Eric Jondeau

University of Lausanne - Faculty of Business and Economics (HEC Lausanne)

Professor of Finance

Extranef 232

Lausanne, 1012

Switzerland

http://people.unil.ch/ericjondeau/

Swiss Finance Institute

40, Boulevard du Pont-d'Arve

40, Bd du Pont-d'Arve

1211 Geneva 4, CH-6900

Switzerland

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

  • University of Lausanne - Faculty of Business and Economics (HEC Lausanne)

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    • Tel: +41 21 692 33 49

  • Swiss Finance Institute

    • Email
    • Tel: +41 21 692 33 49
SCHOLARLY PAPERS

84

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2,330

Scholarly Papers (84)

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1.

Systemic Risk in Europe

Review of Finance (2015) 19(1), 145-190
Number of pages: 55 Posted: 22 Dec 2012 Last Revised: 09 Feb 2016
Robert F. Engle, Eric Jondeau and Michael Rockinger
New York University (NYU) - Department of Finance, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 2,313 (10,814)
Citation 42

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Systemic Risk, Marginal Expected Shortfall, Multi-factor Model

2.

Conditional Volatility, Skewness and Kurtosis: Existence and Persistence

Downloads 1,545 (20,371)
Citation 135

Conditional Volatility, Skewness and Kurtosis: Existence and Persistence

Number of pages: 49 Posted: 17 Apr 2001
Michael Rockinger and Eric Jondeau
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 1,350 (24,530)
Citation 2

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Garch, stock indices, exchange rates, interest rates, SNOPT, VaR

Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence

Banque de France Working Paper No. 77
Number of pages: 56 Posted: 27 Dec 2010
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 195 (257,842)
Citation 161

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GRCH, Stock indices, Exchange rates, Interest rates, SNOPT VaR

3.

Optimal Strategies for ESG Portfolios

Swiss Finance Institute Research Paper No. 20-21
Number of pages: 48 Posted: 20 Apr 2020
Fabio Alessandrini and Eric Jondeau
University of Lausanne and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 1,531 (20,650)
Citation 12

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4.

Average Skewness Matters!

Swiss Finance Institute Research Paper No. 15-47
Number of pages: 49 Posted: 12 Nov 2015 Last Revised: 07 Dec 2018
Eric Jondeau, Qunzi Zhang and Xiaoneng Zhu
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Shandong University and Shanghai University of Finance and Economics
Downloads 1,375 (24,301)
Citation 9

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return predictability, average skewness, idiosyncratic skewness

5.

Optimal Portfolio Allocation Under Higher Moments

Downloads 1,364 (24,560)
Citation 49

Optimal Portfolio Allocation Under Higher Moments

Number of pages: 39 Posted: 28 May 2004
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 1,230 (28,155)
Citation 50

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Asset allocation, Stock returns, Non-normality, Utility function

Optimal Portfolio Allocation Under Higher Moments

Banque de France Working Paper No. 108
Number of pages: 47 Posted: 19 Dec 2010
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 134 (354,930)
Citation 51

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Asset allocation, Stock returns, Non-normality, Utility function

6.

Conditional Dependency of Financial Series: The Copula-Garch Model

FAME Research Paper No. 69
Number of pages: 37 Posted: 06 Jun 2003
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 1,267 (27,418)
Citation 17

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International correlation, Stock indices, Skewed Student-t distribution

7.

Conditional Dependency of Financial Series: An Application of Copulas

Downloads 1,018 (37,477)
Citation 54

Conditional Dependency of Financial Series: An Application of Copulas

HEC Department of Finance Working Paper No. 723
Number of pages: 43 Posted: 05 Apr 2001
Michael Rockinger and Eric Jondeau
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 797 (51,915)
Citation 69

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International correlation, market integration, ARCH, stock indices, exchange rates

Conditional Dependency of Financial Series: An Application of Copulas

Banque de France Working Paper No. 82
Number of pages: 48 Posted: 26 Dec 2010
Michael Rockinger and Eric Jondeau
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 221 (229,566)
Citation 69

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International correlation, Market integration, ARCH, Stock indices

8.

Moment Component Analysis: An Illustration with International Stock Markets

Downloads 839 (49,105)
Citation 10

Moment Component Analysis: An Illustration with International Stock Markets

Swiss Finance Institute Research Paper No. 10-43 (Revised version)
Number of pages: 57 Posted: 21 Oct 2010 Last Revised: 25 Mar 2015
Eric Jondeau, Emmanuel Jurczenko and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), EDHEC Business School and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 745 (56,806)
Citation 3

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PCA, Skewness, Kurtosis, Portfolio analysis, Tensor, Random Matrix Theory

Moment Component Analysis: An Illustration With International Stock Markets

Number of pages: 57 Posted: 21 May 2018
Eric Jondeau, Emmanuel Jurczenko and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), EDHEC Business School and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 94 (459,764)
Citation 9

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PCA, Skewness, Kurtosis, Portfolio Analysis, Tensor, Random Matrix Theory

9.

