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

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

    • Email
    • Tel: +41 21 692 33 49

  • Swiss Finance Institute

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

86

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356

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1,698

Scholarly Papers (86)

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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 2,379 (12,026)
Citation 48

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Systemic Risk, Marginal Expected Shortfall, Multi-factor Model

2.

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 1,918 (16,880)
Citation 20

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3.

Conditional Volatility, Skewness and Kurtosis: Existence and Persistence

Downloads 1,596 (22,493)
Citation 138

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 1,373 (27,710)
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 223 (261,136)
Citation 616

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

4.

Optimal Portfolio Allocation Under Higher Moments

Downloads 1,462 (25,699)
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 1,308 (29,812)
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 154 (364,781)
Citation 51

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

5.

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 1,460 (25,748)
Citation 9

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return predictability, average skewness, idiosyncratic skewness

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 1,304 (30,470)
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 1,068 (40,526)
Citation 58

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 805 (59,118)
Citation 71

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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 263 (221,980)
Citation 71

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International correlation, Market integration, ARCH, Stock indices

8.

Moment Component Analysis: An Illustration with International Stock Markets

Downloads 912 (50,599)
Citation 11

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 763 (63,493)
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 149 (374,957)
Citation 9

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

9.

Deconstructing ESG Scores: How to Invest with Your own Criteria

Downloads 768 (63,900)
Citation 3

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
Bank for International Settlements (BIS), Bank for International Settlements (BIS), Bank for International Settlements (BIS) and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 416 (134,987)

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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

BIS Working Papers No 1008
Number of pages: 50 Posted: 06 Apr 2022
Torsten Ehlers, Ulrike Elsenhuber, Anandakumar Jegarasasingam and Eric Jondeau
Bank for International Settlements (BIS), Bank for International Settlements (BIS), Bank for International Settlements (BIS) and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 352 (163,198)

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

10.

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 738 (67,313)
Citation 1

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

11.

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 660 (77,643)
Citation 3

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

12.

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 586 (90,225)
Citation 4

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

13.

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 585 (90,402)
Citation 1

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

14.

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 567 (94,028)
Citation 15

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

15.

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: 21 Feb 2024
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 543 (99,320)
Citation 3

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Climate change, macro-climate model, pollution abatement goods sector, imperfect competition, endogenous market structure, Bayesian estimation

16.

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 504 (108,820)

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Bayesian method, predictive variance, non-negative equity premium

17.

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 503 (109,098)

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Systematic Risk, Skewness, Predictability, Trading Strategies

18.

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

Downloads 486 (113,599)
Citation 2

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 311 (186,325)

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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 175 (326,476)
Citation 4

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

19.

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 477 (116,179)
Citation 3

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

20.

Assessing GMM Estimates of the Federal Reserve Reaction Function

Downloads 457 (122,264)
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 313 (185,099)
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 144 (385,452)
Citation 57

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

21.

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 451 (124,191)
Citation 2

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

22.

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

Downloads 430 (131,374)
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 262 (222,800)
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 168 (338,623)
Citation 43

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Euro area, heterogeneity, optimal monetary policy, Bayesian econometrics

23.

The Economic Value of Distributional Timing

Downloads 405 (140,725)
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 214 (271,344)
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 191 (301,585)
Citation 6

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

24.

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 390 (146,879)
Citation 3

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

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 389 (147,323)

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

26.

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 365 (158,125)
Citation 2

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Systematic Risk, Skewness, Predictability, Trading Strategies

27.

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 352 (164,468)
Citation 4

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

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 351 (164,962)
Citation 1

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

29.

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 341 (170,201)

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Sustainable investment, ESG ratings, Real estate

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 341 (170,201)

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

31.

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 333 (174,662)
Citation 3

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

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 305 (191,647)
Citation 7

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

33.

Bank Rollover Risk and Liquidity Supply Regimes

Downloads 299 (195,750)
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 151 (370,764)
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 99 (513,582)
Citation 2

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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 49 (759,107)

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

34.

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 299 (195,750)

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Stock Returns, Predictability, Estimation risk, Portfolio Choice

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 279 (210,302)
Citation 2

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

36.

Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias

Downloads 257 (228,424)
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 203 (285,087)
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 54 (726,346)
Citation 1

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Contemporaneous aggregation, Heterogeneity, Volatility, GARCH model

37.

Aggregating Phillips Curves

Downloads 244 (240,281)
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 240 (243,194)
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 (1,197,425)
Citation 1
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Heterogeneity, inflation persistence, marginal costs, New Keynesian Phillips Curve, nominal rigidities

38.

