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 0 349 1 1 2 836
A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies 0 0 0 303 1 1 1 716
A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies 0 0 0 0 1 1 2 32
Asset Allocation in Transition Economies 0 0 0 0 0 0 0 25
Asset Allocation in Transition Economies 0 0 0 12 1 1 1 105
Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion? 0 0 4 307 1 1 8 886
Conditional Dependency of Financial Series: An Application of Copulas 0 0 0 0 0 0 3 45
Conditional Dependency of Financial Series: An Application of Copulas 0 0 1 89 1 1 7 1,069
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 0 146 3 3 4 2,476
Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence 0 0 0 0 1 2 14 47
Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence 0 0 0 483 0 0 1 1,453
Conditional dependency of financial series: an application of copulas 0 0 0 565 0 0 4 1,146
Density-Embedding Functions 0 0 0 0 0 1 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 0 1 50
Entropy Densities 0 0 0 0 1 1 2 19
Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis 0 0 0 64 2 2 3 988
Entropy densities 0 0 0 88 0 1 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 1 3 249 1 2 5 2,591
Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps 0 0 1 15 0 2 3 69
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 2 566 0 2 7 1,342
Forecasting Conditional Volatility with Garch and Change of Regime Models: International Evidence 0 0 0 0 0 0 0 10
Forecasting Financial Returns with a Structural Macroeconomic Model 0 0 0 126 0 1 1 102
Fourth Order Pseudo Maximum Likelihood Methods 0 0 0 21 0 2 2 124
Fourth Order Pseudo Maximum Likelihood Methods 0 1 1 19 0 1 1 70
Fourth order pseudo maximum likelihood methods 0 0 0 5 2 2 3 39
Information Content of Russian Stock Indices 0 0 0 0 1 2 4 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 0 2 20
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 0 1 2 801
New Extreme-Value Dependence Measures and Finance Applications 0 0 1 363 0 0 3 835
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 1 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 2 2 3 34
Optimal Portfolio Allocation Under Higher Moments 0 0 1 209 2 3 5 598
Periodic or Generational Actuarial Tables: Which One to Choose? 0 0 0 14 1 2 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 0 0 1 22
Portfolio allocation in transition economies 0 0 0 104 0 0 0 378
Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data 0 0 0 250 1 1 1 601
Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election 0 0 0 195 10 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 0 0 0 0 18
Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election 0 0 0 21 1 1 1 2,838
Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral 0 0 0 39 1 1 2 1,152
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 3 44
Regime Switching: Evidence for the French Stock Market 0 0 0 0 0 0 0 22
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 0 0 19
Switching Regressions of Unexpected Macroeconomic Events Explaining the French Stock Index 0 0 0 0 1 1 1 15
Systemic Risk in Europe 0 2 5 80 0 2 9 91
Testing for differences in the tails of stock-market returns 0 0 0 0 6 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 2 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 2 2 2 1,330
The Tail Behavior of Stock Returns: Emerging versus Mature Markets 0 0 0 340 0 1 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 0 1 12
Total Working Papers 0 4 24 6,666 47 66 163 31,272

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 2 371
Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements 0 0 8 431 0 4 40 1,005
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 1 1 1 390
Estimating the price impact of trades in a high-frequency microstructure model with jumps 0 0 0 14 1 2 5 91
Fourth order pseudo maximum likelihood methods 0 0 0 33 1 2 3 160
Gram-Charlier densities 0 0 2 380 3 3 9 881
Long-term Portfolio Allocation Based on Long-term Macro forecasts 0 1 1 20 0 1 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 1 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 1 2 103 1 3 7 282
On the Importance of Time Variability in Higher Moments for Asset Allocation 0 1 1 13 0 2 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 2 4 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 2 4 208
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 1 2 10 263
Systemic Risk in Europe 0 1 3 9 1 2 4 40
Testing for differences in the tails of stock-market returns 0 0 2 103 0 1 5 255
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 1 4 20 901 1 9 48 2,132
The Evolution of Stock Markets in Transition Economies 0 0 0 309 1 1 3 683
The Impact of Shocks on Higher Moments 0 0 0 16 1 1 2 81
User's guide 0 0 0 38 1 3 3 104
Violating United Nations Global Compact Principles: An Event Study 0 0 14 257 0 3 46 1,243
Total Journal Articles 1 8 59 3,207 14 46 207 10,446

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

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2025-03-03