Eric Jondeau

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)

Professor of Finance

Extranef 232

Lausanne, 1012

Switzerland

http://people.unil.ch/ericjondeau/

Swiss Finance Institute

40, Boulevard du Pont-d'Arve

40, Bd du Pont-d'Arve

1211 Geneva 4, CH-6900

Switzerland

SCHOLARLY PAPERS

77

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19,729

SSRN CITATIONS
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Top 319

in Total Papers Citations

186

CROSSREF CITATIONS

2,530

Scholarly Papers (77)

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
New York University (NYU) - Department of Finance, Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 2,172 (8,757)
Citation 33

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Systemic Risk, Marginal Expected Shortfall, Multi-factor Model

Conditional Volatility, Skewness and Kurtosis: Existence and Persistence

Number of pages: 49 Posted: 17 Apr 2001
Michael Rockinger and Eric Jondeau
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Swiss Finance Institute
Downloads 1,285 (19,696)
Citation 2

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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
Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 153 (244,546)
Citation 124

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

3.
Downloads 1,260 ( 20,656)
Citation 128

Optimal Portfolio Allocation Under Higher Moments

Number of pages: 39 Posted: 28 May 2004
Eric Jondeau and Michael Rockinger
Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 1,133 (23,755)
Citation 50

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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
Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 114 (306,995)
Citation 51

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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
Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 13 (728,368)
Citation 17
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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
Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 1,206 (22,035)
Citation 15

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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
Swiss Finance Institute, Shandong University and Shanghai University of Finance and Economics
Downloads 1,172 (23,028)
Citation 9

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return predictability, average skewness, idiosyncratic skewness

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 Swiss Finance Institute
Downloads 766 (41,314)
Citation 66

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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 Swiss Finance Institute
Downloads 177 (215,918)
Citation 66

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International correlation, Market integration, ARCH, Stock indices

7.

Optimal Strategies for ESG Portfolios

Swiss Finance Institute Research Paper No. 20-21
Number of pages: 48 Posted: 20 Apr 2020
Fabio Alessandrini and Eric Jondeau
University of Lausanne and Swiss Finance Institute
Downloads 787 (40,434)
Citation 3

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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
Swiss Finance Institute, Glion Institute of Higher Education and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 720 (44,909)
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
Swiss Finance Institute, Glion Institute of Higher Education and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 35 (568,863)
Citation 9

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

9.

Long-Term Portfolio Management with a Structural Macroeconomic Model

Swiss Finance Institute Research Paper No. 13-45
Number of pages: 54 Posted: 15 Sep 2013
Ludovic Calès, Eric Jondeau and Michael Rockinger
Joint Research Center of the European Commission, Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 596 (58,281)
Citation 1

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

10.

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

Number of pages: 42 Posted: 26 Feb 2005
Eric Jondeau and Michael Rockinger
Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 494 (73,685)
Citation 15

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

11.

Predicting Long-Term Financial Returns: VAR vs. DSGE Model - A Horse-Race

Swiss Finance Institute Research Paper No. 16-13
Number of pages: 53 Posted: 03 Mar 2016 Last Revised: 20 Jan 2017
Eric Jondeau and Michael Rockinger
Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 474 (77,487)
Citation 1

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

12.

The Allocation of Assets Under Higher Moments

FAME Research Paper No. 71
Number of pages: 36 Posted: 24 Jun 2003
Eric Jondeau and Michael Rockinger
Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 356 (107,927)
Citation 3

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

13.

Asymmetric Beta Comovement and Systematic Downside Risk

Swiss Finance Institute Research Paper No. 14-59
Number of pages: 50 Posted: 19 Oct 2014
Eric Jondeau and Qunzi Zhang
Swiss Finance Institute and Shandong University
Downloads 355 (108,297)

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Systematic Risk, Skewness, Predictability, Trading Strategies

14.

