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Michael Rockinger

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

Personal Details

First Name:Michael
Middle Name:
Last Name:Rockinger
Suffix:
RePEc Short-ID:pro200
http://www.hec.unil.ch/mrockinger

Affiliation

Lausanne, Switzerland
http://www.hec.unil.ch/ibf/

: +41-21-692.33.84
+41 21 692 34 35
Route de Chavannes 33, 1007 Lausanne
RePEc:edi:ibflsch (more details at EDIRC)

Genève/Zürich, Switzerland
http://www.swissfinanceinstitute.ch/

: 41 22 / 312 09 61
41 22 / 312 10 26
40 bd. du Pont d'Arve, Case postale 3, CH - 1211 Geneva 4
RePEc:edi:fameech (more details at EDIRC)

Works

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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).
  2. Eric Jondeau & Michael Rockinger, 2006. "The Economic Value of Distributional Timing," Swiss Finance Institute Research Paper Series 06-35, Swiss Finance Institute.
  3. Eric Jondeau & Michael Rockinger, 2006. "The Impact of News on Higher Moments," Swiss Finance Institute Research Paper Series 06-28, Swiss Finance Institute.
  4. 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.
  5. 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.
  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.
  7. Jondeau, E. & Rockinger, M., 2004. "The Bank Bias: Segmentation of French Fund Families," Working papers 107, Banque de France.
  8. Jondeau, E. & Rockinger, M., 2004. "Optimal Portfolio Allocation Under Higher Moments," Working papers 108, Banque de France.
  9. 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.
  10. 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.
  11. Jondeau, E. & Rockinger, M., 2002. "Asset Allocation in Transition Economies," Working papers 90, Banque de France.
  12. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Testing for differences in the tails of stock-market returns," Les Cahiers de Recherche 739, HEC Paris.
  13. Rockinger, M. & Jondeau, E., 2001. "Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis," Working papers 79, Banque de France.
  14. POON, Ser-Huang & ROCKINGER, Michael & TAWN, Jonathan, 2001. "New Extreme-Value Dependance Measures and Finance Applications," Les Cahiers de Recherche 719, HEC Paris.
  15. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Conditional dependency of financial series : an application of copulas," Les Cahiers de Recherche 723, HEC Paris.
  16. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Portfolio allocation in transition economies," Les Cahiers de Recherche 740, HEC Paris.
  17. 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.
  18. ROCKINGER, Michael & JONDEAU, Eric, 2000. "Entropy densities," Les Cahiers de Recherche 709, HEC Paris.
  19. ROCKINGER, Michael & JONDEAU, Eric, 2000. "Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence," Les Cahiers de Recherche 710, HEC Paris.
  20. ROCKINGER, Michael & JONDEAU, Eric, 1999. "The Tail Behavior of Stock Returns: Emerging versus Mature Markets," Les Cahiers de Recherche 668, HEC Paris.
  21. Jondeau, E. & Rockinger, M., 1999. "Estimating Gram-Charlier Expansions with Positivity Constraints," Working papers 56, Banque de France.
  22. 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.
  23. 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," Working papers 54, Banque de France.
  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.
  25. Jondeau, E. & Rockinger, M., 1998. "Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral," Working papers 47, Banque de France.
  26. Michael Rockinger, 1994. "Switching Regressions of Unexpected Macroeconomic Events Explaining the French Stock Index," Working Papers hal-00607662, HAL.
  27. Michael Rockinger, 1994. "Regime Switching: Evidence for the French Stock Market," Working Papers hal-00607661, HAL.
  28. Fernando Restoy & G. Michael Rockinger, 1993. "On Stock Market Returns and Returns on Investments," Working Papers 9311, Banco de España;Working Papers Homepage.
  29. Michael Rockinger, 1992. "Remarks concerning 'traditional' investment equations," Working Papers hal-00611414, HAL.
  30. Michael Rockinger, 1991. "Short horizons vs. empire building: some empirical evidence," Working Papers hal-00611968, HAL.
  31. Eric JONDEAU & Emmanuel JURCZENKO & Michael ROCKINGER, "undated". "Moment Component Analysis: An Illustration with International Stock Markets," Swiss Finance Institute Research Paper Series 10-43, Swiss Finance Institute.
  32. Karim Abadir & Michael Rockinger, "undated". "Density-Embedding Functions," Discussion Papers 97/16, Department of Economics, University of York.
  33. Eric JONDEAU & Michael ROCKINGER, "undated". "Optimal Long-Term Allocation with Pension Fund Liabilities," Swiss Finance Institute Research Paper Series 14-58, Swiss Finance Institute.
  34. Eric JONDEAU & Michael ROCKINGER, "undated". "Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty," Swiss Finance Institute Research Paper Series 10-41, Swiss Finance Institute.

Articles

  1. Holly, Alberto & Monfort, Alain & Rockinger, Michael, 2011. "Fourth order pseudo maximum likelihood methods," Journal of Econometrics, Elsevier, vol. 162(2), pages 278-293, June.
  2. Eric Jondeau & Michael Rockinger, 2009. "The Impact of Shocks on Higher Moments," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 7(2), pages 77-105, Spring.
  3. Eric Jondeau & Michael Rockinger, 2009. "On the Importance of Time Variability in Higher Moments for Asset Allocation," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 10(1), pages 84-123, 2012 10 1.
  4. 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.
  5. Eric Jondeau & Michael Rockinger, 2006. "Optimal Portfolio Allocation under Higher Moments," European Financial Management, European Financial Management Association, vol. 12(1), pages 29-55.
  6. 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.
  7. 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.
  8. 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.
  9. Jondeau, Eric & Rockinger, Michael, 2003. "User's guide," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1739-1742, August.
  10. 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.
  11. 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.
  12. 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.
  13. Jondeau, Eric & Rockinger, Michael, 2001. "Gram-Charlier densities," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1457-1483, October.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. Restoy, Fernando & Rockinger, G Michael, 1994. " On Stock Market Returns and Returns on Investment," Journal of Finance, American Finance Association, vol. 49(2), pages 543-556, June.

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 10 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FIN: Finance (5) 2002-11-28 2002-11-28 2005-04-16 2005-04-16 2005-08-13. Author is listed
  2. NEP-CFN: Corporate Finance (3) 2002-11-28 2002-11-28 2005-04-16
  3. NEP-RMG: Risk Management (3) 2002-11-28 2002-11-28 2005-04-16
  4. NEP-ECM: Econometrics (2) 2007-10-20 2008-12-14
  5. NEP-AGE: Economics of Ageing (1) 2016-07-23
  6. NEP-CBA: Central Banking (1) 2007-10-20
  7. NEP-ETS: Econometric Time Series (1) 2005-04-16
  8. NEP-FMK: Financial Markets (1) 2002-11-28
  9. NEP-MAC: Macroeconomics (1) 2016-07-23
  10. NEP-TRA: Transition Economics (1) 2002-11-28

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