Michael Rockinger : Citation Profile

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

18

H index

23

i10 index

1667

Citations

RESEARCH PRODUCTION:

34

Articles

70

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   34 years (1991 - 2025). See details.
   Cites by year: 49
   Journals where Michael Rockinger has often published
   Relations with other researchers
   Recent citing documents: 93.    Total self citations: 23 (1.36 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pro200
   Updated: 2025-12-27    RAS profile: 2025-10-09    
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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 (28)

Sentana, Enrique (16)

Ñíguez Grau, Trino (16)

Nguyen, Duc Khuong (12)

Kerstens, Kristiaan (12)

Mora-Valencia, Andrés (11)

Cortés, Lina (10)

Hadri, Kaddour (10)

Santucci de Magistris, Paolo (9)

Billio, Monica (9)

Santucci de Magistris, Paolo (9)

Cites to:

Harvey, Campbell (41)

Campbell, John (35)

Bollerslev, Tim (33)

Engle, Robert (29)

Jondeau, Eric (23)

Bekaert, Geert (23)

Ait-Sahalia, Yacine (15)

Stambaugh, Robert (14)

Jagannathan, Ravi (14)

Viceira, Luis (14)

de Vries, Casper (13)

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 Finance3
Journal of Empirical Finance2
Journal of Banking & Finance2
Bankers, Markets & Investors2
Journal of Econometrics2
Journal of Financial Econometrics2

Working Papers Series with more than one paper published# docs
Working Papers / HAL26
Swiss Finance Institute Research Paper Series / Swiss Finance Institute13
HEC Research Papers Series / HEC Paris8
FAME Research Paper Series / International Center for Financial Asset Management and Engineering5
CEPR Discussion Papers / C.E.P.R. Discussion Papers4

Recent works citing Michael Rockinger (2025 and 2024)

YearTitle of citing document
2024Dynamic Linkages in Agricultural and Energy Markets: A Quantile Impulse Response Approach. (2024). Wang, Linjie ; Li, Jian ; Chavas, Jean-Paul. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343541.

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2024Option Pricing Revisited: The Role of Price Volatility and Dynamics. (2024). Wang, Linjie ; Li, Jian ; Chavas, Jean-Paul. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343544.

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2024Dynamic Linkages in Agricultural and Energy Markets: A Quantile Impulse Response Approach. (2024). Li, Jian ; Chavas, Jean-Paul ; Wang, Linjie. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea24:343541.

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2024Option Pricing Revisited: The Role of Price Volatility and Dynamics. (2024). Wang, Linjie ; Chavas, Jean-Paul ; Li, Jian. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea24:343544.

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2024Calendar Effects on Returns, Volatility and Higher Moments: Evidence from Crypto Markets. (2024). Lawuobahsumo, Kokulo ; Algieri, Bernardina ; Leccadito, Arturo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2024001.

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2024Forecasting and Backtesting Gradient Allocations of Expected Shortfall. (2024). Koike, Takaaki. In: Papers. RePEc:arx:papers:2401.11701.

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2024Navigating Market Turbulence: Insights from Causal Network Contagion Value at Risk. (2024). Cook, Samantha ; Rigana, Katerina ; Wit, Ernst C. In: Papers. RePEc:arx:papers:2402.06032.

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2024Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2404.04335.

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2024Systematic comparison of deep generative models applied to multivariate financial time series. (2024). Caulfield, Howard ; Gleeson, James P. In: Papers. RePEc:arx:papers:2412.06417.

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2024Modeling coskewness with zero correlation and correlation with zero coskewness. (2024). Vanduffel, Steven ; Chen, Jinghui ; Bernard, Carole. In: Papers. RePEc:arx:papers:2412.13362.

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2025Systemic Risk in the European Insurance Sector. (2025). Borri, Nicola ; di Giorgio, Giorgio ; Consiglio, Andrea ; Bonaccolto, Giovanni. In: Papers. RePEc:arx:papers:2505.02635.