Optimal Liquidation Strategies in Illiquid Markets

Swiss Finance Institute Research Paper No. 09-24
Number of pages: 47 Posted: 09 Jul 2009
Swiss Finance Institute, affiliation not provided to SSRN and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 349 (110,359)
Citation 2

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

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
University of Toulouse 1 - Groupe de Recherche en Economie Mathématique et Quantitative (GREMAQ), Swiss Finance Institute and Banque de France - Centre de Recherche
Downloads 284 (137,058)
Citation 54

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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
University of Toulouse 1 - Groupe de Recherche en Economie Mathématique et Quantitative (GREMAQ), Swiss Finance Institute and Banque de France - Centre de Recherche
Downloads 63 (442,297)
Citation 49

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

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
Swiss Finance Institute and Banque de France - Centre de Recherche
Downloads 217 (179,280)

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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
Swiss Finance Institute and Banque de France - Centre de Recherche
Downloads 109 (316,970)
Citation 111

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

17.

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
Swiss Finance Institute, Shandong University and Shanghai University of Finance and Economics
Downloads 325 (119,432)

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Bayesian method, predictive variance, non-negative equity premium

18.

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
Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 325 (119,432)
Citation 4

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

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
Swiss Finance Institute and Banque de France
Downloads 201 (192,703)
Citation 4

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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
Swiss Finance Institute and Banque de France
Downloads 120 (295,885)
Citation 41

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Euro area, heterogeneity, optimal monetary policy, Bayesian econometrics

20.
Downloads 310 (125,585)
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
Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 185 (207,692)
Citation 5

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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
Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 125 (287,099)
Citation 5

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

21.

Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps

Journal of Banking and Finance, Forthcoming, Swiss Finance Institute Research Paper No. 13-47
Number of pages: 61 Posted: 04 Oct 2013 Last Revised: 09 Feb 2016
Swiss Finance Institute, Fordham University and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 277 (141,386)
Citation 3

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

22.

Optimal Long-Term Allocation with Pension Fund Liabilities

Swiss Finance Institute Research Paper No. 14-58
Number of pages: 61 Posted: 19 Oct 2014 Last Revised: 20 Oct 2014
Eric Jondeau and Michael Rockinger
Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 269 (145,678)
Citation 1

Abstract:

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Systematic Risk, Skewness, Predictability, Trading Strategies

23.

Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty

Swiss Finance Institute Research Paper No. 10-41
Number of pages: 50 Posted: 28 Sep 2010
Eric Jondeau and Michael Rockinger
Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 231 (169,187)

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Stock Returns, Predictability, Estimation risk, Portfolio Choice

24.
Downloads 222 (175,796)
Citation 5

Aggregating Phillips Curves

Swiss Finance Institute Research Paper No. 07-06, ECB Working Paper No. 785
Number of pages: 62 Posted: 21 Feb 2007
Paris School of Economics (PSE)NYU Abu Dhabi, Swiss Finance Institute and EDHEC Business School
Downloads 218 (178,519)

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New Keynesian Phillips Curve, Heterogeneity, Inflation Persistence, Marginal Costs

Aggregating Phillips Curves

Number of pages: 59 Posted: 20 May 2008
Paris School of Economics (PSE)NYU Abu Dhabi, Swiss Finance Institute and EDHEC Business School
Downloads 4 (805,406)
Citation 1
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Heterogeneity, inflation persistence, marginal costs, New Keynesian Phillips Curve, nominal rigidities

25.

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), Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 215 (181,115)
Citation 1

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

26.

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
Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 207 (187,621)
Citation 7

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

27.

Disasters, Large Drawdowns, and Long-term Asset Management

Swiss Finance Institute Research Paper No. 21-37
Number of pages: 52 Posted: 11 Jun 2021 Last Revised: 21 Jun 2021
Eric Jondeau and Alexandre Pauli
Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 197 (196,378)

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

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
Swiss Finance Institute
Downloads 147 (252,833)

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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
Swiss Finance Institute
Downloads 24 (640,703)
Citation 1

Abstract:

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Contemporaneous aggregation, Heterogeneity, Volatility, GARCH model

29.

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
Swiss Finance Institute and Banque de France - Centre de Recherche
Downloads 168 (225,593)
Citation 50

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

30.