Long-Term Portfolio Management with a Structural Macroeconomic Model

Swiss Finance Institute Research Paper No. 13-45
Number of pages: 54 Posted: 15 Sep 2013
Ludovic Calès, Eric Jondeau and Michael Rockinger
Joint Research Center of the European Commission, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 662 (67,250)
Citation 1

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Long-Term Asset Management, Dynamic Allocation, Pension Fund, DSGE Model

10.

Deconstructing ESG scores: How to invest with your own criteria

Downloads 626 (72,181)
Citation 2

Deconstructing ESG scores: How to invest with your own criteria

BIS Working Papers No 1008
Number of pages: 50 Posted: 06 Apr 2022
Torsten Ehlers, Ulrike Elsenhuber, Anandakumar Jegarasasingam and Eric Jondeau
International Monetary Fund (IMF) - Monetary and Capital Markets Department, Bank for International Settlements (BIS), Bank for International Settlements (BIS) and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 318 (158,724)

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Sustainable investment, ESG ratings, ESG investing, Negative screening, Best-in-class screening

Deconstructing ESG Scores: How to Invest with Your own Criteria

Swiss Finance Institute Research Paper No. 22-23
Number of pages: 49 Posted: 13 Mar 2022 Last Revised: 17 Mar 2022
Torsten Ehlers, Ulrike Elsenhuber, Anandakumar Jegarasasingam and Eric Jondeau
International Monetary Fund (IMF) - Monetary and Capital Markets Department, Bank for International Settlements (BIS), Bank for International Settlements (BIS) and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 308 (164,169)

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Sustainable investment, ESG ratings, ESG investing, Negative screening, Best-in-class screening

11.

Predicting Long-Term Financial Returns: VAR vs. DSGE Model - A Horse-Race

Swiss Finance Institute Research Paper No. 16-13
Number of pages: 53 Posted: 03 Mar 2016 Last Revised: 20 Jan 2017
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 560 (82,983)
Citation 1

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VAR, DSGE model, Financial return forecasting, Long-term allocation

12.

Conditional Asset Allocation Under Non-Normality: How Costly is the Mean-Variance Criterion?

Number of pages: 42 Posted: 26 Feb 2005
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 545 (85,811)
Citation 15

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Volatility, Skewness, Kurtosis, GARCH, model, Multivariate skewed Student-t distribution, Stock returns, Asset allocation, Emerging markets

13.

ESG Screening in the Fixed-Income Universe

Swiss Finance Institute Research Paper No. 21-77, 2021.
Number of pages: 55 Posted: 22 Nov 2021 Last Revised: 24 Nov 2021
Fabio Alessandrini, David Baptista Balula and Eric Jondeau
University of Lausanne, University of Lausanne and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 543 (86,235)
Citation 1

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Corporate bonds, ESG investing, Portfolio construction, Bond risk factors

14.

Asymmetric Beta Comovement and Systematic Downside Risk

Swiss Finance Institute Research Paper No. 14-59
Number of pages: 50 Posted: 19 Oct 2014
Eric Jondeau and Qunzi Zhang
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Shandong University
Downloads 455 (106,882)
Citation 1

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Systematic Risk, Skewness, Predictability, Trading Strategies

15.

When Are Stocks Less Volatile in the Long Run?

Swiss Finance Institute Research Paper No. 18-07
Number of pages: 49 Posted: 30 Jan 2018 Last Revised: 09 Feb 2018
Eric Jondeau, Qunzi Zhang and Xiaoneng Zhu
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Shandong University and Shanghai University of Finance and Economics
Downloads 438 (111,752)

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Bayesian method, predictive variance, non-negative equity premium

16.

Building Benchmark Portfolios with Decreasing Carbon Footprints

Swiss Finance Institute Research Paper No. 21-91
Number of pages: 47 Posted: 17 Dec 2021 Last Revised: 30 Sep 2022
Eric Jondeau, Benoît Mojon and Luiz A. Pereira da Silva
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 423 (116,395)
Citation 2

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Portfolio carbon footprint, Green and brown assets, Alignment with Paris Agreement

17.

Environmental Subsidies to Mitigate Net-Zero Transition Costs

Swiss Finance Institute Research Paper No. 22-45
Number of pages: 47 Posted: 25 May 2022 Last Revised: 13 Jan 2023
Eric Jondeau, Gregory Levieuge, Jean-Guillaume Sahuc and Gauthier Vermandel
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Banque de France, Banque de France and CMAP, Ecole polytechnique, Institut Polytechnique de Paris
Downloads 418 (118,082)
Citation 3

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Climate change, macro-climate model, environmental goods and services sector, endogenous market structure, stochastic growth, Bayesian estimation

18.

Testing for a Forward-Looking Phillips Curve: Additional Evidence from European and Us Data

Downloads 418 (118,082)
Citation 108

Testing for a Forward-Looking Phillips Curve: Additional Evidence from European and Us Data

Universite de Paris-12 Working Paper No. 01-05
Number of pages: 40 Posted: 28 Jan 2002
Eric Jondeau and Hervé le Bihan
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Banque de France - Centre de Recherche
Downloads 271 (187,634)

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Forward-looking Phillips curve, euro area, GMM estimator, ML estimator

Testing for a Forward-Looking Phillips Curve: Additional Evidence from European and US Data

Banque de France Working Paper No. 86
Number of pages: 46 Posted: 26 Dec 2010
Eric Jondeau and Hervé le Bihan
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Banque de France - Centre de Recherche
Downloads 147 (329,619)
Citation 114

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Forward-looking Phillips curve, euro area, GMM estimator, ML estimator

19.

