2026 Michael Rockinger: Economics and Finance Researcher – H-Index, Publications & Awards

Discipline name	D-Index	World Ranking	Current World Ranking	National Ranking	Current National Ranking	Publications	Citations
Economics and Finance	32	3389	3083	61	60	131	7230

Overview

Michael Rockinger is a researcher affiliated with the University of Lausanne in Switzerland. Their primary field of study is Economics, Econometrics and Finance, with a focus spanning multiple subfields including Finance, Economics and Econometrics, Strategy and Management, Management Science and Operations Research, and Accounting.

Their body of work addresses various main topics, among which are:

Financial Markets and Investment Strategies
Stochastic processes and financial applications
Financial Risk and Volatility Modeling
Complex Systems and Time Series Analysis
Credit Risk and Financial Regulations
Banking stability, regulation, efficiency
Housing Market and Economics

Rockinger's publication record includes contributions to several frequent venues such as:

SSRN Electronic Journal
Financial markets and portfolio management
Sustainability
The Journal of Computational Finance
AStA Advances in Statistical Analysis

Some notable recent papers are:

"Rebalancing with transaction costs: theory, simulations, and actual data" (2022), published in Financial markets and portfolio management
"Unfolding the Transitions in Sustainability Reporting" (2024), published in Sustainability
"Simulating the Cox-Ingersoll-Ross and Heston processes: matching the first four moments" (2022), published in The Journal of Computational Finance
"Distributional properties of continuous time processes: from CIR to bates" (2022), published in AStA Advances in Statistical Analysis
"Observations concerning the estimation of Heston's stochastic volatility model using HF data" (2025), published in Statistical Papers

Collaboration is a significant aspect of Rockinger's work, with frequent coauthors including:

Ostap Okhrin
Manuel Schmid
Florian Perusset
Alexey Ivashchenko
Rim El Bernoussi

Best Publications

The Copula-GARCH model of conditional dependencies: An international stock market application

Eric Jondeau;Michael Rockinger

1027
Citations
Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications

Ser Huang Poon;Michael Rockinger;Jonathan Tawn

806
Citations
Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements

Eric Jondeau;Michael Rockinger;Michael Rockinger;Michael Rockinger

702
Citations
Optimal Portfolio Allocation under Higher Moments

Eric Jondeau;Eric Jondeau;Michael Rockinger;Michael Rockinger;Michael Rockinger

573
Citations
Financial Modeling Under Non-Gaussian Distributions

Ser-Huang Poon;M Rockinger;Jondeau Eric

532
Citations
Systemic Risk in Europe

Robert Engle;Eric Jondeau;Michael Rockinger

341
Citations
Gram–Charlier densities

Eric Jondeau;Michael Rockinger

337
Citations
Entropy densities with an application to autoregressive conditional skewness and kurtosis

Michael Rockinger;Eric Jondeau

240
Citations
Testing for differences in the tails of stock-market returns

Eric Jondeau;Michael Rockinger

232
Citations
A Time Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies

Michael Rockinger;Giovanni Urga

199
Citations
Conditional Dependency of Financial Series: An Application of Copulas

Michael Rockinger;Eric Jondeau

175
Citations
Reading the smile: the message conveyed by methods which infer risk neutral densities

Eric Jondeau;Michael Rockinger

167
Citations
The Evolution of Stock Markets in Transition Economies

Michael Rockinger;Giovanni Urga

138
Citations
Modelling extreme-value dependence in international stock markets.

Ser-Huang Poon;Ser-Huang Poon;Michael Rockinger;Michael Rockinger;Michael Rockinger;Jonathan Tawn

107
Citations
On the Importance of Time Variability in Higher Moments for Asset Allocation

Eric Jondeau;Michael Rockinger

103
Citations
The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets

Eric Jondeau;Michael Rockinger

102
Citations
On Stock Market Returns and Returns on Investment

Unknown

78
Citations
Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election

Michael Rockinger;Michael Rockinger;Michael Rockinger;S. Coutant;Eric Jondeau;Eric Jondeau

76
Citations
Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence

Michael Rockinger;Eric Jondeau

76
Citations
Estimating Gram-Charlier Expansions Under Positivity Constraints

Michael Rockinger;Eric Jondeau

75
Citations
The Tail Behavior of Stock Returns: Emerging Versus Mature Markets

Michael Rockinger;Eric Jondeau;Eric Jondeau

55
Citations
Asset Allocation in Transition Economies

Eric Jondeau;Michael Rockinger;Michael Rockinger;Michael Rockinger

29
Citations
Conditional Dependency of Financial Series: An Application of Copulas

Michael Rockinger;Michael Rockinger;Michael Rockinger;Eric Jondeau;Eric Jondeau

20
Citations
Testing for Differences in the Tails of Stock-Market Returns

Michael Rockinger;Michael Rockinger;Michael Rockinger

17
Citations
The Bank Bias: Segmentation of French Fund Families

E. Jondeau;E. Jondeau;M. Rockinger;M. Rockinger;M. Rockinger

15
Citations

Frequent Co-Authors

Eric Jondeau University of Lausanne

Alain Monfort École Nationale de la Statistique et de l'Administration Économique

Robert F. Engle New York University

External Links

Personal website of Michael Rockinger

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