Michael Rockinger
Michael Rockinger
Faculty of Business and Economics (HEC), University of Lausanne
Email verificata su unil.ch
TitoloCitata daAnno
The copula-garch model of conditional dependencies: An international stock market application
E Jondeau, M Rockinger
Journal of international money and finance 25 (5), 827-853, 2006
7152006
Extreme value dependence in financial markets: Diagnostics, models, and financial implications
SH Poon, M Rockinger, J Tawn
The Review of Financial Studies 17 (2), 581-610, 2003
5682003
Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements
E Jondeau, M Rockinger
Journal of Economic dynamics and Control 27 (10), 1699-1737, 2003
4522003
Optimal portfolio allocation under higher moments
E Jondeau, M Rockinger
European Financial Management 12 (1), 29-55, 2006
3872006
Financial modeling under non-Gaussian distributions
E Jondeau, SH Poon, M Rockinger
Springer Science & Business Media, 2007
3842007
Gram–charlier densities
E Jondeau, M Rockinger
Journal of Economic Dynamics and Control 25 (10), 1457-1483, 2001
2392001
Entropy densities with an application to autoregressive conditional skewness and kurtosis
M Rockinger, E Jondeau
Journal of Econometrics 106 (1), 119-142, 2002
1882002
Systemic risk in Europe
R Engle, E Jondeau, M Rockinger
Review of Finance 19 (1), 145-190, 2014
1862014
A time varying parameter model to test for predictability and integration in the stock markets of transition economies
M Rockinger, G Urga
Journal of Business & Economic Statistics 19 (1), 73-84, 2001
1742001
Testing for differences in the tails of stock-market returns
E Jondeau, M Rockinger
Journal of Empirical Finance 10 (5), 559-581, 2003
1732003
Conditional dependency of financial series: an application of copulas
M Rockinger, E Jondeau
Banque de France Working Paper, 2001
1342001
Reading the smile: the message conveyed by methods which infer risk neutral densities
E Jondeau, M Rockinger
Journal of International Money and Finance 19 (6), 885-915, 2000
1262000
Modelling extreme-value dependence in international stock markets
SH Poon, M Rockinger, J Tawn
Statistica Sinica, 929-953, 2003
1162003
The evolution of stock markets in transition economies
M Rockinger, G Urga
Journal of Comparative Economics 28 (3), 456-472, 2000
1142000
On stock market returns and returns on investment
F Restoy, GM Rockinger
The Journal of Finance 49 (2), 543-556, 1994
1021994
The tail behavior of stock returns: Emerging versus mature markets
E Jondeau, M Rockinger
Banque de France Working Paper, 1999
891999
On the importance of time variability in higher moments for asset allocation
E Jondeau, M Rockinger
Journal of Financial Econometrics 10 (1), 84-123, 2012
612012
Conditional volatility, skewness, and kurtosis: Existence and persistence
E Jondeau, M Rockinger
Banque de France Working Paper, 2000
512000
Density functionals, with an option-pricing application
KM Abadir, M Rockinger
Econometric Theory 19 (5), 778-811, 2003
492003
Reading PIBOR futures options smiles: The 1997 snap election
S Coutant, E Jondeau, M Rockinger
Journal of Banking & Finance 25 (11), 1957-1987, 2001
482001
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