Optimal Liquidation Strategies in Illiquid Markets

Swiss Finance Institute Research Paper No. 09-24
Number of pages: 47 Posted: 09 Jul 2009
Eric Jondeau, Augusto Perilla and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), affiliation not provided to SSRN and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 404 (122,796)
Citation 2

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Optimal trading strategy, liquidity risk, price impact, high frequency data, microstructure

20.

Greening the Swiss National Bank's Portfolio

Swiss Finance Institute Research Paper No. 21-59
Number of pages: 52 Posted: 19 Aug 2021 Last Revised: 27 Apr 2023
Rüdiger Fahlenbrach and Eric Jondeau
École Polytechnique Fédérale de Lausanne and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 402 (123,475)
Citation 1

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Central bank policy portfolio, portfolio carbon footprint, decarbonized �nancial investment, Network for Greening the Financial System (NGFS).

21.

Assessing GMM Estimates of the Federal Reserve Reaction Function

Downloads 399 (124,551)
Citation 49

Assessing GMM Estimates of the Federal Reserve Reaction Function

Universite de Paris 12 Erudite Working Paper No. 01-04
Number of pages: 29 Posted: 04 Dec 2001
Clementine Florens, Eric Jondeau and Hervé le Bihan
University of Toulouse 1 - Groupe de Recherche en Economie Mathématique et Quantitative (GREMAQ), University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Banque de France - Centre de Recherche
Downloads 306 (165,335)
Citation 51

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Forward-looking model, monetary policy reaction function, GMM estimator, FIML estimator, small-sample properties of an estimator

Assessing GMM Estimates of the Federal Reserve Reaction Function

Banque de France Working Paper No. 83
Number of pages: 30 Posted: 26 Dec 2010
Clementine Florens, Eric Jondeau and Hervé le Bihan
University of Toulouse 1 - Groupe de Recherche en Economie Mathématique et Quantitative (GREMAQ), University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Banque de France - Centre de Recherche
Downloads 93 (463,094)
Citation 52

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Forward-looking model, monetary policy reaction function, GMM estimator, FIML estimator, small-sample properties of an estimator

22.

Optimal Monetary Policy in an Estimated Dsge Model of the Euro Area with Cross-Country Heterogeneity

Downloads 383 (130,514)
Citation 46

Optimal Monetary Policy in an Estimated Dsge Model of the Euro Area with Cross-Country Heterogeneity

Swiss Finance Institute Research Paper No. 07-36
Number of pages: 47 Posted: 15 Mar 2005
Eric Jondeau and Jean-Guillaume Sahuc
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Banque de France
Downloads 230 (220,893)
Citation 4

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Euro area, heterogeneity, optimal monetary policy, Bayesian econometrics

Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-Country Heterogeneity

Banque de France Working Paper No. 141
Number of pages: 55 Posted: 31 Oct 2010
Eric Jondeau and Jean-Guillaume Sahuc
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Banque de France
Downloads 153 (318,937)
Citation 43

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Euro area, heterogeneity, optimal monetary policy, Bayesian econometrics

23.

The Allocation of Assets Under Higher Moments

FAME Research Paper No. 71
Number of pages: 36 Posted: 24 Jun 2003
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 371 (135,232)
Citation 3

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Asset allocation, Stock returns, Non-normality, Utility function

24.

The Economic Value of Distributional Timing

Downloads 355 (141,976)
Citation 6

The Economic Value of Distributional Timing

Swiss Finance Institute Research Paper No. 06-35
Number of pages: 64 Posted: 16 Jan 2007
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 204 (247,340)
Citation 5

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Non-normality, volatility timing, distributional timing, GARCH, portfolio allocation

The Economic Value of Distributional Timing

Swiss Finance Institute Research Paper No. 06-35, EFA 2007 Ljubljana Meetings Paper
Number of pages: 61 Posted: 19 Feb 2007
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 151 (322,437)
Citation 6

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Non-normality, volatility timing, distributional timing, GARCH, portfolio allocation

25.

Disasters, Large Drawdowns, and Long-term Asset Management

Swiss Finance Institute Research Paper No. 21-37
Number of pages: 52 Posted: 11 Jun 2021 Last Revised: 21 Jun 2021
Eric Jondeau and Alexandre Pauli
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 341 (148,262)

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Large drawdowns, Stock-market returns, Markov-switching model, Portfolio allocation model

26.

The Impact of News on Higher Moments

Swiss Finance Institute Research Paper No. 28
Number of pages: 61 Posted: 26 Nov 2006
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 341 (148,262)
Citation 4

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Volatility, Skewness, Kurtosis, GARCH model, Multivariate skewed Student t distribution, Stock returns

27.

Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps

Journal of Banking and Finance, Forthcoming, Swiss Finance Institute Research Paper No. 13-47
Number of pages: 61 Posted: 04 Oct 2013 Last Revised: 09 Feb 2016
Eric Jondeau, Jérôme Lahaye and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Fordham University and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 317 (160,248)
Citation 3

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Microstructure, jumps, order flow, price impact, noise, volatility, Kalman filter, particle filter

28.

Textual Analysis of Banks' Pillar 3 Documents

Number of pages: 46 Posted: 02 May 2019
Minyue Dong, Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 312 (162,943)
Citation 1

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Sentiment analysis, NLP, Text analysis, Accounting, Financial institution, Bank, Pillar 3

29.

Optimal Long-Term Allocation with Pension Fund Liabilities

Swiss Finance Institute Research Paper No. 14-58
Number of pages: 61 Posted: 19 Oct 2014 Last Revised: 20 Oct 2014
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 311 (163,494)
Citation 1

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Systematic Risk, Skewness, Predictability, Trading Strategies

30.

Crude Awakening: Oil Prices and Bond Returns

Swiss Finance Institute Research Paper No. 19-24
Number of pages: 49 Posted: 15 Apr 2019 Last Revised: 17 Oct 2022
Eric Jondeau, Yuanzhi Wang, Qunzi Zhang and Xiaoneng Zhu
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Shandong University - School of Economics, Shandong University and Shanghai University of Finance and Economics
Downloads 297 (171,661)

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bond risk premium, demand shocks, oil prices, return predictability

31.

How Sustainable Is Swiss Real Estate? Evidence from Institutional Property Portfolios

Swiss Finance Institute Research Paper No. 22-46
Number of pages: 60 Posted: 25 May 2022 Last Revised: 01 Jun 2022
Fabio Alessandrini, Eric Jondeau, Ghislaine Lang and Evert Reins
University of Lausanne, University of Lausanne - Faculty of Business and Economics (HEC Lausanne), University of Lausanne and University of Lausanne
Downloads 262 (195,159)

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Sustainable investment, ESG ratings, Real estate

32.

Gram-Charlier Densities (Revised version)

Banque de France Working Paper No. 56
Number of pages: 41 Posted: 05 Jan 2011
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 256 (199,668)
Citation 7

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Hermite expansions, Semi-nonparametric estimation, Risk-neutral density, GARCH model

33.

Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty

Swiss Finance Institute Research Paper No. 10-41
Number of pages: 50 Posted: 28 Sep 2010
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 256 (199,668)

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Stock Returns, Predictability, Estimation risk, Portfolio Choice

34.

Aggregating Phillips Curves

Downloads 236 (216,142)
Citation 8

Aggregating Phillips Curves

Swiss Finance Institute Research Paper No. 07-06, ECB Working Paper No. 785
Number of pages: 62 Posted: 21 Feb 2007
Jean M. Imbs, Jean M. Imbs, Eric Jondeau and Florian Pelgrin
Paris School of Economics (PSE)NYU Abu Dhabi, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and EDHEC Business School
Downloads 232 (219,055)
Citation 9

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New Keynesian Phillips Curve, Heterogeneity, Inflation Persistence, Marginal Costs

Aggregating Phillips Curves

CEPR Discussion Paper No. DP6184
Number of pages: 59 Posted: 20 May 2008
Jean M. Imbs, Jean M. Imbs, Eric Jondeau and Florian Pelgrin
Paris School of Economics (PSE)NYU Abu Dhabi, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and EDHEC Business School
Downloads 4 (1,042,840)
Citation 1
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Heterogeneity, inflation persistence, marginal costs, New Keynesian Phillips Curve, nominal rigidities

35.

Strategic Interaction between Hedge Funds and Prime Brokers

Swiss Finance Institute Research Paper No. 18-54
Number of pages: 52 Posted: 21 Aug 2018 Last Revised: 29 Aug 2018
Nataliya Gerasimova and Eric Jondeau
BI Norwegian Business School and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 225 (226,329)
Citation 2

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Hedge fund, Prime broker, Leverage, Balance sheet, Financing decisions

36.

Bank Rollover Risk and Liquidity Supply Regimes

Downloads 224 (227,326)
Citation 2

Bank Rollover Risk and Liquidity Supply Regimes

Swiss Finance Institute Research Paper No. 20-20
Number of pages: 40 Posted: 15 Apr 2020 Last Revised: 13 Jan 2023
Eric Jondeau, Benoît Mojon and Jean-Guillaume Sahuc
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Bank for International Settlements (BIS) and Banque de France
Downloads 125 (374,344)
Citation 1

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Bank rollover risk, bank credit spreads, liquidity supply regimes, multicurve environment, economic activity predictability.

A New Indicator of Bank Funding Cost

BIS Working Paper No. 854
Number of pages: 43 Posted: 15 Apr 2020
Eric Jondeau, Benoît Mojon and Jean-Guillaume Sahuc
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Bank for International Settlements (BIS) and Banque de France
Downloads 68 (559,566)
Citation 1

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bank funding risk, bank credit spreads, liquidity supply regimes, multicurve environment, economic activity predictability

Bank Rollover Risk and Liquidity Supply Regimes

Number of pages: 66 Posted: 29 Jan 2023
Eric Jondeau, Benoît Mojon and Jean-Guillaume Sahuc
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Bank for International Settlements (BIS) and affiliation not provided to SSRN
Downloads 31 (785,808)

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Bank rollover risk, bank credit spreads, liquidity supply regimes, multicurve environment, economic activity predictability

37.

Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias

Downloads 208 (243,556)
Citation 1

Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias

Swiss Finance Institute Research Paper No. 08-06
Number of pages: 53 Posted: 16 Mar 2008
Eric Jondeau
University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 171 (289,968)
Citation 1

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Contemporaneous aggregation, Heterogeneity, Volatility, GARCH model

Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 50 Posted: 14 Oct 2008
Eric Jondeau
University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 37 (739,197)
Citation 1

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Contemporaneous aggregation, Heterogeneity, Volatility, GARCH model

38.

Entropy Densities

HEC Department of Finance Working Paper No. 709
Number of pages: 19 Posted: 10 May 2001
Michael Rockinger and Eric Jondeau
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 183 (273,349)

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39.

Ml vs GMM Estimates of Hybrid Macroeconomic Models (with an Application to the 'New Phillips Curve')

Banque de France Working paper No. 103
Number of pages: 57 Posted: 05 May 2003
Eric Jondeau and Hervé le Bihan
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Banque de France - Centre de Recherche
Downloads 181 (275,909)
Citation 50

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Rational-expectation model, GMM estimator, ML estimator, Inflation, New Phillips curve

40.

Greening (Runnable) Brown Assets with a Liquidity Backstop

Swiss Finance Institute Research Paper No. 21-22, Bank for International Settlements
Number of pages: 45 Posted: 08 Mar 2021 Last Revised: 02 Mar 2023
Eric Jondeau, Benoît Mojon and Cyril Monnet
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Bank for International Settlements (BIS) and University of Bern
Downloads 175 (284,277)
Citation 6

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Financial stability, Runs, Brown assets, Liquidity provision

41.

Measuring the Capital Shortfall of Large U.S. Banks

Swiss Finance Institute Research Paper No. 18-11
Number of pages: 57 Posted: 20 Feb 2018 Last Revised: 16 Apr 2019
Eric Jondeau and Amir Khalilzadeh
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and École Polytechnique Fédérale de Lausanne
Downloads 173 (287,166)

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Systemic Risk, Capital Shortfall, Stress Test, Multifactor Model

42.

Does Correlation between Stock Returns Really Increase During Turbulent Period?

Banque de France Working Paper No. 73
Number of pages: 46 Posted: 27 Dec 2010
françois chesnay and Eric Jondeau
Banque de France and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 171 (290,021)
Citation 106

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Stock returns, International correlation, Markov-switching model

43.

The Tail Behavior of Stock Returns: Emerging Versus Mature Markets

Downloads 169 (292,917)

The Tail Behavior of Stock Returns: Emerging Versus Mature Markets

Banque de France Working Paper No. 66
Number of pages: 59 Posted: 05 Jan 2011
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 169 (292,932)
Citation 128

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Extreme value theory, Generalized Pareto distribution, Stock-market

The Tail Behavior of Stock Returns: Emerging Versus Mature Markets

Posted: 13 Sep 1999
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Abstract:

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44.

Measuring and Stress-Testing Market-Implied Bank Capital

Downloads 168 (294,395)

Measuring and Stress-Testing Market-Implied Bank Capital

Swiss Finance Institute Research Paper No. 22-11
Number of pages: 55 Posted: 28 Aug 2021 Last Revised: 26 Jan 2022
Martin Indergand, Eric Jondeau and Andreas Fuster
Swiss National Bank - Financial Stability, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and École Polytechnique Fédérale de Lausanne
Downloads 123 (378,972)

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Banking, Capital, Stress Test, Systemic Risk, Multifactor Model

Measuring and stress-testing market-implied bank capital

Swiss National Bank Working Paper No. 2/2022
Number of pages: 57 Posted: 02 Feb 2022 Last Revised: 09 Feb 2022
Andreas Fuster, Eric Jondeau and Martin Indergand
École Polytechnique Fédérale de Lausanne, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Swiss National Bank - Financial Stability
Downloads 45 (683,796)

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Banking, Capital, Stress Test, Systemic Risk, Multifactor Model

45.

Modeling and Forecasting the French Consumer Price Index Components (In French)

Banque de France Working Paper No. 68
Number of pages: 42 Posted: 05 Jan 2011
Eric Jondeau, Hervé le Bihan and Franck Sedillot
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Banque de France - Centre de Recherche and Banque de France
Downloads 168 (294,395)
Citation 1

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46.

Asymmetry in Tail Dependence of Equity Portfolios

Computational Statistics and Data Analysis, Forthcoming
Number of pages: 27 Posted: 24 Jun 2014 Last Revised: 09 Feb 2016
Eric Jondeau
University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 160 (306,733)
Citation 4

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Multivariate noncentral t distribution; Tail dependence; Stock return asymmetry.

47.

