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Jondeau, Eric's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
8,497 |
Total
Citations
425 |
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1.
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Conditional Volatility, Skewness and Kurtosis: Existence and Persistence
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Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) Jondeau, Eric
University of Lausanne
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Posted:
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17 Apr 01
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Last Revised:
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27 Dec 10
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1,203
(6,792)
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64
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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70
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64
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GRCH, Stock indices, Exchange rates, Interest rates, SNOPT VaR
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Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) Jondeau, Eric
University of Lausanne
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1,133
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64
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Garch, stock indices, exchange rates, interest rates, SNOPT, VaR
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2.
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Optimal Portfolio Allocation Under Higher Moments
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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Posted:
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28 May 04
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Last Revised:
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19 Dec 10
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1,003
(9,245)
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45
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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41
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45
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Asset allocation, Stock returns, Non-normality, Utility function
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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12
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45
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asset allocation, stock returns, non-normality, utility function.
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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950
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45
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Asset allocation, Stock returns, Non-normality, Utility function
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3.
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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971
(9,720)
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8
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International correlation, Stock indices, Skewed Student-t distribution
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4.
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Conditional Dependency of Financial Series: An Application of Copulas
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Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) Jondeau, Eric
University of Lausanne
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Posted:
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05 Apr 01
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Last Revised:
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26 Dec 10
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759
(14,233)
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24
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Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) Jondeau, Eric
University of Lausanne
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51
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24
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International correlation, Market integration, ARCH, Stock indices
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Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) Jondeau, Eric
University of Lausanne
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708
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24
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International correlation, market integration, ARCH, stock indices, exchange rates
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5.
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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385
(35,709)
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8
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Volatility, Skewness, Kurtosis, GARCH, model, Multivariate skewed Student-t distribution, Stock returns, Asset allocation, Emerging markets
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6.
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Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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368
(37,775)
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Systemic Risk, Marginal Expected Shortfall, Multi-factor Model, Volatility, Correlation
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7.
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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323
(44,201)
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7
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Asset allocation, Stock returns, Non-normality, Utility function
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8.
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Assessing GMM Estimates of the Federal Reserve Reaction Function
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Florens, Clementine
University of Toulouse 1 - Groupe de Recherche en Economie Mathématique et Quantitative (GREMAQ) Jondeau, Eric
University of Lausanne le Bihan, Hervé
Banque de France - Centre de Recherche
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Posted:
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04 Dec 01
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Last Revised:
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26 Dec 10
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268
(54,830)
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13
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Florens, Clementine
University of Toulouse 1 - Groupe de Recherche en Economie Mathématique et Quantitative (GREMAQ) Jondeau, Eric
University of Lausanne le Bihan, Hervé
Banque de France - Centre de Recherche
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28
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13
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Forward-looking model, monetary policy reaction function, GMM estimator, FIML estimator, small-sample properties of an estimator
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Florens, Clementine
University of Toulouse 1 - Groupe de Recherche en Economie Mathématique et Quantitative (GREMAQ) Jondeau, Eric
University of Lausanne le Bihan, Hervé
Banque de France - Centre de Recherche
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240
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13
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Forward-looking model, monetary policy reaction function, GMM estimator, FIML estimator, small-sample properties of an estimator
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9.
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Jondeau, Eric
University of Lausanne Jurczenko, Emmanuel
ESCP Europe - Department of Economics Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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260
(56,753)
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1
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PCA, ICA, Skewness, Kurtosis, Portfolio analysis, Tensor, HOOI, Random Matrix Theory.
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10.
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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252
(58,763)
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8
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Volatility, Skewness, Kurtosis, GARCH model, Multivariate skewed Student t distribution, Stock returns
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11.
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Jondeau, Eric
University of Lausanne Perilla, Augusto
affiliation not provided to SSRN Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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246
(60,534)
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Optimal trading strategy, liquidity risk, price impact, high frequency data, microstructure
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12.
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The Economic Value of Distributional Timing
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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Posted:
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16 Jan 07
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Last Revised:
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30 Sep 07
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244
(60,813)
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6
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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109
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6
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Non-normality, volatility timing, distributional timing, GARCH, portfolio allocation
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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135
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6
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Non-normality, volatility timing, distributional timing, GARCH, portfolio allocation
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13.
