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Estimation of jump-diffusion processes via empirical characteristic functions
Rockinger, Michael (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003074581
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Exact and approximate distribution of the T ratio test statistic in an AR(1) model
Holly, Alberto; Rockinger, Michael - 1987 - Rev
Persistent link: https://www.econbiz.de/10000738177
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Estimation et interprétation des densités neutres au risque : une comparaison de méthodes
Jondeau, Eric; Rockinger, Michael - 1997
Persistent link: https://www.econbiz.de/10000972674
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Gram-Charlier densities
Jondeau, Eric; Rockinger, Michael - In: Journal of economic dynamics & control 25 (2001) 10, pp. 1457-1483
Persistent link: https://www.econbiz.de/10001603779
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New extreme-value dependance measures and finance applications
Poon, Ser-Huang; Rockinger, Michael; Tawn, Jonathan - 2001
Persistent link: https://www.econbiz.de/10001564644
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Testing for differences in the tails of stock-market returns
Jondeau, Eric; Rockinger, Michael - In: Journal of empirical finance 10 (2003) 5, pp. 559-581
Persistent link: https://www.econbiz.de/10001806965
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Testing for differences in the tails of stock-market returns
Jondeau, Eric; Rockinger, Michael - 2001
Persistent link: https://www.econbiz.de/10001629391
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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
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Entropy densities : with an application to autoregressive conditional skewness and kurtosis
Rockinger, Michael; Jondeau, Eric - 2001
Persistent link: https://www.econbiz.de/10001539613
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Entropy densities with an application to autoregressive conditional skewness and kurtosis
Rockinger, Michael; Jondeau, Eric - In: Journal of econometrics 106 (2002) 1, pp. 119-142
Persistent link: https://www.econbiz.de/10001633716