Michael Rockinger : Citation Profile


Are you Michael Rockinger?

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

14

H index

17

i10 index

965

Citations

RESEARCH PRODUCTION:

18

Articles

46

Papers

RESEARCH ACTIVITY:

   23 years (1991 - 2014). See details.
   Cites by year: 41
   Journals where Michael Rockinger has often published
   Relations with other researchers
   Recent citing documents: 147.    Total self citations: 19 (1.93 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pro200
   Updated: 2019-10-15    RAS profile: 2016-11-25    
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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 (22)

Sentana, Enrique (12)

Ñíguez Grau, Trino (10)

Nguyen, Duc Khuong (9)

Pierdzioch, Christian (8)

Violante, Francesco (8)

Christoffersen, Peter (8)

Kerstens, Kristiaan (8)

Mora-Valencia, Andrés (8)

de Vries, Casper (8)

Catania, Leopoldo (7)

Cites to:

Harvey, Campbell (36)

Engle, Robert (24)

Bollerslev, Tim (20)

Campbell, John (18)

Jondeau, Eric (18)

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 Financial Econometrics2
Journal of Empirical Finance2
Journal of International Money and Finance2
Journal of 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.

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2018Diffusion Copulas: Identification and Estimation. (2018). Kristensen, Dennis ; Hadri, Kaddour ; Bu, Ruijun. In: CREATES Research Papers. RePEc:aah:create:2018-20.

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2017An analysis of the interdependence between cash crop and staple food futures prices. (2017). Heckelei, Thomas ; Grosche, Stephanie-Carolin ; Mamoun, EL. In: Discussion Papers. RePEc:ags:ubfred:265665.

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

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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.

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2019A Term Structure Model for Dividends and Interest Rates. (2018). Filipovi, Damir ; Willems, Sander. In: Papers. RePEc:arx:papers:1803.02249.

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

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2019Conditional Density Estimation with Neural Networks: Best Practices and Benchmarks. (2019). Ulrich, Maxim ; Walther, Simon ; Ferreira, Fabio ; Rothfuss, Jonas. In: Papers. RePEc:arx:papers:1903.00954.

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2019Dynamic Dependence Modeling in financial time series. (2019). Aivaliotis, Georgios ; Liu, Haiyan ; Dou, Yali. In: Papers. RePEc:arx:papers:1908.05130.

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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.

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

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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.

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2018Portfolio Diversification Strategy Via Tail‐Dependence Clustering and ARMA‐GARCH Vine Copula Approach. (2018). Ji, Hao ; Liseo, Brunero ; Wang, Hao. In: Australian Economic Papers. RePEc:bla:ausecp:v:57:y:2018:i:3:p:265-283.

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2017The Role of the Conditional Skewness and Kurtosis in VIX Index Valuation. (2017). Lalancette, Simon ; Simonato, Jeana Guy. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:2:p:325-354.

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2017The Investment CAPM. (2017). Zhang, LU. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:4:p:545-603.

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

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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.

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2018The sparse method of simulated quantiles: An application to portfolio optimization. (2018). Stolfi, Paola ; Petrella, Lea ; Bernardi, Mauro. In: Statistica Neerlandica. RePEc:bla:stanee:v:72:y:2018:i:3:p:375-398.

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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.

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2018Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2018_1802.

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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.

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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.

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2019Firm size and concentration inequality: A flexible extension of Gibrat’s law. (2019). Perote, Javier ; Lozada, Juan M ; Cortes, Lina . In: Documentos de Trabajo CIEF. RePEc:col:000122:017205.

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2019Uncertainty in Electricity Markets from a seminonparametric Approach. (2019). Perote, Javier ; Cortes, Lina M ; Trespalacios, Alfredo. In: Documentos de Trabajo CIEF. RePEc:col:000122:017304.

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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.

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2018Consistent non-Gaussian pseudo maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12682.

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2018Risk-Adjusted Capital Allocation and Misallocation. (2018). David, Joel ; Zeke, David ; Schmid, Lukas. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13205.

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

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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.

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

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

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2019Harmful diversification: Evidence from alternative investments. (2019). Sutcliffe, Charles ; Sakkas, Athanasios ; Platanakis, Emmanouil. In: The British Accounting Review. RePEc:eee:bracre:v:51:y:2019:i:1:p:1-23.

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2019A classification point-of-view about conditional Kendall’s tau. (2019). Fermanian, Jean-David ; Derumigny, Alexis. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:135:y:2019:i:c:p:70-94.

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2019It only takes a few moments to hedge options. (2019). Santucci de Magistris, Paolo ; Sloth, David ; Barletta, Andrea. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:251-269.

