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 0 349 1 3 7 844
A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies 0 0 0 0 0 2 7 39
A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies 0 0 0 303 1 4 15 731
Asset Allocation in Transition Economies 0 0 0 0 0 4 7 32
Asset Allocation in Transition Economies 0 0 1 13 2 5 12 117
Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion? 0 0 2 309 1 4 11 901
Conditional Dependency of Financial Series: An Application of Copulas 0 0 0 90 0 3 6 1,077
Conditional Dependency of Financial Series: An Application of Copulas 0 0 0 0 2 3 7 52
Conditional Dependency of Financial Series: The Copula-GARCH Model 0 0 5 590 2 8 25 1,263
Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence 0 0 0 0 2 4 9 56
Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence 0 0 1 147 0 3 16 2,492
Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence 0 0 1 484 0 12 20 1,474
Conditional dependency of financial series: an application of copulas 0 1 1 566 0 2 9 1,155
Density-Embedding Functions 0 0 0 0 1 2 7 514
Density-embedding Functions 0 0 0 0 1 2 6 21
Determinants of Capital Flow to Mutual Funds 0 0 0 0 0 1 3 54
Do Structured Products Improve Portfolio Performance? A Backtesting Exercise 0 1 3 7 2 3 21 39
Entropy Densities 0 0 0 0 0 1 9 28
Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis 0 0 0 64 0 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 0 3 4 38
Estimating Gram-Charlier Expansions with Positivity Constraints 0 1 4 253 2 7 18 2,610
Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps 0 0 1 16 0 12 54 126
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 2 6 15 1,357
Forecasting Conditional Volatility with Garch and Change of Regime Models: International Evidence 0 0 0 0 0 1 1 13
Forecasting Financial Returns with a Structural Macroeconomic Model 0 0 0 126 1 7 11 113
Fourth Order Pseudo Maximum Likelihood Methods 0 1 1 20 1 5 16 86
Fourth Order Pseudo Maximum Likelihood Methods 0 0 1 22 1 3 11 135
Fourth order pseudo maximum likelihood methods 0 0 0 5 0 5 12 51
Information Content of Russian Stock Indices 0 0 0 0 0 1 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 5 12 33
Moment Component Analysis: An Illustration with International Stock Markets 0 0 0 22 1 2 3 109
New Extreme-Value Dependance Measures and Finance Applications 0 0 0 0 1 2 6 32
New Extreme-Value Dependance Measures and Finance Applications 0 0 0 213 1 1 25 828
New Extreme-Value Dependence Measures and Finance Applications 0 0 1 364 0 3 10 845
On Stock Market Returns and Returns on Investments 0 0 0 0 0 2 9 1,066
On stock market returns and returns on investment 0 0 0 0 0 1 8 82
Optimal Liquidation Strategies in Illiquid Markets 0 0 0 9 1 4 11 39
Optimal Long-Term Allocation with Pension Fund Liabilities 0 0 0 34 0 4 9 43
Optimal Portfolio Allocation Under Higher Moments 1 1 2 212 3 8 24 624
Periodic or Generational Actuarial Tables: Which One to Choose? 0 0 0 15 1 2 8 52
Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty 0 0 0 11 0 4 8 55
Portfolio allocation in transition economies 0 0 0 104 0 0 9 388
Portfolio allocation in transition economies 0 0 0 0 0 0 6 29
Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data 0 0 0 250 1 5 16 617
Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election 0 0 0 195 0 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 0 1 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 2 7 21 1,175
Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities 0 0 0 0 0 3 14 58
Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities 0 0 1 221 0 3 14 779
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 1 7 27
Switching Regressions of Unexpected Macroeconomic Events Explaining the French Stock Index 0 0 0 0 1 1 1 16
Systemic Risk in Europe 0 0 2 82 0 5 26 118
Testing for differences in the tails of stock-market returns 0 0 0 0 0 2 5 38
Testing for differences in the tails of stock-market returns 0 0 0 194 3 5 15 487
Testing the Fisher Relation: the Russian Case 0 0 0 0 0 0 5 25
The Allocation of Assets Under Higher Moments 0 0 0 155 0 2 14 383
The Bank Bias: Segmentation of French Fund Families 0 0 0 22 0 2 3 119
The Economic Value of Distributional Timing 0 0 0 51 0 2 15 176
The Impact of News on Higher Moments 0 0 0 82 0 1 5 191
The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets 0 0 1 39 1 4 14 1,345
The Tail Behavior of Stock Returns: Emerging versus Mature Markets 0 0 0 340 1 2 6 1,137
The devil's horns: a problem with the densities of AR statistics 0 0 0 0 0 1 3 16
Volatility Clustering, Asymmetry and Hysteresis in Stock Returns: International Evidence 0 0 0 0 1 2 3 27
Volatility Indices for the French Financial Market 0 0 0 0 0 0 2 15
Total Working Papers 1 5 29 6,706 40 210 725 32,048

