Michael Rockinger : Citation Profile


Are you Michael Rockinger?

Université de Lausanne (50% share)
Swiss Finance Institute (50% share)

13

H index

16

i10 index

848

Citations

RESEARCH PRODUCTION:

18

Articles

46

Papers

RESEARCH ACTIVITY:

   20 years (1991 - 2011). See details.
   Cites by year: 42
   Journals where Michael Rockinger has often published
   Relations with other researchers
   Recent citing documents: 81.    Total self citations: 18 (2.08 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pro200
   Updated: 2018-07-14    RAS profile: 2016-11-25    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Michael Rockinger.

Is cited by:

Perote, Javier (20)

Ñíguez Grau, Trino (10)

Christoffersen, Peter (8)

Mora-Valencia, Andrés (8)

Kerstens, Kristiaan (8)

de Vries, Casper (8)

Pierdzioch, Christian (8)

Catania, Leopoldo (7)

Nguyen, Duc Khuong (7)

Sentana, Enrique (7)

Peel, David (6)

Cites to:

Harvey, Campbell (35)

Engle, Robert (24)

Bollerslev, Tim (20)

Campbell, John (18)

Jondeau, Eric (17)

Bekaert, Geert (17)

Ait-Sahalia, Yacine (13)

Jagannathan, Ravi (12)

de Vries, Casper (11)

Hansen, Bruce (10)

Söderlind, Paul (10)

Main data


Where Michael Rockinger has published?


Journals with more than one article published# docs
Journal of Economic Dynamics and Control3
Journal of Econometrics2
Journal of International Money and Finance2
Journal of Empirical Finance2
Journal of Financial Econometrics2

Working Papers Series with more than one paper published# docs
Working Papers / HAL9
Swiss Finance Institute Research Paper Series / Swiss Finance Institute6
FAME Research Paper Series / International Center for Financial Asset Management and Engineering5

Recent works citing Michael Rockinger (2018 and 2017)


YearTitle of citing document
2017A Non-Structural Investigation of VIX Risk Neutral Density. (2017). Violante, Francesco ; Santucci de Magistris, Paolo ; Barletta, Andrea . In: CREATES Research Papers. RePEc:aah:create:2017-15.

Full description at Econpapers || Download paper

2017Dynamic Quantile Function Models. (2017). Ye, Wilson ; Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W. In: Papers. RePEc:arx:papers:1707.02587.

Full description at Econpapers || Download paper

2017Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece. (2017). Papaioannou, Panagiotis G ; Dikaiakos, Christos ; Stratigakos, Akylas ; Siettos, Kostas . In: Papers. RePEc:arx:papers:1708.07063.

Full description at Econpapers || Download paper

2018A Term Structure Model for Dividends and Interest Rates. (2018). Filipovi, Damir ; Willems, Sander. In: Papers. RePEc:arx:papers:1803.02249.

Full description at Econpapers || Download paper

2018Conditional heteroskedasticity in crypto-asset returns. (2018). Shaw, Charles. In: Papers. RePEc:arx:papers:1804.07978.

Full description at Econpapers || Download paper

2017Volatility as an Alternative asset Class: Does It Improve Portfolio Performance?. (2017). Guidolin, Massimo ; Caloiero, Elvira. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1763.

Full description at Econpapers || Download paper

2017Portfolio Optimization Using Multivariate t-Copulas with Conditionally Skewed Margins. (2017). Shekhar, Chirag ; Trede, Mark. In: Review of Economics & Finance. RePEc:bap:journl:170303.

Full description at Econpapers || Download paper

2017Diversification into Emerging Markets – An Australian and the US Perspective Using a Time-varying Approach. (2017). Gupta, Rakesh ; Jithendranathan, Thadavillil ; Yang, Junhao . In: Australian Economic Papers. RePEc:bla:ausecp:v:56:y:2017:i:2:p:134-162.

Full description at Econpapers || Download paper

2017A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach. (2017). Rao, Tata Subba ; Lu, Zudi ; Siu, Tak Kuen ; Tong, Howell ; Wong, Shiu Fung ; Wilson, Granville Tunnicliffe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:2:p:243-265.

Full description at Econpapers || Download paper

2017How Has the Behavior of Cross-Market Correlations Altered During Financial and Debt Crises?. (2017). demiralay, sercan ; Ulusoy, Veysel. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:6:p:765-794.

Full description at Econpapers || Download paper

2017The information content in the offshore Renminbi foreign-exchange option market : Analytics and implied USD/CNH densities. (2017). Funke, Michael ; Tsang, Andrew ; Loermann, Julius . In: BOFIT Discussion Papers. RePEc:bof:bofitp:2017_015.

