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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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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/10007676173
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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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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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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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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/10000652712
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Information content of Russian stock indices
Rockinger, Michael; Urga, Giovanni - 1997
Persistent link: https://www.econbiz.de/10000650309
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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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Extreme value dependence in financial markets : diagnostics, models, and financial implications
Poon, Ser-Huang; Rockinger, Michael; Twan, Jonathan - In: The review of financial studies 17 (2004) 2, pp. 581-610
Persistent link: https://www.econbiz.de/10002028108