Michael Rockinger
Professor
Finance
University of Lausanne
Switzerland
Biography
Michael Rockinger is Professor of Finance at the University of Lausanne and has been an SFI Faculty Member since 2006. Prof. Rockinger has published extensively on computational finance and financial econometrics, and is an active member of the Center for Risk Management, Lausanne – a group that focuses on diffusing independent and transparent decision-making tools for banks, insurance companies, and industrial firms. Prof. Rockinger also acts as a research fellow of the Society of Financial Econometrics and is a regular speaker at leading conferences in his areas of expertise.
Research Interest
financial econometrics and computational methods for finance.
Publications
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Systemic Risk in Europe, R. Engle, E. Jondeau, and M. Rockinger, Review of Finance, vol. 19 (1), pp 145–190, 2015.
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Estimating the Price Impact of Trades in a High-Frequency Microstructure Model with Jumps, E. Jondeau, J. Lahaye, and M. Rockinger, Journal of Banking and Finance, forthcoming.
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N°16-13: Forecasting Financial Returns with a Structural Macroeconomic Model, E. Jondeau and M. Rockinger, 2016.
