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Michael Rockinger

Personal Details

First Name:Michael
Middle Name:
Last Name:Rockinger
Suffix:
RePEc Short-ID:pro200
http://www.hec.unil.ch/mrockinger
Terminal Degree:1992 Department of Economics; Harvard University (from RePEc Genealogy)

Affiliation

(50%) Institut de Banque et Finance (IBF)
Faculté des Hautes Études Commerciales (HEC)
Université de Lausanne

Lausanne, Switzerland
http://www.hec.unil.ch/ibf/
RePEc:edi:ibflsch (more details at EDIRC)

(50%) Swiss Finance Institute

Genève/Zürich, Switzerland
http://www.swissfinanceinstitute.ch/
RePEc:edi:fameech (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Severine Arnold (-Gaille) & Anca Jijiie & Eric Jondeau & Michael Rockinger, 2017. "Periodic or Generational Actuarial Tables: Which One to Choose?," Swiss Finance Institute Research Paper Series 17-71, Swiss Finance Institute.
  2. Eric Jondeau & Michael Rockinger, 2016. "Forecasting Financial Returns with a Structural Macroeconomic Model," Swiss Finance Institute Research Paper Series 16-13, Swiss Finance Institute.
  3. Eric JONDEAU & Michael ROCKINGER, 2014. "Optimal Long-Term Allocation with Pension Fund Liabilities," Swiss Finance Institute Research Paper Series 14-58, Swiss Finance Institute.
  4. Eric Jondeau & Jérôme Lahaye & Michael Rockinger, 2013. "Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps," Swiss Finance Institute Research Paper Series 13-47, Swiss Finance Institute, revised Feb 2016.
  5. Ludovic Cales & Eric Jondeau & Michael Rockinger, 2013. "Long-Term Portfolio Management with a Structural Macroeconomic Model," Swiss Finance Institute Research Paper Series 13-45, Swiss Finance Institute.
  6. Robert F. Engle & Eric Jondeau & Michael Rockinger, 2012. "Systemic Risk in Europe," Swiss Finance Institute Research Paper Series 12-45, Swiss Finance Institute.
  7. Eric JONDEAU & Emmanuel JURCZENKO & Michael ROCKINGER, 2010. "Moment Component Analysis: An Illustration with International Stock Markets," Swiss Finance Institute Research Paper Series 10-43, Swiss Finance Institute.
  8. Eric JONDEAU & Michael ROCKINGER, 2010. "Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty," Swiss Finance Institute Research Paper Series 10-41, Swiss Finance Institute.
  9. Alberto HOLLY & Alain MONFORT & Michael ROCKINGER, 2009. "Fourth Order Pseudo Maximum Likelihood Methods," Swiss Finance Institute Research Paper Series 09-23, Swiss Finance Institute.
  10. Eric JONDEAU & Augusto PERILLA & Michael ROCKINGER, 2009. "Optimal Liquidation Strategies in Illiquid Markets," Swiss Finance Institute Research Paper Series 09-24, Swiss Finance Institute.
  11. Eric Jondeau & Michael Rockinger, 2006. "The Economic Value of Distributional Timing," Swiss Finance Institute Research Paper Series 06-35, Swiss Finance Institute.
  12. Eric Jondeau & Michael Rockinger, 2006. "The Impact of News on Higher Moments," Swiss Finance Institute Research Paper Series 06-28, Swiss Finance Institute.
  13. 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.
  14. 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.
  15. 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.
  16. Jondeau, E. & Rockinger, M., 2004. "The Bank Bias: Segmentation of French Fund Families," Working papers 107, Banque de France.
  17. Jondeau, E. & Rockinger, M., 2004. "Optimal Portfolio Allocation Under Higher Moments," Working papers 108, Banque de France.
  18. 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.
  19. 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.
  20. Jondeau, E. & Rockinger, M., 2002. "Asset Allocation in Transition Economies," Working papers 90, Banque de France.
  21. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Testing for differences in the tails of stock-market returns," HEC Research Papers Series 739, HEC Paris.
