Michael Rockinger : Citation Profile


Are you Michael Rockinger?

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

16

H index

22

i10 index

1395

Citations

RESEARCH PRODUCTION:

27

Articles

69

Papers

1

Chapters

RESEARCH ACTIVITY:

   28 years (1991 - 2019). See details.
   Cites by year: 49
   Journals where Michael Rockinger has often published
   Relations with other researchers
   Recent citing documents: 104.    Total self citations: 23 (1.62 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pro200
   Updated: 2022-08-13    RAS profile: 2020-09-01    
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Relations with other researchers


Works with:

Jondeau, Eric (3)

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 (28)

Sentana, Enrique (13)

Nguyen, Duc Khuong (12)

Kerstens, Kristiaan (11)

Mora-Valencia, Andrés (11)

de Vries, Casper (10)

Christoffersen, Peter (10)

Cortés, Lina (10)

Ñíguez Grau, Trino (9)

Catania, Leopoldo (8)

Violante, Francesco (8)

Cites to:

Harvey, Campbell (41)

Bollerslev, Tim (30)

Campbell, John (30)

Engle, Robert (28)

Jondeau, Eric (23)

Bekaert, Geert (23)

Ait-Sahalia, Yacine (15)

Stambaugh, Robert (14)

Viceira, Luis (14)

de Vries, Casper (13)

Jagannathan, Ravi (13)

Main data


Where Michael Rockinger has published?


Journals with more than one article published# docs
Journal of Economic Dynamics and Control3
Journal of Financial Econometrics2
Journal of Empirical Finance2
Journal of International Money and Finance2
Bankers, Markets & Investors2
Journal of Banking & Finance2
Journal of Econometrics2

Working Papers Series with more than one paper published# docs
Working Papers / HAL26
Swiss Finance Institute Research Paper Series / Swiss Finance Institute12
FAME Research Paper Series / International Center for Financial Asset Management and Engineering5
CEPR Discussion Papers / C.E.P.R. Discussion Papers4

Recent works citing Michael Rockinger (2022 and 2021)


YearTitle of citing document
2021Dynamic Quantile Function Models. (2017). Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W ; Ye, Wilson . In: Papers. RePEc:arx:papers:1707.02587.

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2021A Peek into the Unobservable: Hidden States and Bayesian Inference for the Bitcoin and Ether Price Series. (2019). Piliouras, Georgios ; Leonardos, Stefanos ; Koki, Constandina. In: Papers. RePEc:arx:papers:1909.10957.

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2021Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:2005.01160.

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2021GARCH-UGH: A bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series. (2021). STUPFLER, Gilles ; Kawasaki, Yoshinori ; Kaibuchi, Hibiki. In: Papers. RePEc:arx:papers:2104.09879.

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2021ESG, Risk, and (tail) dependence. (2021). Bax, Karoline ; Paterlini, Sandra ; Czado, Claudia ; Sahin, Ozge. In: Papers. RePEc:arx:papers:2105.07248.

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2021Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?. (2021). Timphus, Maike ; Fritzsch, Simon ; Weiss, Gregor. In: Papers. RePEc:arx:papers:2109.10946.

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2022Some connections between higher moments portfolio optimization methods. (2022). Kerstens, Kristiaan ; Noravesh, Farshad. In: Papers. RePEc:arx:papers:2201.00205.

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2022Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia. (2022). Roncalli, Thierry ; Kostyuchyk, Nazar ; Bruder, Benjamin. In: Papers. RePEc:arx:papers:2202.10721.

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2021Firm-specific risk-neutral distributions with options and CDS. (2021). Jahan-Parvar, Mohammad ; Aramonte, Sirio ; Schindler, John W ; Rosen, Samuel. In: BIS Working Papers. RePEc:bis:biswps:921.

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2021Recovering the market risk premium from higher?order moment risks. (2021). Rompolis, Leonidas ; Chalamandaris, George. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:1:p:147-186.

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2021An Extensive Comparison of Some Well?Established Value at Risk Methods. (2021). Lettieri, Davi ; Ferioli, Eduardo ; Calmon, Wilson ; Pizzinga, Adrian ; Soares, Johann. In: International Statistical Review. RePEc:bla:istatr:v:89:y:2021:i:1:p:148-166.

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2021Computational Methods for Production-Based Asset Pricing Models with Recursive Utility. (2021). Howard, Kung ; Mark, Aldrich Eric. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:26:n:5.