Full description at Econpapers || Download paper

2017Measuring firm size distribution with semi-nonparametric densities. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:015300.

Full description at Econpapers || Download paper

2017Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina ; Cortes, Lina M. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:015923.

Full description at Econpapers || Download paper

2017Evaluating the Accuracy of Time-varying Beta. The Evidence from Poland. (2017). Będowska-Sójka, Barbara ; Bedowska-Sojka, Barbara . In: Dynamic Econometric Models. RePEc:cpn:umkdem:v:17:y:2017:p:161-176.

Full description at Econpapers || Download paper

2017Forecasting Market Risk of Portfolios: Copula-Markov Switching Multifractal Approach. (2017). Segnon, Mawuli ; Trede, Mark. In: CQE Working Papers. RePEc:cqe:wpaper:6617.

Full description at Econpapers || Download paper

2017Parallel Bayesian Inference for High Dimensional Dynamic Factor Copulas. (2017). san Miguel, Pedro Galeano ; Nguyen, Hoang ; Ausin, Maria Concepcion. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24552.

Full description at Econpapers || Download paper

2018Personality and Risk Aversion. (2018). Desmoulins-Lebeault, Franois ; Meunier, Luc ; Gajewski, Jean-Franois. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00614.

Full description at Econpapers || Download paper

2017The Gap Effect on the Brazilian Exchange. (2017). Ceretta, Paulo Sergio ; Da costa, Alexandre Silva . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00734.

Full description at Econpapers || Download paper

2017Co-movement of ASEAN stock markets: New evidence from wavelet and VMD-based copula tests. (2017). Jiang, Yonghong ; Monginsidi, Joe Yohanes ; Nie, HE. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:384-398.

Full description at Econpapers || Download paper

2017Can asymmetric conditional volatility imply asymmetric tail dependence?. (2017). Kim, Jong-Min ; Jung, Hojin . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:409-418.

Full description at Econpapers || Download paper

2017An intertemporal CAPM with higher-order moments. (2017). Jang, Jeewon ; Kang, Jangkoo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:314-337.

Full description at Econpapers || Download paper

2017Moments expansion densities for quantifying financial risk. (2017). Perote, Javier ; Iguez, Trino-Manuel . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:53-69.

Full description at Econpapers || Download paper

2017Identification of additive and polynomial models of mismeasured regressors without instruments. (2017). Lewbel, Arthur ; D'Haultfoeuille, Xavier ; Ben-Moshe, Dan ; Dhaultfuille, Xavier . In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:2:p:207-222.

Full description at Econpapers || Download paper

2017The kidnapping of Europe: High-order moments transmission between developed and emerging markets. (2017). Perote, Javier ; Mora-Valencia, Andrés ; del Brio, Esther B. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:96-115.

Full description at Econpapers || Download paper

2017Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach. (2017). Shahzad, Syed Jawad Hussain ; Mensi, walid ; Hammoudeh, Shawkat ; Hussain, Syed Jawad ; Ur, Mobeen ; Zeitun, Rami. In: Emerging Markets Review. RePEc:eee:ememar:v:32:y:2017:i:c:p:130-147.

Full description at Econpapers || Download paper

2017Heavy tails and asymmetry of returns in the Russian stock market. (2017). Ankudinov, Andrei ; Ibragimov, Rustam ; Lebedev, Oleg . In: Emerging Markets Review. RePEc:eee:ememar:v:32:y:2017:i:c:p:200-219.

Full description at Econpapers || Download paper

2018A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets. (2018). Rizvi, Syed Aun R. ; Alam, Nafis ; Arshad, Shaista ; Aun, Syed . In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:143-161.

Full description at Econpapers || Download paper

2018“On the (Ab)use of Omega?”. (2018). Caporin, Massimiliano ; Maillet, Bertrand ; Jannin, Gregory ; Costola, Michele. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:11-33.

Full description at Econpapers || Download paper

2018The “Cubic Law of the Stock Returns” in emerging markets. (2018). Gu, Zhiye ; Ibragimov, Rustam. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:182-190.

Full description at Econpapers || Download paper

2017Generating options-implied probability densities to understand oil market events. (2017). Datta, Deepa Dhume ; Ross, Landon J ; Londono, Juan M. In: Energy Economics. RePEc:eee:eneeco:v:64:y:2017:i:c:p:440-457.

