Aller à : contenu haut bas recherche
 
 
EN     FR
Vous êtes ici:   UNIL > HEC Inst. > HEC App. > RECHERCHE
 
 

Michael Rockinger

Contact

Full Professor
Department of Finance


Contact
Michael.Rockinger@unil.ch
Extranef, room 231
Tel 021.692.33.48

Postal address
Université de Lausanne
Quartier UNIL-Dorigny
Bâtiment Extranef
1015 Lausanne


site personnel

Teaching

master Derivatives II
Related programme
Master of Science (MSc) in Finance
bachelor Principes de finance
Related programmes
Bachelor of Science (BSc) in Management
Bachelor of Science (BSc) in Economics

Research

Research areas

Econometrics

Empirical Finance

Financial Economics

Macroeconomics and Finance

Assistants

Dina Finger
dina.finger@unil.ch

Room: Nef 143

  Noémie Fonjallaz
noemie.fonjallaz@unil.ch



 
Alexey Ivashchenko
alexey.ivashchenko@unil.ch
Tel: (021 692) 3369
Room: 252

full description
  Daria Kalyaeva
daria.kalyaeva@unil.ch
Tel: (021 692) 6131
Room: 251

 
Tamara Nunes
tamara.nunes@unil.ch
Tel: (021 692) 3694
Room: 254

full description
  Andreea Piloiu
andreea.piloiu@unil.ch
Tel: (021 692) 3694
Room: 254

 

Publications

42 last publications ordered by: publication type  -  year

: Peer Reviewed

Articles

Jondeau E. , Rockinger M. (2012). On the Importance of Time Variability in Higher Moments for Asset Allocation. Journal of Financial Econometrics, 10, 84-123. Peer Reviewed


Holly A., Monfort A. ; Rockinger M. (2011). Fourth order pseudo maximum likelihood methods. Journal of Econometrics, 162, 278-293. Peer Reviewed


Jondeau E. , Rockinger M. (2009). The Impact of Shocks on Higher Moments. Journal of Financial Econometrics, 7, 77-105. Peer Reviewed


Jalal A. , Rockinger M. (2008). Predicting tail-related risk measures: The consequences of using GARCH filters for non GARCH data. Journal of Empirical Finance, 15, 868-877. Peer Reviewed


Jondeau E. , Rockinger M. (2006). The Copula-GARCH Model of Conditional Dependencies: An International Stock Market Application. Journal of International Money and Finance, 25, 827-853. Peer Reviewed


Jondeau E. , Rockinger M. (2006). Optimal Portfolio Allocation Under Higher Moments. European Financial Management, 12, 29-55. Peer Reviewed


Rockinger M., Poon S.-H. ; Tawn J. (2004). Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications. Review of Financial Studies, 17, 581-610. Peer Reviewed


Jondeau E. , Rockinger M. (2003). User's Guide. Journal of Economic Dynamics and Control, 27, 1739-1742. Peer Reviewed


Jondeau E. , Rockinger M. (2003). Testing for Differences in the Tails of Stock-Market Returns. Journal of Empirical Finance, 10, 559-581. Peer Reviewed


Jondeau E. , Rockinger M. (2003). Conditional Volatility, Skewness, and Kurtosis: Existence, Persistence, and Comovements. Journal of Economic Dynamics and Control, 27, 1699-1737. Peer Reviewed


Rockinger M. , Abadir K. (2003). Density-Embedding Functions. Econometric Theory, 19, 778-811. Peer Reviewed


Rockinger M. , Jondeau E. (2003). How Higher Moments affect the allocation of assets. Finance Letters, 1, 1-5. Peer Reviewed


Rockinger M., Poon S.-H. ; Tawn J. (2003). Extreme-Value Dependence Measures and Finance Applications. Statistica Sinica, 13, 929-953. Peer Reviewed


Jondeau E. , Rockinger M. (2002). Entropy Densities with an Application to Autoregressive Conditional Skewness and Kurtosis. Journal of Econometrics, 106, 119-142. Peer Reviewed


Coutant S., Jondeau E. ; Rockinger M. (2001). Reading PIBOR Futures Options Smiles: The 1997 French Snap Election. Journal of Banking and Finance, 25, 1957-1987. Peer Reviewed


Jondeau E. , Rockinger M. (2001). Gram-Charlier Densities. Journal of Economic Dynamics and Control, 25, 1457-1483. Peer Reviewed


Rockinger M. , Urga G. (2001). A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies. Journal of Business and Economic Statistics, 19, 73-84. Peer Reviewed


Benos A. , Rockinger M. (2000). Market Response to Earnings Announcements and Interim Reports: An Analysis of SBF 120 Companies. Annales d'Economie et de Statistique / Annals of Economics and Statistics, 60, 151-175. Peer Reviewed