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2021Growth Uncertainty, Rational Learning, and Option Prices. (2021). Kozhan, Roman ; Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp682.

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2021Connectedness between the Crude Oil Futures and Equity Markets during the Pre- and Post-Financialisation Eras. (2021). Gronwald, Marc ; Durand, Robert D ; Wadud, Sania. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9202.

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2021Modeling ex-ante risk premia in the oil market. (2021). Uctum, Remzi ; Prat, Georges. In: EconomiX Working Papers. RePEc:drm:wpaper:2021-31.

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2021The Integrated Copula Spectrum. (2021). Hallin, Marc ; Dette, Holger ; Volgushev, Stanislav ; van Hecke, Ria ; Kley, Tobias ; Goto, Yuichi. In: Working Papers ECARES. RePEc:eca:wpaper:2013/335426.

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2022On the Effectiveness of Stock Index Futures for Tail Risk Protection. (2022). Zouari, Hammadi. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2022-03-5.

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2021Interdependence between exchange rates: Evidence from multivariate analysis since the financial crisis to the COVID-19 crisis. (2021). Bannour, Nawres ; ben Saad, Mouna ; Boubaker, Heni. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:71:y:2021:i:c:p:592-608.

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2021Mental accounts with horizon and asymmetry preferences. (2021). Lejeune, Thomas ; Hübner, Georges ; Hubner, Georges. In: Economic Modelling. RePEc:eee:ecmode:v:103:y:2021:i:c:s0264999321002042.

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2022Do realized higher moments have information content? - VaR forecasting based on the realized GARCH-RSRK model. (2022). Yan, Hong ; Huang, Zhuo ; Liang, Fang ; Wang, Tianyi. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s026499932200027x.

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2021Diversified behavioral portfolio as an alternative to Modern Portfolio Theory. (2021). Contreras, Javier ; Gomez, Juan M ; Rodriguez, Yeny E. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001273.

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2021Diffusion copulas: Identification and estimation. (2021). Kristensen, Dennis ; Hadri, Kaddour ; Bu, Ruijun. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:616-643.

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2022Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management. (2022). , Amanda ; Thomas, . In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:151-167.

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2022Testing the existence of moments for GARCH processes. (2022). Zakoian, Jean-Michel ; Francq, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:47-64.

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2022Multivariate time-series modeling with generative neural networks. (2022). Zhu, MU ; Prasad, Avinash ; Hofert, Marius. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:147-164.

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2022Financial conditions and macroeconomic downside risks in the euro area. (2022). Lhuissier, Stephane. In: European Economic Review. RePEc:eee:eecrev:v:143:y:2022:i:c:s0014292122000101.

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2021The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications. (2021). Iori, Giulia ; Ouellette, Michelle S ; Tedeschi, Gabriele ; Recchioni, Maria Cristina. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:1:p:336-360.

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2021The transformed Gram Charlier distribution: Parametric properties and financial risk applications. (2021). Iguez, Trino-Manuel ; Leon, Angel. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:323-349.

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2021Tanker freight rates and economic policy uncertainty: A wavelet-based copula approach. (2021). Bai, Xiwen. In: Energy. RePEc:eee:energy:v:235:y:2021:i:c:s0360544221016315.

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2021International review of financial analysis: A retrospective evaluation between 1992 and 2020. (2021). Sharma, Anuj ; Goyal, Kirti ; Kumar, Satish ; Baker, Kent H. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002672.

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2022A bibliometric review of financial market integration literature. (2022). Yarovaya, Larisa ; Paltrinieri, Andrea ; Oriani, Marco Ercole ; Goodell, John W ; Patel, Ritesh. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000151.

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2021A realized EGARCH-MIDAS model with higher moments. (2021). Wu, Xinyu ; Xie, Haibin. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319308505.

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2021Modeling dynamic higher moments of crude oil futures. (2021). Li, Chao ; Wang, Tianyi ; Liang, Fang ; Huang, Zhuo. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319302727.

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2021Backtesting VaR under the COVID-19 sudden changes in volatility. (2021). Iguez, Trino-Manuel ; Leon, Angel ; Castillo, Brenda. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321001057.

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2022Predicting returns and dividend growth — The role of non-Gaussian innovations. (2022). Nguyen, Hoang ; Mazur, Stepan ; Kiss, Tamas. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003445.

