17
H index
21
i10 index
1523
Citations
Université de Lausanne (50% share) | 17 H index 21 i10 index 1523 Citations RESEARCH PRODUCTION: 27 Articles 69 Papers 1 Chapters RESEARCH ACTIVITY: 28 years (1991 - 2019). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pro200 |
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: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Economic Dynamics and Control | 3 |
Journal of Empirical Finance | 2 |
Journal of Banking & Finance | 2 |
The Journal of Financial Econometrics | 2 |
Bankers, Markets & Investors | 2 |
Journal of International Money and Finance | 2 |
Journal of Econometrics | 2 |
Working Papers Series with more than one paper published | # docs |
---|---|
Working Papers / HAL | 26 |
Swiss Finance Institute Research Paper Series / Swiss Finance Institute | 12 |
FAME Research Paper Series / International Center for Financial Asset Management and Engineering | 5 |
CEPR Discussion Papers / C.E.P.R. Discussion Papers | 4 |
Year | Title of citing document |
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2023 | Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308. Full description at Econpapers || Download paper |
2023 | Modeling Volatility and Dependence of European Carbon and Energy Prices. (2022). Arsova, Antonia ; Ziel, Florian ; Pappert, Sven ; Berrisch, Jonathan. In: Papers. RePEc:arx:papers:2208.14311. Full description at Econpapers || Download paper |
2023 | Estimation of market efficiency process within time-varying autoregressive models by extended Kalman filtering approach. (2023). Kulikov, Gennady ; Kulikova, Maria. In: Papers. RePEc:arx:papers:2310.04125. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Papantonis, Ioannis ; Orestis, Agapitos ; Elias, Tzavalis ; Ioannis, Papantonis ; Leonidas, Rompolis. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8. Full description at Econpapers || Download paper |
2023 | Currency portfolio behavior in seven major Asian markets. (2023). Lin, Chinho ; Chang, Hao-Wen. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:540-559. Full description at Econpapers || Download paper |
2023 | Portfolio optimization in the presence of tail correlation. (2023). Chibane, Messaoud ; ben Abdelaziz, Fouad. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000470. Full description at Econpapers || Download paper |
2023 | Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios. (2023). Huelamo, Diego ; Esparcia, Carlos ; Diaz, Antonio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001735. Full description at Econpapers || Download paper |
2023 | Determinants of connectedness in financial institutions: Evidence from Taiwan. (2023). Mo, Wan-Shin ; Chiang, Shu-Hen ; Chen, Yu-Lun. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000681. Full description at Econpapers || Download paper |
2023 | Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies. (2023). Vo, Xuan Vinh ; Zeitun, Rami ; Katsiampa, Paraskevi ; Ur, Mobeen. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000838. Full description at Econpapers || Download paper |
2023 | Forecasting tail risk measures for financial time series: An extreme value approach with covariates. (2023). Prokhorov, Artem ; Yin, Jessica Wai ; Leung, Henry ; James, Robert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:71:y:2023:i:c:p:29-50. Full description at Econpapers || Download paper |
2023 | Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models. (2023). Virbickait, Audron ; Nguyen, Hoang. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002360. Full description at Econpapers || Download paper |
2023 | Where is the distribution tail threshold? A tale on tail and copulas in financial risk measurement. (2023). Nave, Juan M ; Gonzalez-Sanchez, Mariano. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000285. Full description at Econpapers || Download paper |
2023 | Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict. (2023). Maghyereh, Aktham ; Cui, Jinxin. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000364. Full description at Econpapers || Download paper |
2023 | ESG, risk, and (tail) dependence. (2023). Paterlini, Sandra ; Czado, Claudia ; Sahin, Ozge ; Bax, Karoline. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000297. Full description at Econpapers || Download paper |
2023 | Efficient portfolios computed with moment-based bounds. (2023). Popova, Ivilina ; Dokov, Steftcho ; Morton, David P. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006018. Full description at Econpapers || Download paper |
2023 | Modeling volatility and dependence of European carbon and energy prices. (2023). Arsova, Antonia ; Ziel, Florian ; Pappert, Sven ; Berrisch, Jonathan. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322006791. Full description at Econpapers || Download paper |
2023 | Copula approach to market volatility and technology stocks dependence. (2023). Arenda, Peter ; Raiova, Barbara. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007292. Full description at Econpapers || Download paper |
2023 | Subjectivity in conventional tail measures: An exploratory model with risks & biases’. (2023). Majumder, Debasish. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003239. Full description at Econpapers || Download paper |
