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 0 303 2 4 14 730
A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies 0 0 0 349 2 3 6 843
A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies 0 0 0 0 2 3 7 39
Asset Allocation in Transition Economies 0 0 1 13 3 5 10 115
Asset Allocation in Transition Economies 0 0 0 0 4 5 7 32
Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion? 0 0 2 309 3 3 11 900
Conditional Dependency of Financial Series: An Application of Copulas 0 0 0 90 3 3 7 1,077
Conditional Dependency of Financial Series: An Application of Copulas 0 0 0 0 1 1 5 50
Conditional Dependency of Financial Series: The Copula-GARCH Model 0 0 5 590 3 7 23 1,261
Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence 0 0 1 147 2 7 16 2,492
Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence 0 0 0 0 2 2 7 54
Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence 0 0 1 484 8 15 20 1,474
Conditional dependency of financial series: an application of copulas 1 1 1 566 2 5 9 1,155
Density-Embedding Functions 0 0 0 0 1 2 6 513
Density-embedding Functions 0 0 0 0 1 1 5 20
Determinants of Capital Flow to Mutual Funds 0 0 0 0 1 1 3 54
Do Structured Products Improve Portfolio Performance? A Backtesting Exercise 1 1 3 7 1 1 19 37
Entropy Densities 0 0 0 0 1 1 9 28
Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis 0 0 0 64 2 2 13 1,001
Entropy densities 0 0 0 88 0 1 6 315
Estimating Gram-Charlier Expansions Under Positivity Constraints 0 0 0 0 3 3 4 38
Estimating Gram-Charlier Expansions with Positivity Constraints 0 1 4 253 2 5 16 2,608
Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps 0 0 1 16 6 16 55 126
Estimation et interprétation des densités neutres au risque: une comparaison de méthodes 0 0 0 0 0 1 5 23
Estimation of Jump-Diffusion Process vis Empirical Characteristic Function 0 0 0 566 3 4 13 1,355
Forecasting Conditional Volatility with Garch and Change of Regime Models: International Evidence 0 0 0 0 1 1 1 13
Forecasting Financial Returns with a Structural Macroeconomic Model 0 0 0 126 6 6 10 112
Fourth Order Pseudo Maximum Likelihood Methods 0 0 1 22 1 2 10 134
Fourth Order Pseudo Maximum Likelihood Methods 0 1 1 20 3 4 15 85
Fourth order pseudo maximum likelihood methods 0 0 0 5 3 6 12 51
Information Content of Russian Stock Indices 0 0 0 0 0 2 3 21
Investment incentives in endogenously growing economies 0 0 0 0 0 1 3 14
Long-Term Portfolio Management with a Structural Macroeconomic Model 0 0 1 10 4 5 12 33
Moment Component Analysis: An Illustration with International Stock Markets 0 0 0 22 0 2 2 108
New Extreme-Value Dependance Measures and Finance Applications 0 0 0 213 0 4 24 827
New Extreme-Value Dependance Measures and Finance Applications 0 0 0 0 1 1 5 31
New Extreme-Value Dependence Measures and Finance Applications 0 0 1 364 3 3 10 845
On Stock Market Returns and Returns on Investments 0 0 0 0 1 4 9 1,066
On stock market returns and returns on investment 0 0 0 0 0 2 8 82
Optimal Liquidation Strategies in Illiquid Markets 0 0 0 9 2 3 10 38
Optimal Long-Term Allocation with Pension Fund Liabilities 0 0 0 34 3 4 9 43
Optimal Portfolio Allocation Under Higher Moments 0 0 2 211 4 5 23 621
Periodic or Generational Actuarial Tables: Which One to Choose? 0 0 1 15 1 1 8 51
Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty 0 0 0 11 4 4 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 0 9 388
Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data 0 0 0 250 3 4 15 616
Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election 0 0 0 195 4 4 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 1 1 4 23
Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election 0 0 1 22 0 0 4 2,842
Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral 0 0 0 41 4 11 19 1,173
Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities 0 0 1 221 3 3 14 779
Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities 0 0 0 0 3 3 14 58
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 1 1 7 27
Switching Regressions of Unexpected Macroeconomic Events Explaining the French Stock Index 0 0 0 0 0 0 0 15
Systemic Risk in Europe 0 0 2 82 4 13 26 118
Testing for differences in the tails of stock-market returns 0 0 0 194 2 3 12 484
Testing for differences in the tails of stock-market returns 0 0 0 0 2 2 5 38
Testing the Fisher Relation: the Russian Case 0 0 0 0 0 0 5 25
The Allocation of Assets Under Higher Moments 0 0 1 155 2 5 15 383
The Bank Bias: Segmentation of French Fund Families 0 0 0 22 2 2 3 119
The Economic Value of Distributional Timing 0 0 0 51 2 6 15 176
The Impact of News on Higher Moments 0 0 0 82 1 1 5 191
The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets 0 0 1 39 0 7 14 1,344
The Tail Behavior of Stock Returns: Emerging versus Mature Markets 0 0 0 340 1 2 5 1,136
The devil's horns: a problem with the densities of AR statistics 0 0 0 0 1 1 3 16
Volatility Clustering, Asymmetry and Hysteresis in Stock Returns: International Evidence 0 0 0 0 1 1 2 26
Volatility Indices for the French Financial Market 0 0 0 0 0 0 2 15
Total Working Papers 2 4 32 6,705 132 231 694 32,008