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2025Higher moments under dependence uncertainty with applications in insurance. (2025). Vanduffel, Steven ; Bernard, Carole ; Chen, Jinghui. In: Papers. RePEc:arx:papers:2508.16600.

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2025Hedging Options on Asset Portfolios against Just One Underlying Asset in the Presence of Transaction Costs. (2025). Nanyonga, Erina ; Davison, Matt. In: Papers. RePEc:arx:papers:2509.07718.

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2025Mean-tail Gini framework for optimal portfolio selection. (2025). Shanthirajah, Judeto ; Ricci, Stephano ; Furman, Edward ; Chen, Jinghui. In: Papers. RePEc:arx:papers:2509.17225.

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2025Estimation of Non-Gaussian SVAR Using Tensor Singular Value Decomposition. (2025). Stevanovic, Dalibor ; Guay, Alain. In: Working Papers. RePEc:bbh:wpaper:25-03.

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2024Dynamic linkages in agricultural and energy markets: A quantile impulse response approach. (2024). Wang, Linjie ; Li, Jian ; Chavas, Jeanpaul. In: Agricultural Economics. RePEc:bla:agecon:v:55:y:2024:i:4:p:639-676.

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2024Pandemic Tail Risk. (2024). Marfe, Roberto ; Corvino, Raffaele ; Breugem, Matthijs ; Schonleber, Lorenzo. In: Carlo Alberto Notebooks. RePEc:cca:wpaper:714.

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2025Tail-Risk Indicators with Time-Variant Volatility Models: the case of the Chilean Peso. (2025). Estef, Catalina ; Alfaro, Rodrigo. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:1041.

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2025The Theoretical Properties of Novel Risk-Based Asset Allocation Strategies using Portfolio Volatility and Kurtosis. (2025). Riso, Luigi ; Braga, Maria Debora ; Zoia, Maria Grazia. In: DISCE - Working Papers del Dipartimento di Politica Economica. RePEc:ctc:serie5:dipe0044.

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2024Nonparametric portfolio efficiency measurement with higher moments. (2024). Kruger, Jens J. In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL). RePEc:dar:wpaper:144371.

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2024The nonlinear effects of banks’ vulnerability to capital depletion in euro area countries. (2024). Davidson, Sharada Nia ; Moccero, Diego Nicolas. In: Working Paper Series. RePEc:ecb:ecbwps:20242912.

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2024Sustainable risk preferences on asset allocation: a higher order optimal portfolio study. (2024). Esparcia, Carlos ; Diaz, Antonio ; Escribano, Ana. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000029.

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2024Estimation of expected return integrating real-time asset prices implied information and historical data. (2024). Li, Zhongfei ; Huang, YI ; Zhu, Shushang ; Wang, Shikun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:167:y:2024:i:c:s0165188924001234.

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2025Who is smarter? Evidence from extreme financial risk contagion in hedge funds and mutual funds. (2025). Fu, Xinxin ; Luo, Changqing ; Dong, Liang ; Chen, Carl R. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002080.

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2025A RGARCH-CARR-SK model: A new high-frequency volatility forecasting and risk measurement model based on dynamic higher moments and generalized realized measures. (2025). Chen, Zhenlong ; Zhou, Qingnan ; Liu, Junjie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000488.

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2025Calendar effects on returns, volatility and higher moments: Evidence from crypto markets. (2025). Algieri, Bernardina ; Lawuobahsumo, Kokulo K ; Leccadito, Arturo ; Zahid, Iliess. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:79:y:2025:i:c:s1062940825000816.

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2025Change point analysis in data with heavy tails: A Normal Inverse Gaussian approach. (2025). Kumar, Arun ; Garg, Bhavesh ; Rani, Meenu. In: Economics Letters. RePEc:eee:ecolet:v:254:y:2025:i:c:s0165176525003143.