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Testing for a Forward-Looking Phillips Curve: Additional Evidence from European and US Data
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Jondeau, Eric
University of Lausanne le Bihan, Hervé
Banque de France - Centre de Recherche
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Posted:
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28 Jan 02
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Last Revised:
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26 Dec 10
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218
(68,510)
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25
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Jondeau, Eric
University of Lausanne le Bihan, Hervé
Banque de France - Centre de Recherche
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42
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23
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Forward-looking Phillips curve, euro area, GMM estimator, ML estimator
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Jondeau, Eric
University of Lausanne le Bihan, Hervé
Banque de France - Centre de Recherche
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176
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25
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Forward-looking Phillips curve, euro area, GMM estimator, ML estimator
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14.
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Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-Country Heterogeneity
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Jondeau, Eric
University of Lausanne Sahuc, Jean-Guillaume
Banque de France - Centre de Recherche
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Posted:
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15 Mar 05
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Last Revised:
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31 Oct 10
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209
(71,520)
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9
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Jondeau, Eric
University of Lausanne Sahuc, Jean-Guillaume
Banque de France - Centre de Recherche
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32
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9
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Euro area, heterogeneity, optimal monetary policy, Bayesian econometrics
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Jondeau, Eric
University of Lausanne Sahuc, Jean-Guillaume
Banque de France - Centre de Recherche
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177
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9
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Euro area, heterogeneity, optimal monetary policy, Bayesian econometrics
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15.
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Aggregating Phillips Curves
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Imbs, Jean M.
Paris School of Economics (PSE) Jondeau, Eric
University of Lausanne Pelgrin, Florian
HEC Lausanne
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Posted:
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21 Feb 07
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Last Revised:
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20 May 08
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182
(81,982)
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7
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Imbs, Jean M.
Paris School of Economics (PSE) Jondeau, Eric
University of Lausanne Pelgrin, Florian
HEC Lausanne
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4
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7
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Heterogeneity, inflation persistence, marginal costs, New Keynesian Phillips Curve, nominal rigidities
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Imbs, Jean M.
Paris School of Economics (PSE) Jondeau, Eric
University of Lausanne Pelgrin, Florian
HEC Lausanne
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178
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7
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New Keynesian Phillips Curve, Heterogeneity, Inflation Persistence, Marginal Costs
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16.
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Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) Jondeau, Eric
University of Lausanne
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146
(100,312)
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3
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17.
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Jondeau, Eric
University of Lausanne le Bihan, Hervé
Banque de France - Centre de Recherche
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139
(104,610)
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15
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Rational-expectation model, GMM estimator, ML estimator, Inflation, New Phillips curve
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18.
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Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias
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Jondeau, Eric
University of Lausanne
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Posted:
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16 Mar 08
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Last Revised:
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15 Oct 08
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133
(108,580)
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Jondeau, Eric
University of Lausanne
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16
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Contemporaneous aggregation, Heterogeneity, Volatility, GARCH model
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Jondeau, Eric
University of Lausanne
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117
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Contemporaneous aggregation, Heterogeneity, Volatility, GARCH model
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19.
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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128
(112,045)
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Stock Returns, Predictability, Estimation risk, Portfolio Choice
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20.
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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121
(117,318)
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21
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Hermite expansions, Semi-nonparametric estimation, Risk-neutral density, GARCH model
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21.
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Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) Jondeau, Eric
University of Lausanne
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104
(131,633)
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6
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Mean-variance, Allocation
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22.
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chesnay, françois
Banque de France Jondeau, Eric
University of Lausanne
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72
(168,040)
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15
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Stock returns, International correlation, Markov-switching model
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23.
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Jondeau, Eric
University of Lausanne Sahuc, Jean-Guillaume
Banque de France - Centre de Recherche
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68
(172,148)
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2
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Euro area, heterogeneity, Bayesian econometrics, multi-country model
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24.
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The Tail Behavior Of Stock Returns: Emerging Versus Mature Markets
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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Posted:
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13 Sep 99
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Last Revised:
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05 Jan 11
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65
(176,355)
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12
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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65
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12
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Extreme value theory, Generalized Pareto distribution, Stock-market
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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0
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25.
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Avouyi-Dovi, Sanvi
Banque de France Jondeau, Eric
University of Lausanne
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63
(179,328)
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7
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Swap market, Interest rate swaps, Swap valuation
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26.
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Jondeau, Eric
University of Lausanne Pelgrin, Florian
HEC Lausanne
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50
(202,311)
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aggregation, rational expectations models, heterogeneity
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27.
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Avouyi-Dovi, Sanvi
Banque de France Jondeau, Eric
University of Lausanne
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49
(202,311)
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8
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Term structure, volatility spillovers, impulse response analysis
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28.
