Michael Rockinger

University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Professor of Finance

Unil Dorigny, Batiment Internef

Lausanne, 1015

Switzerland

http://www.hec.unil.ch/mrockinger

Centre for Economic Policy Research (CEPR)

London

United Kingdom

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

42

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CITATIONS
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321

Scholarly Papers (42)

1.

Systemic Risk in Europe

Review of Finance (2015) 19(1), 145-190
Number of pages: 55 Posted: 22 Dec 2012 Last Revised: 09 Feb 2016
Robert F. Engle, Eric Jondeau and Michael Rockinger
New York University - Leonard N. Stern School of Business - Department of Economics, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 1,927 (7,456)
Citation 5

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Systemic Risk, Marginal Expected Shortfall, Multi-factor Model

Conditional Volatility, Skewness and Kurtosis: Existence and Persistence

EFMA 2001 Lugano Meetings; HEC Department of Finance Working Paper No. 710/2000
Number of pages: 49 Posted: 17 Apr 2001
Michael Rockinger and Eric Jondeau
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 1,229 (15,103)
Citation 67

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Garch, stock indices, exchange rates, interest rates, SNOPT, VaR

Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence

Banque de France Working Paper No. 77
Number of pages: 56 Posted: 27 Dec 2010
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 120 (228,882)
Citation 68

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GRCH, Stock indices, Exchange rates, Interest rates, SNOPT VaR

3.
Downloads 1,186 ( 16,288)
Citation 48

Optimal Portfolio Allocation Under Higher Moments

EFMA 2004 Basel Meetings Paper
Number of pages: 39 Posted: 28 May 2004
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 1,068 (18,715)
Citation 48

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Asset allocation, Stock returns, Non-normality, Utility function

Optimal Portfolio Allocation Under Higher Moments

Banque de France Working Paper No. 108
Number of pages: 47 Posted: 19 Dec 2010
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 105 (252,335)
Citation 48

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Asset allocation, Stock returns, Non-normality, Utility function

Optimal Portfolio Allocation Under Higher Moments

European Financial Management, Vol. 12, No. 1, pp. 29-55, January 2006
Number of pages: 28 Posted: 17 Mar 2006
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 13 (571,786)
Citation 48
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asset allocation, stock returns, non-normality, utility function.

4.

Conditional Dependency of Financial Series: The Copula-Garch Model

FAME Research Paper No. 69
Number of pages: 37 Posted: 06 Jun 2003
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 1,154 (16,957)
Citation 7

Abstract:

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International correlation, Stock indices, Skewed Student-t distribution

5.

Modelling Extreme-Value Dependence in International Stock Markets

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 37 Posted: 09 Mar 2002
Michael Rockinger, Ser-Huang Poon and Jonathan Tawn
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), University of Manchester - Manchester Business School and Lancaster University - Mathematics and Statistics
Downloads 941 (22,966)
Citation 5

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Asymptotic independence, Extreme value theory, Hill's estimator, Tail index, Risk management

Conditional Dependency of Financial Series: An Application of Copulas

HEC Department of Finance Working Paper No. 723
Number of pages: 43 Posted: 05 Apr 2001
Michael Rockinger and Eric Jondeau
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 751 (31,161)
Citation 24

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International correlation, market integration, ARCH, stock indices, exchange rates

Conditional Dependency of Financial Series: An Application of Copulas

Banque de France Working Paper No. 82
Number of pages: 48 Posted: 26 Dec 2010
Michael Rockinger and Eric Jondeau
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 133 (211,287)
Citation 24

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International correlation, Market integration, ARCH, Stock indices

Moment Component Analysis: An Illustration with International Stock Markets

Swiss Finance Institute Research Paper No. 10-43 (Revised version)
Number of pages: 57 Posted: 21 Oct 2010 Last Revised: 25 Mar 2015
Eric Jondeau, Emmanuel Jurczenko and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Glion Institute of Higher Education and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 656 (37,424)
Citation 2

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PCA, Skewness, Kurtosis, Portfolio analysis, Tensor, Random Matrix Theory

Moment Component Analysis: An Illustration With International Stock Markets

Number of pages: 57 Posted: 21 May 2018
Eric Jondeau, Emmanuel Jurczenko and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Glion Institute of Higher Education and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 26 (490,341)
Citation 2

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PCA, Skewness, Kurtosis, Portfolio Analysis, Tensor, Random Matrix Theory

8.

