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Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications
Poon, Ser-Huang; Rockinger, Michael; Tawn, Jonathan - In: The review of financial studies 17 (2013) 2, pp. 581-580
Persistent link: https://www.econbiz.de/10010114479
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DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATION
Abadir, Karim M.; Rockinger, Michael - In: Econometric theory 19 (2003) 5, pp. 778-811
Persistent link: https://www.econbiz.de/10006967471
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Market Response to Earnings Announcements and Interim Reports: An Analysis of SBF120 Companies
Benos, Alexandros; Rockinger, Michael - In: Annales d'économie et de statistique (2000) 60, pp. 151-176
Persistent link: https://www.econbiz.de/10007919762
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Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data
Jalal, Amine; Rockinger, Michael - In: Journal of empirical finance 15 (2008) 5, pp. 868-877
Persistent link: https://www.econbiz.de/10008109032
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Fourth order pseudo maximum likelihood methods
Holly, Alberto; Monfort, Alain; Rockinger, Michael - In: Journal of econometrics 162 (2011) 2, pp. 278-294
Persistent link: https://www.econbiz.de/10008997621
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Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data
Jalal, Amine; Rockinger, Michael - In: Journal of empirical finance 15 (2008) 5, pp. 868-878
Persistent link: https://www.econbiz.de/10008880809
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The 'Devil's Horns' Problem of Inverting Confluent Characteristic Functions
Abadir, Karim M. - 2012
We warn of a class of problems that occur when inverting some Characteristic Functions (CFs) which we term confluent. Confluences can arise in joint CFs during the derivation of the marginal density of some lower-dimensional combination of the components. We illustrate with a simple (yet common)...
Persistent link: https://www.econbiz.de/10013112343
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A time varying parameter model to test for predictability and integration in stock markets of transition economies
Rockinger, Michael - 2000
Persistent link: https://www.econbiz.de/10013422978
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New extreme-value dependence measures and finance applications
Poon, Ser-Huang; Rockinger, Michael; Tawn, Jonathan - 2001
Persistent link: https://www.econbiz.de/10013423369
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Simulating the Cox-Ingersoll-Ross and Heston processes : matching the first four moments
Okhrin, Ostap; Rockinger, Michael; Schmid, Manuel - In: The journal of computational finance 26 (2022) 2, pp. 1-52
Persistent link: https://www.econbiz.de/10013549657