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

SCHOLARLY PAPERS

81

DOWNLOADS
Rank 2,082

SSRN RANKINGS

Top 2,082

in Total Papers Downloads

22,269

SSRN CITATIONS
Rank 319

SSRN RANKINGS

Top 319

in Total Papers Citations

186

CROSSREF CITATIONS

2,505

Scholarly Papers (81)

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
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 2,244 (9,325)
Citation 33

Abstract:

Loading...

Systemic Risk, Marginal Expected Shortfall, Multi-factor Model

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 1,304 (21,514)
Citation 2

Abstract:

Loading...

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 169 (245,214)
Citation 124

Abstract:

Loading...

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

3.
Downloads 1,293 ( 22,161)
Citation 153

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 1,153 (25,821)
Citation 26

Abstract:

Loading...

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 119 (323,823)
Citation 51

Abstract:

Loading...

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

Optimal Portfolio Allocation Under Higher Moments

European Financial Management, Vol. 12, No. 1, pp. 29-55, January 2006
Number of pages: 28 Posted: 17 Mar 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 21 (716,658)
Citation 17

Abstract:

Loading...

asset allocation, stock returns, non-normality, utility function.

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 1,275 (22,629)
Citation 9

Abstract:

Loading...

return predictability, average skewness, idiosyncratic skewness

5.

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 1,226 (24,010)
Citation 16

Abstract:

Loading...

International correlation, Stock indices, Skewed Student-t distribution

6.

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 1,115 (27,567)
Citation 3

Abstract:

Loading...

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 778 (44,906)
Citation 67

Abstract:

Loading...

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 191 (220,450)
Citation 67

Abstract:

Loading...

International correlation, Market integration, ARCH, Stock indices

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
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Glion Institute of Higher Education and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 726 (49,246)
Citation 3

Abstract:

Loading...

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
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Glion Institute of Higher Education and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 37 (602,240)
Citation 9

Abstract:

Loading...

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 615 (61,913)
Citation 1

Abstract:

Loading...

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

10.

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 520 (76,465)
Citation 15

Abstract:

Loading...

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

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 516 (77,203)
Citation 1

Abstract:

Loading...

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

12.

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 409 (101,591)

Abstract:

Loading...

Systematic Risk, Skewness, Predictability, Trading Strategies

13.

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 387 (108,303)

Abstract:

Loading...

Bayesian method, predictive variance, non-negative equity premium

14.

Optimal Liquidation Strategies in Illiquid Markets

Swiss Finance Institute Research Paper No. 09-24
Number of pages: 47 Posted: 09 Jul 2009
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 360 (117,462)
Citation 2

Abstract:

Loading...

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

15.

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 357 (118,550)
Citation 3

Abstract:

Loading...

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

16.

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
University of Lausanne, University of Lausanne and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 350 (121,178)

Abstract:

Loading...

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

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
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 285 (149,727)
Citation 51

Abstract:

Loading...

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
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 64 (474,920)
Citation 51

Abstract:

Loading...

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

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 227 (187,666)

Abstract:

Loading...

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 121 (320,018)
Citation 111

Abstract:

Loading...

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

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 201 (210,590)
Citation 4

Abstract:

Loading...

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 127 (308,637)
Citation 42

Abstract:

Loading...

Euro area, heterogeneity, optimal monetary policy, Bayesian econometrics

20.

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 326 (130,807)
Citation 4

Abstract:

Loading...

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

21.
Downloads 315 (135,506)
Citation 7

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 189 (222,498)
Citation 5

Abstract:

Loading...

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 126 (310,437)
Citation 5

Abstract:

Loading...

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

22.

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
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 294 (145,653)
Citation 3

Abstract:

Loading...

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

23.

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 285 (150,445)

Abstract:

Loading...

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

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
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 174 (239,185)

Abstract:

Loading...

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

Deconstructing ESG scores: How to invest with your own criteria

BIS Working Papers No 1008
Number of pages: 50 Posted: 06 Apr 2022
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 106 (351,384)

Abstract:

Loading...

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

25.

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 274 (156,487)
Citation 1

Abstract:

Loading...