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2021Bank liquidity creation, network contagion and systemic risk: Evidence from Chinese listed banks. (2021). Zhang, Shuai ; Wang, Qingyu ; Lu, Liping ; Fu, Qiang. In: Journal of Financial Stability. RePEc:eee:finsta:v:53:y:2021:i:c:s1572308921000036.

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2021Internationalization, foreign complexity and systemic risk: Evidence from European banks. (2021). Nyola, Annick Pamen ; Bakkar, Yassine. In: Journal of Financial Stability. RePEc:eee:finsta:v:55:y:2021:i:c:s1572308921000528.

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2021Did the Basel Process of capital regulation enhance the resiliency of European banks?. (2021). Gehrig, Thomas ; Iannino, Maria Chiara. In: Journal of Financial Stability. RePEc:eee:finsta:v:55:y:2021:i:c:s1572308921000644.

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2021Modality for scenario analysis and maximum likelihood allocation. (2021). Hofert, Marius ; Koike, Takaaki. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:97:y:2021:i:c:p:24-43.

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2021Dependence structure between oil price volatility and sovereign credit risk of oil exporters: Evidence using a copula approach. (2021). Ehouman, Yao Axel. In: International Economics. RePEc:eee:inteco:v:168:y:2021:i:c:p:76-97.

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2021An efficient method for pricing foreign currency options. (2021). Zhang, Shuonan ; Jin, Chenglu ; Yu, Lean ; Zhou, Hanxian ; Chen, Rongda. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121000147.

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2022Shifting balances of systemic risk in the Chinese banking sector: Determinants and trends. (2022). Chondrogiannis, Ilias ; Nivorozhkin, Eugene. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001700.

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2022Forecasting in GARCH models with polynomially modified innovations. (2022). Bagnato, Luca ; Zoia, Maria Grazia ; Vacca, Gianmarco. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:117-141.

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2021Portfolio selection with parsimonious higher comoments estimation. (2021). Vrins, Frederic ; Lassance, Nathan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:126:y:2021:i:c:s037842662100073x.

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2021The q5 model and its consistency with the intertemporal CAPM. (2021). Lin, QI. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:127:y:2021:i:c:s0378426621000546.

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2021Federal reserve intervention and systemic risk during financial crises. (2021). Sedunov, John. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621001692.

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2021Determinants and predictability of commodity producer returns. (2021). Balvers, Ronald ; Wang, Qiao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s037842662100234x.

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2022Predicting the stressed expected loss of large U.S. banks. (2022). Jondeau, Eric ; Khalilzadeh, Amir. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002727.

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2022Systemic risk and severe economic downturns: A targeted and sparse analysis. (2022). Caporin, Massimiliano ; Garibal, Jean-Charles ; Costola, Michele ; Maillet, Bertrand. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002909.

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2022Machine-Learning-enhanced systemic risk measure: A Two-Step supervised learning approach. (2022). Pun, Chi Seng ; Liu, Ruicheng. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:136:y:2022:i:c:s0378426622000164.

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2022Multi-commodity price risk hedging in the Atlantic salmon farming industry. (2022). Strom, Eivind ; Strypet, Kristian ; Lavrutich, Maria ; Haarstad, Aleksander H. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:25:y:2022:i:c:s2405851321000167.

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2021Asymmetric tail dependence between stock market returns and implied volatility. (2021). Echaust, Krzysztof. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:23:y:2021:i:c:s1703494920300372.

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2021Clustering commodity markets in space and time: Clarifying returns, volatility, and trading regimes through unsupervised machine learning. (2021). Vo, Xuan Vinh ; Ur, Mobeen ; Chen, James Ming. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001768.

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2021Systemically important banks in Asian emerging markets: Evidence from four systemic risk measures. (2021). Bannigidadmath, Deepa ; Powell, Robert ; Pham, Thach N. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:70:y:2021:i:c:s0927538x21001773.

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2021Gainers and losers with higher order portfolio risk optimization. (2021). Ayub, Usman ; Ashfaq, Saira ; Gulzar, Saqib ; Raza, Naveed ; Mujtaba, Ghulam. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:563:y:2021:i:c:s0378437120307524.

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2022On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis. (2022). Ahmed, Walid. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:83:y:2022:i:c:p:135-151.

