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1“...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...”
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2“...This paper considers a U.S. institutional investor who is implementing a long‐term portfolio allocation using forecasts of financial returns. We compare the...”
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3“...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...”
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4by 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...”
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5by 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...”
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6“...Recent portfolio-choice, asset-pricing, value-at-risk, and option-valuation models highlight the importance of modeling the asymmetry and tail-fatness of...”
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7by 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...”
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8by 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...”
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9“...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...”
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10“...The Gram–Charlier expansion, where skewness and kurtosis directly appear as parameters, has become popular in Finance as a generalization of the normal...”
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11“...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...”
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12by 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...”
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13“...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...”
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15“...In the finance literature, cross-sectional dependence in extreme returns of risky assets is often modelled implicitly assuming an asymptotically dependent...”
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17“...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...”
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18by 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...”
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19“...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...”
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20“...A significant autocorrelation of returns, also called predictability, may indicate market inefficiency. To test whether market efficiency has improved in...”