Full description at Econpapers || Download paper

2017Dynamic robust portfolio selection with copulas. (2017). Han, Yingwei ; Xia, Yong ; Li, Ping. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:190-200.

Full description at Econpapers || Download paper

2018Pricing short-dated foreign equity options with a bivariate jump-diffusion model with correlated fat-tailed jumps. (2018). Ulyah, Siti Maghfirotul ; Miao, Daniel Wei-Chung ; Lin, Xenos Chang-Shuo. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:113-128.

Full description at Econpapers || Download paper

2018Performance ranking (dis)similarities in commodity markets. (2018). Zhang, Hanxiong ; Vortelinos, Dimitrios I ; Auer, Benjamin R. In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:115-137.

Full description at Econpapers || Download paper

2017An empirical comparison of transformed diffusion models for VIX and VIX futures. (2017). JAWADI, Fredj ; Bu, Ruijun ; Li, Yuyi . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:46:y:2017:i:c:p:116-127.

Full description at Econpapers || Download paper

2018Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be?. (2018). Aristeidis, Samitas ; Elias, Kampouris. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:263-286.

Full description at Econpapers || Download paper

2017Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching. (2017). Fuertes, Ana-Maria ; Kalotychou, Elena ; Fei, Fei . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:662-678.

Full description at Econpapers || Download paper

2017One-sided performance measures under Gram-Charlier distributions. (2017). Moreno, Manuel ; Leon, Angel . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:74:y:2017:i:c:p:38-50.

Full description at Econpapers || Download paper

2017An evaluation of bank measures for market risk before, during and after the financial crisis. (2017). Brien, James O ; Szersze, Pawe J ; Obrien, James . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:80:y:2017:i:c:p:215-234.

Full description at Econpapers || Download paper

2017Do investors trade too much? A laboratory experiment. (2017). Massaro, Domenico ; Hommes, Cars ; Challet, Damien ; Bouchaud, Jean-Philippe ; da Gama, Joo. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:140:y:2017:i:c:p:18-34.

Full description at Econpapers || Download paper

2018Single-index copulas. (2018). Fermanian, Jean-David ; Lopez, Olivier. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:165:y:2018:i:c:p:27-55.

Full description at Econpapers || Download paper

2017Conditional dependence between international stock markets: A long memory GARCH-copula model approach. (2017). Mokni, Khaled ; Mansouri, Faysal. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:42-43:y:2017:i::p:116-131.

Full description at Econpapers || Download paper

2017Co-movement measure of information transmission on international equity markets. (2017). Bhatti, Ishaq M ; al Rahahleh, Naseem . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:470:y:2017:i:c:p:119-131.

Full description at Econpapers || Download paper

2017Measuring firm size distribution with semi-nonparametric densities. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina ; Cortes, Lina M. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:485:y:2017:i:c:p:35-47.

Full description at Econpapers || Download paper

2017Modeling stochastic frontier based on vine copulas. (2017). Tabak, Benjamin ; da Costa, Reginaldo Brito ; Candido, Osvaldo ; Constantino, Michel . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:486:y:2017:i:c:p:595-609.

Full description at Econpapers || Download paper

2017Dependence structure and portfolio risk in Indian foreign exchange market: A GARCH-EVT-Copula approach. (2017). Karmakar, Madhusudan . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:64:y:2017:i:c:p:275-291.

Full description at Econpapers || Download paper

2017An integrated macro-financial risk-based approach to the stressed capital requirement. (2017). Liu, Xiaochun. In: Review of Financial Economics. RePEc:eee:revfin:v:34:y:2017:i:c:p:86-98.

Full description at Econpapers || Download paper

2017Sanctions and the Russian stock market. (2017). Ankudinov, Andrei ; Lebedev, Oleg ; Ibragimov, Rustam. In: Research in International Business and Finance. RePEc:eee:riibaf:v:40:y:2017:i:c:p:150-162.

Full description at Econpapers || Download paper

2017Dependence patterns among Asian banking sector stocks: A copula approach. (2017). Mensah, Jones Odei ; Premaratne, Gamini . In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:516-546.

Full description at Econpapers || Download paper

2017Examining dynamic currency linkages amongst South Asian economies: An empirical study. (2017). Diesting, Florent ; Sehgal, Sanjay ; Pandey, Piyush. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:173-190.

Full description at Econpapers || Download paper

2018Dependence patterns among Asian banking sector stocks: A copula approach. (2018). Mensah, Jones Odei ; Premaratne, Gamini . In: Research in International Business and Finance. RePEc:eee:riibaf:v:45:y:2018:i:c:p:357-388.

