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Michael Rockinger

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62 publications

2024 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | 1997 | 1994 | 1990 |

2024

Unfolding the Transitions in Sustainability Reporting

Li Yao, Rockinger Michael, 2024/01/17. Sustainability, 16 (2) p. 809. Peer-reviewed.

[URN][DOI][WoS][serval:BIB_D9B493AB4816]

2021

Swiss Startup Radar 2021 / 2022

Rockinger Michael, Kyora Stefan, 2021., HEC Lausanne.

[URN][serval:BIB_B73611D3D7E4]

2020

Distributional Properties of Continuous Time Processes: From CIR to Bates

Okhrin Ostap, Rockinger Georg Michael, Schmid Manuel, 2020/03/25., Working-paper.

[serval:BIB_B7B8F7ECBF32]

Swiss Startup Radar 2020 / 2021

Rockinger Michael, Kyora Stefan, 2020., HEC Lausanne.

[serval:BIB_290232D84359]

2019

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.

[DOI][serval:BIB_5EE4D9189F02]

Rebalancing With Transaction Costs: Theory, Simulations, and Actual Data

El Bernoussi Rim, Rockinger Georg Michael, 2019/12/16., Working-paper.

[serval:BIB_5548A03ED091]

Predicting Long-term Financial Returns: VAR vs. DSGE Model – A Horse-Race

Jondeau E., Rockinger M., 2019/12. Journal of Money, Credit, and Banking, 51 (8) pp. 2239-2291. Peer-reviewed.

[DOI][serval:BIB_CA675FAB9C48]

Swiss Startup Radar 2019 / 2020

Rockinger Michael, Kyora Stefan, 2019/11/01., HEC Lausanne.

[URN][serval:BIB_A68F201D71AA]

Le modèle de mortalité CMI - Partie 1: La solution pour les caisses de pensions suisses?

Arnold Séverine, Rockinger Michael, Jondeau Eric, Jijiie Anca-Stefania, 2019. Prévoyance Professionnelle Suisse 5 pp. 107-112.

[serval:BIB_4166B0F50C17]

Le modèle de mortalité CMI - Partie 2: La solution pour les caisses de pensions suisses?

Arnold Séverine, Rockinger Michael, Jondeau Eric, Jijiie Anca-Stefania, 2019. Prévoyance Professionnelle Suisse 6 pp. 94-101.

[serval:BIB_0C2007B28370]

2018

Swiss Startup Radar 2018 / 2019

Rockinger Michael, Kyora Stefan, 2018/11/01., HEC Lausanne.

[URN][serval:BIB_EE3DD8622B9D]

2017

Do Higher Realized Moments Predict Cross-sectional Returns? The Case of France

Jondeau E., Rockinger M., 2017., HEC Lausanne.

[serval:BIB_049AEBDFCD4B]

Predicting Long-Term Financial Returns: VAR vs. DSGE Model – A Horse-Race

Jondeau E., Rockinger M., 2017. 53, Swiss Finance Institute.

[serval:BIB_8F7B53E72580]

2016

Besoins en Logements pour Personnnes Agées en Suisse Horizon 2045

El Bernoussi R., Rockinger M., 2016., Cronos Finance.

[serval:BIB_0994EBEA7BB4]

Logements Etudiants en Suisse

El Bernoussi R., Rockinger M., 2016., Cronos Finance.

[serval:BIB_DAD5FE11AE29]

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.

[DOI][serval:BIB_162DD5AAA610]

Violating United Nations Global Compact Principles: An Event Study

Borisova A., Rockinger M., 2016. Bankers, Markets & Investors 144 pp. 4-19 . Peer-reviewed.

[serval:BIB_35AA06BAA4B6]

2015

Backtesting Longevity Models: An International Perspective

Jondeau E., Rockinger M., 2015., Cronos Finance.

[serval:BIB_CC017C7E8D13]

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.

[DOI][WoS][serval:BIB_CED4ACF7AC38]

Long-term Portfolio Allocation Based on Long-term Macro Forecasts

Jondeau E., Rockinger M., 2015. Bankers, Markets & Investors 134 pp. 62-69.

[serval:BIB_B63100E862AF]

Systemic Risk in Europe

Engle R., Jondeau E., Rockinger M., 2015. Review of Finance, 19 (1) pp. 145-190. Peer-reviewed.

[DOI][WoS][serval:BIB_9DED68C0E821]

2014

Optimal Long-Term Allocation for a Defined-Contributions Pension Fund

Jondeau E., Rockinger M., 2014., HEC Lausanne.

[serval:BIB_64757FE6599D]

2013

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.

[DOI][WoS][serval:BIB_DE49600AE51E]

Systemic Risk in Europe

Jondeau E., Rockinger M., 2013. Global Credit Review, 3 (1) pp. 1-6. Peer-reviewed.

[DOI][serval:BIB_4E7D629ECBAE]

2012

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.

[DOI][WoS][serval:BIB_B3406FAB48D6]

2011

Fourth order pseudo maximum likelihood methods

Holly A., Monfort A., Rockinger M., 2011. Journal of Econometrics, 162 (2) pp. 278-293. Peer-reviewed.

