Michael Rockinger : Citation Profile

Are you Michael Rockinger?

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

17

H index

22

i10 index

1588

Citations

RESEARCH PRODUCTION:

26

Articles

69

Papers

1

Chapters

RESEARCH ACTIVITY:

   27 years (1991 - 2018). See details.
   Cites by year: 58
   Journals where Michael Rockinger has often published
   Relations with other researchers
   Recent citing documents: 100.    Total self citations: 23 (1.43 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pro200
   Updated: 2024-12-03    RAS profile: 2020-09-01    
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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)

Kerstens, Kristiaan (12)

Nguyen, Duc Khuong (12)

Mora-Valencia, Andrés (11)

Cortés, Lina (10)

Hadri, Kaddour (10)

Santucci de Magistris, Paolo (9)

Rossi, Eduardo (8)

Violante, Francesco (8)

Cites to:

Harvey, Campbell (41)

Bollerslev, Tim (30)

Engle, Robert (28)

Jondeau, Eric (23)

Bekaert, Geert (21)

Campbell, John (21)

Ait-Sahalia, Yacine (15)

Jagannathan, Ravi (14)

de Vries, Casper (13)

Stambaugh, Robert (11)

Hansen, Bruce (10)

Main data

Where Michael Rockinger has published?

Journals with more than one article published# docs
Journal of Economic Dynamics and Control3
Journal of Econometrics2
Journal of Banking & Finance2
Journal of Empirical Finance2
Journal of International Money and Finance2
Bankers, Markets & Investors2
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 Institute12
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 (2024 and 2023)

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

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2023Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

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2023Modeling Volatility and Dependence of European Carbon and Energy Prices. (2022). Arsova, Antonia ; Ziel, Florian ; Pappert, Sven ; Berrisch, Jonathan. In: Papers. RePEc:arx:papers:2208.14311.

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2023Estimation of market efficiency process within time-varying autoregressive models by extended Kalman filtering approach. (2023). Kulikov, Gennady ; Kulikova, Maria. In: Papers. RePEc:arx:papers:2310.04125.

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

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2023Role of weather in the natural gas market: Insights from the STL?GARCH?W method. (2023). Pan, Zhigang ; Huang, Yisu ; Xia, Zhenglan ; Peng, Lijuan. In: International Finance. RePEc:bla:intfin:v:26:y:2023:i:3:p:304-323.

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2023Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Papantonis, Ioannis ; Orestis, Agapitos ; Elias, Tzavalis ; Ioannis, Papantonis ; Leonidas, Rompolis. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8.

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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). Moccero, Diego Nicolas ; Davidson, Sharada Nia. 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 ; Escribano, Ana ; Diaz, Antonio. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000029.

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2023Currency portfolio behavior in seven major Asian markets. (2023). Lin, Chinho ; Chang, Hao-Wen. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:540-559.

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2023Portfolio optimization in the presence of tail correlation. (2023). Chibane, Messaoud ; ben Abdelaziz, Fouad. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000470.

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2023No place like home: Home bias and flight-to-quality in Group of Seven countries. (2023). Nagy, Balint-Zsolt ; Socaciu, Erzsebet-Mirjam ; Benedek, Botond. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003619.

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2023Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios. (2023). Huelamo, Diego ; Esparcia, Carlos ; Diaz, Antonio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001735.

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

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2023Determinants of connectedness in financial institutions: Evidence from Taiwan. (2023). Mo, Wan-Shin ; Chiang, Shu-Hen ; Chen, Yu-Lun. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000681.

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2023Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies. (2023). Vo, Xuan Vinh ; Zeitun, Rami ; Katsiampa, Paraskevi ; Ur, Mobeen. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000838.

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2023Forecasting tail risk measures for financial time series: An extreme value approach with covariates. (2023). Prokhorov, Artem ; Yin, Jessica Wai ; Leung, Henry ; James, Robert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:71:y:2023:i:c:p:29-50.

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2023Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models. (2023). Virbickait, Audron ; Nguyen, Hoang. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002360.

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2023How important is green awareness in energy investment decisions? An environmentally-based rebalancing portfolio study. (2023). Esparcia, Carlos ; Diaz, Antonio ; Alonso, Daniel. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006722.

