Showing 1 - 20 results of 273 for search '"Rockinger, Michael"' Skip to content
Are you a member of Bonn University? Yes: Then connect to the University network via VPN client in order to access the licensed contents. No: You can then access licensed contents using the Service Pcs within the ULB Bonn. Bitte buchen Sie den Arbeitsplatz 'Service-PC o. Scanner'
Lesen Sie bitte unsere aktuellen Informationen zur ULB im geschützten Betrieb.
  • Help
  • Feedback
  • My account
  • My account

    Favorites  Checked out items  Requests / Reservations  Fees Personal data My saved searches
  • Log Out
  • Log In
  • 0 Results in book bag (Full)
  • Language
    • English
    • Deutsch
Advanced |Search History
  • Your search results: "Rockinger, Michael"
Showing 1 - 20 results of 273 for search '"Rockinger, Michael"', query time: 1.39s Narrow search
  • 1
    Cover Image Journal Article
    The Copula-GARCH model of conditional dependencies: An international stock market application
    by Jondeau, Eric   Rockinger, Michael Published in Journal of international money and finance (2006)
    “...Modeling the dependency between stock market returns is a difficult task when returns follow a complicated dynamics. When returns are non-normal, it is often...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 2
    Cover Image Journal Article
    Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race
    by JONDEAU, ERIC   ROCKINGER, MICHAEL Published in Journal of money, credit and banking (01.12.2019)
    “...This paper considers a U.S. institutional investor who is implementing a long‐term portfolio allocation using forecasts of financial returns. We compare the...”
    Fulltext

    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 3
    Cover Image Journal Article
    Systemic Risk in Europe
    by Engle, Robert   Jondeau, Eric   Rockinger, Michael Published in Review of Finance (01.03.2015)
    “...Systemic risk may be defined as the propensity of a financial institution to be undercapitalized when the financial system as a whole is undercapitalized. In...”
    Fulltext
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 4
    Cover Image Journal Article
    Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications
    by Ser-Huang Poon   Michael Rockinger   Jonathan Tawn Published in The Review of financial studies (01.07.2004)
    “...This article presents a general framework for identifying and modeling the joint-tail distribution based on multivariate extreme value theories. We argue that...”
    Fulltext

    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 5
    Cover Image Journal Article
    Estimating the price impact of trades in a high-frequency microstructure model with jumps
    by Jondeau, Eric   Lahaye, Jérôme   Rockinger, Michael Published in Journal of banking & finance (01.12.2015)
    “...We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 6
    Cover Image Journal Article
    Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements
    by Jondeau, Eric   Rockinger, Michael Published in Journal of economic dynamics & control (2003)
    “...Recent portfolio-choice, asset-pricing, value-at-risk, and option-valuation models highlight the importance of modeling the asymmetry and tail-fatness of...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 7
    Cover Image Journal Article
    Optimal Portfolio Allocation under Higher Moments
    by Jondeau, Eric   Rockinger, Michael Published in European financial management : the journal of the European Financial Management Association (01.01.2006)
    “...We evaluate how departure from normality may affect the allocation of assets. A Taylor series expansion of the expected utility allows to focus on certain...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 8
    Cover Image Journal Article
    Periodic or generational actuarial tables: which one to choose?
    by Arnold, Séverine   Jijiie, Anca   Jondeau, Eric   Rockinger, Michael Published in European actuarial journal (01.12.2019)
    “...The increase in life expectancy over the past several decades has been impressive and represents a key challenge for institutions that provide life insurance...”
    Fulltext
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 9
    Cover Image Journal Article
    On the Importance of Time Variability in Higher Moments for Asset Allocation
    by Jondeau, Eric   Rockinger, Michael Published in Journal of financial econometrics (20120000)
    “...It is well known that strategies that allow investors to allocate their wealth using return and volatility forecasts, the use of which are termed market and...”
    Fulltext

