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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 Fixed Income and Credit Risk
Related programmes
Master of Science (MSc) in Finance : Financial Entrepreneurship and Data Science
Master of Science (MSc) in Finance, Orientation Corporate Finance
Master of Science (MSc) in Finance, Orientation Asset and Risk Management
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

Martina Fraschini
martina.fraschini@unil.ch
Tel: (021 692) 3359
Room: 253

full description
  Maud Goutte
maud.goutte@unil.ch
Tel: (021 692) 3399
Room: 243

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

full description
 

Publications

64 last publications ordered by: publication type  -  year

: Peer Reviewed

In Press

Arnold S., Jijiie A., Jondeau E. ; Rockinger M. (in press). Periodic or Generational Actuarial Tables: Which One to Choose?. European Actuarial Journal. Peer Reviewed


Jondeau E. , Rockinger M. (in press). Predicting Long-term Financial Returns: VAR vs. DSGE Model – A Horse-Race . Journal of Money, Credit, and Banking. Peer Reviewed


2019

KALYAEVA Daria (2019). THREE ESSAYS IN BANKING AND INVESTMENT. Université de Lausanne, Faculté des hautes études commerciales. Rockinger Michael (Dir.)


2017

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


Jondeau E. , Rockinger M. (2017). Predicting Long-Term Financial Returns: VAR vs. DSGE Model – A Horse-Race. Swiss Finance Institute.


Jondeau E. , Rockinger M. (2017). Do Higher Realized Moments Predict Cross-sectional Returns? The Case of France. HEC Lausanne.


Nunes Tamara (2017). Essays in International and Behavioral Finance. Université de Lausanne, Faculté des hautes études commerciales. Rockinger Michael (Dir.)


2016

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


El Bernoussi R. , Rockinger M. (2016). Besoins en Logements pour Personnnes Agées en Suisse Horizon 2045. Cronos Finance.


El Bernoussi R. , Rockinger M. (2016). Logements Etudiants en Suisse . Cronos Finance.


Jondeau E., Jurczenko E. ; Rockinger M. (2016). Moment Component Analysis: An Illustration with International Stock Markets. Journal of Business and Economic Statistics, 1-23. Peer Reviewed


2015

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. (2015). Backtesting Longevity Models: An International Perspective. Cronos Finance.


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


2014

Jondeau E. , Rockinger M. (2014). Optimal Long-Term Allocation for a Defined-Contributions Pension Fund. HEC Lausanne.


2013

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


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


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


2012

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


2011

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


2010

Jondeau E. , Rockinger M. (2010). Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty. Swiss Finance Institute.


2009

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


2008

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


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


2007

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


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


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


2006

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


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.


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


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


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


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


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


2004

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


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


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


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


2003

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


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.


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


2002

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


2001

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


2000

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. (2000). Macroéconomie. Ellipses.


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


1999

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


1998

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


1997

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


1994

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


1992

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


1990

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


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


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


FAME Research Prize
Année : 2004


Keywords

  • asset management
  • evolution of value in the vaud canton
  • finance (5)
  • stock exchange
  • stocks change

 
 
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