[DOI][WoS][serval:BIB_2CFCAC7FD0C1]

2010

Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty

Jondeau E., Rockinger M., 2010., Swiss Finance Institute.

[serval:BIB_88424D0904B8]

2009

The Impact of Shocks on Higher Moments

Jondeau E., Rockinger M., 2009. Journal of Financial Econometrics, 7 (2) pp. 77-105. Peer-reviewed.

[DOI][WoS][serval:BIB_C8D3DDBA3CA7]

2008

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.

[DOI][WoS][serval:BIB_6DB2B60BB504]

Fourth order pseudo maximum likelihood methods

Holly Alberto, Monfort Alain, Rockinger Michael, 2008. (08-02) 42 Working paper, IEMS.

[URN][serval:BIB_E4F372743BE7]

2007

Financial Modeling Under Non-Gaussian Distributions

Jondeau E., Poon S.-H., Rockinger M., 2007. Springer Finance 541, Springer Verlag London.

[DOI][serval:BIB_F41F2FB652A0]

Optimal Liquidation Strategies in Illiquid Markets

Jondeau E., Perilla A., Rockinger M., 2007. (09-24) Research Paper, Swiss Finance Institute.

[serval:BIB_4841E4F5BC52]

2006

The Economic Value of Distributional Timing

Jondeau E., Rockinger M., 2006/11. (06-35) Research Paper, Swiss Finance Institute.

[serval:BIB_0B6D8DDE1F1E]

Time-Variability in Higher Moments Is Important for Asset Allocation

Jondeau E., Rockinger M., 2006/11. (06-35) Research Paper, Swiss Finance Institute.

[serval:BIB_0F74294BD91E]

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.

[DOI][WoS][serval:BIB_7A8D160D322B]

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.

[DOI][serval:BIB_4A2654A0627E]

Optimal Portfolio Allocation Under Higher Moments

Jondeau E., Rockinger M., 2006/01. European Financial Management, 12 (1) pp. 29-55. Peer-reviewed.

[DOI][WoS][serval:BIB_C1AFE85BD94C]

2004

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.

[DOI][WoS][serval:BIB_11CABD1338C0]

Investments

Rockinger M., 2004. Que sais-je ?, Presses Universitaires de France.

[serval:BIB_00541C9C9DEA]

The Bank Bias: Segmentation of French Fund Families

Jondeau E., Rockinger M., 2004. (107) Working Paper, Banque de France.

[serval:BIB_0666BC92E49B]

2003

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.

[WoS][serval:BIB_CB0ADE440A61]

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.

[DOI][WoS][serval:BIB_4E1D2CB5ABC1]

Density functionals, with an option-pricing application

Abadir K., Rockinger M., 2003. Econometric Theory, 19 (5) pp. 778-811. Peer-reviewed.

[DOI][WoS][serval:BIB_2A5E0D2C211C]

How Higher Moments affect the allocation of assets

Rockinger M., Jondeau E., 2003. Finance Letters, 1 (2) pp. 1-5. Peer-reviewed.

[serval:BIB_F00F853898DE]

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.

[DOI][serval:BIB_28027]

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.

[DOI][serval:BIB_9C241DC55A56]

User's Guide

Jondeau E., Rockinger M., 2003. Journal of Economic Dynamics and Control, 27 (10) pp. 1739-1742. Peer-reviewed.

[DOI][serval:BIB_9B2847EF9386]

2002

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.

[DOI][serval:BIB_0CCC00C94BA1]

2001

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.

[DOI][WoS][serval:BIB_984E4C4A4EBE]

Gram-Charlier Densities

Jondeau E., Rockinger M., 2001. Journal of Economic Dynamics and Control, 25 (10) pp. 1457-1483. Peer-reviewed.

[DOI][WoS][serval:BIB_2F2004420977]

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.

[DOI][WoS][serval:BIB_A064D8A20BF5]

2000

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.

[DOI][WoS][serval:BIB_10DBF21F3EE4]

Macroéconomie

Rockinger M., 2000. 192, Ellipses.

[serval:BIB_34D17EFD6AE0]

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.

[DOI][serval:BIB_6AFD08375244]

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.

[DOI][WoS][serval:BIB_1ECEE571EFFA]

1999

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.

[serval:BIB_B267EE714B8A]

1998

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.

[serval:BIB_260B85DB7097]

1997

The "Devil's Horns" Problem of Inverting Confluent Characteristic Functions

Abadir K., Rockinger M., 1997/09. Econometrica, 65 (5) pp. 1221-1225. Peer-reviewed.

[DOI][WoS][serval:BIB_766859F12BC7]

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.

[DOI][serval:BIB_C20F22D50D8C]

Volatility Indices for the French Financial Market

Crouhy M., Rockinger M., 1997. Finance, 18 (2) pp. 29-50. Peer-reviewed.

[serval:BIB_EAACA5DEE15D]

1994

On Stock Market Returns and Returns on Investment

Restoy F., Rockinger M., 1994/06. Journal of Finance, 49 (2) pp. 543-556. Peer-reviewed.

[DOI][WoS][serval:BIB_1020B1354D75]

1990

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.

[DOI][serval:BIB_BC88381A9A7D]

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