Michael Rockinger
Contact
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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 |
Links
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 Asset and Risk Management Master of Science (MSc) in Finance, Orientation Corporate Finance |
bachelor Principes de finance Related programmes Bachelor (BSc) in Economic Sciences Bachelor of Science (BSc) in Management Bachelor of Science (BSc) in Economics |
Research
Research areas
EconometricsEmpirical Finance
Financial Economics
Macroeconomics and Finance
Assistants
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Martina Fraschini
martina.fraschini@unil.ch Tel: (021 692) 3359 Room: 253 full description |
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Dalil Ghnaia
dalil.ghnaia@unil.ch |
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Maud Goutte
maud.goutte@unil.ch Tel: (021 692) 3399 Room: 243 full description |
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Bastien Mourier
bastien.mourier@unil.ch |
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Luciano Somoza
luciano.somoza@unil.ch Tel: (021 692) 6131 Room: 251 full description |
Publications
65 last publications
: Peer Reviewed
In Press
2019
Arnold S., Jijiie A., Jondeau E. ; Rockinger M. (2019). Periodic or Generational Actuarial Tables: Which One to Choose?. European Actuarial Journal, 9, 519-554. ![]() | |
KALYAEVA Daria, Rockinger Michael (Dir.) (2019). THREE ESSAYS IN BANKING AND INVESTMENT. Université de Lausanne, Faculté des hautes études commerciales. | |
2018
Jondeau E. , Rockinger M. (2018). Predicting Long-term Financial Returns: VAR vs. DSGE Model – A Horse-Race. Journal of Money, Credit, and Banking, 51, 2239-2291. ![]() | |
2017
CONSTANTIN Andreea Carmen, Rockinger Michael (Dir.) (2017). NETWORKS AS RISK DETERMINANTS FOR COUNTRIES, FIRMS AND BANKS. Université de Lausanne, Faculté des hautes études commerciales. | |
Jondeau E. , Rockinger M. (2017). Do Higher Realized Moments Predict Cross-sectional Returns? The Case of France. HEC Lausanne. | |
Jondeau E. , Rockinger M. (2017). Predicting Long-Term Financial Returns: VAR vs. DSGE Model – A Horse-Race. Swiss Finance Institute. | |
Nunes Tamara, Rockinger Michael (Dir.) (2017). Essays in International and Behavioral Finance. Université de Lausanne, Faculté des hautes études commerciales. | |
2016
Borisova A. , Rockinger M. (2016). Violating United Nations Global Compact Principles: An Event Study. Bankers, Markets & Investors, 4-19 . ![]() | |
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. ![]() | |
2015
Engle R., Jondeau E. ; Rockinger M. (2015). Systemic Risk in Europe. Review of Finance, 19, 145-190. ![]() | |
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. ![]() | |
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., Rockinger M. , Schürhoff N. (Dir.) (2015). Information, learning, and risk in financial markets. Université de Lausanne, Faculté des hautes études commerciales. | |
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. ![]() | |
Marfè R., Rockinger M. (Dir.) (2013). Essays in equilibrium asset pricing. Université de Lausanne, Faculté des hautes études commerciales. | |
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. ![]() | |
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. ![]() | |
2011
Holly A., Monfort A. ; Rockinger M. (2011). Fourth order pseudo maximum likelihood methods. Journal of Econometrics, 162, 278-293. ![]() | |
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. ![]() | |
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. ![]() | |
2007
Jalal A., Rockinger M. (Dir.) (2007). Three essays on the psychology of investment and financial markets. Université de Lausanne, Faculté des hautes études commerciales. | |
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. ![]() | |
Jondeau E. , Rockinger M. (2006). Optimal Portfolio Allocation Under Higher Moments. European Financial Management, 12, 29-55. ![]() | |
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., 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. | |
2004
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. | |
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. ![]() | |
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. ![]() | |
Jondeau E. , Rockinger M. (2003). User's Guide. Journal of Economic Dynamics and Control, 27, 1739-1742. ![]() | |
Jondeau E. , Rockinger M. (2003). Testing for Differences in the Tails of Stock-Market Returns. Journal of Empirical Finance, 10, 559-581. ![]() | |
Jondeau E. , Rockinger M. (2003). Conditional Volatility, Skewness, and Kurtosis: Existence, Persistence, and Comovements. Journal of Economic Dynamics and Control, 27, 1699-1737. ![]() | |
Poon S.-H., Rockinger M. ; Tawn J. (2003). Modelling extreme-value dependence in international stock markets. Statistica Sinica, 13, 929-953. ![]() | |
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. ![]() | |
2002
Jondeau E. , Rockinger M. (2002). Entropy Densities with an Application to Autoregressive Conditional Skewness and Kurtosis. Journal of Econometrics, 106, 119-142. ![]() | |
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. ![]() | |
Jondeau E. , Rockinger M. (2001). Gram-Charlier Densities. Journal of Economic Dynamics and Control, 25, 1457-1483. ![]() | |
2000
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. ![]() | |
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. ![]() | |
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. ![]() | |
1998
1997
Abadir K. , Rockinger M. (1997). The "Devil's Horns" Problem of Inverting Confluent Characteristic Functions. Econometrica, 65, 1221-1225. ![]() | |
Crouhy M. , Rockinger M. (1997). Volatility Clustering, Asymmetry and Hysteresis in Stock Returns: International Evidence. Financial Engineering and the Japanese Markets, 4, 1–35. ![]() | |
Crouhy M. , Rockinger M. (1997). Volatility Indices for the French Financial Market. Finance, 18, 29-50. ![]() | |
1994
Restoy F. , Rockinger M. (1994). On Stock Market Returns and Returns on Investment. Journal of Finance, 49, 543-556. ![]() | |
1992
Rockinger M., Griliches Zvi (Dir.) (1992). Essais on Investment, Endogenous Growth, and Liquidity Constraints. Harvard University, USA. | |
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. ![]() | |
Curriculum
Education
Habilitation à diriger des ThèsesParis-1, La Sorbonne
2001
PhD Economics
Harvard University
1992
Work experience
ProfessorHEC 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