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 Swiss Finance Institute
Downloads 164 (230,312)

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31.

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 Swiss Finance Institute
Downloads 153 (244,010)
Citation 2

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

32.

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 Swiss Finance Institute
Downloads 151 (246,782)
Citation 106

Abstract:

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Stock returns, International correlation, Markov-switching model

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
Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 147 (252,833)
Citation 128

Abstract:

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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
Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

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34.

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
Swiss Finance Institute, Banque de France - Centre de Recherche and Banque de France
Downloads 139 (263,693)
Citation 1

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35.

ESG Screening in the Fixed-Income Universe

Swiss Finance Institute Research Paper No. 21-77, 2021.
Number of pages: 55 Posted: 22 Nov 2021 Last Revised: 24 Nov 2021
University of Lausanne, University of Lausanne and Swiss Finance Institute
Downloads 132 (276,004)

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Corporate bonds, ESG investing, Portfolio construction, Bond risk factors

36.

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
Swiss Finance Institute and Swiss Finance Institute @ EPFL
Downloads 129 (279,185)

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

37.

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
Swiss Finance Institute
Downloads 127 (284,217)
Citation 3

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

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
Swiss Finance Institute and Swiss Finance Institute @ EPFL
Downloads 124 (287,567)

Abstract:

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Systemic Risk, Capital Shortfall, Stress Test, Multifactor Model

39.

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 Swiss Finance Institute
Downloads 112 (309,207)

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Mean-variance, Allocation

40.
Downloads 107 (319,143)

A New Indicator of Bank Funding Cost

Swiss Finance Institute Research Paper No. 20-20
Number of pages: 42 Posted: 15 Apr 2020
Swiss Finance Institute, Bank for International Settlements (BIS) and Banque de France
Downloads 71 (414,708)

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Bank funding risk, bank credit spreads, liquidity supply regimes, multi- curve environment, economic activity predictability.

A New Indicator of Bank Funding Cost

BIS Working Paper No. 854
Number of pages: 43 Posted: 15 Apr 2020
Swiss Finance Institute, Bank for International Settlements (BIS) and Banque de France
Downloads 36 (563,222)

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

41.

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
University of Lausanne - Faculty of Business and Economics, Faculty of Business and Economics, Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 106 (321,173)

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

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, Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 106 (323,202)
Citation 129

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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, Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Abstract:

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43.

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
Swiss Finance Institute and Swiss Finance Institute @ EPFL
Downloads 103 (327,412)

Abstract:

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Real business cycle model, Systemic risk, Collateral, Leverage

44.

Greening the Swiss National Bank's Portfolio

Swiss Finance Institute Research Paper No. 21-59
Number of pages: 48 Posted: 19 Aug 2021
Rüdiger Fahlenbrach and Eric Jondeau
Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute
Downloads 102 (329,510)

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Portfolio carbon footprint, Decarbonized financial investment

45.

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 Swiss Finance Institute
Downloads 98 (338,180)
Citation 111

Abstract:

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Swap market, Interest rate swaps, Swap valuation

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
Swiss Finance Institute and Banque de France
Downloads 65 (435,067)

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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
Swiss Finance Institute and Banque de France
Downloads 26 (625,950)

Abstract:

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

47.

Greening (Runnable) Brown Assets with a Liquidity Backstop

Swiss Finance Institute Research Paper No. 21-22, Bank for International Settlements
Number of pages: 45 Posted: 08 Mar 2021 Last Revised: 10 Mar 2021
Eric Jondeau, Benoît Mojon and Cyril Monnet
Swiss Finance Institute, Bank for International Settlements (BIS) and University of Bern
Downloads 90 (356,924)
Citation 2

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Financial stability, Runs, Brown assets, Liquidity provision

48.

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
Swiss Finance Institute and EDHEC Business School
Downloads 83 (375,065)

Abstract:

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aggregation, rational expectations models, heterogeneity

49.

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
Swiss Finance Institute and Banque de France
Downloads 79 (386,127)

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

50.

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 Swiss Finance Institute
Downloads 78 (388,957)
Citation 117

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Term structure, volatility spillovers, impulse response analysis

51.