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2024Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures. (2024). Li, Yifan ; Pham, Manh Cuong ; Nolte, Ingmar. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000940.

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2024Evolving efficiency of the BRICS markets. (2024). Kulikova, Maria V ; Yu, Gennady ; Taylor, David R. In: Economic Systems. RePEc:eee:ecosys:v:48:y:2024:i:1:s093936252300105x.

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2024Big portfolio selection by graph-based conditional moments method. (2024). Zhu, Zhoufan ; Zhang, Ningning. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000689.

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2024Extant linkages between Shanghai crude oil and US energy futures: Insights from spillovers of higher-order moments. (2024). Sensoy, Ahmet ; Goodell, John W ; Dionisio, Andreia ; Banerjee, Ameet Kumar. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324003918.

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2024Risk premium, price of risk and expected volatility in the oil market: Evidence from survey data. (2024). Uctum, Remzi ; Prat, Georges. In: Energy Economics. RePEc:eee:eneeco:v:140:y:2024:i:c:s0140988324006388.

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2025The asymmetric response of higher-order moments of precious metals to energy shocks and financial stresses: Evidence from time-frequency connectedness approach. (2025). He, Miao ; Zhang, Hongwei ; Jin, Xiaoman ; Gao, Wang. In: Energy Economics. RePEc:eee:eneeco:v:142:y:2025:i:c:s0140988324008806.

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2025Does digital transformation affect systemic risk? Evidence from the banking sector in China. (2025). Sun, Naili ; Xia, Yufei ; Li, Yawen. In: International Review of Financial Analysis. RePEc:eee:finana:v:102:y:2025:i:c:s1057521925002248.

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2024Does systemic risk in the fund markets predict future economic downturns?. (2024). Liu, Xiao-Xing ; Zhou, Dong-Hai. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000218.

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2024State-dependent intra-day volatility pattern and its impact on price jump detection - Evidence from international equity indices. (2024). Tsai, Ping Chen ; Wang, Chou Wen ; Eom, Cheoljun. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003442.

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2024Systemic risk effects of climate transition on financial stability. (2024). Ugolini, Andrea ; Reboredo, Juan ; Ojea-Ferreiro, Javier. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006549.

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2024Measuring systemic risk contribution: A higher-order moment augmented approach. (2024). Wang, Peiwen ; Huang, Guanglin. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323012059.

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2025New bounds for tail risk measures. (2025). Len, Ngel ; Guez, Trino-Manuel ; Carnero, Ngeles M. In: Finance Research Letters. RePEc:eee:finlet:v:75:y:2025:i:c:s1544612325001527.

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2024Social responsibility and bank resiliency. (2024). Iannino, Maria Chiara ; Gehrig, Thomas ; Unger, Stephan. In: Journal of Financial Stability. RePEc:eee:finsta:v:70:y:2024:i:c:s1572308923000918.

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2024Too-systemic-to-fail: Empirical comparison of systemic risk measures in the Eurozone financial system. (2024). Armanious, Amir. In: Journal of Financial Stability. RePEc:eee:finsta:v:73:y:2024:i:c:s1572308924000585.

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2024Climate policy uncertainty and bank systemic risk: A creative destruction perspective. (2024). Liu, Yulin ; Wang, Junbo ; Wen, Fenghua ; Wu, Chunchi. In: Journal of Financial Stability. RePEc:eee:finsta:v:73:y:2024:i:c:s1572308924000743.

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2024Leveraged finance exposure in the banking system: Systemic risk and interconnectedness. (2024). Stanghellini, Elena ; Tanzi, Musile P ; Ranalli, M G ; de Novellis, G. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001580.

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2025Risk and return spillovers among developed and emerging market currencies. (2025). Steenkamp, Daan ; Greenwood-Nimmo, Matthew ; van Jaarsveld, Rossouw. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:98:y:2025:i:c:s1042443124001525.