Collateralization, Leverage, and Stressed Expected Loss

Swiss Finance Institute Research Paper No. 15-24
Number of pages: 63 Posted: 12 Aug 2015
Eric Jondeau and Amir Khalilzadeh
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and École Polytechnique Fédérale de Lausanne
Downloads 156 (313,328)

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Real business cycle model, Capital shortfall, Systemic risk, Collateral, Leverage

48.

A General Equilibrium Appraisal of Capital Shortfall

Downloads 139 (344,039)

A General Equilibrium Appraisal of Capital Shortfall

Swiss Finance Institute Research Paper No. 18-12
Number of pages: 65 Posted: 20 Feb 2018 Last Revised: 27 Feb 2018
Eric Jondeau and Jean-Guillaume Sahuc
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Banque de France
Downloads 101 (437,955)

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Capital Shortfall, Systemic Risk, Leverage, Financial system, Euro Area, DSGE Model

A General Equilibrium Appraisal of Capital Shortfall

Banque de France Working Paper No. 668
Number of pages: 66 Posted: 12 Mar 2018
Eric Jondeau and Jean-Guillaume Sahuc
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Banque de France
Downloads 38 (731,942)

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capital shortfall, systemic risk, leverage, financial system, euro area, DSGE model.

49.

Periodic or Generational Actuarial Tables: Which One to Choose?

Swiss Finance Institute Research Paper No. 17-71
Number of pages: 35 Posted: 10 Jan 2018
Severine Arnold (-Gaille), Anca Jijiie, Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics, Faculty of Business and Economics, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 138 (346,008)

Abstract:

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Mortality rates, Periodic actuarial tables, Generational actuarial tables, Life expectancy, Mathematical reserve, Mortality forecasts

50.

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

Downloads 133 (355,971)

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

Banque de France Working Paper No. 54
Number of pages: 46 Posted: 05 Jan 2011
Sophie Coutant, Eric Jondeau and Michael Rockinger
Banque de France, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 133 (356,980)
Citation 139

Abstract:

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Risk neutral density, Futures option pricing, PIBOR, Notional, Political risk

Reading Interest Rate and Bond Futures Options' Smiles: How Pibor and Notional Operators Appreciated the 1997 French Snap Election

Posted: 17 Feb 1999
Sophie Coutant, Eric Jondeau and Michael Rockinger
Banque de France, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Abstract:

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51.

Collateralization, Leverage, and Stressed Expected Loss

Journal of Financial Stability, Forthcoming
Number of pages: 44 Posted: 06 Oct 2015 Last Revised: 15 Feb 2017
Eric Jondeau and Amir Khalilzadeh
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and École Polytechnique Fédérale de Lausanne
Downloads 124 (375,237)
Citation 1

Abstract:

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Real business cycle model, Systemic risk, Collateral, Leverage

52.

Building portfolios of sovereign securities with decreasing carbon footprints

Swiss Finance Institute Research Paper No. 22-66
Number of pages: 45 Posted: 06 Sep 2022
Gong Cheng, Eric Jondeau and Benoît Mojon
Bank for International Settlements (BIS), University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Bank for International Settlements (BIS)
Downloads 121 (382,120)

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Carbon footprints, sovereign debt, portfolio rebalancing, portfolio optimisation, active share, tracking error.

53.

Portfolio Allocation in Transition Economies

HEC Working Paper No. CR 740/2001
Number of pages: 36 Posted: 22 Nov 2001
Michael Rockinger and Eric Jondeau
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 121 (382,120)

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Mean-variance, Allocation

54.

Climate-Related Disasters and the Death Toll

Swiss Finance Institute Research Paper No. 21-63
Number of pages: 59 Posted: 08 Sep 2021
Valérie Chavez-Demoulin, Eric Jondeau and Linda Mhalla
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne, School of Economics and Business Administration (HEC Lausanne)
Downloads 117 (391,620)

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Climate change, Climate disasters, Death toll, Frequency and severity

55.

Modelling the Swap Spread

Banque de France Working Paper No. 65
Number of pages: 35 Posted: 05 Jan 2011
Sanvi Avouyi-Dovi and Eric Jondeau
Banque de France and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 113 (401,589)
Citation 111

Abstract:

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Swap market, Interest rate swaps, Swap valuation

56.

Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral Densities

Downloads 111 (406,843)

Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral Densities

Banque de France Working Paper No. 47
Number of pages: 46 Posted: 06 Jan 2011
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 111 (409,016)
Citation 7

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Risk neutral density, Option pricing, Exchange rate option

Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral Densities

Centre for Economic Policy Research Discussion Paper Series No. 2009
Posted: 01 Jan 1999
Eric Jondeau
University of Lausanne - Faculty of Business and Economics (HEC Lausanne)

Abstract:

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57.

Testing Heterogeneity within the Euro Area Using a Structural Multi-Country Model

Number of pages: 38 Posted: 04 Feb 2005
Eric Jondeau and Jean-Guillaume Sahuc
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Banque de France
Downloads 109 (412,225)

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Euro area, heterogeneity, Bayesian econometrics, multi-country model

58.