Systematic Risk, Skewness, Predictability, Trading Strategies

26.

Greening the Swiss National Bank's Portfolio

Swiss Finance Institute Research Paper No. 21-59
Number of pages: 48 Posted: 19 Aug 2021
Rüdiger Fahlenbrach and Eric Jondeau
Ecole Polytechnique Fédérale de Lausanne and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 253 (169,556)

Abstract:

Loading...

Portfolio carbon footprint, Decarbonized financial investment

27.

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 247 (173,491)
Citation 1

Abstract:

Loading...

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

28.

Building Benchmarks Portfolios with Decreasing Carbon Footprints

Swiss Finance Institute Research Paper No. 21-91
Number of pages: 43 Posted: 17 Dec 2021
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 241 (177,706)

Abstract:

Loading...

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

29.

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 233 (183,435)

Abstract:

Loading...

Stock Returns, Predictability, Estimation risk, Portfolio Choice

30.
Downloads 223 (191,268)
Citation 6

Aggregating Phillips Curves

Swiss Finance Institute Research Paper No. 07-06, ECB Working Paper No. 785
Number of pages: 62 Posted: 21 Feb 2007
Paris School of Economics (PSE)NYU Abu Dhabi, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and EDHEC Business School
Downloads 219 (194,387)
Citation 5

Abstract:

Loading...

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
Paris School of Economics (PSE)NYU Abu Dhabi, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and EDHEC Business School
Downloads 4 (887,452)
Citation 1
  • Add to Cart

Abstract:

Loading...

Heterogeneity, inflation persistence, marginal costs, New Keynesian Phillips Curve, nominal rigidities

31.

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 218 (195,535)
Citation 7

Abstract:

Loading...

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

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 148 (274,044)

Abstract:

Loading...

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 26 (675,966)
Citation 1

Abstract:

Loading...

Contemporaneous aggregation, Heterogeneity, Volatility, GARCH model

33.

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 173 (240,126)
Citation 50

Abstract:

Loading...

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

34.

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
Norwegian School of Economics (NHH) - Department of Finance and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 172 (241,294)
Citation 2

Abstract:

Loading...

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

35.

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 165 (249,836)

Abstract:

Loading...

36.

Environmental Subsidies to Mitigate Transition Risk

Swiss Finance Institute Research Paper No. 22-45
Number of pages: 62 Posted: 25 May 2022 Last Revised: 02 Jun 2022
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Banque de France, Banque de France and Ecole Polytechnique
Downloads 163 (252,435)

Abstract:

Loading...

Climate change, E-DSGE model, bayesian estimation, stochastic growth, endogenous firms, environment-related products

37.

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 152 (267,350)
Citation 106

Abstract:

Loading...

Stock returns, International correlation, Markov-switching model

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 151 (269,505)
Citation 128

Abstract:

Loading...

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:

Loading...

39.

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 149 (271,657)
Citation 1

Abstract:

Loading...

40.
Downloads 138 (288,565)

A New Indicator of Bank Funding Cost

Swiss Finance Institute Research Paper No. 20-20
Number of pages: 42 Posted: 15 Apr 2020
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Bank for International Settlements (BIS) and Banque de France
Downloads 89 (393,703)

Abstract:

Loading...

Bank funding risk, bank credit spreads, liquidity supply regimes, multi- curve environment, economic activity predictability.

A New Indicator of Bank Funding Cost

BIS Working Paper No. 854
Number of pages: 43 Posted: 15 Apr 2020
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Bank for International Settlements (BIS) and Banque de France
Downloads 49 (538,883)

Abstract:

Loading...

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

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 Ecole Polytechnique Fédérale de Lausanne
Downloads 135 (293,508)

Abstract:

Loading...

Systemic Risk, Capital Shortfall, Stress Test, Multifactor Model

42.

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 134 (295,147)
Citation 4

Abstract:

Loading...

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

43.

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: 10 Mar 2021
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 133 (296,782)
Citation 2

Abstract:

Loading...

Financial stability, Runs, Brown assets, Liquidity provision

44.

