Michael Rockinger : Citation Profile


Are you Michael Rockinger?

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

15

H index

18

i10 index

1107

Citations

RESEARCH PRODUCTION:

27

Articles

70

Papers

1

Chapters

RESEARCH ACTIVITY:

   28 years (1991 - 2019). See details.
   Cites by year: 39
   Journals where Michael Rockinger has often published
   Relations with other researchers
   Recent citing documents: 116.    Total self citations: 20 (1.77 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pro200
   Updated: 2020-10-17    RAS profile: 2020-09-01    
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Relations with other researchers


Works with:

Jondeau, Eric (8)

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 (26)

Sentana, Enrique (13)

Mora-Valencia, Andrés (10)

de Vries, Casper (10)

Ñíguez Grau, Trino (10)

Nguyen, Duc Khuong (10)

Violante, Francesco (8)

Pierdzioch, Christian (8)

Kerstens, Kristiaan (8)

Christoffersen, Peter (8)

Guidolin, Massimo (7)

Cites to:

Harvey, Campbell (36)

Campbell, John (29)

Engle, Robert (24)

Bollerslev, Tim (20)

Bekaert, Geert (19)

Jondeau, Eric (18)

Viceira, Luis (14)

Ait-Sahalia, Yacine (13)

de Vries, Casper (13)

Jagannathan, Ravi (12)

Stambaugh, Robert (12)

Main data


Where Michael Rockinger has published?


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

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

Recent works citing Michael Rockinger (2020 and 2019)


YearTitle of citing document
2019Interdependence and Risk Comparison of Slovak, Hungarian and Polish Stock Markets: Policy and Managerial Implications. (2019). Krasniqi, Besnik ; Aliu, Fisnik ; Knapkova, Adriana. In: Acta Oeconomica. RePEc:aka:aoecon:v:69:y:2019:i:2:p:273-287.

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2019Dynamic 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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2020A Term Structure Model for Dividends and Interest Rates. (2019). Willems, Sander ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1803.02249.

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2019The spread of a financial virus through Europe and beyond. (2019). , Delfim ; Rodrigues, Helena Sofia ; Kostylenko, Olena. In: Papers. RePEc:arx:papers:1901.07241.

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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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2019A 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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2020The Impact of Oil and Gold Prices Shock on Tehran Stock Exchange: A Copula Approach. (2020). Payandeh, Amir ; Ofoghi, Reza ; Qazvini, Marjan. In: Papers. RePEc:arx:papers:2001.11275.

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2020A study on the leverage effect on financial series using a TAR model: a Bayesian approach. (2020). Nieto, Fabio ; Espinosa, Oscar. In: Papers. RePEc:arx:papers:2002.05319.

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2020Tail 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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2020Modality for Scenario Analysis and Maximum Likelihood Allocation. (2020). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2005.02950.

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2019THE CAC 40 INDEX’S REACTION TO TERRORIST ATTACKS: THE CASE OF CHARLIE HEBDO. (2019). El, Khoury Rim. In: Studies in Business and Economics. RePEc:blg:journl:v:14:y:2019:i:2:p:55-72.

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2020Correlation Analysis of Stock Market and Fund Market Based on M-Copula-EGARCH-M-GED Model. (2020). Hongjun, Wang ; Ruihua, Wang. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:8:y:2020:i:3:p:240-252:n:3.

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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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2019Modeling the electricity spot price with switching regime semi-nonparametric distributions. (2019). Perote, Javier ; Cortés, Lina ; Cortes, Lina M ; Trespalacios, Alfredo. In: Documentos de Trabajo CIEF. RePEc:col:000122:017618.

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2020Firm size and economic concentration: An analysis from lognormal expansion. (2020). Perote, Javier ; Lozada, Juan M ; Cortes, Lina. In: Documentos de Trabajo CIEF. RePEc:col:000122:018185.

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2020The effect of the trading activities of banks on systemic risk: does banking industry concentration matter?. (2020). Kamani, Eric Fina. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00798.

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2020Risk aversion, prudence and temperance: It is a matter of gap between moments. (2020). Riccetti, Luca ; Colasante, Annarita. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:25:y:2020:i:c:s2214635019301522.

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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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2020Policy uncertainty and the capital shortfall of global financial firms. (2020). Papachristopoulou, Andromachi ; Panopoulou, Ekaterini ; Matousek, Roman. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s092911992030002x.