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20242T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns: Out-of-sample comparison of conditional EVT models. (2024). Tomlinson, Matthew F ; Mucha-Kruczyski, Marcin ; Greenwood, David. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:324-347.

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2024Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Fritzsch, Simon ; Timphus, Maike ; Weiss, Gregor. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002261.

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2024Cash holdings in pension funds. (2024). Hasa, Sidita ; Salva, Carolina. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000323.

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2024Pandemic tail risk. (2024). Marfe, Roberto ; Corvino, Raffaele ; Breugem, Matthijs ; Schonleber, Lorenzo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:167:y:2024:i:c:s0378426624001717.

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2025Social media-based attention and the cross-section of cryptocurrency returns. (2025). Matre, Arnaud T ; Weigert, Florian ; Pugachyov, Nikolay. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:178:y:2025:i:c:s0378426625001384.

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2024Estimating and testing investment-based asset pricing models. (2024). Salomao, Juliana ; Deng, Yao ; Belo, Frederico. In: Journal of Financial Economics. RePEc:eee:jfinec:v:162:y:2024:i:c:s0304405x24001685.

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2024The skewness of mean–variance normal mixtures. (2024). Loperfido, Nicola. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:199:y:2024:i:c:s0047259x2300088x.

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2024Multivariate directional tail-weighted dependence measures. (2024). Li, Xiaoting ; Joe, Harry. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:203:y:2024:i:c:s0047259x24000265.

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2024Option pricing revisited: The role of price volatility and dynamics. (2024). Wang, Linjie ; Li, Jian ; Chavas, Jean-Paul. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000715.

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2025Examining perceived spillovers among climate risk, fossil fuel, renewable energy, and carbon markets: A higher-order moment and quantile analysis. (2025). Cui, Jinxin ; Maghyereh, Aktham. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000145.

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2024Parameter learning in production economies. (2024). Kozhan, Roman ; Babiak, Mykola. In: Journal of Monetary Economics. RePEc:eee:moneco:v:144:y:2024:i:c:s0304393224000084.

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2024Measuring spatial impacts and tracking cross-border risk. (2024). Xiao, Yang ; Wang, BO. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:50-84.

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2024Gold in household portfolios during a pandemic: Evidence from India. (2024). Mohapatra, Sanket ; Chatterjee, Oindrila ; Gopalakrishnan, Balagopal. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pa:p:1288-1306.

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2024Risk connectedness between international oil and stock markets during the COVID-19 pandemic and the Russia-Ukraine conflict: Fresh evidence from the higher-order moments. (2024). Maghyereh, Aktham ; Cui, Jinxin ; Liao, Dijia. In: International Review of Economics & Finance. RePEc:eee:reveco:v:95:y:2024:i:c:s1059056024004623.

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2024Modeling dynamic higher-order comoments for portfolio selection based on copula approach. (2024). Ke, Rui ; Yang, Dong ; Wang, Yanfeng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pb:s1059056024006609.

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2024Performance of crypto-Forex portfolios based on intraday data. (2024). Lopez, Raquel ; Esparcia, Carlos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000096.

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2024The football world upside down: Traditional equities as an alternative for the new fan tokens? A portfolio optimization study. (2024). Esparcia, Carlos ; Diaz, Antonio. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002897.

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2025Higher-order moment and cross-moment spillovers among MENA stock markets: Insights from geopolitical risks and global fear. (2025). Hoque, Mohammad Enamul ; Elsayed, Ahmed H ; Cui, Jinxin ; Helmi, Mohamad Husam. In: Research in International Business and Finance. RePEc:eee:riibaf:v:77:y:2025:i:pa:s0275531925001412.

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2025Stock illiquidity and economic policy uncertainty in Chinese security market. (2025). Xie, Linyin. In: Research in International Business and Finance. RePEc:eee:riibaf:v:78:y:2025:i:c:s0275531925002776.