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Reading Interest Rate and Bond Futures Options' Smiles: How Pibor and Notional Operators Appreciated The 1997 French Snap Election
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Coutant, Sophie
Banque de France Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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Posted:
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17 Feb 99
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Last Revised:
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05 Jan 11
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44
(211,811)
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16
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Coutant, Sophie
Banque de France Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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44
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16
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Risk neutral density, Futures option pricing, PIBOR, Notional, Political risk
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Coutant, Sophie
Banque de France Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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0
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29.
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Jondeau, Eric
University of Lausanne le Bihan, Hervé
Banque de France - Centre de Recherche Sedillot, Franck
affiliation not provided to SSRN
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40
(219,905)
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30.
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Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities
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Jondeau, Eric
University of Lausanne
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Posted:
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01 Jan 99
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Last Revised:
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06 Jan 11
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39
(221,995)
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25
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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39
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25
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Risk neutral density, Option pricing, Exchange rate option
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Jondeau, Eric
University of Lausanne
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0
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31.
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Jondeau, Eric
University of Lausanne Ricart, Roland
Banque de France
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38
(224,129)
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7
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Term structure of interest rates, Expectations hypothesis, Error-correction model
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32.
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Jondeau, Eric
University of Lausanne Ricart, Roland
Banque de France
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31
(240,683)
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8
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Term structure of interest rates, Information content
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33.
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Avouyi-Dovi, Sanvi
Banque de France Jondeau, Eric
University of Lausanne
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29
(246,109)
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ARCH models, Volatility, Conditional distribution, Asymmetry effects
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34.
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Avouyi-Dovi, Sanvi
Banque de France Jondeau, Eric
University of Lausanne Lai-Tong, Charles
National Center for Scientific Research (CNRS)
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29
(246,109)
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Stock markets, Volatility, Trading volume, International transmission
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35.
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Bruneau, Catherine
Université Paris X Nanterre Jondeau, Eric
University of Lausanne
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25
(258,216)
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13
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Causality, Prediction Improvement, Cointegration
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36.
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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25
(258,216)
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18
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Semi-nonparametric estimation, Time-varying skewness and kurtosis, GARCH
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37.
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Jondeau, Eric
University of Lausanne le Bihan, Hervé
Banque de France - Centre de Recherche
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25
(258,216)
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7
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Forward-looking model, monetary policy rules
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38.
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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25
(258,216)
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6
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Emerging markets, mean-variance allocation, sequential Bayesian learning, structural breaks
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39.
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Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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19
(278,834)
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6
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Mutual funds, Performance, SICAV, FCP
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40.
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Jondeau, Eric
University of Lausanne
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17
(285,987)
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Expectations hypothesis, Restricted VAR representation, formal test
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41.
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Jondeau, Eric
University of Lausanne
|
|
16
(289,547)
|
|
|
| |
|
| |
Term structure of interest rates, Reward-to-risk ratio, ARCH-in-Mean model
|
|
|
42.
|
|
|
Jondeau, Eric
University of Lausanne Ricart, Roland
Banque de France
|
|
15
(293,048)
|
|
|
| |
|
| |
Term structure of interest rates, Expectations hypothesis, Fisher relation, Information Content
|
|
|
43.
|
|
|
Jondeau, Eric
University of Lausanne Ricart, Roland
Banque de France
|
|
15
(293,048)
|
|
|
| |
|
| |
Term structure of interest rates, Expectations hypothesis, Cointegration, Error-correction model
|
|
|
44.
|
|
|
Jondeau, Eric
University of Lausanne Sedillot, Franck
affiliation not provided to SSRN
|
|
13
(300,228)
|
|
|
| |
|
| |
Expectations hypothesis of the term structure, Reaction function of monetary policy, Forward rate
|
|
|
45.
|
|
|
Jondeau, Eric
University of Lausanne le Bihan, Hervé
Banque de France - Centre de Recherche
|
|
13
(300,228)
|
3
|
|
| |
|
| |
Rational-expectation model, GMM estimator, ML estimator, Inflation, New Phillips curve
|
|
|
46.
|
|
|
Jondeau, Eric
University of Lausanne Sahuc, Jean-Guillaume
Banque de France - Centre de Recherche
|
|
10
(310,502)
|
2
|
|
| |
|
| |
Euro area, heterogeneity, Bayesian econometrics, multi-country model
|
|
|
47.
|
|
|
Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
|
|
|
|
|
| |
|
| |
C22, C51, G12, GARCH model, non-normality, kurtosis, skewness, stock returns, volatility
|
|
|
48.
|
|
|
Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
|
|
|
|
|
| |
|
| |
Asset Allocation, Stock Returns, Non-Normality, Utility Function
|
|
|
49.
|
|
|
Jondeau, Eric
University of Lausanne Rockinger, Michael
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
|
|
|
|
|
| |
|
| |
|
|
