Access Statistics for Michael Rockinger

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies 0 0 0 0 0 0 7 39
A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies 0 0 0 349 0 0 7 844
A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies 0 0 0 303 1 1 15 732
Asset Allocation in Transition Economies 0 0 1 13 0 1 13 118
Asset Allocation in Transition Economies 0 0 0 0 0 0 7 32
Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion? 0 0 1 309 0 0 9 901
Conditional Dependency of Financial Series: An Application of Copulas 0 0 0 90 0 0 6 1,077
Conditional Dependency of Financial Series: An Application of Copulas 0 0 0 0 1 1 8 53
Conditional Dependency of Financial Series: The Copula-GARCH Model 0 0 4 590 0 1 24 1,264
Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence 0 0 1 484 1 1 21 1,475
Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence 0 0 1 147 2 2 16 2,494
Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence 0 0 0 0 0 1 9 57
Conditional dependency of financial series: an application of copulas 0 0 1 566 1 1 9 1,156
Density-Embedding Functions 0 0 0 0 0 1 8 515
Density-embedding Functions 0 0 0 0 0 0 6 21
Determinants of Capital Flow to Mutual Funds 0 0 0 0 0 0 2 54
Do Structured Products Improve Portfolio Performance? A Backtesting Exercise 0 0 3 7 0 0 16 39
Entropy Densities 0 0 0 0 0 0 9 28
Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis 0 0 0 64 0 0 12 1,001
Entropy densities 0 0 0 88 0 0 6 315
Estimating Gram-Charlier Expansions Under Positivity Constraints 0 0 0 0 0 0 4 38
Estimating Gram-Charlier Expansions with Positivity Constraints 0 0 3 253 0 0 17 2,610
Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps 0 0 1 16 3 4 57 130
Estimation et interprétation des densités neutres au risque: une comparaison de méthodes 0 0 0 0 0 0 5 23
Estimation of Jump-Diffusion Process vis Empirical Characteristic Function 0 0 0 566 0 0 15 1,357
Forecasting Conditional Volatility with Garch and Change of Regime Models: International Evidence 0 0 0 0 0 0 1 13
Forecasting Financial Returns with a Structural Macroeconomic Model 0 0 0 126 2 2 13 115
Fourth Order Pseudo Maximum Likelihood Methods 0 0 1 22 0 1 12 136
Fourth Order Pseudo Maximum Likelihood Methods 0 0 1 20 0 0 16 86
Fourth order pseudo maximum likelihood methods 0 0 0 5 0 0 12 51
Information Content of Russian Stock Indices 0 0 0 0 0 0 3 21
Investment incentives in endogenously growing economies 0 0 0 0 0 0 3 14
Long-Term Portfolio Management with a Structural Macroeconomic Model 0 0 1 10 0 1 11 34
Moment Component Analysis: An Illustration with International Stock Markets 0 0 0 22 1 1 4 110
New Extreme-Value Dependance Measures and Finance Applications 0 0 0 213 0 0 24 828
New Extreme-Value Dependance Measures and Finance Applications 0 0 0 0 0 0 6 32
New Extreme-Value Dependence Measures and Finance Applications 0 0 1 364 0 0 10 845
On Stock Market Returns and Returns on Investments 0 0 0 0 0 1 10 1,067
On stock market returns and returns on investment 0 0 0 0 0 1 9 83
Optimal Liquidation Strategies in Illiquid Markets 0 0 0 9 0 0 10 39
Optimal Long-Term Allocation with Pension Fund Liabilities 0 0 0 34 1 2 10 45
Optimal Portfolio Allocation Under Higher Moments 0 0 1 212 0 4 27 628
Periodic or Generational Actuarial Tables: Which One to Choose? 0 0 0 15 0 0 8 52
Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty 0 0 0 11 0 0 8 55
Portfolio allocation in transition economies 0 0 0 0 0 0 6 29
Portfolio allocation in transition economies 0 0 0 104 0 1 10 389
Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data 0 1 1 251 1 2 17 619
Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election 0 0 0 195 0 0 9 1,370
Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election 0 0 0 0 0 0 4 23
Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election 0 0 0 22 0 0 3 2,842
Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral 0 0 0 41 1 2 23 1,177
Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities 0 0 1 221 0 1 14 780
Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities 0 0 0 0 2 2 16 60
Regime Switching: Evidence for the French Stock Market 0 0 0 0 0 0 2 25
Remarks concerning 'traditional' investment equations 0 0 0 0 0 0 1 22
Short horizons vs. empire building: some empirical evidence 0 0 0 0 0 0 7 27
Switching Regressions of Unexpected Macroeconomic Events Explaining the French Stock Index 0 0 0 0 0 0 1 16
Systemic Risk in Europe 0 0 1 82 0 0 24 118
Testing for differences in the tails of stock-market returns 0 0 0 194 0 0 15 487
Testing for differences in the tails of stock-market returns 0 0 0 0 0 0 5 38
Testing the Fisher Relation: the Russian Case 0 0 0 0 0 0 4 25
The Allocation of Assets Under Higher Moments 0 0 0 155 0 0 14 383
The Bank Bias: Segmentation of French Fund Families 0 0 0 22 1 3 6 122
The Economic Value of Distributional Timing 0 0 0 51 1 1 16 177
The Impact of News on Higher Moments 0 0 0 82 0 0 5 191
The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets 0 0 1 39 0 1 15 1,346
The Tail Behavior of Stock Returns: Emerging versus Mature Markets 0 0 0 340 1 1 7 1,138
The devil's horns: a problem with the densities of AR statistics 0 0 0 0 0 0 3 16
Volatility Clustering, Asymmetry and Hysteresis in Stock Returns: International Evidence 0 0 0 0 0 0 3 27
Volatility Indices for the French Financial Market 0 0 0 0 0 0 2 15
Total Working Papers 0 1 25 6,707 20 41 737 32,089