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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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2019Capturing deep tail risk via sequential learning of quantile dynamics. (2019). Yan, Xing ; Wu, QI. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:109:y:2019:i:c:s016518891930168x.

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2020The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

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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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2019Return spillovers around the globe: A network approach. (2019). Baumohl, Eduard ; Vrost, Toma ; Lyocsa, Tefan. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:133-146.

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2020Measuring systemic risk in the U.S. Banking system. (2020). Sanz, Ivan Pastor ; Lopez-Iturriaga, Felix J ; Kolari, James W. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:646-658.

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2019Liquidity shocks and institutional investors. (2019). Dang, Tung ; Zhang, Bohui ; Moshirian, Fariborz. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:184-209.

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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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2020Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies. (2020). Tiwari, Aviral ; Albulescu, Claudiu ; Wohar, Mark E ; Adewuyi, Adeolu O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818305497.

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2020Modelling conditional skewness: Heterogeneous beliefs, short sale restrictions and market declines. (2020). Shum, Wai Yan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300774.

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2020A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection. (2020). Tong, Yongbo ; Xu, Qifa ; Ding, Xiaoyi ; Jiang, Cuixia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300993.

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2020The economic and financial properties of crude oil: A review. (2020). Auer, Benjamin R ; Lang, Korbinian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940818302559.

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2020Risk dependence and cointegration between pharmaceutical stock markets: The case of China and the USA. (2020). Pérez-Rodríguez, Jorge ; Lopez-Valcarcel, Beatriz Gonzalez ; Perez-Rodriguez, Jorge V ; Qian, Huanhuan ; Zhou, Xinmiao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300723.

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2019Dynamic semiparametric models for expected shortfall (and Value-at-Risk). (2019). Ziegel, Johanna F ; Patton, Andrew J ; Chen, Rui. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:2:p:388-413.

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2019Large-scale portfolio allocation under transaction costs and model uncertainty. (2019). Hautsch, Nikolaus ; Voigt, Stefan. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:221-240.

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2019Consistent non-Gaussian pseudo maximum likelihood estimators. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:321-358.

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2020Nearest comoment estimation with unobserved factors. (2020). Boudt, Kris ; Verdonck, Tim ; Cornilly, Dries. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:381-397.

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2019Flexible dynamic vine copula models for multivariate time series data. (2019). Lysy, Martin ; Czado, Claudia ; Acar, Elif F. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:181-197.

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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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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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2020Volatility spillovers in commodity markets: A large t-vector autoregressive approach. (2020). Wilms, Ines ; Barbaglia, Luca ; Croux, Christophe. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303500.

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2020Moments-based spillovers across gold and oil markets. (2020). Lau, Chi Keung ; GUPTA, RANGAN ; Wang, Shixuan ; Marco, Chi Keung ; Bonato, Matteo. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301390.

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2019Can switching from gasoline to aromatics mitigate the price risk of refineries?. (2019). Catalão-Lopes, Margarida ; Loureno, Joo Carlos ; Catalo-Lopes, Margarida ; Quintino, Antonio. In: Energy Policy. RePEc:eee:enepol:v:134:y:2019:i:c:s0301421519305506.

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2020Uncertainty in electricity markets from a semi-nonparametric approach. (2020). Perote, Javier ; Cortes, Lina M ; Trespalacios, Alfredo. In: Energy Policy. RePEc:eee:enepol:v:137:y:2020:i:c:s0301421519306780.

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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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2019Global and regional stock market integration in Asia: A panel convergence approach. (2019). Caporale, Guglielmo Maria ; Chen, Lei ; You, Kefei. In: International Review of Financial Analysis. RePEc:eee:finana:v:65:y:2019:i:c:s1057521918306665.

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2020Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall. (2020). Perote, Javier ; Mora-Valencia, Andrés ; del Brio, Esther B. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521917301801.

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2019The effect of non-traditional banking activities on systemic risk: Does bank size matter?. (2019). Kamani, Eric Fina. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:297-305.

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2019Analysing dynamic dependence between gold and stock returns: Evidence using stochastic and full-range tail dependence copula models. (2019). Tiwari, Aviral ; Ji, Qiang ; Ibrahim, Muazu ; Boako, Gideon. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:s1544612318307104.

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2020Forecasting VaR using realized EGARCH model with skewness and kurtosis. (2020). Zhang, Huanming ; Xia, Michelle ; Wu, Xinyu. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318308067.

