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Michael Rockinger

Global rank #6256 92%

Institution: Université de Lausanne

Primary Field: Finance (weighted toward more recent publications)

Homepage: https://people.unil.ch/michaelrockinger/

First Publication: 1994

Most Recent: 2025

RePEc ID: pro200 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.00 1.01 0.00 1.01
Last 10 Years 0.00 0.67 2.01 0.00 3.35
All Time 0.00 3.35 10.05 0.00 16.76

Publication Statistics

Raw Publications 15
Coauthorship-Adjusted Count 13.46

Publications (15)

Year Article Journal Tier Authors
2025 Do structured products improve portfolio performance? A backtesting exercise Journal of International Money and Finance B 2
2019 Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race Journal of Money, Credit, and Banking B 2
2018 Moment Component Analysis: An Illustration With International Stock Markets Journal of Business & Economic Statistics A 3
2015 Systemic Risk in Europe Review of Finance B 3
2015 Estimating the price impact of trades in a high-frequency microstructure model with jumps Journal of Banking & Finance B 3
2011 Fourth order pseudo maximum likelihood methods Journal of Econometrics A 3
2006 The Copula-GARCH model of conditional dependencies: An international stock market application Journal of International Money and Finance B 2
2003 Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements Journal of Economic Dynamics and Control B 2
2003 User's guide Journal of Economic Dynamics and Control B 2
2003 DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATION Econometric Theory B 2
2002 Entropy densities with an application to autoregressive conditional skewness and kurtosis Journal of Econometrics A 2
2001 Gram-Charlier densities Journal of Economic Dynamics and Control B 2
2001 Reading PIBOR futures options smiles: The 1997 snap election Journal of Banking & Finance B 3
2000 Reading the smile: the message conveyed by methods which infer risk neutral densities Journal of International Money and Finance B 2
1994 On Stock Market Returns and Returns on Investment. Journal of Finance A 2