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The impact of news on higher moments

Jondeau, Eric (contributor); Rockinger, Michael (contributor) - 2006

In this paper, we extend the concept of News Impact Curve developed by Engle and Ng (1993) to the higher moments of the multivariate returns' distribution, thereby providing a tool to investigate the impact of shocks on the characteristics of the subsequent distribution. For this purpose, we...

Persistent link: https://www.econbiz.de/10003394353

On the importance of time variability in higher moments for asset allocation

Jondeau, Eric; Rockinger, Michael - In: Journal of financial econometrics : official journal of … 10 (2012) 1, pp. 84-123

Persistent link: https://www.econbiz.de/10009519710

The impact of shocks on higher moments

Jondeau, Eric; Rockinger, Michael - In: Journal of financial econometrics : official journal of … 7 (2009) 2, pp. 77-105

Persistent link: https://www.econbiz.de/10003826483

Testing for differences in the tails of stock-market returns

Jondeau, Eric; Rockinger, Michael - In: Journal of empirical finance 10 (2003) 5, pp. 559-581

Persistent link: https://www.econbiz.de/10001806965

Asset allocation in transition economies

Jondeau, Eric (contributor); Rockinger, Michael (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001827664

On stock market returns and returns on investment

Rockinger, Michael; Restoy, Fernando - 1993

Persistent link: https://www.econbiz.de/10000881687

A time-varying parameter model to test for predictability and integration in the stock markets of transition economies

Rockinger, Michael; Urga, Giovanni - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 1, pp. 73-84

Persistent link: https://www.econbiz.de/10001543452

The evolution of stock markets in transition economies

Rockinger, Michael; Urga, Giovanni - In: Journal of comparative economics : the journal of the … 28 (2000) 3, pp. 456-472

Persistent link: https://www.econbiz.de/10001520714

Information content of Russian stock indices

Rockinger, Michael; Urga, Giovanni - 1997

Persistent link: https://www.econbiz.de/10000972123

A time varying parameter model to test for predictability and integration in stock markets of transition economies

Rockinger, Michael; Urga, Giovanni - 1998

Persistent link: https://www.econbiz.de/10000980116

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