Details about Eric Jondeau

Homepage:	http://www.hec.unil.ch/ejondeau/
Postal address:	Extranef 232 Department of Finance 1015 Lausanne Switzerland
Workplace:	Institut de Banque et Finance (IBF) (Institute of Banking and Finance), Faculté des Hautes Études Commerciales (HEC) (Business School), Université de Lausanne (University of Lausanne), (more information at EDIRC) Swiss Finance Institute, (more information at EDIRC)

Access statistics for papers by Eric Jondeau.

Last updated 2024-04-18. Update your information in the RePEc Author Service.

Short-id: pjo225

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Working Papers

2024

1. Bank Rollover Risk and Liquidity Supply Regimes
   Post-Print, HAL
2. The Impact of Green Investors on Stock Prices
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
   Also in BIS Working Papers, Bank for International Settlements (2023) View citations (2)

2023

3. Deconstructing ESG Scores: How to Invest with your own Criteria?
   IMF Working Papers, International Monetary Fund View citations (2)
   Also in BIS Working Papers, Bank for International Settlements (2022) View citations (7)
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2022) View citations (7)
4. Environmental Subsidies to Mitigate Net-Zero Transition Costs
   Working papers, Banque de France View citations (5)

2022

5. Bank capital shortfall in the euro area
   Post-Print, HAL View citations (1)
   See also Journal Article Bank capital shortfall in the euro area, Journal of Financial Stability, Elsevier (2022) View citations (1) (2022)
6. Building portfolios of sovereign securities with decreasing carbon footprints
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (3)
   Also in BIS Working Papers, Bank for International Settlements (2022) View citations (3)
7. Environmental Subsidies to Mitigate Transition Risk
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)
   Also in Working Papers, HAL (2022)
   EconomiX Working Papers, University of Paris Nanterre, EconomiX (2022) View citations (2)
8. How Sustainable Is Swiss Real Estate? Evidence from Institutional Property Portfolios
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
9. Measuring and Stress-Testing Market-Implied Bank Capital
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   Also in Working Papers, Swiss National Bank (2022)

2021

10. Building Benchmarks Portfolios with Decreasing Carbon Footprints
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (4)
    Also in BIS Working Papers, Bank for International Settlements (2021)
11. Climate-Related Disasters and the Death Toll
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
12. Disasters, Large Drawdowns, and Long-term Asset Management
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
13. ESG Screening in the Fixed-Income Universe
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
14. Greening (Runnable) Brown Assets with a Liquidity Backstop
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (4)
    Also in BIS Working Papers, Bank for International Settlements (2021) View citations (4)
15. Greening the Swiss National Bank's Portfolio
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
    See also Journal Article Greening the Swiss National Bank’s Portfolio, The Review of Corporate Finance Studies, Society for Financial Studies (2023) (2023)

2020

16. A New Indicator of Bank Funding Cost
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
17. Bank Funding Cost and Liquidity Supply Regimes
    BIS Working Papers, Bank for International Settlements View citations (2)
18. Optimal Strategies for ESG Portfolios
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2019

19. Crude Awakening: Oil Prices and Bond Returns
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
20. ESG Investing: From Sin Stocks to Smart Beta
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)

2018

21. A General Equilibrium Appraisal of Capital Shortfall
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)
    Also in Working papers, Banque de France (2018) View citations (2)
22. Measuring the Capital Shortfall of Large U.S. Banks
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
23. Strategic Interaction between Hedge Funds and Prime Brokers
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
24. When Are Stocks Less Volatile in the Long Run?
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
    See also Journal Article When Are Stocks Less Volatile in the Long Run?, Journal of Financial and Quantitative Analysis, Cambridge University Press (2021) (2021)

2017

25. Periodic or Generational Actuarial Tables: Which One to Choose?
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2016

26. Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
    See also Journal Article Estimating the price impact of trades in a high-frequency microstructure model with jumps, Journal of Banking & Finance, Elsevier (2015) View citations (13) (2015)
27. Forecasting Financial Returns with a Structural Macroeconomic Model
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)

2015

28. Average Skewness Matters!
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
    See also Journal Article Average skewness matters, Journal of Financial Economics, Elsevier (2019) View citations (53) (2019)
29. Collateralization, Leverage, and Stressed Expected Loss
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
    See also Journal Article Collateralization, leverage, and stressed expected loss, Journal of Financial Stability, Elsevier (2017) View citations (2) (2017)

2014

30. Asymmetric Beta Comovement and Systematic Downside Risk
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
31. Estimating Aggregate Autoregressive Processes When Only Macro Data are Available
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
    See also Journal Article Estimating aggregate autoregressive processes when only macro data are available, Economics Letters, Elsevier (2014) View citations (1) (2014)
32. Optimal Long-Term Allocation with Pension Fund Liabilities
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)

