M., 1998. "Estimating Gram-Charlier Expansions with Positivity Constraints," Documents de Travail 56, Banque de France. [Downloadable!]

  24. 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:

  25. 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," Documents de Travail 54, Banque de France. [Downloadable!]

  26. 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:

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

Articles

  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)

  2. 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)
    Other versions:

  3. 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)

  4. 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)

  5. 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:

  6. Jondeau, Eric & Rockinger, Michael, 2003. "User's guide," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1739-1742, August. [Downloadable!] (restricted)

  7. 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!]

  8. 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)

  9. 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)

  10. 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.

  11. Jondeau, Eric & Rockinger, Michael, 2001. "Gram-Charlier densities," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1457-1483, October. [Downloadable!] (restricted)

  12. 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)

  13. 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:

  14. 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)

  15. 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.

  16. 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:

  17. RePEc:adr:anecst:y:2000:i:59-60:p:07 is not listed on IDEAS

NEP Fields

8 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2007-10-20
  2. NEP-CFN: Corporate Finance (3) 2002-11-28 2002-11-28 2005-04-16 Author is listed
  3. NEP-ECM: Econometrics (2) 2007-10-20 2008-12-14 Author is listed
  4. NEP-ETS: Econometric Time Series (1) 2005-04-16
  5. NEP-FIN: Finance (5) 2002-11-28 2002-11-28 2005-04-16 2005-04-16 2005-08-13 Author is listed
  6. NEP-FMK: Financial Markets (1) 2002-11-28
  7. NEP-RMG: Risk Management (3) 2002-11-28 2002-11-28 2005-04-16 Author is listed
  8. NEP-TRA: Transition Economics (1) 2002-11-28
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This page was last updated on 2009-11-8.

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