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2021Do higher-order realized moments matter for cryptocurrency returns?. (2021). Ahmed, Walid ; al Mafrachi, Mustafa. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:483-499.

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2021International portfolio allocation: The role of conditional higher moments. (2021). Le, Trung H. In: International Review of Economics & Finance. RePEc:eee:reveco:v:74:y:2021:i:c:p:33-57.

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2021Systemic risk measures and distribution forecasting of macroeconomic shocks. (2021). Zhang, YU ; Liu, Yanzhen ; Chen, Guojin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:178-196.

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2021Measuring risk spillovers from multiple developed stock markets to China: A vine-copula-GARCH-MIDAS model. (2021). Liu, Yezheng ; Xu, Qifa ; Jiang, Cuixia. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:386-398.

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2022Safe haven assets for international stock markets: A regime-switching factor copula approach. (2022). Tachibana, Minoru. In: Research in International Business and Finance. RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531921002129.

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2021Freight rate co-movement and risk spillovers in the product tanker shipping market: A copula analysis. (2021). Lee, Jasmine Siu ; Bai, Xiwen. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:149:y:2021:i:c:s1366554521000892.

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2021Modeling Electricity Price and Quantity Uncertainty: An Application for Hedging with Forward Contracts. (2021). Perote, Javier ; Cortes, Lina M ; Trespalacios, Alfredo. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:11:p:3345-:d:570264.

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2021Tail Dependence between Crude Oil Volatility Index and WTI Oil Price Movements during the COVID-19 Pandemic. (2021). Just, Magorzata ; Echaust, Krzysztof. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:14:p:4147-:d:591470.

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2021Financial Stability of European Insurance Companies during the COVID-19 Pandemic. (2021). Puawska, Karolina. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:266-:d:574082.

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2021Evidence of Stock Market Contagion during the COVID-19 Pandemic: A Wavelet-Copula-GARCH Approach. (2021). Canepa, Alessandra ; Alqaralleh, Huthaifa. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:329-:d:594977.

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2022Dependence Structures between Sovereign Credit Default Swaps and Global Risk Factors in BRICS Countries. (2022). Rikhotso, Prayer M ; Simo-Kengne, Beatrice D ; simo -Kengne, Beatrice D. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:3:p:109-:d:759360.

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2021Machine Learning or Econometrics for Credit Scoring: Lets Get the Best of Both Worlds *. (2020). Hurlin, Christophe ; Tokpavi, Sessi ; Hue, Sullivan ; Dumitrescu, Elena . In: Working Papers. RePEc:hal:wpaper:hal-02507499.

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2021Predicting returns and dividend growth - the role of non-Gaussian innovations. (2021). Nguyen, Hoang ; Mazur, Stepan ; Kiss, Tamas. In: Working Papers. RePEc:hhs:oruesi:2021_010.

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2021Global Risk and Safe Haven Currency: Copula-DCC Approach. (2021). Zhuo, Juanjuan ; Kumamoto, Masao. In: Working Paper Series. RePEc:hit:hcfrwp:g-1-26.

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2021Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy. (2021). van De, Ignace ; Ren, Tiantian ; Mazza, Paolo ; Kerstens, Kristiaan. In: Working Papers. RePEc:ies:wpaper:e202105.

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2021Systemic risk measurement: bucketing global systemically important banks. (2021). Riccetti, Luca ; Lagasio, Valentina ; Brogi, Marina. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:3:d:10.1007_s10436-021-00391-7.

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2021Forecasting Volatility for an Optimal Portfolio with Stylized Facts Using Copulas. (2021). Boubaker, Heni ; Karmous, Aida ; Belkacem, Lotfi. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:2:d:10.1007_s10614-020-10041-1.

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2022Intelligent FinTech Data Mining by Advanced Deep Learning Approaches. (2022). Lin, Meng-Chen ; Chiou, Chei-Chang ; Wu, Cheng-Feng ; Huang, Shian-Chang. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:4:d:10.1007_s10614-021-10118-5.

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2021Dynamic Cross Hedging Effectiveness between Gold and Stock Market Based on Downside Risk Measures: Evidence from Iran Emerging Capital Market. (2021). Veisizadeh, Vahid ; Tehrani, Reza. In: Journal of Money and Economy. RePEc:mbr:jmonec:v:16:y:2021:i:1:p:43-70.