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Time-Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies 0 0 0 0 0 0 8 380
Artificial neural network small‐sample‐bias‐corrections of the AR(1) parameter close to unit root 0 0 0 0 0 0 4 12
Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements 0 1 4 437 0 1 39 1,048
DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATION 0 0 0 18 0 1 7 114
Distributional properties of continuous time processes: from CIR to bates 1 1 2 6 1 5 11 17
Do structured products improve portfolio performance? A backtesting exercise 0 1 4 4 1 8 34 34
Entropy densities with an application to autoregressive conditional skewness and kurtosis 0 0 0 150 1 2 21 412
Estimating the price impact of trades in a high-frequency microstructure model with jumps 0 0 0 14 5 12 32 124
Fourth order pseudo maximum likelihood methods 0 0 0 33 0 1 13 173
Gram-Charlier densities 0 0 2 384 0 1 14 898
Long-term Portfolio Allocation Based on Long-term Macro forecasts 0 0 1 21 1 2 11 92
Market Response to Earnings Announcements and Interim Reports: An Analysis of SBF120 Companies 0 1 1 11 0 2 10 44
Market liquidity and institutional trading during the 2007–8 financial crisis 0 0 0 9 0 0 6 91
Moment Component Analysis: An Illustration With International Stock Markets 0 0 0 5 0 1 8 34
Observations concerning the estimation of Heston’s stochastic volatility model using HF data 0 0 1 1 0 0 15 17
On Stock Market Returns and Returns on Investment 0 0 0 103 0 2 12 295
On the Importance of Time Variability in Higher Moments for Asset Allocation 0 0 0 13 0 0 4 39
Optimal Portfolio Allocation under Higher Moments 0 0 0 85 0 0 18 349
Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race 0 0 0 9 0 0 16 54
Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data 0 1 1 75 0 3 18 311
Reading PIBOR futures options smiles: The 1997 snap election 0 0 0 36 0 1 16 224
Reading the smile: the message conveyed by methods which infer risk neutral densities 0 0 0 114 0 1 9 376
Rebalancing with transaction costs: theory, simulations, and actual data 0 2 4 11 2 8 29 41
Simulating the Cox–Ingersoll–Ross and Heston processes: matching the first four moments 0 1 2 3 0 1 9 12
Systemic Risk in Europe 0 0 1 10 1 2 13 53
Systemic Risk in Europe 0 0 1 73 1 4 18 285
Testing for differences in the tails of stock-market returns 0 1 1 104 0 3 17 273
The 'Devil's Horns' Problem of Inverting Confluent Characteristic Functions 0 0 0 1 1 3 5 876
The Copula-GARCH model of conditional dependencies: An international stock market application 1 2 8 911 2 5 39 2,177
The Evolution of Stock Markets in Transition Economies 0 0 2 314 0 1 17 705
The Impact of Shocks on Higher Moments 0 0 0 16 0 1 12 94
Unfolding the Transitions in Sustainability Reporting 0 0 0 1 0 0 9 21
User's guide 0 0 0 38 0 0 10 114
Violating United Nations Global Compact Principles: An Event Study 0 0 4 265 0 8 44 1,303
Total Journal Articles 2 11 39 3,275 16 79 548 11,092

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Financial Modeling Under Non-Gaussian Distributions 0 0 0 0 0 2 18 18
Total Books 0 0 0 0 0 2 18 18

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Systemic Risk in Europe 0 0 1 33 0 2 18 138
Total Chapters 0 0 1 33 0 2 18 138

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Statistics updated 2026-09-10