Interest Rate Transmission and Volatility Transmission along the Yield Curve

Banque de France Working Paper No. 57
Number of pages: 39 Posted: 04 Jan 2011
Sanvi Avouyi-Dovi and Eric Jondeau
Banque de France and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 103 (429,056)
Citation 117

Abstract:

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Term structure, volatility spillovers, impulse response analysis

59.

Estimating Aggregate Autoregressive Processes When Only Macro Data are Available

Economics Letters, Vol. 124, No. 3, 2014, Swiss Finance Institute Research Paper No. 14-43
Number of pages: 22 Posted: 12 Jul 2014 Last Revised: 09 Feb 2016
Eric Jondeau and Florian Pelgrin
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and EDHEC Business School
Downloads 102 (432,041)

Abstract:

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Autoregressive process, Aggregation, Heterogeneity

60.

The Dynamics of Squared Returns Under Contemporaneous Aggregation of GARCH Models

Journal of Empirical Finance, Forthcoming
Number of pages: 32 Posted: 25 Jun 2014 Last Revised: 20 Jan 2017
Eric Jondeau
University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 100 (438,043)

Abstract:

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Aggregation; Heterogeneity; GARCH model; Volatility

61.

Aggregating Rational Expectations Models in the Presence of Unobserved Micro Heterogeneity

Swiss Finance Institute Research Paper No. 09-30
Number of pages: 57 Posted: 06 Sep 2009
Eric Jondeau and Florian Pelgrin
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and EDHEC Business School
Downloads 98 (444,024)

Abstract:

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aggregation, rational expectations models, heterogeneity

62.

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

Journal of Financial Econometrics, 2012, Vol. 10(1), 84-123
Number of pages: 50 Posted: 07 Feb 2016
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 97 (446,981)
Citation 5

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Bayesian estimation, distribution timing, GARCH model, nonnormality, parameter uncertainty, Portfolio allocation, volatility timing

63.

Entropy Densities: With an Application to Autoregressive Conditional Skewness and Kurtosis

Banque de France Working Paper No. 79
Number of pages: 34 Posted: 27 Dec 2010
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 91 (465,785)
Citation 4

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Semi-nonparametric estimation, Time-varying skewness and kurtosis, GARCH

64.

The Information Content of the French and German Government Bond Yield Curves: Why Such Differences?

Banque de France Working Paper No. 61
Number of pages: 39 Posted: 04 Jan 2011
Eric Jondeau and Roland Ricart
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Banque de France
Downloads 82 (496,403)
Citation 117

Abstract:

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Term structure of interest rates, Information content

65.

Modelling Asian Stock-Market Volatility (In French)

Banque de France Working Paper No. 58
Number of pages: 51 Posted: 18 Apr 2011
Sanvi Avouyi-Dovi and Eric Jondeau
Banque de France and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 79 (507,353)

Abstract:

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ARCH models, Volatility, Conditional distribution, Asymmetry effects

66.

Deconstructing ESG Scores: How to Invest with Your Own Criteria?

Downloads 78 (511,235)

Deconstructing ESG Scores: How to Invest with Your Own Criteria?

IMF Working Paper No. 2023/057
Number of pages: 56 Posted: 05 Apr 2023
Torsten Ehlers, Ulrike Elsenhuber, Anandakumar Jegarasasingam and Eric Jondeau
International Monetary Fund (IMF) - Monetary and Capital Markets Department, Bank for International Settlements (BIS), Bank for International Settlements (BIS) and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 42 (703,589)

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Sustainable investment, ESG ratings, ESG investing, Negative screening, Best-in-class screening, ESG score, ESG category, headline ESG, ESG data disclosure, Corporate social responsibility, Greenhouse gas emissions, Labor force, North America, Global, Europe

Deconstructing ESG Scores How to Invest with Your Own Criteria?

Number of pages: 53 Posted: 23 Mar 2023
Eric Jondeau, Torsten Ehlers, Ulrike Elsenhuber and Anandakumar Jegarasasingam
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), International Monetary Fund (IMF) - Monetary and Capital Markets Department, Bank for International Settlements (BIS) and affiliation not provided to SSRN
Downloads 36 (746,640)

Abstract:

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Sustainable investment, ESG ratings, ESG investing, Negative screening, Best-in-class screening

67.

The Expectations Hypothesis of the Term Structure: Tests on US, German, French, and UK Euro-Rates

Banque de France Working Paper No. 35
Number of pages: 34 Posted: 07 Jan 2011
Eric Jondeau and Roland Ricart
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Banque de France
Downloads 78 (511,235)
Citation 4

Abstract:

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Term structure of interest rates, Expectations hypothesis, Error-correction model

68.

The Bank Bias: Segmentation of French Fund Families

Banque de France Working Paper No. 107
Number of pages: 41 Posted: 19 Dec 2010
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 70 (543,206)
Citation 73

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Mutual funds, Performance, SICAV, FCP

69.

Ml vs GMM Estimates of Hybrid Macroeconomic Models (with an Application to the New Phillips Curve)

Banque de France Working Paper No. 103
Number of pages: 57 Posted: 21 Dec 2010
Eric Jondeau and Hervé le Bihan
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Banque de France - Centre de Recherche
Downloads 68 (551,784)
Citation 39

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Rational-expectation model, GMM estimator, ML estimator, Inflation, New Phillips curve

70.