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2019Foreign expansion, competition and bank risk. (2019). Laffitte, Sébastien ; Faia, Ester. In: Journal of International Economics. RePEc:eee:inecon:v:118:y:2019:i:c:p:179-199.

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2020Expected utility approximation and portfolio optimisation. (2020). Sun, Chaofan ; Fahrenwaldt, Matthias A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:301-314.

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2019Measuring connectedness of euro area sovereign risk. (2019). Schienle, Melanie ; Buse, Rebekka. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:25-44.

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2020Forecast combinations for value at risk and expected shortfall. (2020). Taylor, James W. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:428-441.

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2019Asset prices and “the devil(s) you know”. (2019). Prokopczuk, Marcel ; Hollstein, Fabian ; Benno, Duc Binh. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:105:y:2019:i:c:p:20-35.

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2020Bank-based versus market-based financing: Implications for systemic risk. (2020). Houben, Aerdt ; Bats, Joost. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:114:y:2020:i:c:s0378426620300443.

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2020Modeling asset returns under time-varying semi-nonparametric distributions. (2020). Iguez, Trino-Manuel ; Leon, Angel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301369.

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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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2019Developing a hybrid analytics approach to measure the efficiency of deposit banks. (2019). Hacioglu, Umit ; Dincer, Hasan ; Delen, Dursun ; Tatoglu, Ekrem. In: Journal of Business Research. RePEc:eee:jbrese:v:104:y:2019:i:c:p:131-145.

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2019Should investors learn about the timing of equity risk?. (2019). Khapko, Mariana ; Hasler, Michael ; Marfe, Roberto. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:3:p:182-204.

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2020Did TARP reduce or increase systemic risk? The effects of government aid on financial system stability. (2020). Sedunov, John ; Roman, Raluca A ; Berger, Allen N. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:43:y:2020:i:c:s1042957319300129.

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2019On tail fatness of macroeconomic dynamics. (2019). Liu, Xiaochun. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:62:y:2019:i:c:s0164070418303367.

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2020Do portfolio investors need to consider the asymmetry of returns on the Russian stock market?. (2020). Lakshina, Valeriya. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:21:y:2020:i:c:s170349491930091x.

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2019Comovement between commodity sectors. (2019). Chen, Ziyue ; Zhang, Hao ; Cai, Guixin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:1247-1258.

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2020General solutions of the heat equation. (2020). Choi, M Y ; Kang, Hyuk ; Kim, Chansoo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:539:y:2020:i:c:s037843711931653x.

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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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2020Measuring co-dependencies of economic policy uncertainty in Latin American countries using vine copulas. (2020). Tiwari, Aviral ; Pradhan, Ashis ; GUPTA, RANGAN ; Çekin, Semih. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:207-217.

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2019Computational decision framework for enhancing resilience of the energy, water and food nexus in risky environments. (2019). Al-Ansari, Tareq ; Govindan, Rajesh. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:112:y:2019:i:c:p:653-668.

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2020Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China. (2020). Li, Steven ; Hou, Yang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:166-188.

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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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2020Correlation between the 2014 EU-wide stress tests and the market-based measures of systemic risk. (2020). Dissem, Sonia ; Lobez, Frederic. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531918300965.

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2020The impact of co-jumps in the oil sector. (2020). Mauad, Roberto ; Laurini, Márcio ; Lucena, Fernando Antonio. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919301758.

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2020Systemic risk, economic policy uncertainty and firm bankruptcies: Evidence from multivariate causal inference. (2020). Shchepeleva, Maria ; Stolbov, Mikhail. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919302570.

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2019Strategic Liquidity Mismatch and Financial Sector Stability. (2019). Silva, Andre. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2019-82.

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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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2019What Coins Lead in the Cryptocurrency Market: Using Copula and Neural Networks Models. (2019). Jun, Chulhee ; Kim, Jong-Min ; Lee, Jimin ; Hyun, Steve. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:3:p:132-:d:255984.

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2019Tail Dependence in Financial Markets: A Dynamic Copula Approach. (2019). Cortese, Federico Pasquale. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:4:p:116-:d:285787.

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2020Least Quartic Regression Criterion to Evaluate Systematic Risk in the Presence of Co-Skewness and Co-Kurtosis. (2020). Facchinetti, Silvia ; Bramante, Riccardo ; Arbia, Giuseppe. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:95-:d:410286.