Long-Term Portfolio Management with a Structural Macroeconomic Model

Swiss Finance Institute Research Paper No. 13-45
Number of pages: 54 Posted: 15 Sep 2013
Ludovic Calès, Eric Jondeau and Michael Rockinger
European Union - European Commission, Joint Research Centre, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 560 (46,790)

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Long-Term Asset Management, Dynamic Allocation, Pension Fund, DSGE Model

9.

Estimation of Jump-Diffusion Processes Via Empirical Characteristic Functions

FAME Research Paper No. 150
Number of pages: 43 Posted: 08 Aug 2005
Michael Rockinger and Maria Semenova
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Lausanne - Institute of Banking and Finance (IBF)
Downloads 526 (50,687)
Citation 2

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Modeling asset prices, Affine jump-diffusions, Characteristic

10.

Conditional Asset Allocation Under Non-Normality: How Costly is the Mean-Variance Criterion?

EFA 2005 Moscow Meetings Paper
Number of pages: 42 Posted: 26 Feb 2005
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 460 (59,974)
Citation 7

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Volatility, Skewness, Kurtosis, GARCH, model, Multivariate skewed Student-t distribution, Stock returns, Asset allocation, Emerging markets

11.

The Allocation of Assets Under Higher Moments

FAME Research Paper No. 71
Number of pages: 36 Posted: 24 Jun 2003
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 349 (83,230)
Citation 9

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Asset allocation, Stock returns, Non-normality, Utility function

12.

Predicting Long-Term Financial Returns: VAR vs. DSGE Model - A Horse-Race

Swiss Finance Institute Research Paper No. 16-13
Number of pages: 53 Posted: 03 Mar 2016 Last Revised: 20 Jan 2017
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 344 (84,652)

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VAR, DSGE model, Financial return forecasting, Long-term allocation

13.

Optimal Liquidation Strategies in Illiquid Markets

Swiss Finance Institute Research Paper No. 09-24
Number of pages: 47 Posted: 09 Jul 2009
Eric Jondeau, Augusto Perilla and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), affiliation not provided to SSRN and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 322 (91,191)

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Optimal trading strategy, liquidity risk, price impact, high frequency data, microstructure

14.

The Impact of News on Higher Moments

Swiss Finance Institute Research Paper No. 28
Number of pages: 61 Posted: 26 Nov 2006
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 316 (93,061)
Citation 9

Abstract:

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Volatility, Skewness, Kurtosis, GARCH model, Multivariate skewed Student t distribution, Stock returns

15.
Downloads 282 (105,241)
Citation 7

The Economic Value of Distributional Timing

Swiss Finance Institute Research Paper No. 06-35
Number of pages: 64 Posted: 16 Jan 2007
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 164 (177,457)
Citation 7

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Non-normality, volatility timing, distributional timing, GARCH, portfolio allocation

The Economic Value of Distributional Timing

Swiss Finance Institute Research Paper No. 06-35, EFA 2007 Ljubljana Meetings Paper
Number of pages: 61 Posted: 19 Feb 2007
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 118 (231,802)
Citation 7

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Non-normality, volatility timing, distributional timing, GARCH, portfolio allocation

Market Liquidity and Institutional Trading During the 2007-8 Financial Crisis

Number of pages: 37 Posted: 20 Jun 2011 Last Revised: 22 Aug 2012
Ser-Huang Poon, Michael Rockinger and Konstantinos Stathopoulos
University of Manchester - Manchester Business School, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and The University of Manchester - Alliance Manchester Business School
Downloads 197 (150,265)

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Institutional Herding, Institutional Count, Institutional Holdings, Market Liquidity, Financial Crises

Market Liquidity and Institutional Trading During the 2007-8 Financial Crisis

Manchester Business School Research Paper No. 623
Number of pages: 35 Posted: 06 Jan 2012
Ser-Huang Poon, Michael Rockinger and Konstantinos Stathopoulos
University of Manchester - Manchester Business School, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and The University of Manchester - Alliance Manchester Business School
Downloads 66 (336,461)

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institutional herding, institutional count, institutional holdings, market liquidity, financial crises

17.

Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps

Journal of Banking and Finance, Forthcoming, Swiss Finance Institute Research Paper No. 13-47
Number of pages: 61 Posted: 04 Oct 2013 Last Revised: 09 Feb 2016
Eric Jondeau, Jérôme Lahaye and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Fordham University and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 229 (130,413)

Abstract:

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Microstructure, jumps, order flow, price impact, noise, volatility, Kalman filter, particle filter

18.

Optimal Long-Term Allocation with Pension Fund Liabilities

Swiss Finance Institute Research Paper No. 14-58
Number of pages: 61 Posted: 19 Oct 2014 Last Revised: 20 Oct 2014
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 224 (133,261)

Abstract:

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Systematic Risk, Skewness, Predictability, Trading Strategies

19.

Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty

Swiss Finance Institute Research Paper No. 10-41
Number of pages: 50 Posted: 28 Sep 2010
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 216 (137,959)

Abstract:

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Stock Returns, Predictability, Estimation risk, Portfolio Choice

20.

Testing for Differences in the Tails of Stock-Market Returns

HEC Working Paper No. CR 739/2001
Number of pages: 28 Posted: 22 Nov 2001
Michael Rockinger
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 194 (152,676)

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Extreme value theory, Generalized extreme value distribution, Emerging markets

21.

Gram-Charlier Densities (Revised version)

Banque de France Working Paper No. 56
Number of pages: 41 Posted: 05 Jan 2011
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 170 (171,883)
Citation 21

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Hermite expansions, Semi-nonparametric estimation, Risk-neutral density, GARCH model

22.

Entropy Densities

HEC Department of Finance Working Paper No. 709
Number of pages: 19 Posted: 10 May 2001
Michael Rockinger and Eric Jondeau
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 157 (183,948)
Citation 3

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23.

Fourth Order Pseudo Maximum Likelihood Methods

Swiss Finance Institute Research Paper No. 09-23
Number of pages: 47 Posted: 11 Jul 2009
Alberto Holly, Alain Monfort and Michael Rockinger
University of Lausanne, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 130 (214,540)

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Quartic Exponential Family, Pseudo Maximum Likelihood, Skewness, Kurtosis

The Tail Behavior of Stock Returns: Emerging Versus Mature Markets

Banque de France Working Paper No. 66
Number of pages: 59 Posted: 05 Jan 2011
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 123 (224,574)
Citation 12

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Extreme value theory, Generalized Pareto distribution, Stock-market

The Tail Behavior of Stock Returns: Emerging Versus Mature Markets

Posted: 13 Sep 1999
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Abstract:

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25.

Portfolio Allocation in Transition Economies

HEC Working Paper No. CR 740/2001
Number of pages: 36 Posted: 22 Nov 2001
Michael Rockinger and Eric Jondeau
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 109 (244,385)
Citation 6

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Mean-variance, Allocation

Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and Notional Operators Appreciated the 1997 French Snap Election

Banque de France Working Paper No. 54
Number of pages: 46 Posted: 05 Jan 2011
Sophie Coutant, Eric Jondeau and Michael Rockinger
Banque de France, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 93 (273,941)
Citation 16

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Risk neutral density, Futures option pricing, PIBOR, Notional, Political risk

Reading Interest Rate and Bond Futures Options' Smiles: How Pibor and Notional Operators Appreciated the 1997 French Snap Election

Posted: 17 Feb 1999
Sophie Coutant, Eric Jondeau and Michael Rockinger
Banque de France, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Abstract:

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Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral Densities

Banque de France Working Paper No. 47
Number of pages: 46 Posted: 06 Jan 2011
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 68 (331,003)
Citation 28

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Risk neutral density, Option pricing, Exchange rate option

28.