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2025On the risk commonality of US tech firms: Relevance and determinants. (2025). Grundke, Peter ; Rohde, Kai ; Dinger, Valeriya. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:217:y:2025:i:c:s0040162524007662.

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2025Performance of Pairs Trading Strategies Based on Various Copula Methods. (2025). Sun, Yufei. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:9:p:506-:d:1747789.

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2025From Inequality to Extremes and Back: A Lorenz Representation of the Pickands Dependence Function. (2025). Fontanari, Andrea ; Cirillo, Pasquale. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:13:p:2047-:d:1683715.

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2025Estimating Skewness and Kurtosis for Asymmetric Heavy-Tailed Data: A Regression Approach. (2025). Kim, Heejin. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:16:p:2694-:d:1729540.

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2024The Mediating Role of Supply Chain Integration in the Relationship Between Supply Chain Strategy and Logistics Performance. (2024). Erturgut, Ramazan ; Dadeviren, Ibrahim Ethem. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:21:p:9514-:d:1511923.

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2025Research on the Interlinked Mechanism of Agricultural System Risks from an Industry Perspective. (2025). Yuan, Shiyi ; Li, Ganqiong ; Liu, Baohua ; Yang, Miao. In: Sustainability. RePEc:gam:jsusta:v:17:y:2025:i:10:p:4719-:d:1660567.

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2024Optimizing Cryptocurrency Portfolios: A Comparative Study of Rebalancing Strategies. (2024). Sakolvieng, Nichanan. In: GATR Journals. RePEc:gtr:gatrjs:jfbr220.

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2024Risk premium, price of risk and expected volatility in the oil market: Evidence from survey data. (2024). Uctum, Remzi ; Prat, Georges. In: Post-Print. RePEc:hal:journl:hal-04873466.

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2024Empirical Performance of an ESG Assets Portfolio from US Market. (2024). SADEFO KAMDEM, Jules ; Benhmad, Franois ; Pokou, Fredy. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:3:d:10.1007_s10614-023-10491-3.

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2025Multi-Stage International Portfolio Selection with Factor-Based Scenario Tree Generation. (2025). Ji, Bingbing ; Chen, Zhiping ; Mei, YU ; Liu, Jia. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:1:d:10.1007_s10614-024-10699-x.

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2025Non-standard monetary policy measures and bank systemic risk in the Eurozone. (2025). Vu, Anh Nguyet ; Katsiampa, Paraskevi. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:64:y:2025:i:4:d:10.1007_s11156-024-01339-4.

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2024An alternative representation of the C-CAPM with higher-order risks. (2024). Li, Jingyuan ; Dionne, Georges ; Okou, Cedric. In: The Geneva Risk and Insurance Review. RePEc:pal:genrir:v:49:y:2024:i:2:d:10.1057_s10713-023-00085-2.

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2025Dynamic Conditional Correlations and Risk Spread between International Financial Markets: A DCC-Garch Analysis. (2025). Albu, Lucian Liviu ; Dima, Tefana Maria ; Ioan, Roxana ; Ionacui, Anca Saraolu ; Siminica, Marian Ilie. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2025:i:1:p:5-22.

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2024Estimation of Non-Gaussian Factors Using Higher-order Multi-cumulants in Weak Factor Models. (2024). Boudt, Kris ; Lu, Wanbo ; Huang, Guanglin. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:24/1085.

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2024Dependence Structure among Carbon Markets around the World: New Evidence from GARCH-Copula Analysis. (2024). Mazza, Paolo ; Ansaram, Karishma. In: The Energy Journal. RePEc:sae:enejou:v:45:y:2024:i:2:p:237-260.

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2024Is ESG Data Financially Viable? A Case of Stock Price Synchronicity. (2024). Turubilli, Surya Kumari ; Potharla, Srikanth ; Choudhary, Pooja ; Kumar, Neeraj. In: Management and Labour Studies. RePEc:sae:manlab:v:49:y:2024:i:1:p:62-81.