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2023Where is the distribution tail threshold? A tale on tail and copulas in financial risk measurement. (2023). Nave, Juan M ; Gonzalez-Sanchez, Mariano. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000285.

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2023Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict. (2023). Maghyereh, Aktham ; Cui, Jinxin. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000364.

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2023ESG, risk, and (tail) dependence. (2023). Paterlini, Sandra ; Czado, Claudia ; Sahin, Ozge ; Bax, Karoline. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000297.

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2023Measurement and contagion modelling of systemic risk in Chinas financial sectors: Evidence for functional data analysis and complex network. (2023). Gu, Qinen ; Li, Shaofang ; Tian, Sihua. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004295.

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2023Spillovers of joint volatility-skewness-kurtosis of major cryptocurrencies and their determinants. (2023). Jalkh, Naji ; Bouri, Elie. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004313.

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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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2023Efficient portfolios computed with moment-based bounds. (2023). Popova, Ivilina ; Dokov, Steftcho ; Morton, David P. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006018.

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2023Modeling volatility and dependence of European carbon and energy prices. (2023). Arsova, Antonia ; Ziel, Florian ; Pappert, Sven ; Berrisch, Jonathan. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322006791.

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2023Copula approach to market volatility and technology stocks dependence. (2023). Arenda, Peter ; Raiova, Barbara. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007292.

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2023Subjectivity in conventional tail measures: An exploratory model with risks & biases’. (2023). Majumder, Debasish. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003239.

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

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2023Predicting the equity risk premium using the smooth cross-sectional tail risk: The importance of correlation. (2023). Faias, Jose Afonso. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000593.

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2023Options-based systemic risk, financial distress, and macroeconomic downturns. (2023). Vioto, Davide ; Tunaru, Radu ; Bevilacqua, Mattia. In: Journal of Financial Markets. RePEc:eee:finmar:v:65:y:2023:i:c:s1386418123000320.

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

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2023Hedging longevity risk under non-Gaussian state-space stochastic mortality models: A mean-variance-skewness-kurtosis approach. (2023). Chan, Wai-Sum ; Liu, Yanxin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:96-121.

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2023Social capital, trust, and bank tail risk: The value of ESG rating and the effects of crisis shocks. (2023). Elnahass, Marwa ; Li, Teng ; Cao, Ngan Duong ; Trinh, Vu Quang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s1042443123000082.

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2023Realized higher-order moments spillovers across cryptocurrencies. (2023). Apergis, Nicholas. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000318.

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2023Do world stock markets “jump” together? A measure of high-frequency volatility risk spillover networks. (2023). Liu, Xiao-Xing ; Zhou, Dong-Hai. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001117.

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2023The impact of COVID-19 related policy interventions on international systemic risk. (2023). Vioto, Davide ; Duygun, Meryem ; Bevilacqua, Mattia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001270.

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

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2023Non-Gaussian models for CoVaR estimation. (2023). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:391-404.

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2023Improving variance forecasts: The role of Realized Variance features. (2023). Papantonis, Ioannis ; Tzavalis, Elias ; Rompolis, Leonidas. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1221-1237.

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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). Mucha-Kruczyski, Marcin ; Greenwood, David ; Tomlinson, Matthew F. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:324-347.

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2023Detecting political event risk in the option market. (2023). KOSTAKIS, ALEXANDROS ; Otsubo, Yoichi ; Mu, Liangyi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002047.

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2023The effect of uncertainty on stock market volatility and correlation. (2023). Hou, Ai Jun ; Christiansen, Charlotte ; Asgharian, Hossein. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001097.

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2024Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Weiss, Gregor ; Timphus, Maike ; Fritzsch, Simon. 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). Salva, Carolina ; Hasa, Sidita. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000323.

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2023Macro-financial spillovers. (2023). Yilmaz, Kamil ; Hallam, Mark ; Cotter, John. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000256.

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2023The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate. (2023). Chang, Kuang-Liang. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000402.

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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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2023Composite jet fuel cross-hedging. (2023). Conlon, Thomas ; Cao, Min. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000289.