  22. Rockinger, M. & Jondeau, E., 2001. "Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis," Working papers 79, Banque de France.
  23. POON, Ser-Huang & ROCKINGER, Michael & TAWN, Jonathan, 2001. "New Extreme-Value Dependance Measures and Finance Applications," HEC Research Papers Series 719, HEC Paris.
  24. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Conditional dependency of financial series : an application of copulas," HEC Research Papers Series 723, HEC Paris.
  25. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Portfolio allocation in transition economies," HEC Research Papers Series 740, HEC Paris.
  26. 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.
  27. ROCKINGER, Michael & JONDEAU, Eric, 2000. "Entropy densities," HEC Research Papers Series 709, HEC Paris.
  28. ROCKINGER, Michael & JONDEAU, Eric, 2000. "Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence," HEC Research Papers Series 710, HEC Paris.
  29. ROCKINGER, Michael & JONDEAU, Eric, 1999. "The Tail Behavior of Stock Returns: Emerging versus Mature Markets," HEC Research Papers Series 668, HEC Paris.
  30. Jondeau, E. & Rockinger, M., 1999. "Estimating Gram-Charlier Expansions with Positivity Constraints," Working papers 56, Banque de France.
  31. 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.
  32. 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.
  33. 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.
  34. Jondeau, E. & Rockinger, M., 1998. "Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral," Working papers 47, Banque de France.
  35. Michael Rockinger & Eric Jondeau, 1998. "Estimating Gram-Charlier Expansions Under Positivity Constraints," Working Papers hal-00601500, HAL.
  36. Michael Rockinger & Giovanni Urga, 1997. "Information Content of Russian Stock Indices," Working Papers hal-00601586, HAL.
  37. Michael Rockinger & Eric Jondeau, 1997. "Estimation et interprétation des densités neutres au risque: une comparaison de méthodes," Working Papers hal-00601588, HAL.
  38. Michael Rockinger & Brigitte Granville, 1997. "Testing the Fisher Relation: the Russian Case," Working Papers hal-00601590, HAL.
  39. Michael Rockinger & Michel Crouhy, 1996. "Volatility Indices for the French Financial Market," Working Papers hal-00602020, HAL.
  40. Michael Rockinger, 1995. "Determinants of Capital Flow to Mutual Funds," Working Papers hal-00602733, HAL.
  41. Michael Rockinger & Karim M. Abadir, 1995. "The devil's horns: a problem with the densities of AR statistics," Working Papers hal-00602732, HAL.
  42. Michael Rockinger, 1994. "Switching Regressions of Unexpected Macroeconomic Events Explaining the French Stock Index," Working Papers hal-00607662, HAL.
  43. Michael Rockinger, 1994. "Regime Switching: Evidence for the French Stock Market," Working Papers hal-00607661, HAL.
  44. Michael Rockinger & Michel Crouhy, 1994. "Volatility Clustering, Asymmetry and Hysteresis in Stock Returns: International Evidence," Working Papers hal-00607660, HAL.
  45. Michael Rockinger & M. Crouhy, 1994. "Forecasting Conditional Volatility with Garch and Change of Regime Models: International Evidence," Working Papers hal-00612796, HAL.
  46. Fernando Restoy & G. Michael Rockinger, 1993. "On Stock Market Returns and Returns on Investments," Working Papers 9311, Banco de España.
  47. Michael Rockinger, 1992. "Remarks concerning 'traditional' investment equations," Working Papers hal-00611414, HAL.
  48. Michael Rockinger, 1991. "Short horizons vs. empire building: some empirical evidence," Working Papers hal-00611968, HAL.
  49. Michael Rockinger & F. Restoy, 1991. "Investment incentives in endogenously growing economies," Working Papers hal-00611970, HAL.
  50. Karim Abadir & Michael Rockinger, "undated". "Density-Embedding Functions," Discussion Papers 97/16, Department of Economics, University of York.