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 Ecole Polytechnique Fédérale de Lausanne
Downloads 132 (298,532)

Abstract:

Loading...

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

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 118 (325,753)
Citation 129

Abstract:

Loading...

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:

Loading...

46.

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
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 115 (330,005)

Abstract:

Loading...

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

47.

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
University of Lausanne, University of Lausanne - Faculty of Business and Economics (HEC Lausanne), University of Lausanne and University of Lausanne
Downloads 113 (334,097)

Abstract:

Loading...

Sustainable investment, ESG ratings, Real estate

48.

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 112 (336,247)

Abstract:

Loading...

Mean-variance, Allocation

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 Ecole Polytechnique Fédérale de Lausanne
Downloads 83 (410,893)

Abstract:

Loading...

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
Ecole Polytechnique Fédérale de Lausanne, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Swiss National Bank - Financial Stability
Downloads 25 (691,706)

Abstract:

Loading...

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

50.

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 Ecole Polytechnique Fédérale de Lausanne
Downloads 106 (349,022)

Abstract:

Loading...

Real business cycle model, Systemic risk, Collateral, Leverage

51.

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 102 (358,042)
Citation 111

Abstract:

Loading...

Swap market, Interest rate swaps, Swap valuation

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 69 (456,621)

Abstract:

Loading...

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 27 (668,329)

Abstract:

Loading...

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

53.

Climate-Related Disasters and the Death Toll

Swiss Finance Institute Research Paper No. 21-63
Number of pages: 59 Posted: 08 Sep 2021
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 86 (398,428)

Abstract:

Loading...

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

54.

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 84 (404,014)

Abstract:

Loading...

aggregation, rational expectations models, heterogeneity

55.

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 81 (412,615)

Abstract:

Loading...

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

56.

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 79 (418,624)
Citation 117

Abstract:

Loading...

Term structure, volatility spillovers, impulse response analysis

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 78 (426,364)
Citation 6

Abstract:

Loading...

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:

Loading...

58.

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 77 (424,903)

Abstract:

Loading...

Autoregressive process, Aggregation, Heterogeneity

59.

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 68 (454,269)

Abstract:

Loading...

Aggregation; Heterogeneity; GARCH model; Volatility

60.

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 68 (454,269)
Citation 3

Abstract:

Loading...

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

61.

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 67 (457,774)
Citation 5

Abstract:

Loading...

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

62.

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 65 (464,788)

Abstract:

Loading...

ARCH models, Volatility, Conditional distribution, Asymmetry effects

63.

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 58 (491,335)
Citation 3

Abstract:

Loading...

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

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 55 (503,352)
Citation 117

Abstract:

Loading...

Term structure of interest rates, Information content

65.

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 51 (520,449)
Citation 39

Abstract:

Loading...

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

66.

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 49 (529,284)
Citation 101

Abstract:

Loading...

Forward-looking model, monetary policy rules

67.

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 48 (533,827)
Citation 121

Abstract:

Loading...

Causality, Prediction Improvement, Cointegration

68.

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 47 (538,342)

Abstract:

Loading...

Expectations hypothesis, Restricted VAR representation, formal test

69.

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
Banque de France, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and National Center for Scientific Research (CNRS)
Downloads 46 (543,083)
Citation 131

Abstract:

Loading...

Stock markets, Volatility, Trading volume, International transmission

70.

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 46 (543,083)
Citation 72

Abstract:

Loading...

Mutual funds, Performance, SICAV, FCP

71.

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 42 (562,692)
Citation 88

Abstract:

Loading...

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

72.

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 31 (623,866)

Abstract:

Loading...

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

73.

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 29 (636,607)

Abstract:

Loading...

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

74.

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 26 (657,104)

Abstract:

Loading...

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

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 24 (671,646)
Citation 26

Abstract:

Loading...

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

76.

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 23 (679,082)

Abstract:

Loading...

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

77.

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 14 (752,941)
Citation 1

Abstract:

Loading...

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

78.

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:

Loading...

79.

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:

Loading...

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

80.

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:

Loading...

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

81.

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:

Loading...