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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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2023Risk co-movements and portfolio strategies between energy, gold and BRICS markets. (2023). Shah, Waheed Ullah ; Younis, Ijaz ; Longsheng, Cheng ; Qureshi, Fiza ; Hkiri, Besma. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723001952.

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2023Dynamic time-frequency connectedness and risk spillover between geopolitical risks and natural resources. (2023). Zhang, Weiqian ; Li, Songsong. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002659.

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2023Shock transmission between crude oil prices and stock markets. (2023). Esparcia, Carlos ; Jareo, Francisco ; Koczar, Monika W ; Escribano, Ana. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723004658.

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2023Higher-order moment risk spillovers and optimal portfolio strategies in global oil markets. (2023). Alshater, Muneer ; Mensi, Walid ; Cui, Jinxin. In: Resources Policy. RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723009972.

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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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2023Skewness in energy returns: estimation, testing and retain-->implications for tail risk. (2023). Iguez, Trino-Manuel ; Leon, Angel ; Carnero, Angeles M. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:178-189.

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2023Risk preferences, global market conditions and foreign debt: Is there any role for the currency composition of FX reserves?. (2023). Mateane, Lebogang. In: Research in Economics. RePEc:eee:reecon:v:77:y:2023:i:3:p:402-418.

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2023Copula-based projections of wind power: Ireland as a case study. (2023). Iglesias, Gregorio ; Gharbia, Salem ; Olbert, Agnieszka I ; Moradian, Sogol. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:175:y:2023:i:c:s1364032123000035.

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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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2023Re-evaluating portfolio diversification and design using cryptocurrencies: Are decentralized cryptocurrencies enough?. (2023). Vo, Xuan Vinh ; Bakry, Walid ; Al-Mohamad, Somar ; Prasad, Mason ; Khaki, Audil. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002094.

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2023Diversification benefits of NFTs for conventional asset investors: Evidence from CoVaR with higher moments and optimal hedge ratios. (2023). Rice, John ; Choi, Sun-Yong ; Usman, Muhammad ; Umar, Zaghum. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000831.

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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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2023.

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2023.

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2023Managing Portfolio Risk During the BREXIT Crisis: A Cross-Quantilogram Analysis of Stock Markets and Commodities Across European Countries, the US, and BRICS. (2023). Goutte, Stéphane ; Gana, Marjene ; Ahmed, Ayedi ; Guesmi, Khaled. In: Working Papers. RePEc:hal:wpaper:halshs-04068651.

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2023Gold in household portfolios during a pandemic: Evidence from an emerging economy. (2023). Mohapatra, Sanket ; Gopalakrishnan, Balagopal ; Chatterjee, Oindrila. In: IIMA Working Papers. RePEc:iim:iimawp:14697.

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2023Dependence Analysis of the ISE100 Banking Sector Using Vine Copula. (2023). Evkaya, Ozan ; Gur, Ismail ; Poyraz, Gulden ; Kulekci, Bukre Yildirim. In: Istanbul Journal of Economics-Istanbul Iktisat Dergisi. RePEc:ist:journl:v:73:y:2023:i:1:p:55-81.

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2023A compositional analysis of systemic risk in European financial institutions. (2023). Porro, Francesco ; Fiori, Anna Maria. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:3:d:10.1007_s10436-023-00427-0.

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2023Robust Portfolio Optimization Based on Semi-Parametric ARMA-TGARCH-EVT Model with Mixed Copula Using WCVaR. (2023). Liang, Ying ; Deng, Xue. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:1:d:10.1007_s10614-021-10207-5.

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2023Black-Litterman model with copula-based views in mean-CVaR portfolio optimization framework with weight constraints. (2023). Pivnitskaya, Nataliya ; Munir, Qaiser ; Evgeniia, Mikova ; Teplova, Tamara. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:1:d:10.1007_s10644-022-09435-y.

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2023Systemic Risk: Bank Characteristics Matter. (2023). Piccotti, Louis R ; Mazumder, Sharif. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:64:y:2023:i:2:d:10.1007_s10693-022-00386-z.