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
Swiss Finance Institute and EDHEC Business School
Downloads 77 (391,830)

Abstract:

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Autoregressive process, Aggregation, Heterogeneity

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
Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 77 (395,943)
Citation 6

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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
Swiss Finance Institute

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53.

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
Swiss Finance Institute
Downloads 65 (429,475)

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Aggregation; Heterogeneity; GARCH model; Volatility

54.

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
Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 63 (436,410)
Citation 5

Abstract:

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

55.

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
Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 62 (439,922)
Citation 3

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

56.

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 Swiss Finance Institute
Downloads 61 (443,376)

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ARCH models, Volatility, Conditional distribution, Asymmetry effects

57.

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
Swiss Finance Institute and Banque de France
Downloads 54 (469,406)
Citation 3

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

58.

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
Swiss Finance Institute and Banque de France
Downloads 52 (477,336)
Citation 116

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Term structure of interest rates, Information content

59.

Climate-Related Disasters and the Death Toll

Swiss Finance Institute Research Paper No. 21-63
Number of pages: 59 Posted: 08 Sep 2021
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), Swiss Finance Institute and University of Lausanne, School of Economics and Business Administration (HEC Lausanne)
Downloads 50 (485,564)

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Climate change, Climate disasters, Death toll, Frequency and severity

60.

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 Swiss Finance Institute
Downloads 46 (502,753)
Citation 121

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Causality, Prediction Improvement, Cointegration

61.

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
Swiss Finance Institute and Banque de France - Centre de Recherche
Downloads 46 (502,753)
Citation 101

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Forward-looking model, monetary policy rules

62.

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
Banque de France, Swiss Finance Institute and National Center for Scientific Research (CNRS)
Downloads 44 (511,617)
Citation 131

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Stock markets, Volatility, Trading volume, International transmission

63.

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
Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 44 (511,617)
Citation 71

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Mutual funds, Performance, SICAV, FCP

64.

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
Swiss Finance Institute
Downloads 43 (516,155)

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Expectations hypothesis, Restricted VAR representation, formal test

65.

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
Swiss Finance Institute and Banque de France - Centre de Recherche
Downloads 43 (516,155)
Citation 39

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

66.

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
Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 41 (525,544)
Citation 88

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

67.

Measuring and Stress-Testing Market-Implied Bank Capital

Number of pages: 49 Posted: 28 Aug 2021
Martin Indergand, Eric Jondeau and Andreas Fuster
Swiss National Bank - Financial Stability, Swiss Finance Institute and Ecole Polytechnique Fédérale de Lausanne
Downloads 36 (550,560)

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Banking, Capital, Stress Test, Systemic Risk, Multifactor Model

68.

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
Swiss Finance Institute
Downloads 30 (583,524)

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

69.

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
Swiss Finance Institute and Banque de France
Downloads 28 (595,643)

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

70.

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
Swiss Finance Institute and Banque de France
Downloads 25 (615,022)

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

71.

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
Swiss Finance Institute and Banque de France
Downloads 22 (635,820)
Citation 26

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

72.

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
Swiss Finance Institute and Banque de France
Downloads 21 (642,909)

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

73.

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
Swiss Finance Institute and Banque de France - Centre de Recherche
Downloads 10 (725,576)
Citation 1

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

74.

ESG Investing: From Sin Stocks to Smart Beta

Journal of Portfolio Management, Vol. 46, 2020, https://jpm.pm-research.com/content/46/3/75, Swiss Finance Institute Research Paper No. 19-16
Posted: 21 Mar 2019 Last Revised: 24 May 2020
Fabio Alessandrini and Eric Jondeau
University of Lausanne and Swiss Finance Institute

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75.

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
Swiss Finance Institute 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

76.

How Higher Moments Affect the Allocation of Assets

Posted: 02 Sep 2003
Eric Jondeau and Michael Rockinger
Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

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

77.

Estimating Gram-Charlier Expansions Under Positivity Constraints

Posted: 26 Mar 1999
Eric Jondeau and Michael Rockinger
Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

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