Articles

  1. Eric Jondeau & Michael Rockinger, 2019. "Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(8), pages 2239-2291, December.
  2. Eric Jondeau & Emmanuel Jurczenko & Michael Rockinger, 2018. "Moment Component Analysis: An Illustration With International Stock Markets," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(4), pages 576-598, October.
  3. Anastasia Borisova & Michael Rockinger, 2016. "Violating United Nations Global Compact Principles: An Event Study," Bankers, Markets & Investors, ESKA Publishing, issue 144, pages 4-19, September.
  4. Jondeau, Eric & Lahaye, Jérôme & Rockinger, Michael, 2015. "Estimating the price impact of trades in a high-frequency microstructure model with jumps," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 205-224.
  5. Éric Jondeau & Michael Rockinger, 2015. "Long-term Portfolio Allocation Based on Long-term Macro forecasts," Bankers, Markets & Investors, ESKA Publishing, issue 134, pages 62-69, January-F.
  6. Eric Jondeau & Michael Rockinger, 2013. "Systemic Risk in Europe," Global Credit Review (GCR), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-6.
  7. Poon, Ser-Huang & Rockinger, Michael & Stathopoulos, Konstantinos, 2013. "Market liquidity and institutional trading during the 2007–8 financial crisis," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 86-97.
  8. Holly, Alberto & Monfort, Alain & Rockinger, Michael, 2011. "Fourth order pseudo maximum likelihood methods," Journal of Econometrics, Elsevier, vol. 162(2), pages 278-293, June.
  9. 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.
  10. Eric Jondeau & Michael Rockinger, 2009. "On the Importance of Time Variability in Higher Moments for Asset Allocation," Journal of Financial Econometrics, Oxford University Press, vol. 10(1), pages 84-123, 2012 10 1.
  11. 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.
  12. Eric Jondeau & Michael Rockinger, 2006. "Optimal Portfolio Allocation under Higher Moments," European Financial Management, European Financial Management Association, vol. 12(1), pages 29-55, January.
  13. 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.
  14. 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.
  15. Abadir, Karim M. & Rockinger, Michael, 2003. "Density Functionals, With An Option-Pricing Application," Econometric Theory, Cambridge University Press, vol. 19(5), pages 778-811, October.
  16. Jondeau, Eric & Rockinger, Michael, 2003. "User's guide," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1739-1742, August.
  17. 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.
  18. 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.
  19. 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.
  20. Jondeau, Eric & Rockinger, Michael, 2001. "Gram-Charlier densities," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1457-1483, October.
  21. 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.
  22. Alexandros Benos & Michael Rockinger, 2000. "Market Response to Earnings Announcements and Interim Reports: An Analysis of SBF120 Companies," Annals of Economics and Statistics, GENES, issue 60, pages 151-175.
  23. 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.
  24. 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.
  25. 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.
  26. 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.

Chapters

  1. Eric Jondeau & Michael Rockinger, 2014. "Systemic Risk in Europe," World Scientific Book Chapters, in: Risk Management Institute (ed.), Global Credit Review, chapter 1, pages 1-6, World Scientific Publishing Co. Pte. Ltd..

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Citations
  2. Number of Citations, Weighted by Number of Authors
  3. Euclidian citation score
  4. Wu-Index

Co-authorship network on CollEc

NEP Fields

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-RMG: Risk Management (5) 2002-11-28 2002-11-28 2005-04-16 2017-02-12 2018-08-13. Author is listed
  3. NEP-CFN: Corporate Finance (4) 2002-11-28 2002-11-28 2005-04-16 2017-02-12
  4. NEP-AGE: Economics of Ageing (2) 2016-07-23 2018-08-13
  5. NEP-CBA: Central Banking (2) 2007-10-20 2017-02-12
  6. NEP-FOR: Forecasting (2) 2016-07-30 2018-08-13
  7. NEP-MAC: Macroeconomics (2) 2016-07-23 2016-07-30
  8. NEP-BAN: Banking (1) 2017-02-12
  9. NEP-DGE: Dynamic General Equilibrium (1) 2016-07-30
  10. NEP-ECM: Econometrics (1) 2007-10-20
  11. NEP-ETS: Econometric Time Series (1) 2005-04-16
  12. NEP-FMK: Financial Markets (1) 2002-11-28
  13. NEP-TRA: Transition Economics (1) 2002-11-28

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