Roméo Tédongap

ESSEC Business School Paris-Singapore

Associate Professor

Avenue Bernard Hirsch

BP 105 Cergy Cedex, 95021

France

SCHOLARLY PAPERS

14

DOWNLOADS
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CITATIONS
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in Total Papers Citations

36

Scholarly Papers (14)

1.

Asymmetry Matters: A High-Frequency Risk-Reward Trade-Off

Number of pages: 46 Posted: 01 May 2011 Last Revised: 26 Jun 2012
Johannes H. Breckenfelder and Roméo Tédongap
European Central Bank (ECB) - Financial Research and ESSEC Business School Paris-Singapore
Downloads 370 (56,958)

Abstract:

realized variance, realized semivariance, stock market return predictability, asymmetric realized volatility, variance risk premium, high-frequency data, equilibrium asset pricing

2.

The Equity Premium and The Volatility Spread: The Role of Risk-Neutral Skewness

Review of Derivatives Research, Forthcoming, EFA 2009 Bergen Meetings Paper
Number of pages: 54 Posted: 17 Nov 2008 Last Revised: 17 Dec 2016
Bruno Feunou, Jean-Sebastien Fontaine and Roméo Tédongap
Bank of Canada, Bank of Canada and ESSEC Business School Paris-Singapore
Downloads 324 (67,227)

Abstract:

Option Prices, Skewness, Volatility Spread, Risk Premium

3.

Modeling Market Downside Volatility

Review of Finance (2013), 17(1), 443-481, doi: 10.1093/rof/rfr024
Number of pages: 52 Posted: 09 Mar 2010 Last Revised: 07 Jan 2013
Bruno Feunou, Mohammad R. Jahan-Parvar and Roméo Tédongap
Bank of Canada, Board of Governors of the Federal Reserve System and ESSEC Business School Paris-Singapore
Downloads 305 (69,117)
Citation 4

Abstract:

Binormal distribution, Downside risk, Intertemporal CAPM, GARCH, Relative downside volatility, Risk-return trade-off, Upside uncertainty.

4.

Risk Premium, Variance Premium and the Maturity Structure of Uncertainty

Review of Finance (2014) 18 (1): 219-269.
Number of pages: 44 Posted: 15 Feb 2011 Last Revised: 17 Dec 2016
Bank of Canada, Bank of Canada, Universidad Carlos III de Madrid and ESSEC Business School Paris-Singapore
Downloads 280 (85,062)
Citation 3

Abstract:

Equity Premium, Variance Premium, Risk-neutral Variance, Term Structure of Variance, Long-Run Risk

5.

Consumption Volatility and the Cross-Section of Stock Returns

Review of Finance, Forthcoming
Number of pages: 42 Posted: 03 May 2007 Last Revised: 11 Dec 2013
Roméo Tédongap
ESSEC Business School Paris-Singapore
Downloads 226 (100,221)
Citation 3

Abstract:

Level Risk, Expected Growth Risk, Consumption Volatility Risk, GARCH, Kalman Filter

6.

Real Economic Shocks and Sovereign Credit Risk

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 60 Posted: 23 Nov 2010 Last Revised: 22 May 2014
Patrick Augustin and Roméo Tédongap
McGill University, Desautels Faculty of Management and ESSEC Business School Paris-Singapore
Downloads 203 (88,162)
Citation 1

Abstract:

Credit Default Swap Spreads, Generalized Disappointment Aversion, Sovereign Risk, Term Structure

7.

Which Parametric Model for Conditional Skewness?

European Journal of Finance, Forthcoming
Number of pages: 41 Posted: 09 Mar 2007 Last Revised: 11 Dec 2013
Bruno Feunou, Mohammad R. Jahan-Parvar and Roméo Tédongap
Bank of Canada, Board of Governors of the Federal Reserve System and ESSEC Business School Paris-Singapore
Downloads 199 (111,423)
Citation 1

Abstract:

Conditional skewness, Downside risk, Mincer-Zarnowitz regression, Realized skewness

8.