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2021Dynamic copula-based expectile portfolios. (2021). Sahamkhadam, Maziar. In: Journal of Asset Management. RePEc:pal:assmgt:v:22:y:2021:i:3:d:10.1057_s41260-021-00210-8.

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2021CEO overconfidence, firm-specific factors, and systemic risk: evidence from China. (2021). Hassan, Hassan ; Chen, Yingying ; Wahab, Salman ; Yi, Xianrong ; Safi, Adnan. In: Risk Management. RePEc:pal:risman:v:23:y:2021:i:1:d:10.1057_s41283-021-00066-7.

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2022Dynamic selection of Gram–Charlier expansions with risk targets: an application to cryptocurrencies. (2022). Perote, Javier ; Mora-Valencia, Andres ; Jimenez, Ines. In: Risk Management. RePEc:pal:risman:v:24:y:2022:i:1:d:10.1057_s41283-021-00084-5.

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2022A multivariate GARCH model with an infinite hidden Markov mixture. (2022). Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:112792.

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2022Is the Impact of COVID-19 Significant in Determining Equity Market Integration? Insights from BRICS Economies. (2022). Mishra, S K. In: Global Journal of Emerging Market Economies. RePEc:sae:emeeco:v:14:y:2022:i:2:p:137-162.

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2022Can Equity be Safe-haven for Investment?. (2022). Balasubramanian, G ; Kayal, Parthajit ; Sri, Janani. In: Journal of Emerging Market Finance. RePEc:sae:emffin:v:21:y:2022:i:1:p:32-63.

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2021Value-at-Risk Analysis for Measuring Stochastic Volatility of Stock Returns: Using GARCH-Based Dynamic Conditional Correlation Model. (2021). Ikram, Amir ; Mahmood, Asif ; Afzal, Farman ; Haiying, Pan. In: SAGE Open. RePEc:sae:sagope:v:11:y:2021:i:1:p:21582440211005758.

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2022Measuring and stress-testing market-implied bank capital. (2022). Fuster, Andreas ; Jondeau, Eric ; Indergand, Martin. In: Working Papers. RePEc:snb:snbwpa:2022-02.

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2021Higher-order comoments and asset returns: evidence from emerging equity markets. (2021). Vo, Xuan Vinh ; Anh, Thi Tuan. In: Annals of Operations Research. RePEc:spr:annopr:v:297:y:2021:i:1:d:10.1007_s10479-020-03549-0.

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2021Atheoretical Regression Trees for classifying risky financial institutions. (2021). Durso, Pierpaolo ; Maddaloni, Angela ; Iorio, Francesca ; Cappelli, Carmela . In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03406-9.

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2022A financial fraud detection indicator for investors: an IDeA. (2022). el Mekkaoui, Najat ; Bernard, Philippe ; Maillet, Bertrand B. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-019-03360-6.

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2022A meta-measure of performance related to both investors and investments characteristics. (2022). Maillet, Bertrand ; Billio, Monica ; Pelizzon, Loriana. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-020-03771-w.

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2022Modelling the association in bivariate survival data by using a Bernstein copula. (2022). Braekers, Roel ; Hasan, Mirza Nazmul. In: Computational Statistics. RePEc:spr:compst:v:37:y:2022:i:2:d:10.1007_s00180-021-01154-8.

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2021Nonparametric portfolio efficiency measurement with higher moments. (2021). Kruger, Jens J. In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:3:d:10.1007_s00181-020-01917-0.

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2021Adaptive stochastic risk estimation of firm operating profit. (2021). Anakolu, Ethem ; Akca, Ahmet. In: Economia e Politica Industriale: Journal of Industrial and Business Economics. RePEc:spr:epolin:v:48:y:2021:i:3:d:10.1007_s40812-021-00184-z.

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2021Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?. (2021). Ajmi, Ahdi Noomen ; Mokni, Khaled ; Youssef, Manel. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00227-3.

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2021A global perspective on macroprudential policy interaction with systemic risk, real economic activity, and monetary intervention. (2021). Karminsky, Alexander M ; Shchepeleva, Maria A ; Stolbov, Mikhail I. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00257-x.

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2021Financial Contagion During the Covid-19 Pandemic: A Wavelet-Copula-GARCH Approach.. (2021). Zanetti Chini, Emilio ; Canepa, Alessandra ; Alqaralleh, Huthaifa. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202110.

