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

67

DOWNLOADS
Rank 1,958

SSRN RANKINGS

Top 1,958

in Total Papers Downloads

15,613

CITATIONS
Rank 1,250

SSRN RANKINGS

Top 1,250

in Total Papers Citations

441

Scholarly Papers (67)

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 - 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 1,893 (7,398)
Citation 5

Abstract:

Loading...

Systemic Risk, Marginal Expected Shortfall, Multi-factor Model

2.

Conditional Volatility, Skewness and Kurtosis: Existence and Persistence

Downloads 1,337 ( 13,108)
Citation 67

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 1,221 (14,785)
Citation 66

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 116 (228,133)
Citation 67

Abstract:

Loading...

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

3.

Optimal Portfolio Allocation Under Higher Moments

Downloads 1,171 ( 16,086)
Citation 46

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 1,060 (18,295)
Citation 46

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 98 (257,363)
Citation 46

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 (556,733)
Citation 46
  • 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 1,143 (16,669)
Citation 7

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 925 (22,821)

Abstract:

Loading...

return predictability, average skewness, idiosyncratic skewness

6.

Conditional Dependency of Financial Series: An Application of Copulas

Downloads 876 ( 24,746)
Citation 24

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 749 (30,376)
Citation 24

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 127 (212,995)
Citation 24

Abstract:

Loading...

International correlation, Market integration, ARCH, Stock indices

7.

Moment Component Analysis: An Illustration with International Stock Markets

Downloads 663 ( 36,264)
Citation 2

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), Ecole hoteliere de Lausanne and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 640 (37,430)
Citation 2

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), Ecole hoteliere de Lausanne and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 23 (494,846)
Citation 2

Abstract:

Loading...

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 558 (45,622)

Abstract:

Loading...

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 455 (58,995)
Citation 7

Abstract:

Loading...

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 347 (81,408)
Citation 7

Abstract:

Loading...

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 326 (87,151)

Abstract:

Loading...

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 319 (89,309)

Abstract:

Loading...

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 313 (91,203)
Citation 9

Abstract:

Loading...

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

14.

Assessing GMM Estimates of the Federal Reserve Reaction Function

Downloads 305 ( 93,902)
Citation 13

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 259 (111,199)
Citation 13

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 46 (389,417)
Citation 13

Abstract:

Loading...

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 294 (98,425)

Abstract:

Loading...

Systematic Risk, Skewness, Predictability, Trading Strategies

16.

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

Downloads 282 (102,568)
Citation 9

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 193 (149,581)
Citation 9

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 89 (274,099)
Citation 9

Abstract:

Loading...

Euro area, heterogeneity, optimal monetary policy, Bayesian econometrics

17.

The Economic Value of Distributional Timing

Downloads 280 (102,926)
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 163 (173,327)
Citation 7

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 117 (226,663)
Citation 7

Abstract:

Loading...

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

18.

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

Downloads 276 (104,441)
Citation 25

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 188 (152,536)
Citation 25

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 88 (276,121)
Citation 23

Abstract:

Loading...

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

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 226 (128,793)

Abstract:

Loading...

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 218 (133,978)

Abstract:

Loading...

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 214 (135,152)

Abstract:

Loading...

Stock Returns, Predictability, Estimation risk, Portfolio Choice

22.

Aggregating Phillips Curves

Downloads 209 (138,194)
Citation 7

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 205 (140,509)
Citation 7

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 (613,681)
Citation 7
  • Add to Cart

Abstract:

Loading...

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

23.

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 168 (168,655)
Citation 21

Abstract:

Loading...

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

24.

Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias

Downloads 166 (170,458)

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 143 (193,544)

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 23 (494,846)

Abstract:

Loading...

Contemporaneous aggregation, Heterogeneity, Volatility, GARCH model

25.

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 (176,814)
Citation 15

Abstract:

Loading...

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

26.

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 153 (184,584)
Citation 3

Abstract:

Loading...

27.

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 125 (214,785)

Abstract:

Loading...

Bayesian method, predictive variance, non-negative equity premium

28.