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2019Markowitz with regret. (2019). Korn, Olaf ; Baule, Rainer ; Kuntz, Laura-Chloe . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:103:y:2019:i:c:p:1-24.

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2019Cojumps and asset allocation in international equity markets. (2019). Arouri, Mohamed ; Pukthuanthong, Kuntara ; Nguyen, Duc Khuong ; Msaddek, Oussama. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:98:y:2019:i:c:p:1-22.

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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.

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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.

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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.

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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.

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2019Extreme dependence and risk spillovers across north american equity markets. (2019). Warshaw, Evan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:237-251.

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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.

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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.

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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 ; Zeitun, Rami ; Hammoudeh, Shawkat ; Hussain, Syed Jawad ; Ur, Mobeen. In: Emerging Markets Review. RePEc:eee:ememar:v:32:y:2017:i:c:p:130-147.

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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.

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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.

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2019One country, two systems? The heavy-tailedness of Chinese A- and H- share markets. (2019). Ibragimov, Rustam ; Chen, Zhimin. In: Emerging Markets Review. RePEc:eee:ememar:v:38:y:2019:i:c:p:115-141.

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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.

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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.

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2018Crash risk and risk neutral densities. (2018). Chen, Ren-Raw ; Huang, Jeffrey ; Hsieh, Pei-Lin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:162-189.

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2018Portfolio optimisation under flexible dynamic dependence modelling. (2018). Bernardi, Mauro ; Catania, Leopoldo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:1-18.

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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.

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2019Risk dependence of CoVaR and structural change between oil prices and exchange rates: A time-varying copula model. (2019). Fan, Ying ; Liu, Bing-Yue ; Ji, Qiang. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:80-92.

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2019A copula-GARCH approach for analyzing dynamic conditional dependency structure between liquefied petroleum gas freight rate, product price arbitrage and crude oil price. (2019). Lee, Jasmine Siu ; Bai, Xiwen. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:412-427.

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2019Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach. (2019). Naji, Jalkh ; Elie, Bouri ; Uddin, Gazi Salah ; Dutta, Anupam. In: Energy. RePEc:eee:energy:v:178:y:2019:i:c:p:544-553.

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2018The contagion effect in European sovereign debt markets: A regime-switching vine copula approach. (2018). BenSaïda, Ahmed ; Bensaida, Ahmed. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:153-165.

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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.

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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.

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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.

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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.

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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.

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2018A new GARCH model with higher moments for stock return predictability. (2018). Narayan, Paresh Kumar ; Liu, Ruipeng. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:93-103.

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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.

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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.

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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.

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2018Value at risk and expected shortfall based on Gram-Charlier-like expansions. (2018). Zoia, Maria ; Nicolussi, Federica ; Biffi, Paola . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:93:y:2018:i:c:p:92-104.

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2019A non-structural investigation of VIX risk neutral density. (2019). Santucci de Magistris, Paolo ; Violante, Francesco ; Barletta, Andrea. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:1-20.

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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.

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2018The reality of stock market jumps diversification. (2018). Chen, KE ; Poon, Ser-Huang ; Hyde, Stuart ; Vitiello, Luiz . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:171-188.

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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.

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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.

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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.

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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.

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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.

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2018Long-range dependencies of Eastern European stock markets: A dynamic detrended analysis. (2018). Ferreira, Paulo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:454-470.

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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.

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2018Quantile dependence between the stock, bond and foreign exchange markets – Evidence from the UK. (2018). Raza, Hamid ; Wu, Weiou. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:286-296.

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2018Extreme co-movements and dependencies among major international exchange rates: A copula approach. (2018). Tiwari, Aviral ; Albulescu, Claudiu ; Goyeau, Daniel ; Aubin, Christian. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:56-69.

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2019Measuring persistence of dependence between crude oil prices and GCC stock markets: A copula approach. (2019). Mokni, Khaled ; Youssef, Manel . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:72:y:2019:i:c:p:14-33.

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2018The dependence structure between Chinese and other major stock markets using extreme values and copulas. (2018). Hussain, Saiful Izzuan ; Li, Steven. In: International Review of Economics & Finance. RePEc:eee:reveco:v:56:y:2018:i:c:p:421-437.

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2018Dynamic hedging performance and downside risk: Evidence from Nikkei index futures. (2018). Ubukata, Masato. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:270-281.

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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.

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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.

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

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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.

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

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2019Dynamical Volatility and Correlation among US Stock and Treasury Bond Cash and Futures Markets in Presence of Financial Crisis: A Copula Approach. (2019). Li, Weny ; Wang, Teng-Kun ; Liu, Hsiang-Hsi. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:381-396.

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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.