Jondeau E. , Rockinger M. (2000). Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral Densities. Journal of International Money and Finance, 19, 885-915. Peer Reviewed


Rockinger M , Urga G. (2000). Evolution of Stock Markets in Transition Economies. Journal of Comparative Economics, 28, 456-472. Peer Reviewed


Jondeau E. , Rockinger M. (1999). Comparaison de méthodes d'extraction d'information à partir d'options de change : le cas du Franc-Deutschemark. Finance, 20, 23-60. Peer Reviewed


Rockinger M. , Abadir K. (1997). The "Devil's Horns" Problem of Inverting Confluent Characteristic Functions. Econometrica, 65, 1221-1226. Peer Reviewed


Rockinger M. , Crouhy M. (1997). Volatility Indices for the French Financial Market. Finance. Peer Reviewed


Restoy F. , Rockinger M. (1994). On Stock Market Returns and Returns on Investment. Journal of Finance, 49, 543-556. Peer Reviewed


Books

Jondeau E., Poon S.-H. ; Rockinger M. (2007). Financial Modeling Under Non-Gaussian Distributions. Springer Verlag.


Rockinger M. (2004). Finance. Presses Universitaires de France.


Rockinger M. (2000). Macroéconomie. Ellipses.


Book Sections

Jondeau E. , Rockinger M. (2006). Modelling the Dynamics of Conditional Dependency Between Financial Series. Multi-moment Asset Allocation and Pricing Models. Wiley Finance.


In Proceedings

Rockinger M. , Holly A. (1998, Jan). Exact and approximate distribution of the t ratio test statistic in an AR(1) model. Third International Symposium in Economic Theory & Econometrics. Peer Reviewed


Technical Reports

Holly Alberto, Monfort Alain ; Rockinger Michael (2008). Fourth order pseudo maximum likelihood methods. IEMS.


Jondeau E., Perilla A. ; Rockinger M. (2007). Optimal Liquidation Strategies in Illiquid Markets. Swiss Finance Institute.


Jondeau E. , Rockinger M. (2006). Time-Variability in Higher Moments Is Important for Asset Allocation. Swiss Finance Institute.


Jondeau E. , Rockinger M. (2006). The Economic Value of Distributional Timing. Swiss Finance Institute.


Jondeau E. , Rockinger M. (2004). The Bank Bias: Segmentation of French Fund Families. Banque de France.


Thesis

Schraeder S., Rockinger M. , Schürhoff N. (Dir.) (2015). Information, learning, and risk in financial markets. Université de Lausanne, Faculté des hautes études commerciales.


Marfè R., Rockinger M. (Dir.) (2013). Essays in equilibrium asset pricing. Université de Lausanne, Faculté des hautes études commerciales.


Jalal A., Rockinger M. (Dir.) (2007). Three essays on the psychology of investment and financial markets. Université de Lausanne, Faculté des hautes études commerciales.


Perilla A., Rockinger M (Dir.) (2006). Three essays on liquidity risk. Université de Lausanne, Faculté des hautes études commerciales.


Raccuglia B., Rockinger M. (Dir.) (2006). Levy processes: theory and financial applications. Université de Lausanne, Faculté des hautes études commerciales.


Semenova M., Rockinger M. (Dir.) (2006). Estimation of jump-diffusion processes via empirical characteristic functions. Université de Lausanne, Faculté des hautes études commerciales.


Chen K., Rockinger M. (Dir.) (2004). Three essays on hedge funds and asset allocation with higher moments. Université de Lausanne, Faculté des hautes études commerciales.


Rockinger M., Griliches Zvi (Dir.) (1992). Essais on Investment, Endogenous Growth, and Liquidity Constraints. Harvard University, USA.


Curriculum

Education

Habilitation à diriger des Thèses
Paris-1, La Sorbonne

2001


PhD Economics
Harvard University

1992

Work experience

Professor
HEC Lausanne

2002


Full Professor
HEC Paris

1997-2002


Associate Professor
HEC Paris

1994-1997


Assistant Professor
HEC Paris

1992-1993

Academic honors

Awarded the first price by INQUIRE for the paper "Determinants of Capital flows to Mutual Funds"
Année : 1997


FAME Research Prize
Année : 2004


Price of the best publication in the Revue Finance, awarded by the AFFI
Année : 2001

Keywords

  • asset management
  • evolution of value in the vaud canton
  • finance (6)
  • stock exchange
  • stocks change

 
 
Search


Internef - CH-1015 Lausanne - Suisse  -   Tél. +41 21 692 33 00  -   Fax +41 21 692 33 05
Swiss University