Periodic or Generational Actuarial Tables: Which One to Choose?

Swiss Finance Institute Research Paper No. 17-71
Number of pages: 35 Posted: 10 Jan 2018
University of Lausanne - Faculty of Business and Economics, Faculty of Business and Economics, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 59 (351,637)

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Mortality rates, Periodic actuarial tables, Generational actuarial tables, Life expectancy, Mathematical reserve, Mortality forecasts

29.

Entropy Densities: With an Application to Autoregressive Conditional Skewness and Kurtosis

Banque de France Working Paper No. 79
Number of pages: 34 Posted: 27 Dec 2010
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 52 (373,132)
Citation 17

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Semi-nonparametric estimation, Time-varying skewness and kurtosis, GARCH

30.

Density Functionals, with an Option-Pricing Application

Econometric Theory, Vol. 19, p. 778, 2003
Number of pages: 34 Posted: 15 Jan 2012
Karim M. Abadir and Michael Rockinger
Imperial College Business School and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 46 (393,069)
Citation 7

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31.

The Bank Bias: Segmentation of French Fund Families

Banque de France Working Paper No. 107
Number of pages: 41 Posted: 19 Dec 2010
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 39 (418,683)
Citation 6

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Mutual funds, Performance, SICAV, FCP

32.

Asset Allocation in Transition Economies

Banque de France Working Paper No. 90
Number of pages: 45 Posted: 20 Dec 2010
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 38 (422,734)
Citation 6

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Emerging markets, mean-variance allocation, sequential Bayesian learning, structural breaks

33.

On the Importance of Time Variability in Higher Moments for Asset Allocation

Journal of Financial Econometrics, 2012, Vol. 10(1), 84-123
Number of pages: 50 Posted: 07 Feb 2016
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 37 (426,746)

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Bayesian estimation, distribution timing, GARCH model, nonnormality, parameter uncertainty, Portfolio allocation, volatility timing

34.

New Extreme-Value Dependence Measures and Finance Applications

CEPR Discussion Paper No. 2762
Number of pages: 33 Posted: 18 Apr 2001
Ser-Huang Poon, Michael Rockinger and Jonathan Tawn
University of Manchester - Manchester Business School, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Lancaster University - Mathematics and Statistics
Downloads 33 (443,195)
Citation 6
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Asymptotic independence, extreme value theory, Hill's estimator, tail index

35.

Textual Analysis of Banks' Pillar 3 Documents

Number of pages: 46 Posted: 02 May 2019
Minyue Dong, Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 18 (521,099)

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Sentiment analysis, NLP, Text analysis, Accounting, Financial institution, Bank, Pillar 3

36.

The 'Devil's Horns' Problem of Inverting Confluent Characteristic Functions

Econometrica, Vol. 65, No. 5, September 1997
Posted: 15 Jan 2012
Karim M. Abadir and Michael Rockinger
Imperial College Business School and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

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37.

The Impact of Shocks on Higher Moments

Journal of Financial Econometrics, Vol. 7, Issue 2, pp. 77-105, 2009
Posted: 23 Mar 2009
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Abstract:

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C22, C51, G12, GARCH model, non-normality, kurtosis, skewness, stock returns, volatility

38.

How Higher Moments Affect the Allocation of Assets

Finance Letters, Vol. 1, No. 2, 2003
Posted: 02 Sep 2003
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Abstract:

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Asset Allocation, Stock Returns, Non-Normality, Utility Function

39.

Estimating Gram-Charlier Expansions Under Positivity Constraints

Posted: 26 Mar 1999
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

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40.

A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economics

Cass Business School Research Paper
Posted: 08 Feb 1999
Michael Rockinger and Giovanni Urga
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy

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41.

Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election

CEPR Discussion Paper No. 2010
Posted: 02 Jan 1999
Michael Rockinger
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Abstract:

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42.

Volatility Clustering, Asymmetry and Hysteresis in Stock Returns: International Evidence

Posted: 25 Aug 1998
Michel Crouhy and Michael Rockinger
Canadian Imperial Bank of Commerce - Risk Management and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

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