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2018Effects of Macroeconomic Indicators on the Financial Markets Interrelations. (2018). Czapkiewicz, Anna ; Landmesser, Joanna ; Jamer, Pawel. In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:68:y:2018:i:3:p:268-293.

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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.

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

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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.

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2018Using Grey Incidence Analysis Approach in Portfolio Selection. (2018). Krinjari, Tihana ; Ego, Boko. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:7:y:2018:i:1:p:1-:d:192789.

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2019Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature. (2019). Rastogi, Shailesh ; Patil, Ashok Chanabasangouda. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:105-:d:242195.

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2019Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time. (2019). Petrov, Vladimir ; Olsen, Richard ; Golub, Anton . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:54-:d:219095.

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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.

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2019Macro Asset Allocation with Social Impact Investments. (2019). Marinelli, Nicoletta ; Giacomini, Emanuela ; Cerqueti, Roy ; Biasin, Massimo ; Riccetti, Luca ; Quaranta, Anna Grazia. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:11:p:3140-:d:237010.

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2019Financial Risk Contagion in Stock Markets: Causality and Measurement Aspects. (2019). Gao, Wangfeng ; Xu, Guoxiang. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:5:p:1402-:d:211569.

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2019An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection. (2019). Mazur, Stepan ; Gulliksson, Mrten. In: Working Papers. RePEc:hhs:oruesi:2019_003.

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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.

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2019Dynamic analysis of implied risk neutral density. (2019). Boujelbene, Younes ; Aloulou, Abderrahmen. In: International Journal of Monetary Economics and Finance. RePEc:ids:ijmefi:v:12:y:2019:i:1:p:39-58.

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

Works by Michael Rockinger:


YearTitleTypeCited
1993On Stock Market Returns and Returns on Investments. In: Working Papers.
[Citation analysis]
paper32
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: 32
article
1993On stock market returns and returns on investment.(1993) In: Working Papers.
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This paper has another version. Agregated cites: 32
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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article50
2004The Bank Bias: Segmentation of French Fund Families In: Working papers.
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paper0
2004Optimal Portfolio Allocation Under Higher Moments In: Working papers.
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paper97
2006Optimal Portfolio Allocation under Higher Moments.(2006) In: European Financial Management.
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This paper has another version. Agregated cites: 97
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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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.
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paper0
1999The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets. In: Working papers.
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paper15
1999The Tail Behavior of Stock Returns: Emerging versus Mature Markets.(1999) In: HEC Research Papers Series.
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This paper has another version. Agregated cites: 15
paper
2000Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence. In: Working papers.
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paper8
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: 8
paper
2001Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis. In: Working papers.
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paper31
2002Entropy densities with an application to autoregressive conditional skewness and kurtosis.(2002) In: Journal of Econometrics.
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article
2001Conditional Dependency of Financial Series: An Application of Copulas. In: Working papers.
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paper26
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: 26
paper
2002Asset Allocation in Transition Economies. In: Working papers.
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paper0
2006The Economic Value of Distributional Timing In: Swiss Finance Institute Research Paper Series.
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paper3
2006The Impact of News on Higher Moments In: Swiss Finance Institute Research Paper Series.
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paper2
2009Fourth Order Pseudo Maximum Likelihood Methods In: Swiss Finance Institute Research Paper Series.
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paper5
2011Fourth Order Pseudo Maximum Likelihood Methods.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 5
paper
2011Fourth order pseudo maximum likelihood methods.(2011) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 5
article
2008Fourth order pseudo maximum likelihood methods.(2008) In: Working Papers.
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This paper has another version. Agregated cites: 5
paper
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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paper1
2014Optimal 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]
paper42
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: 42
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: 42
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]
paper6
1998A 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 another version. Agregated cites: 6
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: 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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article24
2000Entropy densities In: HEC Research Papers Series.
[Full Text][Citation analysis]
paper4
2001Testing for differences in the tails of stock-market returns In: HEC Research Papers Series.
[Full Text][Citation analysis]
paper55
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: 55
article
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]
article73
2003Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article138
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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article12
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: 12
paper
2001Reading PIBOR futures options smiles: The 1997 snap election In: Journal of Banking & Finance.
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article14
2000The Evolution of Stock Markets in Transition Economies In: Journal of Comparative Economics.
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article54
2006The Copula-GARCH model of conditional dependencies: An international stock market application In: Journal of International Money and Finance.
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article225
2005Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion? In: FAME Research Paper Series.
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paper6
2005Estimation of Jump-Diffusion Process vis Empirical Characteristic Function In: FAME Research Paper Series.
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paper1
2002Conditional Dependency of Financial Series: The Copula-GARCH Model In: FAME Research Paper Series.
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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]
paper1
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]
article11
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, 1st 2019. Contact: CitEc Team