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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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2020Multiscale Quantile Correlation Coefficient: Measuring Tail Dependence of Financial Time Series. (2020). Zhao, Xiaofang ; Ke, Jinchuan ; Xu, Chao. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:12:p:4908-:d:372235.

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2020Assessment of Conditional Dependence Structures in Commodity Futures Markets Using Copula-GARCH Models and Fuzzy Clustering Methods. (2020). Just, Magorzata ; Uczak, Aleksandra. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:6:p:2571-:d:336499.

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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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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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2019Analyzing Contagion Effect in Markets During Financial Crisis Using Stochastic Autoregressive Canonical Vine Model. (2019). Mehra, Aparna ; Goel, Anubha. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:3:d:10.1007_s10614-017-9772-7.

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2019A general closed form option pricing formula. (2019). Necula, Ciprian ; Farkas, Walter ; Drimus, Gabriel . In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:1:d:10.1007_s11147-018-9144-z.

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2020Option-implied information: What’s the vol surface got to do with it?. (2020). Walther, Simon ; Ulrich, Maxim. In: Review of Derivatives Research. RePEc:kap:revdev:v:23:y:2020:i:3:d:10.1007_s11147-020-09166-0.

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2019Security Analysis: An Investment Perspective. (2019). Zhang, Lu ; Xue, Chen ; Mo, Haitao ; Hou, Kewei. In: NBER Working Papers. RePEc:nbr:nberwo:26060.

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2019Refinement of the hedging ratio using copula-GARCH models. (2019). Raïs, Hassen ; Rais, Hassen ; Louhichi, Wael. In: Journal of Asset Management. RePEc:pal:assmgt:v:20:y:2019:i:5:d:10.1057_s41260-019-00133-5.

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2019Systemic risk in financial institutions of BRICS: measurement and identification of firm-specific determinants. (2019). Rashid, Abdul ; Zeb, Shumaila. In: Risk Management. RePEc:pal:risman:v:21:y:2019:i:4:d:10.1057_s41283-018-00048-2.

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2019Stock Markets: An Overview and A Literature Review. (2019). , Rjumohan. In: MPRA Paper. RePEc:pra:mprapa:101855.

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2020Sectoral dependence and contagion in the BRICS grouping: an application of the R-Vine copulas. (2020). Bonga-Bonga, Lumengo ; Hendriks, Johannes Jurgens. In: MPRA Paper. RePEc:pra:mprapa:102473.

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2019Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds. (2019). Fries, Sebastien. In: MPRA Paper. RePEc:pra:mprapa:97353.

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2019Testing the existence of moments for GARCH processes. (2019). Zakoian, Jean-Michel ; Francq, Christian. In: MPRA Paper. RePEc:pra:mprapa:98892.

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2019Bayesian comparison of bivariate Copula-GARCH and MGARCH models. (2019). Mokrzycka, Justyna . In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:11:y:2019:i:1:p:47-71.

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2020.