Asset Allocation in Transition Economies

Banque de France Working Paper No. 90
Number of pages: 45 Posted: 20 Dec 2010
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 68 (551,784)
Citation 88

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Emerging markets, mean-variance allocation, sequential Bayesian learning, structural breaks

71.

VAR Model and the Test of the Expectations Hypothesis of the Term Structure (In French)

Banque de France Working Paper No. 46
Number of pages: 26 Posted: 06 Jan 2011
Eric Jondeau
University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 64 (569,469)

Abstract:

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Expectations hypothesis, Restricted VAR representation, formal test

72.

Long-Run Causality, with an Application to International Links between Long-Term Interest Rates

Banque de France Working Paper No. 53
Number of pages: 29 Posted: 05 Jan 2011
Catherine Bruneau and Eric Jondeau
Université Paris X Nanterre and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 64 (569,469)
Citation 123

Abstract:

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Causality, Prediction Improvement, Cointegration

73.

Volume Effect, Volatility, and International Transmission between Stock Markets (In French)

Banque de France Working Paper No. 42
Number of pages: 33 Posted: 07 Jan 2011
Sanvi Avouyi-Dovi, Eric Jondeau and Charles Lai-Tong
Banque de France, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and National Center for Scientific Research (CNRS)
Downloads 56 (607,740)
Citation 131

Abstract:

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Stock markets, Volatility, Trading volume, International transmission

74.

Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies

Banque de France Working Paper No. 76
Number of pages: 40 Posted: 27 Dec 2010
Eric Jondeau and Hervé le Bihan
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Banque de France - Centre de Recherche
Downloads 55 (612,841)
Citation 101

Abstract:

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Forward-looking model, monetary policy rules

75.

Testing Heterogeneity within the Euro Area

Banque de France Working Paper No. 181
Number of pages: 17 Posted: 09 Oct 2010
Eric Jondeau and Jean-Guillaume Sahuc
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Banque de France
Downloads 52 (628,740)
Citation 26

Abstract:

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Euro area, heterogeneity, Bayesian econometrics, multi-country model

76.

Measuring the Reward-to-Risk Ratio from the Euro-Currency Market (In French)

Banque de France Working Paper No. 59
Number of pages: 38 Posted: 04 Jan 2011
Eric Jondeau
University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 44 (674,553)

Abstract:

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Term structure of interest rates, Reward-to-risk ratio, ARCH-in-Mean model

77.

The Information Content of the Term Structure: An Application to French Government Bonds (in French)

Banque de France Working Paper No. 43
Number of pages: 35 Posted: 07 Jan 2011
Eric Jondeau and Roland Ricart
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Banque de France
Downloads 42 (686,970)

Abstract:

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Term structure of interest rates, Expectations hypothesis, Fisher relation, Information Content

78.

The Expectations Hypothesis of the Term Structure: A Test Using French Government Bonds (In French)

Banque de France Working Paper No. 45
Number of pages: 25 Posted: 06 Jan 2011
Eric Jondeau and Roland Ricart
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Banque de France
Downloads 39 (706,507)

Abstract:

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Term structure of interest rates, Expectations hypothesis, Cointegration, Error-correction model

79.

Forecasting French and German Long-Term Rates Using a Rational-Expectation Model (In French)

Banque de France Working Paper No. 55
Number of pages: 37 Posted: 05 Jan 2011
Eric Jondeau and Franck Sedillot
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Banque de France
Downloads 35 (734,159)

Abstract:

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Expectations hypothesis of the term structure, Reaction function of monetary policy, Forward rate

80.

Examining Bias in Estimators of Linear Rational Expectations Models Under Misspecification

Journal of Econometrics, Vol. 143, No. 2, 2008
Number of pages: 39 Posted: 07 Feb 2016
Eric Jondeau and Hervé le Bihan
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Banque de France - Centre de Recherche
Downloads 34 (741,216)
Citation 1

Abstract:

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Rational expectations model, GMM estimator, ML estimator, Specification bias

81.

ESG Investing: From Sin Stocks to Smart Beta

Journal of Portfolio Management, Vol. 46, 2020, https://jpm.pm-research.com/content/46/3/75, Swiss Finance Institute Research Paper No. 19-16
Posted: 21 Mar 2019 Last Revised: 24 May 2020
Fabio Alessandrini and Eric Jondeau
University of Lausanne and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)

Abstract:

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82.

The Impact of Shocks on Higher Moments

Journal of Financial Econometrics, Vol. 7, Issue 2, pp. 77-105, 2009
Posted: 23 Mar 2009
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Abstract:

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C22, C51, G12, GARCH model, non-normality, kurtosis, skewness, stock returns, volatility

83.

How Higher Moments Affect the Allocation of Assets

Posted: 02 Sep 2003
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Abstract:

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Asset Allocation, Stock Returns, Non-Normality, Utility Function

84.

Estimating Gram-Charlier Expansions Under Positivity Constraints

Posted: 26 Mar 1999
Eric Jondeau and Michael Rockinger
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Abstract:

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