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2024Is CSR linked to idiosyncratic risk? Evidence from the copula approach. (2024). Raïs, Hassen ; Schier, Guillaume ; Mefteh-Wali, Salma. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-022-04980-1.

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2024Efficient portfolios and extreme risks: a Pareto–Dirichlet approach. (2024). Courtois, Olivier ; Xu, Xia. In: Annals of Operations Research. RePEc:spr:annopr:v:335:y:2024:i:1:d:10.1007_s10479-023-05507-y.

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2025High-dimensional nonlinear dependence and risk spillovers analysis between China’s carbon market and its major influence factors. (2025). Wang, Binyao ; Tian, Maoxi ; Ji, Hao ; Zhang, Shaobin. In: Annals of Operations Research. RePEc:spr:annopr:v:345:y:2025:i:2:d:10.1007_s10479-022-04770-9.

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2025Assessing the influence of cryptocurrencies on financial market stability. (2025). Metzger, Martina ; Farroukh, Arafet ; Mzoughi, Hela. In: Eurasian Economic Review. RePEc:spr:eurase:v:15:y:2025:i:2:d:10.1007_s40822-024-00284-w.

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2025The effects of skewness and kurtosis on production and hedging decisions: a Gram-Charlier expansion approach. (2025). Jiang, Xuejun ; Cheng, Lingju ; Dai, Xinjie. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00680-w.

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2025Black–Litterman asset allocation under hidden truncation distribution. (2025). Nguyen, Andrew L ; Park, Jungjun. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:19:y:2025:i:2:d:10.1007_s11579-025-00387-1.

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2025On asset pricing in a binomial model with fixed and proportional transaction costs, portfolio constraints and dividends. (2025). Babaei, Esmaeil. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:101:y:2025:i:1:d:10.1007_s00186-024-00881-0.

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2025A study of the German bubble and the DAX index volatility persistence: FIGARCHS and economical growth. (2025). Boughabi, Houssam. In: SN Business & Economics. RePEc:spr:snbeco:v:5:y:2025:i:6:d:10.1007_s43546-025-00827-6.

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2025Special issue on “PROBASTAT 2024”. (2025). Peta, Michal ; Harman, Radoslav ; Witkovsk, Viktor. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:5:d:10.1007_s00362-025-01733-7.

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2024Stocks, Gold and Crude Oil: How Valuable are Volatility and Correlation Timing?. (2024). Zagaglia, Paolo. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:14:y:2024:i:6:f:14_6_5.

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2024Bootstrapping GARCH Models Under Dependent Innovations. (2024). Schaumburg, Julia ; Beutner, Eric ; Spanjers, Barend. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240008.

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2025Risk spillover measurement of carbon trading market considering susceptible factors: A network perspective. (2025). Jiang, Qichuan ; Lian, Lanlan ; Dong, Qingli. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:1:p:493-521.

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2024Forecasting VaR and ES in emerging markets: The role of time‐varying higher moments. (2024). Le, Trung H. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:2:p:402-414.

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2024International evidence of the forecasting ability of option‐implied distributions. (2024). Vich, Magdalena M ; Vaellosebastia, Antoni ; Serrano, Pedro. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:5:p:1447-1464.

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Works by Michael Rockinger:

YearTitleTypeCited
2000Market Response to Earnings Announcements and Interim Reports: An Analysis of SBF120 Companies In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article3
1993On Stock Market Returns and Returns on Investments. In: Working Papers.
[Citation analysis]		paper46
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: 46		article
1993On stock market returns and returns on investment.(1993) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 46		paper
2001A Time-Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies. In: Journal of Business & Economic Statistics.
[Citation analysis]		article74
2000A 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: 74		paper
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 nother version. Agregated cites: 74		paper
1998A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies.(1998) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 74		paper
2004The Bank Bias: Segmentation of French Fund Families In: Working papers.
[Full Text][Citation analysis]		paper4
2004Optimal Portfolio Allocation Under Higher Moments In: Working papers.
[Full Text][Citation analysis]		paper177
2006Optimal Portfolio Allocation under Higher Moments.(2006) In: European Financial Management.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 177		article
1998Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral In: Working papers.
[Full Text][Citation analysis]		paper2
1998Reading Interest Rate and Bond Futures Options Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election In: Working papers.
[Full Text][Citation analysis]		paper4
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 nother version. Agregated cites: 4		paper
1999Estimating Gram-Charlier Expansions with Positivity Constraints. In: Working papers.
[Full Text][Citation analysis]		paper1
1999The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets. In: Working papers.
[Full Text][Citation analysis]		paper19
1999The 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
2000Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence. In: Working papers.
[Full Text][Citation analysis]		paper11
2000Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence.(2000) In: HEC Research Papers Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2000Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence.(2000) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2001Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis. In: Working papers.
[Full Text][Citation analysis]		paper42
2002Entropy 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: 42		article
2001Conditional Dependency of Financial Series: An Application of Copulas. In: Working papers.
[Full Text][Citation analysis]		paper33
2001Conditional 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
2001Conditional Dependency of Financial Series: An Application of Copulas.(2001) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 33		paper
2002Asset Allocation in Transition Economies. In: Working papers.
[Full Text][Citation analysis]		paper0
2002Asset Allocation in Transition Economies.(2002) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2025Artificial neural network small‐sample‐bias‐corrections of the AR(1) parameter close to unit root In: Statistica Neerlandica.
[Full Text][Citation analysis]		article0
2006The Economic Value of Distributional Timing In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper6
2006The Impact of News on Higher Moments In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper3
2009Fourth Order Pseudo Maximum Likelihood Methods In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper7
2011Fourth Order Pseudo Maximum Likelihood Methods.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2011Fourth order pseudo maximum likelihood methods.(2011) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2011Fourth order pseudo maximum likelihood methods.(2011) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2009Optimal Liquidation Strategies in Illiquid Markets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2010Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2010Moment Component Analysis: An Illustration with International Stock Markets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper14
2018Moment 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: 14		article
2012Systemic Risk in Europe In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper133
2015Systemic Risk in Europe.(2015) In: Review of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 133		article
2013Systemic Risk in Europe.(2013) In: Global Credit Review (GCR).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 133		article
2014Systemic Risk in Europe.(2014) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 133		chapter
2013Long-Term Portfolio Management with a Structural Macroeconomic Model In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2016Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper13
2015Estimating the price impact of trades in a high-frequency microstructure model with jumps.(2015) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		article
2014Optimal Long-Term Allocation with Pension Fund Liabilities In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper1
2016Forecasting Financial Returns with a Structural Macroeconomic Model In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper1
2017Periodic or Generational Actuarial Tables: Which One to Choose? In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2023Do Structured Products Improve Portfolio Performance? A Backtesting Exercise In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2025Do structured products improve portfolio performance? A backtesting exercise.(2025) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
1998Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper54
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 nother version. Agregated cites: 54		article
1997Reading 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: 54		paper