Full description at Econpapers || Download paper

2017Consistency and asymptotics of a Poisson intensity least-squares estimator for partially observed jump–diffusion processes. (2017). Maroulas, Vasileios ; Djouadi, Seddik M ; Xiong, Jie ; Pan, Xiaoyang . In: Statistics & Probability Letters. RePEc:eee:stapro:v:123:y:2017:i:c:p:8-16.

Full description at Econpapers || Download paper

2017Closed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance. (2017). Prono, Todd. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2016-83.

Full description at Econpapers || Download paper

2018Consistent non-Gaussian pseudo maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_01.

Full description at Econpapers || Download paper

2017Goodness-of-Fit versus Significance: A CAPM Selection with Dynamic Betas Applied to the Brazilian Stock Market. (2017). Maldonado, Wilfredo ; Leiva, Wilfredo Fernando ; Candido, Osvaldo ; de Pinho, Andre Ricardo. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:5:y:2017:i:4:p:33-:d:121563.

Full description at Econpapers || Download paper

2018An Improvement of Gain-Loss Price Bounds on Options Based on Binomial Tree and Market-Implied Risk-Neutral Distribution. (2018). Jiang, Shi-jie ; Chung, Cheng-Huang ; Lei, Mujun. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:6:p:1942-:d:151688.

Full description at Econpapers || Download paper

2017A Comparison Study of Copula Models for Europea Financial Index Returns. (2017). Tofoli, Paula V ; Candido, Osvaldo ; Ziegelmann, Flavio A. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:9:y:2017:i:10:p:155-178.

Full description at Econpapers || Download paper

2017Analysis of Dynamic Correlation of Japanese Stock Returns with Network Clustering. (2017). Isogai, Takashi. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:24:y:2017:i:3:d:10.1007_s10690-017-9230-5.

Full description at Econpapers || Download paper

2017Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem. (2017). Oosterlee, Cornelis W ; Cong, Fei . In: Computational Economics. RePEc:kap:compec:v:49:y:2017:i:3:d:10.1007_s10614-016-9569-0.

Full description at Econpapers || Download paper

2017Measuring and Testing Tail Dependence and Contagion Risk Between Major Stock Markets. (2017). Su, Ender . In: Computational Economics. RePEc:kap:compec:v:50:y:2017:i:2:d:10.1007_s10614-016-9587-y.

Full description at Econpapers || Download paper

2018The dynamic dependence between stock markets in the greater China economic area: a study based on extreme values and copulas. (2018). Hussain, Saiful Izzuan ; Li, Steven. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:32:y:2018:i:2:d:10.1007_s11408-018-0308-5.

Full description at Econpapers || Download paper

2017Implied volatility and skewness surface. (2017). Feunou, Bruno ; Tedongap, Romeo ; Fontaine, Jean-Sebastien. In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:2:d:10.1007_s11147-016-9127-x.

Full description at Econpapers || Download paper

2017Retrieving risk neutral moments and expected quadratic variation from option prices. (2017). Tzavalis, Elias ; Rompolis, Leonidas. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:4:d:10.1007_s11156-016-0575-z.

Full description at Econpapers || Download paper

2017Sources of time varying return comovements during different economic regimes: evidence from the emerging Indian equity market. (2017). Poshakwale, Sunil S ; Mandal, Anandadeep . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:4:d:10.1007_s11156-016-0580-2.

Full description at Econpapers || Download paper

2017The Investment CAPM. (2017). Zhang, Lu. In: NBER Working Papers. RePEc:nbr:nberwo:23226.

Full description at Econpapers || Download paper

2017Does the Investment Model Explain Value and Momentum Simultaneously?. (2017). Zhang, Lu ; Xue, Chen ; Gonalves, Andrei S. In: NBER Working Papers. RePEc:nbr:nberwo:23910.

Full description at Econpapers || Download paper

2018Modeling Systemic Risk: Time-Varying Tail Dependence When Forecasting Marginal Expected Shortfall. (2018). Eckernkemper, Tobias. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:1:p:63-117..

Full description at Econpapers || Download paper

2017On the effects of static and autoregressive conditional higher order moments on dynamic optimal hedging. (2017). Hou, Yang ; Holmes, Mark. In: MPRA Paper. RePEc:pra:mprapa:82000.

Full description at Econpapers || Download paper

2017Harmful Diversification: Evidence from Alternative Investments. (2017). Platanakis, Emmanouil ; Sutcliffe, Charles ; Sakkas, Athanasios . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2017-09.