An Analytical Framework for Assessing Asset Pricing Models and Predictability

Number of pages: 47 Posted: 19 Mar 2008
René Garcia, Nour Meddahi and Roméo Tédongap
Université de Montréal - CIREQ - Département de sciences économiques, Imperial College Business School and ESSEC Business School Paris-Singapore
Downloads 198 (113,503)
Citation 10

Abstract:

Equilibrium Asset Pricing, Equity Premium, Risk-free Rate Puzzle, Predictability

9.
Downloads 170 (139,451)

Asymmetries and Portfolio Choice

Swedish House of Finance Research Paper No. 15-09
Number of pages: 51 Posted: 13 May 2015 Last Revised: 20 Jul 2016
Magnus Dahlquist, Adam Farago and Roméo Tédongap
Stockholm School of Economics, Göteborg University - Center For Finance and ESSEC Business School Paris-Singapore
Downloads 170 (139,531)

Abstract:

Asset allocation, disappointment aversion, downside risk, loss aversion, reference-dependent preferences, skewness.

Asymmetries and Portfolio Choice

CEPR Discussion Paper No. DP10706
Number of pages: 52 Posted: 13 Jul 2015
Magnus Dahlquist, Adam Farago and Roméo Tédongap
Stockholm School of Economics, Göteborg University - Center For Finance and ESSEC Business School Paris-Singapore
Downloads 0

Abstract:

Asset allocation, Downside risk

10.

A Stochastic Volatility Model with Conditional Skewness

Journal of Business & Economic Statistics, 30:4, 576-591.
Number of pages: 36 Posted: 19 Mar 2008 Last Revised: 29 Oct 2012
Bruno Feunou and Roméo Tédongap
Bank of Canada and ESSEC Business School Paris-Singapore
Downloads 159 (135,857)
Citation 1

Abstract:

Discrete Time, Affine Model, Conditional Skewness, GMM, Option Pricing

11.

Generalized Disappointment Aversion, Long-Run Volatility Risk and Asset Prices

Review Review of Financial Studies, January 2011, 24, 82-122
Number of pages: 49 Posted: 19 Feb 2009 Last Revised: 13 Dec 2013
Marco Bonomo, René Garcia, Nour Meddahi and Roméo Tédongap
Insper Institute of Education and Research, Université de Montréal - CIREQ - Département de sciences économiques, Imperial College Business School and ESSEC Business School Paris-Singapore
Downloads 138 (158,179)
Citation 12

Abstract:

disappointment aversion, long-run risk, equity premium, asset returns, predictability, equilibrium Asset Pricing, risk-free rate puzzle

12.

Volatility Downside Risk

Number of pages: 54 Posted: 23 Dec 2012
Adam Farago and Roméo Tédongap
Göteborg University - Center For Finance and ESSEC Business School Paris-Singapore
Downloads 122 (160,972)

Abstract:

Generalized Disappointment Aversion, Option Payoffs, Downside Risks, Cross-Section

Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets

Swedish House of Finance Research Paper No. 14-14
Number of pages: 41 Posted: 29 Aug 2014 Last Revised: 18 May 2016
Patrick Augustin and Roméo Tédongap
McGill University, Desautels Faculty of Management and ESSEC Business School Paris-Singapore
Downloads 71 (264,976)

Abstract:

Generalized Disappointment Aversion, Expectations Hypothesis, Numerical Solution Methods, Term Structure of Interest Rates

Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 41 Posted: 04 Jun 2016
Patrick Augustin and Roméo Tédongap
McGill University, Desautels Faculty of Management and ESSEC Business School Paris-Singapore
Downloads 3 (533,667)

Abstract:

Bond Predictability, Generalized Disappointment Aversion, Expectations Hypothesis, Numerical solution methods, Term Structure of Interest Rates

14.

Downside Risks and the Cross-Section of Asset Returns

Number of pages: 89 Posted: 10 Feb 2017
Adam Farago and Roméo Tédongap
Göteborg University - Center For Finance and ESSEC Business School Paris-Singapore
Downloads 0 (232,182)

Abstract:

Generalized Disappointment Aversion, Downside Risks, Cross-Section