2023 | Predicting the equity risk premium using the smooth cross-sectional tail risk: The importance of correlation. (2023). Faias, Jose Afonso. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000593. Full description at Econpapers || Download paper |
2023 | Social capital, trust, and bank tail risk: The value of ESG rating and the effects of crisis shocks. (2023). Elnahass, Marwa ; Li, Teng ; Cao, Ngan Duong ; Trinh, Vu Quang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s1042443123000082. Full description at Econpapers || Download paper |
2023 | Realized higher-order moments spillovers across cryptocurrencies. (2023). Apergis, Nicholas. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000318. Full description at Econpapers || Download paper |
2023 | Non-Gaussian models for CoVaR estimation. (2023). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:391-404. Full description at Econpapers || Download paper |
2023 | Improving variance forecasts: The role of Realized Variance features. (2023). Papantonis, Ioannis ; Tzavalis, Elias ; Rompolis, Leonidas. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1221-1237. Full description at Econpapers || Download paper |
2023 | Detecting political event risk in the option market. (2023). KOSTAKIS, ALEXANDROS ; Otsubo, Yoichi ; Mu, Liangyi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002047. Full description at Econpapers || Download paper |
2023 | The effect of uncertainty on stock market volatility and correlation. (2023). Hou, Ai Jun ; Christiansen, Charlotte ; Asgharian, Hossein. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001097. Full description at Econpapers || Download paper |
2023 | Macro-financial spillovers. (2023). Yilmaz, Kamil ; Hallam, Mark ; Cotter, John. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000256. Full description at Econpapers || Download paper |
2023 | The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate. (2023). Chang, Kuang-Liang. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000402. Full description at Econpapers || Download paper |
2023 | Composite jet fuel cross-hedging. (2023). Conlon, Thomas ; Cao, Min. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000289. Full description at Econpapers || Download paper |
2023 | Risk co-movements and portfolio strategies between energy, gold and BRICS markets. (2023). Shah, Waheed Ullah ; Younis, Ijaz ; Longsheng, Cheng ; Qureshi, Fiza ; Hkiri, Besma. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723001952. Full description at Econpapers || Download paper |
2023 | Dynamic time-frequency connectedness and risk spillover between geopolitical risks and natural resources. (2023). Zhang, Weiqian ; Li, Songsong. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002659. Full description at Econpapers || Download paper |
2023 | Shock transmission between crude oil prices and stock markets. (2023). Esparcia, Carlos ; Jareo, Francisco ; Koczar, Monika W ; Escribano, Ana. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723004658. Full description at Econpapers || Download paper |
2023 | Skewness in energy returns: estimation, testing and retain-->implications for tail risk. (2023). Iguez, Trino-Manuel ; Leon, Angel ; Carnero, Angeles M. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:178-189. Full description at Econpapers || Download paper |
2023 | Risk preferences, global market conditions and foreign debt: Is there any role for the currency composition of FX reserves?. (2023). Mateane, Lebogang. In: Research in Economics. RePEc:eee:reecon:v:77:y:2023:i:3:p:402-418. Full description at Econpapers || Download paper |
2023 | Copula-based projections of wind power: Ireland as a case study. (2023). Iglesias, Gregorio ; Gharbia, Salem ; Olbert, Agnieszka I ; Moradian, Sogol. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:175:y:2023:i:c:s1364032123000035. Full description at Econpapers || Download paper |
2023 | Re-evaluating portfolio diversification and design using cryptocurrencies: Are decentralized cryptocurrencies enough?. (2023). Vo, Xuan Vinh ; Bakry, Walid ; Al-Mohamad, Somar ; Prasad, Mason ; Khaki, Audil. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002094. Full description at Econpapers || Download paper |
2023 | Diversification benefits of NFTs for conventional asset investors: Evidence from CoVaR with higher moments and optimal hedge ratios. (2023). Rice, John ; Choi, Sun-Yong ; Usman, Muhammad ; Umar, Zaghum. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000831. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Managing Portfolio Risk During the BREXIT Crisis: A Cross-Quantilogram Analysis of Stock Markets and Commodities Across European Countries, the US, and BRICS. (2023). Goutte, Stéphane ; Gana, Marjene ; Ahmed, Ayedi ; Guesmi, Khaled. In: Working Papers. RePEc:hal:wpaper:halshs-04068651. Full description at Econpapers || Download paper |
2023 | Dependence Analysis of the ISE100 Banking Sector Using Vine Copula. (2023). Evkaya, Ozan ; Gur, Ismail ; Poyraz, Gulden ; Kulekci, Bukre Yildirim. In: Istanbul Journal of Economics-Istanbul Iktisat Dergisi. RePEc:ist:journl:v:73:y:2023:i:1:p:55-81. Full description at Econpapers || Download paper |