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 8 380
Artificial neural network small‐sample‐bias‐corrections of the AR(1) parameter close to unit root 0 0 0 0 1 1 5 12
Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements 0 0 3 436 0 1 38 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 0 1 6 12
Do structured products improve portfolio performance? A backtesting exercise 1 2 3 3 6 14 26 26
Entropy densities with an application to autoregressive conditional skewness and kurtosis 0 0 0 150 2 6 20 410
Estimating the price impact of trades in a high-frequency microstructure model with jumps 0 0 0 14 2 9 21 112
Fourth order pseudo maximum likelihood methods 0 0 0 33 1 5 12 172
Gram-Charlier densities 0 0 2 384 0 3 14 897
Long-term Portfolio Allocation Based on Long-term Macro forecasts 0 1 1 21 1 6 9 90
Market Response to Earnings Announcements and Interim Reports: An Analysis of SBF120 Companies 0 0 0 10 0 0 8 42
Market liquidity and institutional trading during the 2007–8 financial crisis 0 0 0 9 2 3 7 91
Moment Component Analysis: An Illustration With International Stock Markets 0 0 0 5 1 3 7 33
Observations concerning the estimation of Heston’s stochastic volatility model using HF data 0 1 1 1 0 7 17 17
On Stock Market Returns and Returns on Investment 0 0 0 103 0 2 10 293
On the Importance of Time Variability in Higher Moments for Asset Allocation 0 0 0 13 0 1 5 39
Optimal Portfolio Allocation under Higher Moments 0 0 0 85 1 5 20 349
Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race 0 0 0 9 0 2 17 54
Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data 0 0 1 74 1 4 18 308
Reading PIBOR futures options smiles: The 1997 snap election 0 0 0 36 0 4 15 223
Reading the smile: the message conveyed by methods which infer risk neutral densities 0 0 0 114 1 4 8 375
Rebalancing with transaction costs: theory, simulations, and actual data 1 2 3 9 2 7 23 33
Simulating the Cox–Ingersoll–Ross and Heston processes: matching the first four moments 0 1 1 2 0 7 9 11
Systemic Risk in Europe 0 0 1 10 0 1 11 51
Systemic Risk in Europe 0 1 1 73 1 4 15 281
Testing for differences in the tails of stock-market returns 0 0 0 103 0 0 14 270
The 'Devil's Horns' Problem of Inverting Confluent Characteristic Functions 0 0 0 1 0 1 2 873
The Copula-GARCH model of conditional dependencies: An international stock market application 1 2 8 909 2 9 36 2,172
The Evolution of Stock Markets in Transition Economies 0 1 2 314 0 9 18 704
The Impact of Shocks on Higher Moments 0 0 0 16 0 1 11 93
Unfolding the Transitions in Sustainability Reporting 0 0 0 1 0 0 10 21
User's guide 0 0 0 38 0 2 10 114
Violating United Nations Global Compact Principles: An Event Study 1 2 5 265 5 17 42 1,295
Total Journal Articles 4 13 33 3,264 30 142 498 11,013

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 4 16 16
Total Books 0 0 0 0 0 4 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 0 1 33 1 3 16 136
Total Chapters 0 0 1 33 1 3 16 136

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Statistics updated 2026-06-04