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2021The triple (T3) dimension of systemic risk: Identifying systemically important banks. (2021). Angelini, Eliana ; Foglia, Matteo. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:7-26.

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2021Optimal portfolio allocation using option?implied information. (2021). Strittmatter, Marius ; Olmo, Jose ; Kyriacou, Maria. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:2:p:266-285.

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2021Semivariance and semiskew risk premiums in currency markets. (2021). Dawui, Edem ; da Fonseca, Jose. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:3:p:290-324.

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2021Time?varying dynamics of expected shortfall in commodity futures markets. (2021). Auer, Benjamin R ; Mehlitz, Julia S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:6:p:895-925.

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More than 100 citations found, this list is not complete...

Works by Michael Rockinger:


YearTitleTypeCited
2000Market Response to Earnings Announcements and Interim Reports: An Analysis of SBF120 Companies In: Annals of Economics and Statistics.
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article3
1993On Stock Market Returns and Returns on Investments. In: Working Papers.
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paper43
1994 On Stock Market Returns and Returns on Investment..(1994) In: Journal of Finance.
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This paper has another version. Agregated cites: 43
article
1993On stock market returns and returns on investment.(1993) In: Working Papers.
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This paper has another version. Agregated cites: 43
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.
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article65
2000A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies.(2000) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 65
paper
1998A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies.(1998) In: HEC Research Papers Series.
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This paper has another version. Agregated cites: 65
paper
1998A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies.(1998) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 65
paper
2004The Bank Bias: Segmentation of French Fund Families In: Working papers.
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paper4
2004Optimal Portfolio Allocation Under Higher Moments In: Working papers.
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paper140
2006Optimal Portfolio Allocation under Higher Moments.(2006) In: European Financial Management.
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This paper has another version. Agregated cites: 140
article
1998Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral In: Working papers.
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paper2
1998Reading Interest Rate and Bond Futures Options Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election In: Working papers.
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paper4
1998Reading Interest Rate and Bond Futures Options Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election.(1998) In: Working Papers.
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This paper has another version. Agregated cites: 4
paper
1999Estimating Gram-Charlier Expansions with Positivity Constraints. In: Working papers.
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paper1
1999The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets. In: Working papers.
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paper17
1999The Tail Behavior of Stock Returns: Emerging versus Mature Markets.(1999) In: HEC Research Papers Series.
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paper
2000Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence. In: Working papers.
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paper10
2000Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence.(2000) In: HEC Research Papers Series.
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This paper has another version. Agregated cites: 10
paper
2000Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence.(2000) In: Working Papers.
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This paper has another version. Agregated cites: 10
paper
2001Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis. In: Working papers.
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paper38
2002Entropy densities with an application to autoregressive conditional skewness and kurtosis.(2002) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 38
article
2001Conditional Dependency of Financial Series: An Application of Copulas. In: Working papers.
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paper32
2001Conditional dependency of financial series : an application of copulas.(2001) In: HEC Research Papers Series.
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This paper has another version. Agregated cites: 32
paper
2001Conditional Dependency of Financial Series: An Application of Copulas.(2001) In: Working Papers.
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This paper has another version. Agregated cites: 32
paper
2002Asset Allocation in Transition Economies. In: Working papers.
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paper0
2002Asset Allocation in Transition Economies.(2002) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2006The Economic Value of Distributional Timing In: Swiss Finance Institute Research Paper Series.
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paper4
2006The Impact of News on Higher Moments In: Swiss Finance Institute Research Paper Series.
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paper3
2009Fourth Order Pseudo Maximum Likelihood Methods In: Swiss Finance Institute Research Paper Series.
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paper7
2011Fourth Order Pseudo Maximum Likelihood Methods.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 7
paper
2011Fourth order pseudo maximum likelihood methods.(2011) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 7
article
2011Fourth order pseudo maximum likelihood methods.(2011) In: Post-Print.
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This paper has another version. Agregated cites: 7
paper
2009Optimal Liquidation Strategies in Illiquid Markets In: Swiss Finance Institute Research Paper Series.
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paper0