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 124 (216,097)
Citation 15

Abstract:

Loading...

Stock returns, International correlation, Markov-switching model

29.

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 120 (221,483)

Abstract:

Loading...

30.

The Tail Behavior of Stock Returns: Emerging Versus Mature Markets

Downloads 119 (222,809)
Citation 12

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 119 (223,781)
Citation 12

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...

31.

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 117 (225,649)

Abstract:

Loading...

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

32.

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 108 (239,051)
Citation 6

Abstract:

Loading...

Mean-variance, Allocation

33.

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 106 (243,782)
Citation 1

Abstract:

Loading...

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

34.

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 90 (269,991)

Abstract:

Loading...

Real business cycle model, Systemic risk, Collateral, Leverage

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 90 (269,991)
Citation 7

Abstract:

Loading...

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 90 (269,991)
Citation 16

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 90 (272,136)
Citation 16

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...

37.

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 (301,365)
Citation 2

Abstract:

Loading...

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

38.

Measuring the Capital Shortfall of Large U.S. Banks

Swiss Finance Institute Research Paper No. 18-11
Number of pages: 69 Posted: 20 Feb 2018 Last Revised: 27 Feb 2018
Eric Jondeau and Amir Khalilzadeh
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and Swiss Finance Institute @ EPFL
Downloads 75 (303,680)

Abstract:

Loading...

Systemic Risk, Capital Shortfall, Stress Test, Multi-factor 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 74 (303,680)

Abstract:

Loading...

aggregation, rational expectations models, heterogeneity

40.

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 72 (308,382)
Citation 8

Abstract:

Loading...

Term structure, volatility spillovers, impulse response analysis

41.

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 71 (313,209)

Abstract:

Loading...

Autoregressive process, Aggregation, Heterogeneity

42.

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

Downloads 68 (318,080)

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 68 (321,873)
Citation 28

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...

43.

A General Equilibrium Appraisal of Capital Shortfall

Downloads 60 (339,279)

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 40 (411,988)

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 20 (513,306)

Abstract:

Loading...

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

44.

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 53 (363,068)

Abstract:

Loading...

Aggregation; Heterogeneity; GARCH model; Volatility

45.

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 51 (366,188)
Citation 17

Abstract:

Loading...

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

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 50 (369,317)

Abstract:

Loading...

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

47.

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 49 (372,604)

Abstract:

Loading...

ARCH models, Volatility, Conditional distribution, Asymmetry effects

48.

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 49 (372,604)
Citation 7

Abstract:

Loading...

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

49.

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 45 (385,877)
Citation 8

Abstract:

Loading...

Term structure of interest rates, Information content

50.

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 43 (392,919)

Abstract:

Loading...

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

51.

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 43 (392,919)
Citation 8

Abstract:

Loading...

Forward-looking model, monetary policy rules

52.

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 (403,688)

Abstract:

Loading...

Stock markets, Volatility, Trading volume, International transmission

53.

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 (411,294)
Citation 13

Abstract:

Loading...

Causality, Prediction Improvement, Cointegration

54.

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 38 (411,294)
Citation 6

Abstract:

Loading...

Mutual funds, Performance, SICAV, FCP

55.

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 37 (415,366)

Abstract:

Loading...

Expectations hypothesis, Restricted VAR representation, formal test

56.

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 37 (415,366)
Citation 6

Abstract:

Loading...

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

57.

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 35 (423,374)

Abstract:

Loading...

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

58.

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 33 (431,393)
Citation 3

Abstract:

Loading...

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

59.

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 (458,856)

Abstract:

Loading...

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

60.

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 25 (469,185)

Abstract:

Loading...

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

61.

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 22 (485,353)

Abstract:

Loading...

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

62.

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 17 (513,025)
Citation 3

Abstract:

Loading...

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

63.

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
Downloads 16 (518,517)

Abstract:

Loading...

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

64.

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 4 (586,583)
Citation 1

Abstract:

Loading...

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

65.

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

66.

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)

Abstract:

Loading...

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

67.

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...