Roméo Tédongap

ESSEC Business School

Professor

Avenue Bernard Hirsch

BP 105 Cergy Cedex, 95021

France

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 11,938

SSRN RANKINGS

Top 11,938

in Total Papers Downloads

4,263

SSRN CITATIONS
Rank 9,574

SSRN RANKINGS

Top 9,574

in Total Papers Citations

64

CROSSREF CITATIONS

49

Ideas:
“  I am currently working on pricing assets' exposure to downside risk, and valuing extra-long investments.  ”

Scholarly Papers (18)

1.

Downside Risks and the Cross-Section of Asset Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 88 Posted: 10 Feb 2017 Last Revised: 02 Mar 2017
Adam Farago and Roméo Tédongap
University of Gothenburg - Centre for Finance and ESSEC Business School
Downloads 450 (68,129)
Citation 9

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Generalized Disappointment Aversion, Downside Risks, Cross-Section

2.

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

Number of pages: 46 Posted: 01 May 2011 Last Revised: 26 Jun 2012
Johannes Breckenfelder and Roméo Tédongap
European Central Bank (ECB) - Financial Research and ESSEC Business School
Downloads 433 (71,396)
Citation 2

Abstract:

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

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
Downloads 371 (85,635)
Citation 16

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

4.

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
Downloads 363 (87,796)
Citation 1

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Option Prices, Skewness, Volatility Spread, Risk Premium

5.

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: 13 Apr 2020
Patrick Augustin and Roméo Tédongap
McGill University, Desautels Faculty of Management and ESSEC Business School
Downloads 318 (101,873)
Citation 4

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

6.

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
Downloads 306 (106,250)
Citation 1

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

Loss Uncertainty, Gain Uncertainty, and Expected Stock Returns

Number of pages: 50 Posted: 06 Nov 2017 Last Revised: 04 Nov 2019
Bank of Canada, Syracuse University - Whitman School of Management, ESSEC Business School and Syracuse University
Downloads 249 (131,420)

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Cross-section of stocks, out-of-the-money options, variance risk premium

Loss Uncertainty, Gain Uncertainty, and Expected Stock Returns

Number of pages: 50 Posted: 04 Jun 2018 Last Revised: 28 Oct 2019
Bank of Canada, Syracuse University - Whitman School of Management, ESSEC Business School and Syracuse University
Downloads 48 (429,168)
Citation 8

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Cross-section of stocks, out-of-the-money options, variance risk premium

8.

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
Downloads 259 (126,813)
Citation 14

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

9.

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
Downloads 241 (136,370)
Citation 6

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

10.
Downloads 231 (142,080)
Citation 12

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, University of Gothenburg - Centre for Finance and ESSEC Business School
Downloads 231 (141,609)

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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, University of Gothenburg - Centre for Finance and ESSEC Business School
Downloads 0
Citation 3
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Asset allocation, Downside risk

11.

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
Downloads 231 (142,080)
Citation 15

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

12.

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
Downloads 194 (167,556)
Citation 4

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

13.

Volatility Downside Risk

Number of pages: 54 Posted: 23 Dec 2012
Adam Farago and Roméo Tédongap
University of Gothenburg - Centre for Finance and ESSEC Business School
Downloads 182 (177,427)

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

14.

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
Downloads 163 (195,345)
Citation 14

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

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
Downloads 117 (255,206)

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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
Downloads 43 (449,558)

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

16.

The Term Structures of Expected Loss and Gain Uncertainty

Number of pages: 76 Posted: 30 Aug 2019 Last Revised: 24 Mar 2020
Bank of Canada, Syracuse University - Whitman School of Management, ESSEC Business School and Syracuse University
Downloads 27 (514,847)

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Quadratic payoff, quadratic loss, quadratic gain, quadratic risk premium, options

17.

The Economic Value of TIPS Arbitrage Mispricing

Number of pages: 33 Posted: 27 Jan 2020
Vasilis Dedes and Roméo Tédongap
BlackRock, Inc and ESSEC Business School
Downloads 24 (532,243)

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principal component analysis, reduced rank regression, predictability

18.

The Changing Landscape of Treasury Auctions

Number of pages: 80 Posted: 07 May 2020
Shehryar Amin and Roméo Tédongap
ESSEC Business School and ESSEC Business School
Downloads 13 (608,594)

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Treasury Auctions, Event-Study Analysis, Primary Dealers, Slow-Moving Capital, Zero-Coupon Inflation Swaps