Michael Rockinger

Publications | Mémoires et thèses

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53 publications

2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | 1997 | 1994 | 1990 |
 
Periodic or Generational Actuarial Tables: Which One to Choose?
Arnold S., Jijiie A., Jondeau E., Rockinger M., 2019/12/31. European Actuarial Journal, 9 (2) pp. 519-554. Peer-reviewed.
 
Predicting Long-term Financial Returns: VAR vs. DSGE Model – A Horse-Race
Jondeau E., Rockinger M., 2018/12/09. Journal of Money, Credit, and Banking, 51 (8) pp. 2239-2291. Peer-reviewed.
 
Do Higher Realized Moments Predict Cross-sectional Returns? The Case of France
Jondeau E., Rockinger M., 2017., HEC Lausanne.
 
Predicting Long-Term Financial Returns: VAR vs. DSGE Model – A Horse-Race
Jondeau E., Rockinger M., 2017. 53, Swiss Finance Institute.
 
Besoins en Logements pour Personnnes Agées en Suisse Horizon 2045
El Bernoussi R., Rockinger M., 2016., Cronos Finance.
 
Logements Etudiants en Suisse
El Bernoussi R., Rockinger M., 2016., Cronos Finance.
 
Moment Component Analysis: An Illustration with International Stock Markets
Jondeau E., Jurczenko E., Rockinger M., 2016. Journal of Business and Economic Statistics pp. 1-23. Peer-reviewed.
 
Violating United Nations Global Compact Principles: An Event Study
Borisova A., Rockinger M., 2016. Bankers, Markets & Investors 144 pp. 4-19 . Peer-reviewed.
 
Backtesting Longevity Models: An International Perspective
Jondeau E., Rockinger M., 2015., Cronos Finance.
 
Estimating the price impact of trades in a high-frequency microstructure model with jumps
Jondeau E., Lahaye J., Rockinger M., 2015. Journal of Banking and Finance, 61 (Supplement 2) pp. S205–S224. Peer-reviewed.
 
Long-term Portfolio Allocation Based on Long-term Macro Forecasts
Jondeau E., Rockinger M., 2015. Bankers, Markets & Investors 134 pp. 62-69.
 
Systemic Risk in Europe
Engle R., Jondeau E., Rockinger M., 2015. Review of Finance, 19 (1) pp. 145-190. Peer-reviewed.
 
Optimal Long-Term Allocation for a Defined-Contributions Pension Fund
Jondeau E., Rockinger M., 2014., HEC Lausanne.
 
Market liquidity and institutional trading during the 2007–8 financial crisis
Poon S.-H., Rockinger M., Stathopoulos K., 2013. International Review of Financial Analysis, 30 pp. 86–97. Peer-reviewed.
 
Systemic Risk in Europe
Jondeau E., Rockinger M., 2013. Global Credit Review, 3 (1) pp. 1-6. Peer-reviewed.
 
On the Importance of Time Variability in Higher Moments for Asset Allocation
Jondeau E., Rockinger M., 2012. Journal of Financial Econometrics, 10 (1) pp. 84-123. Peer-reviewed.
 
Fourth order pseudo maximum likelihood methods
Holly A., Monfort A., Rockinger M., 2011. Journal of Econometrics, 162 (2) pp. 278-293. Peer-reviewed.
 
Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty
Jondeau E., Rockinger M., 2010., Swiss Finance Institute.
 
The Impact of Shocks on Higher Moments
Jondeau E., Rockinger M., 2009. Journal of Financial Econometrics, 7 (2) pp. 77-105. Peer-reviewed.
 
Predicting tail-related risk measures: The consequences of using GARCH filters for non GARCH data
Jalal A., Rockinger M., 2008/12. Journal of Empirical Finance, 15 (5) pp. 868-877. Peer-reviewed.
Fourth order pseudo maximum likelihood methods
Holly Alberto, Monfort Alain, Rockinger Michael, 2008. (08-02) 42 Working paper, IEMS.
 
Financial Modeling Under Non-Gaussian Distributions
Jondeau E., Poon S.-H., Rockinger M., 2007. Springer Finance 541, Springer Verlag London.
 
Optimal Liquidation Strategies in Illiquid Markets
Jondeau E., Perilla A., Rockinger M., 2007. (09-24) Research Paper, Swiss Finance Institute.
 
The Economic Value of Distributional Timing
Jondeau E., Rockinger M., 2006/11. (06-35) Research Paper, Swiss Finance Institute.
 
Time-Variability in Higher Moments Is Important for Asset Allocation
Jondeau E., Rockinger M., 2006/11. (06-35) Research Paper, Swiss Finance Institute.
 
The Copula-GARCH Model of Conditional Dependencies: An International Stock Market Application
Jondeau E., Rockinger M., 2006/08. Journal of International Money and Finance, 25 (5) pp. 827-853. Peer-reviewed.
 
Modelling the Dynamics of Conditional Dependency Between Financial Series
Jondeau E., Rockinger M., 2006. pp. 195-221 dans Jurczenko E., Maillet B. (eds.) Multi-moment Asset Allocation and Pricing Models chap. 8, Wiley.
 
