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Financial modeling under non-Gaussian distributions

Jondeau, Eric; Poon, Ser-Huang; Rockinger, Michael - 2007

Persistent link: https://www.econbiz.de/10003284155

Modelling the dynamics of conditional dependency between financial series

Jondeau, Eric; Rockinger, Michael - In: Multi-moment asset allocation and pricing models, (pp. 195-221). 2006

Persistent link: https://www.econbiz.de/10003477407

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

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 price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

Conditional dependency of financial series : the copula-GARCH model

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

Persistent link: https://www.econbiz.de/10001791437

Estimating the price impact of trades in a high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - In: Journal of banking & finance 61 (2015) 2, pp. 205-224

Persistent link: https://www.econbiz.de/10011585573

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

Volatility clustering, asymmetry and hysteresis in stock returns : international evidence

Crouhy, Michel - In: Financial engineering and the Japanese markets 4 (1997) 1, pp. 1-35

Persistent link: https://www.econbiz.de/10001222633

The "devil's horns" problem of inverting confluent characteristic functions

Abadir, Karim Maher - In: Econometrica : journal of the Econometric Society, an … 65 (1997) 5, pp. 1221-1225

Persistent link: https://www.econbiz.de/10001225108

Volatility clustering, asymmetry and hysteresis in stock returns : international evidence

Crouhy, Michel; Rockinger, Michael - 1994

Persistent link: https://www.econbiz.de/10000907916

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