Michael Rockinger : Citation Profile

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

17

H index

22

i10 index

1603

Citations

RESEARCH PRODUCTION:

27

Articles

69

Papers

1

Chapters

RESEARCH ACTIVITY:

   28 years (1991 - 2019). See details.
   Cites by year: 57
   Journals where Michael Rockinger has often published
   Relations with other researchers
   Recent citing documents: 52.    Total self citations: 23 (1.41 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pro200
   Updated: 2025-03-22    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)

Nguyen, Duc Khuong (12)

Kerstens, Kristiaan (12)

Mora-Valencia, Andrés (11)

Cortés, Lina (10)

Hadri, Kaddour (10)

Santucci de Magistris, Paolo (9)

Rossi, Eduardo (8)

Urga, Giovanni (8)

Cites to:

Harvey, Campbell (41)

Campbell, John (35)

Bollerslev, Tim (30)

Engle, Robert (28)

Bekaert, Geert (23)

Jondeau, Eric (23)

Ait-Sahalia, Yacine (15)

Jagannathan, Ravi (14)

Viceira, Luis (14)

Stambaugh, Robert (14)

de Vries, Casper (13)

Main data

Production by document typepaperarticlechapter1991199219931994199519961997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201901020Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published19911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019050100150Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received1995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320242025050100150Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820190250500750Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 17Most cited documents123456789101112131415161718190200400Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution20130820130920131020131120131220140120140220140320140420140520140620140720140820140920141020141120141220150120150220150320150420150520150620150720150820150920151020151120151220160120160220160320160420160520160620160720160820160920161020161120161220170120170220170320170420170520170620170720170820170920171020171120171220180120180220180320180420180520180620180720180820180920181020181120181220190120190220190320190420190520190620190720190820190920191020191120191220200120200220200320200420200520200620200720200820200920201020201120201220210120210220210320210420210520210620210720210820210920211020211120211220220120220220220320220420220520220620220720220820220920221020221120221220230120230220230320230420230520230620230720230820230920231020231120231220240120240220240320240420240520240620240720240820240920241020241120241220250120250220250301020h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Michael Rockinger has published?

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

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 (2025 and 2024)

Year  ↓Title 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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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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2025.

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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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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). 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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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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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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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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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). Huang, Guanglin ; Wang, Peiwen. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323012059.

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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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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). 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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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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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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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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2024Estimating and testing investment-based asset pricing models. (2024). Deng, Yao ; Belo, Frederico ; Salomao, Juliana. 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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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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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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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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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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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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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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Works by Michael Rockinger:

Year  ↓Title  ↓Type  ↓Cited  ↓
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]
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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]		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]		paper171
2006Optimal Portfolio Allocation under Higher Moments.(2006) In: European Financial Management.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 171		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]
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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]		paper41
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: 41		article
2001Conditional Dependency of Financial Series: An Application of Copulas. In: Working papers.
[Full Text][Citation analysis]		paper32
2001Conditional dependency of financial series : an application of copulas.(2001) In: HEC Research Papers Series.
[Full Text][Citation analysis]
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2001Conditional Dependency of Financial Series: An Application of Copulas.(2001) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 32		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]		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]
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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]		paper127
2015Systemic Risk in Europe.(2015) In: Review of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 127		article
2013Systemic Risk in Europe.(2013) In: Global Credit Review (GCR).
[Full Text][Citation analysis]
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2014Systemic Risk in Europe.(2014) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
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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
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.
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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]		paper72
2003Testing for differences in the tails of stock-market returns.(2003) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
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2001Testing for differences in the tails of stock-market returns.(2001) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 72		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]		article227
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]		article19
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]		article360
2005Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion? In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper20
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.
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2019Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race In: Journal of Money, Credit and Banking.
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