Optimal Portfolio Allocation Under Higher Moments
Jondeau E., Rockinger M., 2006/01. European Financial Management, 12 (1) pp. 29-55. Peer-reviewed.
 
Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications
Poon S.-H., Rockinger M., Tawn J., 2004. Review of Financial Studies, 17 (2) pp. 581-610. Peer-reviewed.
 
Investments
Rockinger M., 2004. Que sais-je ?, Presses Universitaires de France.
 
The Bank Bias: Segmentation of French Fund Families
Jondeau E., Rockinger M., 2004. (107) Working Paper, Banque de France.
 
Modelling extreme-value dependence in international stock markets
Poon S.-H., Rockinger M., Tawn J., 2003/10. Statistica Sinica, 13 (4) pp. 929-953. Peer-reviewed.
 
Conditional Volatility, Skewness, and Kurtosis: Existence, Persistence, and Comovements
Jondeau E., Rockinger M., 2003/08. Journal of Economic Dynamics and Control, 27 (10) pp. 1699-1737. Peer-reviewed.
 
Density functionals, with an option-pricing application
Abadir K., Rockinger M., 2003. Econometric Theory, 19 (5) pp. 778-811. Peer-reviewed.
 
How Higher Moments affect the allocation of assets
Rockinger M., Jondeau E., 2003. Finance Letters, 1 (2) pp. 1-5. Peer-reviewed.
 
Switching Regime Volatility: An Empirical Evaluation.
Roche B., Rockinger M., 2003. pp. 193–211 dans Dunis C. L., Laws J., Naim P. (eds.) Applied Quantitative Methods for Trading and Investment chap. 6, Wiley Finance.
 
Testing for Differences in the Tails of Stock-Market Returns
Jondeau E., Rockinger M., 2003. Journal of Empirical Finance, 10 (5) pp. 559-581. Peer-reviewed.
 
User's Guide
Jondeau E., Rockinger M., 2003. Journal of Economic Dynamics and Control, 27 (10) pp. 1739-1742. Peer-reviewed.
 
Entropy Densities with an Application to Autoregressive Conditional Skewness and Kurtosis
Jondeau E., Rockinger M., 2002/01. Journal of Econometrics, 106 (1) pp. 119-142. Peer-reviewed.
 
A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies
Rockinger M., Urga G., 2001/01. Journal of Business and Economic Statistics, 19 (1) pp. 73-84. Peer-reviewed.
 
Gram-Charlier Densities
Jondeau E., Rockinger M., 2001. Journal of Economic Dynamics and Control, 25 (10) pp. 1457-1483. Peer-reviewed.
 
Reading PIBOR futures options smiles: The 1997 snap election
Coutant S., Jondeau E., Rockinger M., 2001. Journal of Banking and Finance, 25 (11) pp. 1957-1987. Peer-reviewed.
 
The Evolution of Stock Markets in Transition Economies
Rockinger M., Urga G., 2000/09. Journal of Comparative Economics, 28 (3) pp. 456-472. Peer-reviewed.
 
Macroéconomie
Rockinger M., 2000. 192, Ellipses.
 
Market Response to Earnings Announcements and Interim Reports: An Analysis of SBF 120 Companies
Benos A., Rockinger M., 2000. Annales d'Economie et de Statistique / Annals of Economics and Statistics, 60 pp. 151-175. Peer-reviewed.
 
Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral Densities
Jondeau E., Rockinger M., 2000. Journal of International Money and Finance, 19 (6) pp. 885-915. Peer-reviewed.
 
Comparaison de méthodes d'extraction d'information à partir d'options de change : le cas du Franc-Deutschemark
Jondeau E., Rockinger M., 1999. Finance, 20 (1) pp. 23-60. Peer-reviewed.
 
Exact and approximate distribution of the t ratio test statistic in an AR(1) model
Holly A., Rockinger M., 1998. pp. 157-170 dans Barnett W.A., Berndt E.R., White H. (eds.) Dynamic Econometric Modeling: Proceedings of the Third International Symposium in Economic Theory & Econometrics. Peer-reviewed, Cambridge University Press.
 
The "Devil's Horns" Problem of Inverting Confluent Characteristic Functions
Abadir K., Rockinger M., 1997/09. Econometrica, 65 (5) pp. 1221-1225. Peer-reviewed.
 
Volatility Clustering, Asymmetry and Hysteresis in Stock Returns: International Evidence
Crouhy M., Rockinger M., 1997. Financial Engineering and the Japanese Markets, 4 (1) pp. 1–35. Peer-reviewed.
 
Volatility Indices for the French Financial Market
Crouhy M., Rockinger M., 1997. Finance, 18 (2) pp. 29-50. Peer-reviewed.
 
On Stock Market Returns and Returns on Investment
Restoy F., Rockinger M., 1994/06. Journal of Finance, 49 (2) pp. 543-556. Peer-reviewed.
 
Évolution des valeurs foncières dans l'espace vaudois : des effets de milieu aux effets de voisinage
Racine J.-B., Rockinger M., Ruffy V., 1990. L'Espace Géographique, 19 (3) pp. 224-242. Peer-reviewed.
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