2023 | A compositional analysis of systemic risk in European financial institutions. (2023). Porro, Francesco ; Fiori, Anna Maria. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:3:d:10.1007_s10436-023-00427-0. Full description at Econpapers || Download paper |
2023 | Robust Portfolio Optimization Based on Semi-Parametric ARMA-TGARCH-EVT Model with Mixed Copula Using WCVaR. (2023). Liang, Ying ; Deng, Xue. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:1:d:10.1007_s10614-021-10207-5. Full description at Econpapers || Download paper |
2023 | Black-Litterman model with copula-based views in mean-CVaR portfolio optimization framework with weight constraints. (2023). Pivnitskaya, Nataliya ; Munir, Qaiser ; Evgeniia, Mikova ; Teplova, Tamara. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:1:d:10.1007_s10644-022-09435-y. Full description at Econpapers || Download paper |
2023 | Systemic Risk: Bank Characteristics Matter. (2023). Piccotti, Louis R ; Mazumder, Sharif. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:64:y:2023:i:2:d:10.1007_s10693-022-00386-z. Full description at Econpapers || Download paper |
2023 | Implied volatility surfaces: a comprehensive analysis using half a billion option prices. (2023). Zimmer, Lukas ; Ulrich, Maxim ; Merbecks, Constantin. In: Review of Derivatives Research. RePEc:kap:revdev:v:26:y:2023:i:2:d:10.1007_s11147-023-09195-5. Full description at Econpapers || Download paper |
2023 | What if beta is not stable? Applying the Kalman filter to risk estimates of top US companies over the long time horizon. (2023). Dbski, Wiesaw ; Szczepocki, Piotr ; Feder-Sempach, Ewa. In: Bank i Kredyt. RePEc:nbp:nbpbik:v:54:y:2023:i:1:p:25-44. Full description at Econpapers || Download paper |
2023 | Measuring Systemic Risk Using Multivariate Quantile-Located ES Models*. (2023). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:1:p:1-72.. Full description at Econpapers || Download paper |
2023 | Kurtosis removal for data pre-processing. (2023). Loperfido, Nicola. In: Advances in Data Analysis and Classification. RePEc:spr:advdac:v:17:y:2023:i:1:d:10.1007_s11634-022-00498-3. Full description at Econpapers || Download paper |
2023 | Ukraine–Russia Conflict and Stock Markets Reactions in Europe. (2023). Shafique, Sujana ; Sutradhar, Soma Rani ; Hasan, Fakhrul ; Das, Bijoy Chandra. In: Global Journal of Flexible Systems Management. RePEc:spr:gjofsm:v:24:y:2023:i:3:d:10.1007_s40171-023-00345-0. Full description at Econpapers || Download paper |
2023 | Optimising portfolio diversification and dimensionality. (2023). Staal, A ; Sabanis, S ; Kroeske, J ; Kalcsics, J ; Gondzio, J ; Garcia, S ; Barkhagen, M. In: Journal of Global Optimization. RePEc:spr:jglopt:v:85:y:2023:i:1:d:10.1007_s10898-022-01202-7. Full description at Econpapers || Download paper |
2023 | Considering the temporal interdependence of human mobility and COVID-19 concerning Indonesia’s large-scale social distancing policies. (2023). Adlin, Falah Novayanda ; Primandari, Arum Handini ; Ahdika, Atina. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:57:y:2023:i:3:d:10.1007_s11135-022-01497-4. Full description at Econpapers || Download paper |
2023 | Modeling skewness in portfolio choice. (2023). Markellos, Raphael ; Kourtis, Apostolos ; Le, Trung H. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:6:p:734-770. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2000 | Market Response to Earnings Announcements and Interim Reports: An Analysis of SBF120 Companies In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 3 |
1993 | On Stock Market Returns and Returns on Investments. In: Working Papers. [Citation analysis] | paper | 44 |
1994 | On Stock Market Returns and Returns on Investment..(1994) In: Journal of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 44 | article | |
1993 | On stock market returns and returns on investment.(1993) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 44 | paper | |
2001 | A 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] | article | 73 |
2000 | A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies.(2000) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 73 | paper | |
1998 | A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies.(1998) In: HEC Research Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 73 | paper | |
1998 | A 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 nother version. Agregated cites: 73 | paper | |
2004 | The Bank Bias: Segmentation of French Fund Families In: Working papers. [Full Text][Citation analysis] | paper | 4 |
2004 | Optimal Portfolio Allocation Under Higher Moments In: Working papers. [Full Text][Citation analysis] | paper | 155 |
2006 | Optimal Portfolio Allocation under Higher Moments.(2006) In: European Financial Management. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 155 | article | |
1998 | Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral In: Working papers. [Full Text][Citation analysis] | paper | 2 |
1998 | Reading 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] | paper | 4 |