1998Reading Interest Rate and Bond Futures Options Smiles Around the 1997 French Snap Election In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper2
2001New Extreme-Value Dependence Measures and Finance Applications In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper9
2001New 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
2001New Extreme-Value Dependance Measures and Finance Applications.(2001) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2003DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATION In: Econometric Theory.
[Full Text][Citation analysis]		article31
2000Entropy densities In: HEC Research Papers Series.
[Full Text][Citation analysis]		paper3
2000Entropy Densities.(2000) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2001Testing for differences in the tails of stock-market returns In: HEC Research Papers Series.
[Full Text][Citation analysis]		paper74
2003Testing 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: 74		article
2001Testing for differences in the tails of stock-market returns.(2001) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 74		paper
2001Portfolio allocation in transition economies In: HEC Research Papers Series.
[Full Text][Citation analysis]		paper0
2001Portfolio allocation in transition economies.(2001) In: Working Papers.
[Citation analysis]
This paper has nother 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]		article87
2003Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article233
2003Users guide In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article1
2008Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article23
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 nother version. Agregated cites: 23		paper
2013Market liquidity and institutional trading during the 2007–8 financial crisis In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article7
2001Reading PIBOR futures options smiles: The 1997 snap election In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article20
2000The Evolution of Stock Markets in Transition Economies In: Journal of Comparative Economics.
[Full Text][Citation analysis]		article62
2006The Copula-GARCH model of conditional dependencies: An international stock market application In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article378
2005Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion? In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper22
2005Estimation of Jump-Diffusion Process vis Empirical Characteristic Function In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper1
2002Conditional Dependency of Financial Series: The Copula-GARCH Model In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper15
2002The Allocation of Assets Under Higher Moments In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper0
2024Unfolding the Transitions in Sustainability Reporting In: Sustainability.
[Full Text][Citation analysis]		article0
1998Estimating Gram-Charlier Expansions Under Positivity Constraints In: Working Papers.
[Citation analysis]		paper2
1997Information Content of Russian Stock Indices In: Working Papers.
[Citation analysis]		paper0
1997Estimation et interprétation des densités neutres au risque: une comparaison de méthodes In: Working Papers.
[Citation analysis]		paper3
1997Density-embedding Functions In: Working Papers.
[Citation analysis]		paper7
1997Density-Embedding Functions.(1997) In: Discussion Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 7		paper
1997Testing the Fisher Relation: the Russian Case In: Working Papers.
[Citation analysis]		paper1
1996Volatility Indices for the French Financial Market In: Working Papers.
[Citation analysis]		paper0
1995The devils horns: a problem with the densities of AR statistics In: Working Papers.
[Citation analysis]		paper0
1995Determinants of Capital Flow to Mutual Funds In: Working Papers.
[Citation analysis]		paper1
1994Volatility Clustering, Asymmetry and Hysteresis in Stock Returns: International Evidence In: Working Papers.
[Citation analysis]		paper0
1994Regime Switching: Evidence for the French Stock Market In: Working Papers.
[Citation analysis]		paper3
1994Switching Regressions of Unexpected Macroeconomic Events Explaining the French Stock Index In: Working Papers.
[Citation analysis]		paper0
1992Remarks concerning traditional investment equations In: Working Papers.
[Citation analysis]		paper0
1991Short horizons vs. empire building: some empirical evidence In: Working Papers.
[Citation analysis]		paper0
1991Investment incentives in endogenously growing economies In: Working Papers.
[Citation analysis]		paper0
1994Forecasting Conditional Volatility with Garch and Change of Regime Models: International Evidence In: Working Papers.
[Citation analysis]		paper0
2023Rebalancing with transaction costs: theory, simulations, and actual data In: Financial Markets and Portfolio Management.
[Full Text][Citation analysis]		article3
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]		article18
2015Long-term Portfolio Allocation Based on Long-term Macro forecasts In: Bankers, Markets & Investors.
[Full Text][Citation analysis]		article0
2016Violating United Nations Global Compact Principles: An Event Study In: Bankers, Markets & Investors.
[Full Text][Citation analysis]		article1
Simulating the Cox€“Ingersoll€“Ross and Heston processes: matching the first four moments In: Journal of Computational Finance.
[Full Text][Citation analysis]		article0
2023Distributional properties of continuous time processes: from CIR to bates In: AStA Advances in Statistical Analysis.
[Full Text][Citation analysis]		article0
2007Financial Modeling Under Non-Gaussian Distributions In: Springer Finance.
[Citation analysis]		book10
2025Observations concerning the estimation of Heston’s stochastic volatility model using HF data In: Statistical Papers.
[Full Text][Citation analysis]		article1
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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