Access Statistics for Michael Rockinger

Author contact details at EconPapers.

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 1 1 32
A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies 0 0 0 303 0 1 1 716
A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies 0 0 0 349 1 2 3 837
Asset Allocation in Transition Economies 0 0 0 12 0 1 1 105
Asset Allocation in Transition Economies 0 0 0 0 0 0 0 25
Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion? 0 0 3 307 2 4 10 889
Conditional Dependency of Financial Series: An Application of Copulas 1 1 2 90 1 2 6 1,070
Conditional Dependency of Financial Series: An Application of Copulas 0 0 0 0 0 0 2 45
Conditional Dependency of Financial Series: The Copula-GARCH Model 0 0 1 585 0 0 2 1,238
Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence 0 0 0 0 0 1 14 47
Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence 0 0 0 146 0 3 4 2,476
Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence 0 0 0 483 1 1 2 1,454
Conditional dependency of financial series: an application of copulas 0 0 0 565 0 0 2 1,146
Density-Embedding Functions 0 0 0 0 0 0 3 507
Density-embedding Functions 0 0 0 0 0 0 1 15
Determinants of Capital Flow to Mutual Funds 0 0 0 0 0 1 1 51
Entropy Densities 0 0 0 0 0 1 2 19
Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis 0 0 0 64 0 2 3 988
Entropy densities 0 0 0 88 0 0 2 309
Estimating Gram-Charlier Expansions Under Positivity Constraints 0 0 0 0 0 0 3 34
Estimating Gram-Charlier Expansions with Positivity Constraints 0 0 3 249 1 2 6 2,592
Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps 0 0 1 15 0 2 5 71
Estimation et interprétation des densités neutres au risque: une comparaison de méthodes 0 0 0 0 0 0 0 18
Estimation of Jump-Diffusion Process vis Empirical Characteristic Function 0 0 1 566 0 0 6 1,342
Forecasting Conditional Volatility with Garch and Change of Regime Models: International Evidence 0 0 0 0 0 2 2 12
Forecasting Financial Returns with a Structural Macroeconomic Model 0 0 0 126 0 0 1 102
Fourth Order Pseudo Maximum Likelihood Methods 0 0 0 21 0 0 2 124
Fourth Order Pseudo Maximum Likelihood Methods 0 0 1 19 0 0 1 70
Fourth order pseudo maximum likelihood methods 0 0 0 5 0 2 3 39
Information Content of Russian Stock Indices 0 0 0 0 0 1 2 18
Investment incentives in endogenously growing economies 0 0 0 0 0 0 0 11
Long-Term Portfolio Management with a Structural Macroeconomic Model 0 0 1 9 0 1 3 21
Moment Component Analysis: An Illustration with International Stock Markets 0 0 0 22 0 0 2 106
New Extreme-Value Dependance Measures and Finance Applications 0 0 0 0 0 0 4 26
New Extreme-Value Dependance Measures and Finance Applications 0 0 1 213 1 2 4 803
New Extreme-Value Dependence Measures and Finance Applications 0 0 1 363 0 0 2 835
On Stock Market Returns and Returns on Investments 0 0 0 0 0 0 0 1,057
On stock market returns and returns on investment 0 0 0 0 0 1 2 74
Optimal Liquidation Strategies in Illiquid Markets 0 0 0 9 0 0 0 28
Optimal Long-Term Allocation with Pension Fund Liabilities 0 0 1 34 0 2 3 34
Optimal Portfolio Allocation Under Higher Moments 0 0 1 209 0 2 5 598
Periodic or Generational Actuarial Tables: Which One to Choose? 0 0 0 14 0 1 3 43
Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty 0 0 0 11 0 0 0 47
Portfolio allocation in transition economies 0 0 0 0 1 1 2 23
Portfolio allocation in transition economies 0 0 0 104 1 1 1 379
Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data 0 0 0 250 0 1 1 601
Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election 0 0 0 195 0 10 11 1,361
Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election 0 0 0 21 0 1 1 2,838
Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election 0 0 0 0 0 1 1 19
Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral 2 2 2 41 2 3 4 1,154
Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities 0 0 0 220 0 0 1 765
Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities 0 0 0 0 0 0 2 44
Regime Switching: Evidence for the French Stock Market 0 0 0 0 1 1 1 23
Remarks concerning 'traditional' investment equations 0 0 0 0 0 0 0 21
Short horizons vs. empire building: some empirical evidence 0 0 0 0 0 1 1 20
Switching Regressions of Unexpected Macroeconomic Events Explaining the French Stock Index 0 0 0 0 0 1 1 15
Systemic Risk in Europe 0 0 5 80 1 1 9 92
Testing for differences in the tails of stock-market returns 0 0 0 0 0 6 7 33
Testing for differences in the tails of stock-market returns 0 0 0 194 0 0 1 472
Testing the Fisher Relation: the Russian Case 0 0 0 0 0 0 0 20
The Allocation of Assets Under Higher Moments 0 0 1 154 0 0 1 368
The Bank Bias: Segmentation of French Fund Families 0 0 0 22 0 2 2 116
The Economic Value of Distributional Timing 0 0 0 51 0 0 1 161
The Impact of News on Higher Moments 0 0 0 82 0 0 1 186
The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets 0 0 0 38 0 2 2 1,330
The Tail Behavior of Stock Returns: Emerging versus Mature Markets 0 0 0 340 0 0 1 1,131
The devil's horns: a problem with the densities of AR statistics 0 0 0 0 0 0 0 13
Volatility Clustering, Asymmetry and Hysteresis in Stock Returns: International Evidence 0 0 0 0 0 0 0 24
Volatility Indices for the French Financial Market 0 0 0 0 0 1 2 13
Total Working Papers 3 3 25 6,669 13 71 173 31,296