1998 | Reading 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 nother version. Agregated cites: 4 | paper | |
1999 | Estimating Gram-Charlier Expansions with Positivity Constraints. In: Working papers. [Full Text][Citation analysis] | paper | 1 |
1999 | The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets. In: Working papers. [Full Text][Citation analysis] | paper | 19 |
1999 | The Tail Behavior of Stock Returns: Emerging versus Mature Markets.(1999) In: HEC Research Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
2000 | Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence. In: Working papers. [Full Text][Citation analysis] | paper | 10 |
2000 | Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence.(2000) In: HEC Research Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2000 | Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence.(2000) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2001 | Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis. In: Working papers. [Full Text][Citation analysis] | paper | 41 |
2002 | Entropy densities with an application to autoregressive conditional skewness and kurtosis.(2002) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 41 | article | |
2001 | Conditional Dependency of Financial Series: An Application of Copulas. In: Working papers. [Full Text][Citation analysis] | paper | 33 |
2001 | Conditional dependency of financial series : an application of copulas.(2001) In: HEC Research Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 33 | paper | |
2001 | Conditional Dependency of Financial Series: An Application of Copulas.(2001) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 33 | paper | |
2002 | Asset Allocation in Transition Economies. In: Working papers. [Full Text][Citation analysis] | paper | 0 |
2002 | Asset Allocation in Transition Economies.(2002) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2006 | The Economic Value of Distributional Timing In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 5 |
2006 | The Impact of News on Higher Moments In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
2009 | Fourth Order Pseudo Maximum Likelihood Methods In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 7 |
2011 | Fourth Order Pseudo Maximum Likelihood Methods.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2011 | Fourth order pseudo maximum likelihood methods.(2011) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
2011 | Fourth order pseudo maximum likelihood methods.(2011) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2009 | Optimal Liquidation Strategies in Illiquid Markets In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2010 | Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2010 | Moment Component Analysis: An Illustration with International Stock Markets In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 8 |
2018 | Moment Component Analysis: An Illustration With International Stock Markets.(2018) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
2012 | Systemic Risk in Europe In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 113 |
2015 | Systemic Risk in Europe.(2015) In: Review of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 113 | article | |
2013 | Systemic Risk in Europe.(2013) In: Global Credit Review (GCR). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 113 | article | |
2014 | Systemic Risk in Europe.(2014) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 113 | chapter | |
2013 | Long-Term Portfolio Management with a Structural Macroeconomic Model In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2016 | Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 11 |
2015 | Estimating 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 nother version. Agregated cites: 11 | article | |
2014 | Optimal Long-Term Allocation with Pension Fund Liabilities In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2016 | Forecasting Financial Returns with a Structural Macroeconomic Model In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
2017 | Periodic or Generational Actuarial Tables: Which One to Choose? In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
1998 | Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 55 |
2000 | Reading 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 nother version. Agregated cites: 55 | article | |
1997 | Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities.(1997) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 55 | paper | |
1998 | Reading Interest Rate and Bond Futures Options Smiles Around the 1997 French Snap Election In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2001 | New Extreme-Value Dependence Measures and Finance Applications In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 9 |
2001 | New Extreme-Value Dependance Measures and Finance Applications.(2001) In: HEC Research Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2001 | New Extreme-Value Dependance Measures and Finance Applications.(2001) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2003 | DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATION In: Econometric Theory. [Full Text][Citation analysis] | article | 29 |
