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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-Chamberonne
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 Economics
Bachelor of Science (BSc) in Management

Research

Research areas

Econometrics

Empirical Finance

Financial Economics

Macroeconomics and Finance

Assistants

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

full description
  Dina Finger
dina.finger@unil.ch

Room: Nef 143

 
Noémie Fonjallaz
noemie.fonjallaz@unil.ch



  Martina Fraschini
martina.fraschini@unil.ch
Tel: (021 692) 3677
Room: 130

 
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

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

full description
 

Publications

53 last publications ordered by: publication type  -  year

: Peer Reviewed

Articles

Jondeau E., Jurczenko E. ; Rockinger M. (in press). Moment Component Analysis: An Illustration with International Stock Markets. Journal of Business and Economic Statistics. Peer Reviewed


Borisova A. , Rockinger M. (2016). Violating United Nations Global Compact Principles: An Event Study. Bankers, Markets & Investors, 4-19 .


Engle R., Jondeau E. ; Rockinger M. (2015). Systemic Risk in Europe. Review of Finance, 19, 145-190. Peer Reviewed


Jondeau E., Lahaye J. ; Rockinger M. (2015). Estimating the price impact of trades in a high-frequency microstructure model with jumps. Journal of Banking and Finance, 61, S205–S224. Peer Reviewed


Jondeau E. , Rockinger M. (2015). Long-term Portfolio Allocation Based on Long-term Macro Forecasts. Bankers, Markets & Investors, 62-69.


Jondeau E. , Rockinger M. (2013). Systemic Risk in Europe. Global Credit Review, 3, 1-6. Peer Reviewed


Poon S.-H., Rockinger M. ; Stathopoulos K. (2013). Market liquidity and institutional trading during the 2007–8 financial crisis. International Review of Financial Analysis, 30, 86–97. Peer Reviewed


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). Optimal Portfolio Allocation Under Higher Moments. European Financial Management, 12, 29-55. 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


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


Abadir K. , Rockinger M. (2003). Density functionals, with an option-pricing application. Econometric Theory, 19, 778-811. 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


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


Poon S.-H., Rockinger M. ; Tawn J. (2003). Modelling extreme-value dependence in international stock markets. Statistica Sinica, 13, 929-953. Peer Reviewed


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


Abadir K. , Rockinger M. (1997). The "Devil's Horns" Problem of Inverting Confluent Characteristic Functions. Econometrica, 65, 1221-1225. Peer Reviewed


Crouhy M. , Rockinger M. (1997). Volatility Clustering, Asymmetry and Hysteresis in Stock Returns: International Evidence. Financial Engineering and the Japanese Markets, 4, 1–35. Peer Reviewed


Crouhy M. , Rockinger M. (1997). Volatility Indices for the French Financial Market. Finance, 18, 29-50. Peer Reviewed


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


Racine J.-B., Rockinger M. ; Ruffy V. (1990). Évolution des valeurs foncières dans l'espace vaudois : des effets de milieu aux effets de voisinage. L'Espace Géographique, 19, 224-242. Peer Reviewed


Books

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


Rockinger M. (2004). Investments. 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 (pp. 195-221). Wiley, Chichester, UK.


Roche B. , Rockinger M. (2003). Switching Regime Volatility: An Empirical Evaluation. Applied Quantitative Methods for Trading and Investment (pp. 193–211). Wiley Finance, Chichester, UK.


In Proceedings

Holly A. , Rockinger M. (1998, Jan). Exact and approximate distribution of the t ratio test statistic in an AR(1) model. Dynamic Econometric Modeling: Proceedings of the Third International Symposium in Economic Theory & Econometrics (pp. 157-170). Cambridge University Press. 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

CONSTANTIN Andreea Carmen, Rockinger Michael (Dir.) (2017). NETWORKS AS RISK DETERMINANTS FOR COUNTRIES, FIRMS AND BANKS. Université de Lausanne, Faculté des hautes études commerciales.


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

 
 
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