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2023Implied volatility surfaces: a comprehensive analysis using half a billion option prices. (2023). Zimmer, Lukas ; Ulrich, Maxim ; Merbecks, Constantin. In: Review of Derivatives Research. RePEc:kap:revdev:v:26:y:2023:i:2:d:10.1007_s11147-023-09195-5.

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2023What if beta is not stable? Applying the Kalman filter to risk estimates of top US companies over the long time horizon. (2023). Dbski, Wiesaw ; Szczepocki, Piotr ; Feder-Sempach, Ewa. In: Bank i Kredyt. RePEc:nbp:nbpbik:v:54:y:2023:i:1:p:25-44.

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2023Measuring Systemic Risk Using Multivariate Quantile-Located ES Models*. (2023). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:1:p:1-72..

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2023Long-Horizon Stock Returns Are Positively Skewed. (2023). Hjalmarsson, Erik ; Farago, Adam. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:2:p:495-538..

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2023Cross-Border Bank Flows and Systemic Risk*. (2023). Taboada, Alvaro G ; Sedunov, John ; Karolyi, Andrew G. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:5:p:1563-1614..

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

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2023Kurtosis removal for data pre-processing. (2023). Loperfido, Nicola. In: Advances in Data Analysis and Classification. RePEc:spr:advdac:v:17:y:2023:i:1:d:10.1007_s11634-022-00498-3.

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2023Ukraine–Russia Conflict and Stock Markets Reactions in Europe. (2023). Shafique, Sujana ; Sutradhar, Soma Rani ; Hasan, Fakhrul ; Das, Bijoy Chandra. In: Global Journal of Flexible Systems Management. RePEc:spr:gjofsm:v:24:y:2023:i:3:d:10.1007_s40171-023-00345-0.

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2023Optimising portfolio diversification and dimensionality. (2023). Staal, A ; Sabanis, S ; Kroeske, J ; Kalcsics, J ; Gondzio, J ; Garcia, S ; Barkhagen, M. In: Journal of Global Optimization. RePEc:spr:jglopt:v:85:y:2023:i:1:d:10.1007_s10898-022-01202-7.

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2023Considering the temporal interdependence of human mobility and COVID-19 concerning Indonesia’s large-scale social distancing policies. (2023). Adlin, Falah Novayanda ; Primandari, Arum Handini ; Ahdika, Atina. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:57:y:2023:i:3:d:10.1007_s11135-022-01497-4.

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2024Time?varying dynamics of expected shortfall in commodity futures markets. (2021). Auer, Benjamin R ; Mehlitz, Julia S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:6:p:895-925.

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2023Modeling skewness in portfolio choice. (2023). Markellos, Raphael ; Kourtis, Apostolos ; Le, Trung H. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:6:p:734-770.

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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]		paper45
1994 On Stock Market Returns and Returns on Investment..(1994) In: Journal of Finance.
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This paper has nother version. Agregated cites: 45		article
1993On stock market returns and returns on investment.(1993) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 45		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]		article73
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: 73		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: 73		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: 73		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]		paper168
2006Optimal Portfolio Allocation under Higher Moments.(2006) In: European Financial Management.
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This paper has nother version. Agregated cites: 168		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]		paper10
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: 10		paper
2000Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence.(2000) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 10		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
2006The Economic Value of Distributional Timing In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper5
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.
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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]		paper12
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: 12		article
2012Systemic Risk in Europe In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper124
2015Systemic Risk in Europe.(2015) In: Review of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 124		article
2013Systemic Risk in Europe.(2013) In: Global Credit Review (GCR).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 124		article
2014Systemic Risk in Europe.(2014) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 124		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]		paper12
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: 12		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
1998Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper57
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: 57		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: 57		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]		paper71
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: 71		article
2001Testing for differences in the tails of stock-market returns.(2001) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 71		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]		article85
2003Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article223
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]		article6
2001Reading PIBOR futures options smiles: The 1997 snap election In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article18
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]		article358
2005Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion? In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper19
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
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
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]		article17
2015Long-term Portfolio Allocation Based on Long-term Macro forecasts In: Bankers, Markets & Investors.
[Full Text][Citation analysis]		article0
2016Violating United Nations Global Compact Principles: An Event Study In: Bankers, Markets & Investors.
[Full Text][Citation analysis]		article0

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