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 1 7 379
Artificial neural network small‐sample‐bias‐corrections of the AR(1) parameter close to unit root 0 0 0 0 0 0 4 11
Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements 0 1 4 436 0 9 39 1,047
DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATION 0 0 0 18 0 1 6 113
Distributional properties of continuous time processes: from CIR to bates 0 0 1 5 1 1 6 12
Do structured products improve portfolio performance? A backtesting exercise 0 1 2 2 3 9 20 20
Entropy densities with an application to autoregressive conditional skewness and kurtosis 0 0 0 150 2 5 18 408
Estimating the price impact of trades in a high-frequency microstructure model with jumps 0 0 0 14 6 9 19 110
Fourth order pseudo maximum likelihood methods 0 0 0 33 3 4 11 171
Gram-Charlier densities 0 0 2 384 2 5 14 897
Long-term Portfolio Allocation Based on Long-term Macro forecasts 0 1 1 21 4 6 8 89
Market Response to Earnings Announcements and Interim Reports: An Analysis of SBF120 Companies 0 0 0 10 0 2 8 42
Market liquidity and institutional trading during the 2007–8 financial crisis 0 0 0 9 1 2 5 89
Moment Component Analysis: An Illustration With International Stock Markets 0 0 0 5 0 2 8 32
Observations concerning the estimation of Heston’s stochastic volatility model using HF data 0 1 1 1 5 8 17 17
On Stock Market Returns and Returns on Investment 0 0 0 103 1 3 10 293
On the Importance of Time Variability in Higher Moments for Asset Allocation 0 0 0 13 1 1 5 39
Optimal Portfolio Allocation under Higher Moments 0 0 1 85 3 6 20 348
Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race 0 0 0 9 0 6 17 54
Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data 0 0 1 74 3 5 17 307
Reading PIBOR futures options smiles: The 1997 snap election 0 0 0 36 3 6 15 223
Reading the smile: the message conveyed by methods which infer risk neutral densities 0 0 0 114 3 4 7 374
Rebalancing with transaction costs: theory, simulations, and actual data 0 1 2 8 3 8 21 31
Simulating the Cox–Ingersoll–Ross and Heston processes: matching the first four moments 1 1 1 2 3 7 9 11
Systemic Risk in Europe 0 1 2 73 1 4 17 280
Systemic Risk in Europe 0 0 1 10 1 3 11 51
Testing for differences in the tails of stock-market returns 0 0 0 103 0 5 14 270
The 'Devil's Horns' Problem of Inverting Confluent Characteristic Functions 0 0 0 1 1 1 2 873
The Copula-GARCH model of conditional dependencies: An international stock market application 0 3 7 908 3 10 35 2,170
The Evolution of Stock Markets in Transition Economies 1 2 4 314 8 11 20 704
The Impact of Shocks on Higher Moments 0 0 0 16 1 1 12 93
Unfolding the Transitions in Sustainability Reporting 0 0 0 1 0 0 10 21
User's guide 0 0 0 38 2 2 10 114
Violating United Nations Global Compact Principles: An Event Study 1 1 4 264 6 13 37 1,290
Total Journal Articles 3 13 34 3,260 71 160 479 10,983

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 4 7 16 16
Total Books 0 0 0 0 4 7 16 16

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Systemic Risk in Europe 0 1 2 33 1 6 16 135
Total Chapters 0 1 2 33 1 6 16 135

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Statistics updated 2026-05-06