Professeurs et Recherche

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

Econometrics

Empirical Finance

Financial Economics

Macroeconomics and Finance

Assistants

	Martina Fraschini martina.fraschini@unil.ch Tel: (021 692) 3359 Room: 253 full description			Dalil Ghnaia dalil.ghnaia@unil.ch

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

	Luciano Somoza luciano.somoza@unil.ch Tel: (021 692) 6131 Room: 251 full description

Publications

65 last publications

: Peer Reviewed

In Press

	Ivashchenko Alexey, Rockinger Michael (Dir.) (In Press). From Microstructure to Macro Implications: Three Essays on Corporate Bond Pricing and Liquidity. Université de Lausanne, Faculté des hautes études commerciales.

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.

	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.

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.

	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

	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.

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 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

Michael Rockinger

Contact

Links