Full description at Econpapers || Download paper

2018A New Keynesian Q Theory and the Link Between Inflation and the Stock Market. (2018). Lopez, Pierlauro. In: Review of Economic Dynamics. RePEc:red:issued:16-134.

Full description at Econpapers || Download paper

2018Consistent non-Gaussian pseudo maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Paper series. RePEc:rim:rimwps:18-06.

Full description at Econpapers || Download paper

2017Extreme movements of the Russian stock market and their consequences for management and economic modeling. (2017). Ibragimov, Rustam ; Lebedev, Oleg ; Ankudinov, Andrei . In: Applied Econometrics. RePEc:ris:apltrx:0311.

Full description at Econpapers || Download paper

2018THE TIME-VARYING ASYMMETRY OF EXCHANGE RATE RETURNS: A STOCHASTIC VOLATILITY – STOCHASTIC SKEWNESS MODEL. (2018). Iseringhausen, Martin. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:18/944.

Full description at Econpapers || Download paper

2017Box–Cox symmetric distributions and applications to nutritional data. (2017). Silvia, ; Fumes, Giovana . In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:101:y:2017:i:3:d:10.1007_s10182-017-0291-6.

Full description at Econpapers || Download paper

2017Multivariate approximations to portfolio return distribution. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Ñíguez Grau, Trino. In: Computational and Mathematical Organization Theory. RePEc:spr:comaot:v:23:y:2017:i:3:d:10.1007_s10588-016-9231-3.

Full description at Econpapers || Download paper

2018Copula-based nonlinear modeling of the law of one price for lumber products. (2018). Goodwin, Barry ; Prestemon, Jeffrey P ; Onel, Gulcan ; Holt, Matthew T. In: Empirical Economics. RePEc:spr:empeco:v:54:y:2018:i:3:d:10.1007_s00181-017-1235-4.

Full description at Econpapers || Download paper

2017Asymmetric reaction is rational behavior. (2017). Sinha, Amit K ; Horvath, Philip A. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:41:y:2017:i:1:d:10.1007_s12197-015-9344-4.

Full description at Econpapers || Download paper

2017Copula-based measures of reflection and permutation asymmetry and statistical tests. (2017). Krupskii, Pavel. In: Statistical Papers. RePEc:spr:stpapr:v:58:y:2017:i:4:d:10.1007_s00362-016-0743-1.

Full description at Econpapers || Download paper

2017Tail dependence analysis of stock markets using extreme value theory. (2017). Powell, Robert ; Allen, David ; Singh, Abhay K. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:45:p:4588-4599.

Full description at Econpapers || Download paper

2017CAPM with various utility functions: Theoretical developments and application to international data. (2017). Bedoui, Rihab ; McMillan, David ; Benmabrouk, Houda ; Ben Mabrouk, Houda . In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:5:y:2017:i:1:p:1343230.

Full description at Econpapers || Download paper

2017Forecasting Value-at-Risk under Temporal and Portfolio Aggregation. (2017). van Dijk, Dick ; Kole, Erik ; Opschoor, Anne ; Markwat, Thijs . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150140.

Full description at Econpapers || Download paper

2017Financial market predictions with Factorization Machines: Trading the opening hour based on overnight social media data. (2017). Stubinger, Johannes ; Knoll, Julian ; Walter, Dominik. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:192017.

Full description at Econpapers || Download paper

Works by Michael Rockinger:


YearTitleTypeCited
1993On Stock Market Returns and Returns on Investments. In: Working Papers.
[Citation analysis]
paper29
1994 On Stock Market Returns and Returns on Investment..(1994) In: Journal of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
article
1993On stock market returns and returns on investment.(1993) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 29
paper
2001A Time-Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies. In: Journal of Business & Economic Statistics.
[Citation analysis]
article46
2004The Bank Bias: Segmentation of French Fund Families In: Working papers.
[Full Text][Citation analysis]
paper0
2004Optimal Portfolio Allocation Under Higher Moments In: Working papers.
[Full Text][Citation analysis]
paper80
2006Optimal Portfolio Allocation under Higher Moments.(2006) In: European Financial Management.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 80
article
1998Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral In: Working papers.
[Full Text][Citation analysis]
paper2
1998Reading Interest Rate and Bond Futures Options Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election In: Working papers.
[Full Text][Citation analysis]
paper2
1998Reading Interest Rate and Bond Futures Options Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election.(1998) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 2
paper
1999Estimating Gram-Charlier Expansions with Positivity Constraints. In: Working papers.
[Full Text][Citation analysis]
paper0
1999The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets. In: Working papers.
[Full Text][Citation analysis]
paper14
1999The Tail Behavior of Stock Returns: Emerging versus Mature Markets.(1999) In: Les Cahiers de Recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2000Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence. In: Working papers.
[Full Text][Citation analysis]
paper8
2000Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence.(2000) In: Les Cahiers de Recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2001Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis. In: Working papers.
[Full Text][Citation analysis]
paper28
2002Entropy densities with an application to autoregressive conditional skewness and kurtosis.(2002) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28
article
2001Conditional Dependency of Financial Series: An Application of Copulas. In: Working papers.
[Full Text][Citation analysis]
paper23
2001Conditional dependency of financial series : an application of copulas.(2001) In: Les Cahiers de Recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23
paper
2002Asset Allocation in Transition Economies. In: Working papers.
[Full Text][Citation analysis]
paper0
2006The Economic Value of Distributional Timing In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper3
2006The Impact of News on Higher Moments In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper2
2009Fourth Order Pseudo Maximum Likelihood Methods In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper4
2011Fourth Order Pseudo Maximum Likelihood Methods.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2011Fourth order pseudo maximum likelihood methods.(2011) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
article
2008Fourth order pseudo maximum likelihood methods.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
0000Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper0
0000Moment Component Analysis: An Illustration with International Stock Markets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper0
Optimal Long-Term Allocation with Pension Fund Liabilities In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper0
1998Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper35
2000Reading the smile: the message conveyed by methods which infer risk neutral densities.(2000) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35
article
1997Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities.(1997) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 35
paper
1998Reading Interest Rate and Bond Futures Options Smiles Around the 1997 French Snap Election In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper0
2000A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper5
1998A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies.(1998) In: Les Cahiers de Recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2001New Extreme-Value Dependence Measures and Finance Applications In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper10
2001New Extreme-Value Dependance Measures and Finance Applications.(2001) In: Les Cahiers de Recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2001New Extreme-Value Dependance Measures and Finance Applications.(2001) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 10
paper
2003DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATION In: Econometric Theory.
[Full Text][Citation analysis]
article24
2000Entropy densities In: Les Cahiers de Recherche.
[Full Text][Citation analysis]
paper4
2001Testing for differences in the tails of stock-market returns In: Les Cahiers de Recherche.
[Full Text][Citation analysis]
paper49
2003Testing for differences in the tails of stock-market returns.(2003) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 49
article
2001Portfolio allocation in transition economies In: Les Cahiers de Recherche.
[Full Text][Citation analysis]
paper0
2001Portfolio allocation in transition economies.(2001) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1997The Devils Horns Problem of Inverting Confluent Characteristic Functions In: Econometrica.
[Citation analysis]
article1
2001Gram-Charlier densities In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article66
2003Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article121
2003Users guide In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article1
2008Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article10
2004Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data.(2004) In: FAME Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2001Reading PIBOR futures options smiles: The 1997 snap election In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article11
2000The Evolution of Stock Markets in Transition Economies In: Journal of Comparative Economics.
[Full Text][Citation analysis]
article49
2006The Copula-GARCH model of conditional dependencies: An international stock market application In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article194
2005Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion? In: FAME Research Paper Series.
[Full Text][Citation analysis]
paper6
2005Estimation of Jump-Diffusion Process vis Empirical Characteristic Function In: FAME Research Paper Series.
[Full Text][Citation analysis]
paper1
2002Conditional Dependency of Financial Series: The Copula-GARCH Model In: FAME Research Paper Series.
[Full Text][Citation analysis]
paper7
2002The Allocation of Assets Under Higher Moments In: FAME Research Paper Series.
[Full Text][Citation analysis]
paper0
1994Regime Switching: Evidence for the French Stock Market In: Working Papers.
[Citation analysis]
paper0
1994Switching Regressions of Unexpected Macroeconomic Events Explaining the French Stock Index In: Working Papers.
[Citation analysis]
paper0
1992Remarks concerning traditional investment equations In: Working Papers.
[Citation analysis]
paper0
1991Short horizons vs. empire building: some empirical evidence In: Working Papers.
[Citation analysis]
paper0
2009On the Importance of Time Variability in Higher Moments for Asset Allocation In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article0
2009The Impact of Shocks on Higher Moments In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article7
1997Density-Embedding Functions In: Discussion Papers.
[Citation analysis]
paper6

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 2th 2018. Contact: CitEc Team