2000 | Entropy densities In: HEC Research Papers Series. [Full Text][Citation analysis] | paper | 3 |
2000 | Entropy Densities.(2000) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2001 | Testing for differences in the tails of stock-market returns In: HEC Research Papers Series. [Full Text][Citation analysis] | paper | 70 |
2003 | Testing for differences in the tails of stock-market returns.(2003) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 70 | article | |
2001 | Testing for differences in the tails of stock-market returns.(2001) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 70 | paper | |
2001 | Portfolio allocation in transition economies In: HEC Research Papers Series. [Full Text][Citation analysis] | paper | 0 |
2001 | Portfolio allocation in transition economies.(2001) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
1997 | The Devils Horns Problem of Inverting Confluent Characteristic Functions In: Econometrica. [Citation analysis] | article | 1 |
2001 | Gram-Charlier densities In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 83 |
2003 | Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 212 |
2003 | Users guide In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 1 |
2008 | Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 21 |
2004 | Predicting 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 nother version. Agregated cites: 21 | paper | |
2013 | Market liquidity and institutional trading during the 2007–8 financial crisis In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 6 |
2001 | Reading PIBOR futures options smiles: The 1997 snap election In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 18 |
2000 | The Evolution of Stock Markets in Transition Economies In: Journal of Comparative Economics. [Full Text][Citation analysis] | article | 61 |
2006 | The Copula-GARCH model of conditional dependencies: An international stock market application In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 347 |
2005 | Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion? In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 19 |
2005 | Estimation of Jump-Diffusion Process vis Empirical Characteristic Function In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
2002 | Conditional Dependency of Financial Series: The Copula-GARCH Model In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 15 |
2002 | The Allocation of Assets Under Higher Moments In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
1998 | Estimating Gram-Charlier Expansions Under Positivity Constraints In: Working Papers. [Citation analysis] | paper | 2 |
1997 | Information Content of Russian Stock Indices In: Working Papers. [Citation analysis] | paper | 0 |
1997 | Estimation et interprétation des densités neutres au risque: une comparaison de méthodes In: Working Papers. [Citation analysis] | paper | 3 |
1997 | Density-embedding Functions In: Working Papers. [Citation analysis] | paper | 7 |
1997 | Density-Embedding Functions.(1997) In: Discussion Papers. [Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
1997 | Testing the Fisher Relation: the Russian Case In: Working Papers. [Citation analysis] | paper | 1 |
1996 | Volatility Indices for the French Financial Market In: Working Papers. [Citation analysis] | paper | 0 |
1995 | The devils horns: a problem with the densities of AR statistics In: Working Papers. [Citation analysis] | paper | 0 |
1995 | Determinants of Capital Flow to Mutual Funds In: Working Papers. [Citation analysis] | paper | 1 |
1994 | Volatility Clustering, Asymmetry and Hysteresis in Stock Returns: International Evidence In: Working Papers. [Citation analysis] | paper | 0 |
1994 | Regime Switching: Evidence for the French Stock Market In: Working Papers. [Citation analysis] | paper | 3 |
1994 | Switching Regressions of Unexpected Macroeconomic Events Explaining the French Stock Index In: Working Papers. [Citation analysis] | paper | 0 |
1992 | Remarks concerning traditional investment equations In: Working Papers. [Citation analysis] | paper | 0 |
1991 | Short horizons vs. empire building: some empirical evidence In: Working Papers. [Citation analysis] | paper | 0 |
1991 | Investment incentives in endogenously growing economies In: Working Papers. [Citation analysis] | paper | 0 |
1994 | Forecasting Conditional Volatility with Garch and Change of Regime Models: International Evidence In: Working Papers. [Citation analysis] | paper | 0 |
2009 | On the Importance of Time Variability in Higher Moments for Asset Allocation In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
2009 | The Impact of Shocks on Higher Moments In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 16 |
2015 | Long-term Portfolio Allocation Based on Long-term Macro forecasts In: Bankers, Markets & Investors. [Full Text][Citation analysis] | article | 0 |
2016 | Violating United Nations Global Compact Principles: An Event Study In: Bankers, Markets & Investors. [Full Text][Citation analysis] | article | 0 |
2019 | Predicting Long?Term Financial Returns: VAR versus DSGE Model—A Horse Race In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 0 |
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