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 1 2 2 372
Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements 1 1 7 432 2 3 35 1,008
DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATION 0 0 0 18 0 0 1 107
Entropy densities with an application to autoregressive conditional skewness and kurtosis 0 0 0 150 0 1 1 390
Estimating the price impact of trades in a high-frequency microstructure model with jumps 0 0 0 14 0 1 5 91
Fourth order pseudo maximum likelihood methods 0 0 0 33 0 1 3 160
Gram-Charlier densities 1 2 3 382 1 5 10 883
Long-term Portfolio Allocation Based on Long-term Macro forecasts 0 0 1 20 0 0 1 81
Market Response to Earnings Announcements and Interim Reports: An Analysis of SBF120 Companies 0 0 1 10 0 0 1 34
Market liquidity and institutional trading during the 2007–8 financial crisis 0 0 0 9 0 0 3 84
Moment Component Analysis: An Illustration With International Stock Markets 0 0 0 5 0 0 0 24
On Stock Market Returns and Returns on Investment 0 0 1 103 1 2 5 283
On the Importance of Time Variability in Higher Moments for Asset Allocation 0 0 1 13 0 0 2 34
Optimal Portfolio Allocation under Higher Moments 0 0 1 84 0 0 1 328
Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race 0 0 1 9 0 0 3 37
Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data 0 0 1 73 0 0 1 290
Reading PIBOR futures options smiles: The 1997 snap election 0 0 0 36 0 0 2 208
Reading the smile: the message conveyed by methods which infer risk neutral densities 0 0 0 114 0 0 1 367
Systemic Risk in Europe 0 0 2 71 0 1 8 263
Systemic Risk in Europe 0 0 3 9 0 1 4 40
Testing for differences in the tails of stock-market returns 0 0 1 103 1 1 5 256
The 'Devil's Horns' Problem of Inverting Confluent Characteristic Functions 0 0 0 1 0 0 0 871
The Copula-GARCH model of conditional dependencies: An international stock market application 0 1 16 901 2 4 40 2,135
The Evolution of Stock Markets in Transition Economies 1 1 1 310 1 2 3 684
The Impact of Shocks on Higher Moments 0 0 0 16 0 1 2 81
User's guide 0 0 0 38 0 1 3 104
Violating United Nations Global Compact Principles: An Event Study 3 3 10 260 10 10 35 1,253
Total Journal Articles 6 8 50 3,214 19 36 177 10,468

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 2 31 0 1 4 119
Total Chapters 0 0 2 31 0 1 4 119

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Statistics updated 2025-05-12