Michael Rockinger: search on Z-Library

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1

Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race

JONDEAU, ERIC, ROCKINGER, MICHAEL

Journal:

Journal of Money, Credit and Banking

Year:

2018

Language:

english

File:

PDF, 1.32 MB

english, 2018

2

Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications

Poon, Ser-Huang, Rockinger, Michael, Tawn, Jonathan

Journal:

Review of Financial Studies

Year:

2004

Language:

english

File:

PDF, 548 KB

english, 2004

3

Optimal Portfolio Allocation under Higher Moments

Eric Jondeau, Michael Rockinger

Journal:

European Financial Management

Year:

2006

Language:

english

File:

PDF, 224 KB

english, 2006

4

Reading PIBOR futures options smiles: The 1997 snap election

Sophie Coutant, Eric Jondeau, Michael Rockinger

Journal:

Journal of Banking & Finance

Year:

2001

Language:

english

File:

PDF, 786 KB

english, 2001

5

On Stock Market Returns and Returns on Investment

Fernando Restoy and G. Michael Rockinger

Journal:

The Journal of Finance

Year:

1994

Language:

english

File:

PDF, 344 KB

english, 1994

6

Moment Component Analysis: An Illustration with International Stock Markets

Jondeau, Eric, Jurczenko, Emmanuel, Rockinger, Michael

Journal:

Journal of Business and Economic Statistics

Year:

2016

Language:

english

File:

PDF, 529 KB

english, 2016

7

Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements

Eric Jondeau, Michael Rockinger

Journal:

Journal of Economic Dynamics and Control

Year:

2003

Language:

english

File:

PDF, 616 KB

english, 2003

8

Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data

Amine Jalal, Michael Rockinger

Journal:

Journal of Empirical Finance

Year:

2008

Language:

english

File:

PDF, 257 KB

english, 2008

9

Estimating the Price Impact of Trades in a High-Frequency Microstructure Model with Jumps

Jondeau, Eric, Lahaye, Jérôme, Rockinger, Michael

Journal:

Journal of Banking & Finance

Year:

2015

Language:

english

File:

PDF, 1.24 MB

english, 2015

10

The Copula-GARCH model of conditional dependencies: An international stock market application

Eric Jondeau, Michael Rockinger

Journal:

Journal of International Money and Finance

Year:

2006

Language:

english

File:

PDF, 661 KB

english, 2006

11

Volatility Clustering, Asymmetry and Hysteresis in Stock Returns: International Evidence

MICHEL CROUHY, MICHAEL ROCKINGER

Journal:

Asia-Pacific Financial Markets

Year:

1997

Language:

english

File:

PDF, 331 KB

english, 1997

12

Fourth order pseudo maximum likelihood methods

Alberto Holly, Alain Monfort, Michael Rockinger

Journal:

Journal of Econometrics

Year:

2011

Language:

english

File:

PDF, 423 KB

english, 2011

13

A Time-Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies

Michael Rockinger and Giovanni Urga

Journal:

Journal of Business and Economic Statistics

Year:

2001

Language:

english

File:

PDF, 493 KB

english, 2001

14

A Time Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies

Rockinger, Michael, Urga, Giovanni

Journal:

Journal of Business and Economic Statistics

Year:

2001

Language:

english

File:

PDF, 380 KB

english, 2001

15

User's guide

Eric Jondeau, Michael Rockinger

Journal:

Journal of Economic Dynamics and Control

Year:

2003

Language:

english

File:

PDF, 152 KB

english, 2003

16

Conditional Dependency of Financial Series: The Copula-GARCH Model

Jondeau, Eric, Rockinger, Michael Michael

Journal:

SSRN Electronic Journal

Year:

2003

Language:

english

File:

PDF, 1.60 MB

english, 2003

17

Entropy Densities

Rockinger, Michael Michael, Jondeau, Eric

Journal:

SSRN Electronic Journal

Year:

2001

File:

PDF, 1.78 MB

2001

18

Conditional Volatility, Skewness and Kurtosis: Existence and Persistence

Rockinger, Michael Michael, Jondeau, Eric

Journal:

SSRN Electronic Journal

Year:

2001

File:

PDF, 2.56 MB

2001

19

Entropy densities with an application to autoregressive conditional skewness and kurtosis

Michael Rockinger, Eric Jondeau

Journal:

Journal of Econometrics

Year:

2002

Language:

english

File:

PDF, 194 KB

english, 2002

20

Microstructure des marchés financiers / Financial Market Microstructure || Market Response to Earnings Announcements and Interim Reports: An Analysis of SBF120 Companies

Alexandros Benos and Michael Rockinger

Journal:

Annales d'Économie et de Statistique

Year:

2000

Language:

english

File:

PDF, 2.88 MB

english, 2000

21

Asymmetry in the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps

Jondeau, Eric, Lahaye, JJrrme, Rockinger, Michael

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 854 KB

english, 2013

22

The Bank Bias: Segmentation of French Fund Families

Jondeau, Eric, Rockinger, Michael

Journal:

SSRN Electronic Journal

Year:

2004

File:

PDF, 337 KB

2004

23

Testing for differences in the tails of stock-market returns

Eric Jondeau, Michael Rockinger

Journal:

Journal of Empirical Finance

Year:

2003

Language:

english

File:

PDF, 210 KB

english, 2003

24

Optimal Portfolio Allocation Under Higher Moments

Jondeau, Eric, Rockinger, Michael

Journal:

SSRN Electronic Journal

Year:

2004

File:

PDF, 463 KB

2004

25

Market Liquidity and Institutional Trading During the 2007-8 Financial Crisis

Poon, Ser-Huang, Rockinger, Michael, Stathopoulos, Konstantinos

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 283 KB

english, 2011

26

The Evolution of Stock Markets in Transition Economies

Michael Rockinger, Giovanni Urga

Journal:

Journal of Comparative Economics

Year:

2000

Language:

english

File:

PDF, 116 KB

english, 2000

27

Moment Component Analysis: An Illustration With International Stock Markets

Jondeau, Eric, Jurczenko, Emmanuel, Rockinger, Georg Michael

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 817 KB

english, 2015

28

DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATION

Abadir, Karim M., Rockinger, Michael

Journal:

Econometric Theory

Year:

2003

Language:

english

File:

PDF, 309 KB

english, 2003

29

Moment Component Analysis: An Illustration with International Stock Markets

Jondeau, Eric, Jurczenko, Emmanuel, Rockinger, Michael

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 815 KB

english, 2010

30

Gram–Charlier densities

Eric Jondeau, Michael Rockinger

Journal:

Journal of Economic Dynamics and Control

Year:

2001

Language:

english

File:

PDF, 272 KB

english, 2001

31

Periodic or generational actuarial tables: which one to choose?

Arnold, Séverine, Jijiie, Anca, Jondeau, Eric, Rockinger, Michael

Journal:

European Actuarial Journal

Year:

2019

Language:

english

File:

PDF, 1.50 MB

english, 2019

32

Systemic Risk in Europe

Jondeau, Eric, Rockinger, Michael

Journal:

Global Credit Review

Year:

2013

Language:

english

File:

PDF, 219 KB

english, 2013

33

Entropy Densities: With an Application to Autoregressive Conditional Skewness and Kurtosis

Jondeau, Eric, Rockinger, Michael

Journal:

SSRN Electronic Journal

Year:

2001

File:

PDF, 603 KB

2001

34

Reading the smile: the message conveyed by methods which infer risk neutral densities

Eric Jondeau, Michael Rockinger

Journal:

Journal of International Money and Finance

Year:

2000

Language:

english

File:

PDF, 322 KB

english, 2000

35

Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications

Ser-Huang Poon, Michael Rockinger and Jonathan Tawn

Journal:

Review of Financial Studies

Year:

2004

Language:

english

File:

PDF, 549 KB

english, 2004

36

Asset Allocation in Transition Economies

Jondeau, Eric, Rockinger, Michael

Journal:

SSRN Electronic Journal

Year:

2002

File:

PDF, 633 KB

2002

37

Testing For Differences In The Tails Of Stock-Market Returns

Rockinger, Michael Michael

Journal:

SSRN Electronic Journal

Year:

2001

File:

PDF, 609 KB

2001

38

Conditional Dependency of Financial Series: An Application of Copulas

Rockinger, Michael, Jondeau, Eric

Journal:

SSRN Electronic Journal

Year:

2001

File:

PDF, 1.17 MB

2001

39

The "Devil's Horns" Problem of Inverting Confluent Characteristic Functions

Abadir, Karim M., Rockinger, Michael

Journal:

Year:

1997

Language:

english

File:

PDF, 238 KB

english, 1997

40

Market liquidity and institutional trading during the 2007–8 financial crisis

Poon, Ser-Huang, Rockinger, Michael, Stathopoulos, Konstantinos

Journal:

International Review of Financial Analysis

Year:

2013

Language:

english

File:

PDF, 355 KB

english, 2013

41

Density Functionals, with an Option-Pricing Application

Karim M. Abadir and Michael Rockinger

Journal:

Econometric Theory

Year:

2003

Language:

english

File:

PDF, 2.75 MB

english, 2003

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