2010Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty In: Swiss Finance Institute Research Paper Series.
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paper0
2010Moment Component Analysis: An Illustration with International Stock Markets In: Swiss Finance Institute Research Paper Series.
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paper7
2018Moment Component Analysis: An Illustration With International Stock Markets.(2018) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 7
article
2012Systemic Risk in Europe In: Swiss Finance Institute Research Paper Series.
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paper95
2015Systemic Risk in Europe.(2015) In: Review of Finance.
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This paper has another version. Agregated cites: 95
article
2013Systemic Risk in Europe.(2013) In: Global Credit Review (GCR).
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This paper has another version. Agregated cites: 95
article
2014Systemic Risk in Europe.(2014) In: World Scientific Book Chapters.
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This paper has another version. Agregated cites: 95
chapter
2013Long-Term Portfolio Management with a Structural Macroeconomic Model In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper0
2016Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper11
2015Estimating the price impact of trades in a high-frequency microstructure model with jumps.(2015) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
article
2014Optimal Long-Term Allocation with Pension Fund Liabilities In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper0
2016Forecasting Financial Returns with a Structural Macroeconomic Model In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper1
2017Periodic or Generational Actuarial Tables: Which One to Choose? 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]
paper52
2000Reading the smile: the message conveyed by methods which infer risk neutral densities.(2000) In: Journal of International Money and Finance.
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This paper has another version. Agregated cites: 52
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: 52
paper
1998Reading Interest Rate and Bond Futures Options Smiles Around the 1997 French Snap Election In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper2
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: HEC Research Papers Series.
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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.
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article29
2000Entropy densities In: HEC Research Papers Series.
[Full Text][Citation analysis]
paper3
2000Entropy Densities.(2000) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 3
paper
2001Testing for differences in the tails of stock-market returns In: HEC Research Papers Series.
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paper67
2003Testing for differences in the tails of stock-market returns.(2003) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 67
article
2001Testing for differences in the tails of stock-market returns.(2001) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 67
paper
2001Portfolio allocation in transition economies In: HEC Research Papers Series.
[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]
article82
2003Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements In: Journal of Economic Dynamics and Control.
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article189
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.
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article18
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: 18
paper
2013Market liquidity and institutional trading during the 2007–8 financial crisis In: International Review of Financial Analysis.
[Full Text][Citation analysis]
article5
2001Reading PIBOR futures options smiles: The 1997 snap election In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article16
2000The Evolution of Stock Markets in Transition Economies In: Journal of Comparative Economics.
[Full Text][Citation analysis]
article59
2006The Copula-GARCH model of conditional dependencies: An international stock market application In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article315
2005Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion? In: FAME Research Paper Series.
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paper14
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]
paper15
2002The Allocation of Assets Under Higher Moments In: FAME Research Paper Series.
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paper0
1998Estimating Gram-Charlier Expansions Under Positivity Constraints In: Working Papers.
[Citation analysis]
paper2
1997Information Content of Russian Stock Indices In: Working Papers.
[Citation analysis]
paper0
1997Estimation et interprétation des densités neutres au risque: une comparaison de méthodes In: Working Papers.
[Citation analysis]
paper0
1997Density-embedding Functions In: Working Papers.
[Citation analysis]
paper7
1997Density-Embedding Functions.(1997) In: Discussion Papers.
[Citation analysis]
This paper has another version. Agregated cites: 7
paper
1997Testing the Fisher Relation: the Russian Case In: Working Papers.
[Citation analysis]
paper1
1996Volatility Indices for the French Financial Market In: Working Papers.
[Citation analysis]
paper0
1995The devils horns: a problem with the densities of AR statistics In: Working Papers.
[Citation analysis]
paper0
1995Determinants of Capital Flow to Mutual Funds In: Working Papers.
[Citation analysis]
paper1
1994Volatility Clustering, Asymmetry and Hysteresis in Stock Returns: International Evidence In: Working Papers.
[Citation analysis]
paper0
1994Regime Switching: Evidence for the French Stock Market In: Working Papers.
[Citation analysis]
paper3
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
1991Investment incentives in endogenously growing economies In: Working Papers.
[Citation analysis]
paper0
1994Forecasting Conditional Volatility with Garch and Change of Regime Models: International 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]
article15
2015Long-term Portfolio Allocation Based on Long-term Macro forecasts In: Bankers, Markets & Investors.
[Full Text][Citation analysis]
article0
2016Violating United Nations Global Compact Principles: An Event Study In: Bankers, Markets & Investors.
[Full Text][Citation analysis]
article0
2019Predicting Long?Term Financial Returns: VAR versus DSGE Model—A Horse Race In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
article0

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