Concepedia

Michael Rockinger

MR

40

Publications

4.7K

Citations

27

H-Index

1997

Active since

Affiliations

University of Lausanne(Current)

Swiss Finance Institute

Centre for Economic Policy Research

HEC Paris

Banque de France

Michael Rockinger is an author at University of Lausanne specializing in business, finance, and asset pricing.

ORCID

Top concepts

Publications per year

1997–2022

40

Publications

40

The Copula-GARCH model of conditional dependencies: An international stock market application

Éric Jondeau, Michael Rockinger · Journal of International Money and Finance · 2006 · 772 citations

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Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications

Ser‐Huang Poon, Michael Rockinger, Jonathan A. Tawn · Review of Financial Studies · 2003 · 603 citations

Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements

Éric Jondeau, Michael Rockinger · Journal of Economic Dynamics and Control · 2003 · 566 citations

, , +6

Optimal Portfolio Allocation under Higher Moments

Éric Jondeau, Michael Rockinger · European Financial Management · 2006 · 421 citations · Full text

Gram–Charlier densities

Éric Jondeau, Michael Rockinger · Journal of Economic Dynamics and Control · 2001 · 268 citations

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