    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 10
    Cover Image Journal Article
    Gram–Charlier densities
    by Jondeau, Eric   Rockinger, Michael Published in Journal of economic dynamics & control (2001)
    “...The Gram–Charlier expansion, where skewness and kurtosis directly appear as parameters, has become popular in Finance as a generalization of the normal...”
    Fulltext
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 11
    Cover Image Journal Article
    Entropy densities with an application to autoregressive conditional skewness and kurtosis
    by Rockinger, Michael   Jondeau, Eric Published in Journal of econometrics (2002)
    “...The entropy principle yields, for a given set of moments, a density that involves the smallest amount of prior information. We first show how entropy densities...”
    Fulltext
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 12
    Cover Image Journal Article
    Market liquidity and institutional trading during the 2007–8 financial crisis
    by Poon, Ser-Huang   Rockinger, Michael   Stathopoulos, Konstantinos Published in International review of financial analysis (01.12.2013)
    “...This paper shows that institutional sell-side herding increased bid–ask spreads and liquidity risk during the 2007–8 financial crisis. Such an impact on...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 13
    Cover Image Journal Article
    Fourth order pseudo maximum likelihood methods
    by Holly, Alberto   Monfort, Alain   Rockinger, Michael Published in Journal of econometrics (2011)
    “...We extend PML theory to account for information on the conditional moments up to order four, but without assuming a parametric model, to avoid a risk of...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 14
    Cover Image Book
    Financial modeling under non-Gaussian distributions
    by Jondeau, Eric   Poon, Ser-Huang   Rockinger, Michael
    2007
    Description of contents
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:

    Holdings Uni Bonn
  • 15
    Cover Image Journal Article
    MODELLING EXTREME-VALUE DEPENDENCE IN INTERNATIONAL STOCK MARKETS
    by Ser-Huang Poon   Michael Rockinger   Jonathan Tawn Published in Statistica Sinica (01.10.2003)
    “...In the finance literature, cross-sectional dependence in extreme returns of risky assets is often modelled implicitly assuming an asymptotically dependent...”
    Fulltext
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 16
    Cover Image Book
    Determinants of capital flows to mutual funds
    by Rockinger, Michae͏̈l
    1995
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 17
    Cover Image Journal Article
    The Impact of Shocks on Higher Moments
    by Jondeau, Eric   Rockinger, Michael Published in Journal of financial econometrics (20090000)
    “...In this paper, we extend the concept of the news impact curve of volatility developed by Engle and Ng (1993) to the higher moments and co-moments of the...”
    Fulltext

    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 18
    Cover Image Journal Article
    A Time Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies
    by Rockinger, Michael   Urga, Giovanni Published in Journal of business & economic statistics (01.01.2001)
    “...This article introduces a model, based on the Kalman-filter framework, that allows for time-varying parameters, latent factors, and a general generalized...”
    Fulltext

    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 19
    Cover Image Journal Article
    Reading the smile: the message conveyed by methods which infer risk neutral densities
    by Jondeau, Eric   Rockinger, Michael Published in Journal of international money and finance (2000)
    “...In this study we compare the quality and information content of risk neutral densities obtained by various methods. We consider a non-parametric method based...”
    Fulltext
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 20
    Cover Image Journal Article
    The Evolution of Stock Markets in Transition Economies
    by Rockinger, Michael   Urga, Giovanni Published in Journal of Comparative Economics (01.09.2000)
    “...A significant autocorrelation of returns, also called predictability, may indicate market inefficiency. To test whether market efficiency has improved in...”
    Fulltext
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10
  • 11
  • Next »
  • [14]
Search Tools: Email this search — Save search

Narrow search

Fulltext + Libraries Uni Bonn Fulltext only Uni Bonn Libraries only
  • Fachbibl. Mathematik 1
  • Staatswiss. Sem. 1
  • Journal Article 79
  • Technical Report 55
  • Book / eBook 41
  • Publication 39
  • Paper 38
  • Newspaper Article 8
  • more ...
  • Electronic Resource 7
  • Book Chapter 4
  • Book Review 1
  • Trade Publication Article 1
  • see all ... less ...
  • economics 30
  • business 21
  • mathematics 15
  • statistics 9
  • applied sciences 1
  • history & archaeology 1
  • more ...
  • medicine 1
  • see all ... less ...
  • English 254
  • French 17
  • German 3
  • Japanese 1
  • Further Searchtools

    • Journals - ZDB
    • eJournals - EZB
    • Databases - DBIS
    • Metasearch - DigiBib

    Interlibrary loan service

    • Interlibrary loan - Books
    • Interlibrary loan - Article
    • FAQ Interlibrary loan

    Searchtools

    • Search History
    • Recommandation for acquisition

    Legal Details

    • Privacy Policy
    • Legal Notice
    Help
    News ULB
    Facebook
    Twitter
    Instagram
    Powered by Summon™ from Serials Solutions, a division of ProQuest.@131.220.74.21
    Loading...