Measuring and Stress-Testing Market-Implied Bank Capital

Downloads 217 (268,849)

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 151 (370,764)

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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 66 (657,204)

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

39.

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: 25 May 2024
Eric Jondeau and Amir Khalilzadeh
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and École Polytechnique Fédérale de Lausanne
Downloads 217 (268,849)

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Systemic Risk, Capital Shortfall, Stress Test, Multifactor Model

40.

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 206 (282,180)
Citation 1

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41.

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: 25 May 2024
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 202 (287,310)
Citation 8

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Financial stability, Runs, Brown assets, Liquidity provision

42.

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 197 (293,799)

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

43.

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 196 (295,142)

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

44.

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 195 (296,603)
Citation 118

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Stock returns, International correlation, Markov-switching model

45.

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 193 (300,836)
Citation 7

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

46.

A General Equilibrium Appraisal of Capital Shortfall

Downloads 191 (302,273)

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 146 (381,226)

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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 45 (787,132)

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

47.

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 184 (312,464)

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48.

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 183 (313,974)
Citation 50

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

49.

The Tail Behavior of Stock Returns: Emerging Versus Mature Markets

Downloads 182 (315,599)
Citation 128

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 182 (315,115)
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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50.

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 163 (347,695)

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

51.

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

Downloads 159 (355,023)
Citation 34

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 159 (355,036)
Citation 34

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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)

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52.

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 148 (376,779)
Citation 1

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Real business cycle model, Systemic risk, Collateral, Leverage

53.

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

Downloads 147 (378,819)

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
Bank for International Settlements (BIS), Bank for International Settlements (BIS), Bank for International Settlements (BIS) and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 84 (571,830)

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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), Bank for International Settlements (BIS), Bank for International Settlements (BIS) and affiliation not provided to SSRN
Downloads 63 (673,567)

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

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 145 (382,875)

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

55.

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 145 (382,875)

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Term structure, volatility spillovers, impulse response analysis

56.

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

Downloads 145 (382,875)

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 145 (383,322)
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.

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 143 (387,005)

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Autoregressive process, Aggregation, Heterogeneity

58.

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 138 (398,056)
Citation 5

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

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 135 (404,910)

Abstract:

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Aggregation; Heterogeneity; GARCH model; Volatility

60.

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 135 (404,910)

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

61.

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 129 (419,519)
Citation 117

Abstract:

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Term structure of interest rates, Information content

62.

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 129 (419,519)

Abstract:

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Mean-variance, Allocation

63.

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 124 (432,304)

Abstract:

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Swap market, Interest rate swaps, Swap valuation

64.

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 109 (476,065)

Abstract:

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Mutual funds, Performance, SICAV, FCP

65.

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 106 (485,804)
Citation 5

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

66.

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 104 (492,485)

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aggregation, rational expectations models, heterogeneity

67.

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 101 (502,616)
Citation 88

Abstract:

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

68.

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 89 (545,540)

Abstract:

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ARCH models, Volatility, Conditional distribution, Asymmetry effects

69.

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 87 (553,237)
Citation 4

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

70.

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 83 (569,264)
Citation 26

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

71.

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 75 (603,213)
Citation 39

Abstract:

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

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 74 (607,732)
Citation 147

Abstract:

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Causality, Prediction Improvement, Cointegration

73.

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 69 (631,240)

Abstract:

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Expectations hypothesis, Restricted VAR representation, formal test

74.

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 64 (656,291)
Citation 131

Abstract:

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Stock markets, Volatility, Trading volume, International transmission

75.

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 62 (666,804)
Citation 101

Abstract:

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Forward-looking model, monetary policy rules

76.

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 58 (688,318)
Citation 1

Abstract:

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

77.

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 50 (735,699)

Abstract:

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

78.

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 47 (754,769)

Abstract:

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

79.

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 47 (754,769)

Abstract:

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

80.

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 45 (768,334)

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

81.

Performance and Challenges of Net-Zero Strategies in the Context of the EU Regulation

Swiss Finance Institute Research Paper No. 24-44
Number of pages: 51 Posted: 03 Sep 2024
Fabio Alessandrini, Eric Jondeau and Lou-Salomé Vallée
University of Lausanne, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 17 (1,013,733)

Abstract:

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82.

The Impact of Green Investors on Stock Prices

NBER Working Paper No. w32317
Number of pages: 40 Posted: 15 Apr 2024
Gong Cheng, Eric Jondeau, Benoît Mojon and Dimitri Vayanos
Bank for International Settlements (BIS), University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Bank for International Settlements (BIS) and London School of Economics
Downloads 15 (1,035,415)
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83.

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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84.

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

85.

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

86.

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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