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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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article1
1993On Stock Market Returns and Returns on Investments. In: Working Papers.
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paper33
1994 On Stock Market Returns and Returns on Investment..(1994) In: Journal of Finance.
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article
1993On stock market returns and returns on investment.(1993) In: Working Papers.
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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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article57
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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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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paper
1998A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies.(1998) In: Working Papers.
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This paper has another version. Agregated cites: 57
paper
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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paper108
2006Optimal Portfolio Allocation under Higher Moments.(2006) In: European Financial Management.
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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.
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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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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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paper
2000Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence.(2000) In: Working Papers.
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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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paper35
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
2001Conditional Dependency of Financial Series: An Application of Copulas.(2001) In: Working Papers.
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paper
2002Asset Allocation in Transition Economies. In: Working papers.
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2002Asset Allocation in Transition Economies.(2002) In: Working Papers.
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paper
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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paper6
2011Fourth Order Pseudo Maximum Likelihood Methods.(2011) In: Working Papers.
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paper
2011Fourth order pseudo maximum likelihood methods.(2011) In: Journal of Econometrics.
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article
2011Fourth order pseudo maximum likelihood methods.(2011) In: Post-Print.
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paper
2008Fourth order pseudo maximum likelihood methods.(2008) In: Working Papers.
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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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paper3
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: 3
article
2012Systemic Risk in Europe In: Swiss Finance Institute Research Paper Series.
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paper44
2015Systemic Risk in Europe.(2015) In: Review of Finance.
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article
2013Systemic Risk in Europe.(2013) In: Global Credit Review (GCR).
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This paper has another version. Agregated cites: 44
article
2014Systemic Risk in Europe.(2014) In: World Scientific Book Chapters.
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This paper has another version. Agregated cites: 44
chapter
2013Long-Term Portfolio Management with a Structural Macroeconomic Model In: Swiss Finance Institute Research Paper Series.
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paper0
2016Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps In: Swiss Finance Institute Research Paper Series.
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paper9
2015Estimating the price impact of trades in a high-frequency microstructure model with jumps.(2015) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 9
article
2014Optimal Long-Term Allocation with Pension Fund Liabilities In: Swiss Finance Institute Research Paper Series.
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paper0
2016Forecasting Financial Returns with a Structural Macroeconomic Model In: Swiss Finance Institute Research Paper Series.
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paper1
2017Periodic or Generational Actuarial Tables: Which One to Choose? In: Swiss Finance Institute Research Paper Series.
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paper0
1998Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities In: CEPR Discussion Papers.
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paper43
1997Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities.(1997) In: Working Papers.
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paper
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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article
1998Reading Interest Rate and Bond Futures Options Smiles Around the 1997 French Snap Election In: CEPR Discussion Papers.
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paper0
2001New Extreme-Value Dependence Measures and Finance Applications In: CEPR Discussion Papers.
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paper10
2001New Extreme-Value Dependance Measures and Finance Applications.(2001) In: HEC Research Papers Series.
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paper
2001New Extreme-Value Dependance Measures and Finance Applications.(2001) In: Working Papers.
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paper
2003DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATION In: Econometric Theory.
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article25
2000Entropy densities In: HEC Research Papers Series.
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paper4
2000Entropy Densities.(2000) In: Working Papers.
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paper
2001Testing for differences in the tails of stock-market returns In: HEC Research Papers Series.
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paper58
2003Testing for differences in the tails of stock-market returns.(2003) In: Journal of Empirical Finance.
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article
2001Testing for differences in the tails of stock-market returns.(2001) In: Working Papers.
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paper
2001Portfolio allocation in transition economies In: HEC Research Papers Series.
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paper0
2001Portfolio allocation in transition economies.(2001) In: Working Papers.
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paper
1997The Devils Horns Problem of Inverting Confluent Characteristic Functions In: Econometrica.
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article1
2001Gram-Charlier densities In: Journal of Economic Dynamics and Control.
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article79
2003Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements In: Journal of Economic Dynamics and Control.
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article154
2003Users guide In: Journal of Economic Dynamics and Control.
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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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article15
2004Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data.(2004) In: FAME Research Paper Series.
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paper
2013Market liquidity and institutional trading during the 2007–8 financial crisis In: International Review of Financial Analysis.
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article4
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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article55
2006The Copula-GARCH model of conditional dependencies: An international stock market application In: Journal of International Money and Finance.
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article253
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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paper8
2002The Allocation of Assets Under Higher Moments In: FAME Research Paper Series.
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1998Estimating Gram-Charlier Expansions Under Positivity Constraints In: Working Papers.
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paper0
1997Information Content of Russian Stock Indices In: Working Papers.
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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.
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paper6
1997Density-Embedding Functions.(1997) In: Discussion Papers.
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paper
1997Testing the Fisher Relation: the Russian Case In: Working Papers.
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paper1
1996Volatility Indices for the French Financial Market In: Working Papers.
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paper0
1995The devils horns: a problem with the densities of AR statistics In: Working Papers.
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paper0
1995Determinants of Capital Flow to Mutual Funds In: Working Papers.
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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.
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paper1
1994Switching Regressions of Unexpected Macroeconomic Events Explaining the French Stock Index In: Working Papers.
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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.
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paper0
2009On the Importance of Time Variability in Higher Moments for Asset Allocation In: Journal of Financial Econometrics.
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article0
2009The Impact of Shocks on Higher Moments In: Journal of Financial Econometrics.
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article12
2015Long-term Portfolio Allocation Based on Long-term Macro forecasts In: Bankers, Markets & Investors.
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article0
2016Violating United Nations Global Compact Principles: An Event Study In: Bankers, Markets & Investors.
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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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