Eric Jondeau

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

Professor of Finance

Extranef 232

Lausanne, 1012

Switzerland

http://www.hec.unil.ch/ejondeau/

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

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

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

73

DOWNLOADS
Rank 2,184

SSRN RANKINGS

Top 2,184

in Total Papers Downloads

18,759

SSRN CITATIONS
Rank 305

SSRN RANKINGS

Top 305

in Total Papers Citations

184

CROSSREF CITATIONS

2,634

Scholarly Papers (73)

Actions:
Email selected abstracts
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 2,139 (8,524)
Citation 32

Abstract:

Loading...

Systemic Risk, Marginal Expected Shortfall, Multi-factor Model

2.

Conditional Volatility, Skewness and Kurtosis: Existence and Persistence

Downloads 1,427 ( 16,345)
Citation 124

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 1,278 (18,953)
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 149 (241,035)
Citation 124

Abstract:

Loading...

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

3.

Optimal Portfolio Allocation Under Higher Moments

Downloads 1,251 ( 19,891)
Citation 128

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 1,126 (22,919)
Citation 50

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 112 (299,812)
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 13 (704,637)
Citation 17
  • Add to Cart

Abstract:

Loading...

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

4.

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 1,201 (21,195)
Citation 14

Abstract:

Loading...

International correlation, Stock indices, Skewed Student-t distribution

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 1,141 (22,862)
Citation 9

Abstract:

Loading...

return predictability, average skewness, idiosyncratic skewness

6.

Conditional Dependency of Financial Series: An Application of Copulas

Downloads 936 ( 30,437)
Citation 108

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 765 (39,640)
Citation 57

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 171 (214,434)
Citation 65

Abstract:

Loading...

International correlation, Market integration, ARCH, Stock indices

7.

Moment Component Analysis: An Illustration with International Stock Markets

Downloads 751 ( 41,225)
Citation 9

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), Glion Institute of Higher Education and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 717 (43,285)
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
Eric Jondeau, Emmanuel Jurczenko and Michael Rockinger
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 34 (555,110)
Citation 9

Abstract:

Loading...

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

8.

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 644 (50,617)
Citation 2

Abstract:

Loading...

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 580 (57,861)
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 486 (72,141)
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 458 (77,587)
Citation 1

Abstract:

Loading...

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

12.

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 355 (104,202)
Citation 3

Abstract:

Loading...

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

13.

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 352 (105,129)

Abstract:

Loading...

Systematic Risk, Skewness, Predictability, Trading Strategies

14.

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 345 (107,528)
Citation 2

Abstract:

Loading...

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

15.

Assessing GMM Estimates of the Federal Reserve Reaction Function

Downloads 340 (109,329)
Citation 100

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 281 (133,393)
Citation 54

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
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 59 (441,562)
Citation 49

Abstract:

Loading...

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

16.

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 324 (115,307)
Citation 4

Abstract:

Loading...

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

17.

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

Downloads 320 (116,805)
Citation 108

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

Universite de Paris-12 Working Paper No. 01-05
Number of pages: 40 Posted: 28 Jan 2002
Eric Jondeau and Hervé le Bihan
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Banque de France - Centre de Recherche
Downloads 214 (174,882)

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 106 (311,763)
Citation 111

Abstract:

Loading...

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

18.

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

Downloads 315 (118,796)
Citation 45

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 199 (187,328)
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 116 (292,454)
Citation 41

Abstract:

Loading...

Euro area, heterogeneity, optimal monetary policy, Bayesian econometrics

19.

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 310 (120,811)

Abstract:

Loading...

Bayesian method, predictive variance, non-negative equity premium

20.

The Economic Value of Distributional Timing

Downloads 305 (122,981)
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 180 (204,926)
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 125 (276,842)
Citation 5

Abstract:

Loading...

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

21.

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 266 (141,865)
Citation 3

Abstract:

Loading...

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

22.

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 259 (145,743)
Citation 1

Abstract:

Loading...

Systematic Risk, Skewness, Predictability, Trading Strategies

23.

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 228 (164,962)

Abstract:

Loading...

Stock Returns, Predictability, Estimation risk, Portfolio Choice

24.

Aggregating Phillips Curves

Downloads 221 (169,949)
Citation 5

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, Eric Jondeau and Florian Pelgrin
Paris School of Economics (PSE), University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and EDHEC Business School
Downloads 217 (172,594)

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
Jean M. Imbs, Eric Jondeau and Florian Pelgrin
Paris School of Economics (PSE), University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and EDHEC Business School
Downloads 4 (780,603)
Citation 1
  • Add to Cart

Abstract:

Loading...

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

25.

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 200 (186,607)
Citation 7

Abstract:

Loading...

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

26.

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 193 (192,669)
Citation 1

Abstract:

Loading...

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

27.

Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias

Downloads 171 (214,293)
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 147 (243,817)
Citation 1

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 24 (619,373)
Citation 1

Abstract:

Loading...

Contemporaneous aggregation, Heterogeneity, Volatility, GARCH model

28.

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 163 (223,134)
Citation 50

Abstract:

Loading...

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

29.

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 162 (224,244)

Abstract:

Loading...

30.

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 149 (240,433)
Citation 106

Abstract:

Loading...

Stock returns, International correlation, Markov-switching model

31.

The Tail Behavior of Stock Returns: Emerging Versus Mature Markets

Downloads 146 (244,543)
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 146 (245,188)
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...

32.

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 139 (254,346)
Citation 2

Abstract:

Loading...

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

33.

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 135 (260,204)
Citation 1

Abstract:

Loading...

34.

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 Swiss Finance Institute @ EPFL
Downloads 128 (270,816)

Abstract:

Loading...

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

35.

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 120 (284,185)
Citation 3

Abstract:

Loading...

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

36.

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 Swiss Finance Institute @ EPFL
Downloads 117 (289,318)

Abstract:

Loading...

Systemic Risk, Capital Shortfall, Stress Test, Multifactor Model

37.

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 111 (300,052)

Abstract:

Loading...

Mean-variance, Allocation

38.

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

Downloads 104 (313,830)
Citation 129

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 104 (315,851)
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...

39.

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 Swiss Finance Institute @ EPFL
Downloads 100 (322,173)

Abstract:

Loading...

Real business cycle model, Systemic risk, Collateral, Leverage

40.

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 99 (324,187)

Abstract:

Loading...

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

41.

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 96 (330,643)
Citation 111

Abstract:

Loading...

Swap market, Interest rate swaps, Swap valuation

42.

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 93 (337,424)

Abstract:

Loading...

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

43.

A New Indicator of Bank Funding Cost

Downloads 92 (339,724)

A New Indicator of Bank Funding Cost

Swiss Finance Institute Research Paper No. 20-20
Number of pages: 42 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 62 (430,457)

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
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 30 (578,613)

Abstract:

Loading...

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

44.

A General Equilibrium Appraisal of Capital Shortfall

Downloads 83 (361,996)

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 58 (445,274)

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 25 (612,131)

Abstract:

Loading...

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

45.

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 81 (367,243)

Abstract:

Loading...

aggregation, rational expectations models, heterogeneity

46.

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 78 (375,359)
Citation 117

Abstract:

Loading...

Term structure, volatility spillovers, impulse response analysis

47.

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 78 (375,359)

Abstract:

Loading...

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

48.

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 76 (380,899)

Abstract:

Loading...

Autoregressive process, Aggregation, Heterogeneity

49.

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

Downloads 74 (386,693)
Citation 6

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 74 (390,989)
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...

50.

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 60 (431,621)

Abstract:

Loading...

Aggregation; Heterogeneity; GARCH model; Volatility

51.

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 60 (431,621)

Abstract:

Loading...

ARCH models, Volatility, Conditional distribution, Asymmetry effects

52.

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 57 (442,443)
Citation 5

Abstract:

Loading...

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

53.

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 57 (442,443)
Citation 3

Abstract:

Loading...

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

54.

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 53 (457,212)
Citation 3

Abstract:

Loading...

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

55.

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 52 (460,960)
Citation 116

Abstract:

Loading...

Term structure of interest rates, Information content

56.

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 50 (468,965)
Citation 1

Abstract:

Loading...

Financial stability, Runs, Brown assets, Liquidity provision

57.

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 45 (489,724)
Citation 101

Abstract:

Loading...

Forward-looking model, monetary policy rules

58.

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 43 (498,594)

Abstract:

Loading...

Expectations hypothesis, Restricted VAR representation, formal test

59.

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 43 (498,594)
Citation 121

Abstract:

Loading...

Causality, Prediction Improvement, Cointegration

60.

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 43 (498,594)
Citation 71

Abstract:

Loading...

Mutual funds, Performance, SICAV, FCP

61.

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 42 (503,049)
Citation 131

Abstract:

Loading...

Stock markets, Volatility, Trading volume, International transmission

62.

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 42 (503,049)
Citation 39

Abstract:

Loading...

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

63.

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 40 (512,372)
Citation 88

Abstract:

Loading...

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

64.

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 29 (569,550)

Abstract:

Loading...

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

65.

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 28 (575,583)

Abstract:

Loading...

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

66.

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 24 (601,076)

Abstract:

Loading...

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

67.

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 21 (621,311)
Citation 26

Abstract:

Loading...

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

68.

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 20 (628,357)

Abstract:

Loading...

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

69.

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 8 (717,468)
Citation 1

Abstract:

Loading...

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

70.

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...

71.

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

72.

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

73.

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...