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)

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    • Tel: +41 21 692 33 49
SCHOLARLY PAPERS

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Scholarly Papers (69)

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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 - Leonard N. Stern School of Business - Department of Economics, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 1,951 (7,452)
Citation 8

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Systemic Risk, Marginal Expected Shortfall, Multi-factor Model

2.

Conditional Volatility, Skewness and Kurtosis: Existence and Persistence

Downloads 1,354 ( 13,550)
Citation 115

Conditional Volatility, Skewness and Kurtosis: Existence and Persistence

EFMA 2001 Lugano Meetings; HEC Department of Finance Working Paper No. 710/2000
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 1,232 (15,371)

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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 122 (229,764)
Citation 108

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

3.

Optimal Portfolio Allocation Under Higher Moments

Downloads 1,190 ( 16,548)
Citation 132

Optimal Portfolio Allocation Under Higher Moments

EFMA 2004 Basel Meetings Paper
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 1,071 (19,036)
Citation 49

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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 106 (254,657)
Citation 50

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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 (582,468)
Citation 8
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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 1,157 (17,262)
Citation 9

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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 984 (21,953)

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return predictability, average skewness, idiosyncratic skewness

6.

Conditional Dependency of Financial Series: An Application of Copulas

Downloads 890 ( 25,475)
Citation 54

Conditional Dependency of Financial Series: An Application of Copulas

HEC Department of Finance Working Paper No. 723
Number of pages: 43 Posted: 05 Apr 2001
Michael Rockinger and Eric Jondeau
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 751 (31,725)
Citation 59

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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 139 (207,219)
Citation 59

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International correlation, Market integration, ARCH, Stock indices

7.

Moment Component Analysis: An Illustration with International Stock Markets

Downloads 690 ( 36,178)
Citation 4

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 664 (37,441)
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), Glion Institute of Higher Education and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 26 (499,197)
Citation 3

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

8.

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
European Union - European Commission, Joint Research Centre, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 560 (47,702)
Citation 1

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

9.

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

EFA 2005 Moscow Meetings Paper
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 461 (60,936)
Citation 10

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

10.

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 349 (84,691)
Citation 3

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

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 348 (84,982)

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

12.

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 325 (91,738)
Citation 2

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

13.

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 317 (94,277)
Citation 3

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

14.

Assessing GMM Estimates of the Federal Reserve Reaction Function

Downloads 312 ( 95,994)
Citation 55

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 263 (114,676)
Citation 48

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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 49 (396,143)
Citation 48

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

15.

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 308 (97,338)

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Systematic Risk, Skewness, Predictability, Trading Strategies

16.

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

Downloads 294 (102,383)
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 195 (154,370)
Citation 3

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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 99 (267,081)
Citation 41

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Euro area, heterogeneity, optimal monetary policy, Bayesian econometrics

17.

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

Downloads 283 (106,653)
Citation 107

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 190 (158,098)

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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 93 (278,416)
Citation 107

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

18.

The Economic Value of Distributional Timing

Downloads 282 (107,063)
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 164 (180,399)
Citation 2

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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 118 (235,697)
Citation 4

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

19.

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 237 (128,176)

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

20.

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 229 (132,575)
Citation 1

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Systematic Risk, Skewness, Predictability, Trading Strategies

21.

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 216 (140,363)

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Stock Returns, Predictability, Estimation risk, Portfolio Choice

22.

Aggregating Phillips Curves

Downloads 211 (143,444)
Citation 4

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 207 (145,776)

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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, 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 (646,068)
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Heterogeneity, inflation persistence, marginal costs, New Keynesian Phillips Curve, nominal rigidities

23.

ESG Investing: From Sin Stocks to Smart Beta

Swiss Finance Institute Research Paper No. 19-16
Number of pages: 35 Posted: 21 Mar 2019 Last Revised: 20 Jun 2019
Fabio Alessandrini and Eric Jondeau
University of Lausanne and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 181 (165,285)

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24.

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 174 (171,255)
Citation 1

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

25.

Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias

Downloads 168 (176,577)
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 145 (200,245)
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 23 (517,493)
Citation 1

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Contemporaneous aggregation, Heterogeneity, Volatility, GARCH model

26.

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 159 (185,038)
Citation 48

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

27.

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 157 (187,038)

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28.

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 151 (193,271)

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Bayesian method, predictive variance, non-negative equity premium

29.

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 130 (218,058)
Citation 106

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Stock returns, International correlation, Markov-switching model

30.

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 affiliation not provided to SSRN
Downloads 125 (224,658)
Citation 1

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31.

The Tail Behavior of Stock Returns: Emerging Versus Mature Markets

Downloads 123 (227,393)
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 123 (228,294)
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)

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32.

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 120 (231,636)

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

33.

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 109 (248,332)

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Mean-variance, Allocation

34.

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 108 (249,927)
Citation 2

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

35.

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 95 (272,517)
Citation 111

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Swap market, Interest rate swaps, Swap valuation

36.

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

Downloads 94 (274,390)
Citation 127

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 94 (276,428)
Citation 127

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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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37.

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 91 (280,104)

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Real business cycle model, Systemic risk, Collateral, Leverage

38.

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 89 (284,070)

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Systemic Risk, Capital Shortfall, Stress Test, Multifactor Model

39.

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 77 (310,240)

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aggregation, rational expectations models, heterogeneity

40.

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 76 (312,600)
Citation 1

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

41.

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 76 (312,600)

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

42.

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 74 (317,408)
Citation 116

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Term structure, volatility spillovers, impulse response analysis

43.

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 72 (322,275)

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Autoregressive process, Aggregation, Heterogeneity

44.

A General Equilibrium Appraisal of Capital Shortfall

Downloads 70 (327,381)

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 48 (399,879)

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

45.

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

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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 70 (331,138)
Citation 2

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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)

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46.

Periodic or Generational Actuarial Tables: Which One to Choose?

Swiss Finance Institute Research Paper No. 17-71
Number of pages: 35 Posted: 10 Jan 2018
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 67 (335,235)

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

47.

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 56 (366,744)

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Aggregation; Heterogeneity; GARCH model; Volatility

48.

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 52 (379,439)
Citation 1

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

49.

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 51 (382,715)

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ARCH models, Volatility, Conditional distribution, Asymmetry effects

50.

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 50 (386,051)
Citation 1

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

51.

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 48 (392,918)
Citation 116

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Term structure of interest rates, Information content

52.

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 44 (406,953)

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

53.

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 44 (406,953)
Citation 101

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Forward-looking model, monetary policy rules

54.

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 40 (421,956)
Citation 131

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Stock markets, Volatility, Trading volume, International transmission

55.

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 39 (425,919)
Citation 1

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

56.

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 39 (425,919)
Citation 71

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Mutual funds, Performance, SICAV, FCP

57.

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 38 (430,059)

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Expectations hypothesis, Restricted VAR representation, formal test

58.

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 38 (430,059)
Citation 121

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Causality, Prediction Improvement, Cointegration

59.

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 38 (430,059)
Citation 88

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

60.

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 34 (446,507)
Citation 39

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

61.

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 27 (479,620)

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

62.

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 26 (484,935)

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

63.

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 23 (501,442)

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

64.

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 affiliation not provided to SSRN
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Expectations hypothesis of the term structure, Reaction function of monetary policy, Forward rate

65.

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 18 (530,545)
Citation 26

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

66.

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 5 (610,965)
Citation 1

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

67.

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)

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

68.

How Higher Moments Affect the Allocation of Assets

Finance Letters, Vol. 1, No. 2, 2003
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)

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

69.

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)

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