2013

33. Long-Term Portfolio Management with a Structural Macroeconomic Model
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2012

34. Systemic Risk in Europe
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (13)
    See also Journal Article Systemic Risk in Europe, Review of Finance, European Finance Association (2015) View citations (100) (2015)
    Chapter Systemic Risk in Europe, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2014) View citations (15) (2014)

2011

35. Sectoral Phillips curves and the aggregate Phillips curve
    Post-Print, HAL View citations (46)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011) View citations (47)
    PSE-Ecole d'économie de Paris (Postprint), HAL (2011) View citations (46)
    See also Journal Article Sectoral Phillips curves and the aggregate Phillips curve, Journal of Monetary Economics, Elsevier (2011) View citations (46) (2011)

2010

36. Moment Component Analysis: An Illustration with International Stock Markets
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
    See also Journal Article Moment Component Analysis: An Illustration With International Stock Markets, Journal of Business & Economic Statistics, Taylor & Francis Journals (2018) View citations (13) (2018)
37. Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2009

38. Aggregating Rational Expectations Models in the Presence of Unobserved Micro Heterogeneity
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)
39. Optimal Liquidation Strategies in Illiquid Markets
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2008

40. Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
41. Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity
    Post-Print, HAL View citations (31)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2007)
    Working papers, Banque de France (2006) View citations (5)
    Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne (2004) View citations (2)
    See also Journal Article Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-Country Heterogeneity, International Journal of Central Banking, International Journal of Central Banking (2008) View citations (35) (2008)
42. Testing Heterogeneity within the Euro Area
    Post-Print, HAL View citations (21)
    Also in Working papers, Banque de France (2007) View citations (2)
    See also Journal Article Testing heterogeneity within the euro area, Economics Letters, Elsevier (2008) View citations (28) (2008)

2007

43. Aggregating Phillips Curves
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (26)
    Also in 2006 Meeting Papers, Society for Economic Dynamics (2006)
    Working Paper Series, European Central Bank (2007) View citations (27)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations (27)
    Computing in Economics and Finance 2006, Society for Computational Economics (2006) View citations (4)

2006

44. The Economic Value of Distributional Timing
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (6)
45. The Impact of News on Higher Moments
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (3)

2005

46. Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (20)
47. Testing Heterogeneity within the Euro Area Using a Structural Multi-Country Model
    Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne View citations (4)

2004

48. ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the "New Phillips Curve")
    Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (2)
    Also in Working papers, Banque de France (2003) View citations (27)
    Econometrics, University Library of Munich, Germany (2003) View citations (15)
    Econometrics, University Library of Munich, Germany (2003) View citations (22)
49. Optimal Portfolio Allocation Under Higher Moments
    Working papers, Banque de France View citations (5)
    See also Journal Article Optimal Portfolio Allocation under Higher Moments, European Financial Management, European Financial Management Association (2006) View citations (168) (2006)
50. The Bank Bias: Segmentation of French Fund Families
    Working papers, Banque de France View citations (4)

2002

51. Asset Allocation in Transition Economies
    Working papers, Banque de France
    Also in Working Papers, HAL (2002)
52. Conditional Dependency of Financial Series: The Copula-GARCH Model
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (15)
53. The Allocation of Assets Under Higher Moments
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering

2001

54. Assessing GMM Estimates of the Federal Reserve Reaction Function
    Working papers, Banque de France View citations (20)
    Also in Econometrics, University Library of Munich, Germany (2001) View citations (12)
55. Conditional Dependency of Financial Series: An Application of Copulas
    Working Papers, HAL View citations (29)
    Also in Working papers, Banque de France (2001) View citations (30)
    HEC Research Papers Series, HEC Paris (2001) View citations (32)
56. Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis
    Working papers, Banque de France View citations (5)
    See also Journal Article Entropy densities with an application to autoregressive conditional skewness and kurtosis, Journal of Econometrics, Elsevier (2002) View citations (41) (2002)
57. Portfolio allocation in transition economies
    HEC Research Papers Series, HEC Paris
    Also in Working Papers, HAL (2001)
58. Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US Data
    Working papers, Banque de France View citations (42)
    Also in Macroeconomics, University Library of Munich, Germany (2001) View citations (33)
59. Testing for differences in the tails of stock-market returns
    HEC Research Papers Series, HEC Paris View citations (2)
    Also in Working Papers, HAL (2001) View citations (2)
    See also Journal Article Testing for differences in the tails of stock-market returns, Journal of Empirical Finance, Elsevier (2003) View citations (73) (2003)

2000

60. Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence
    HEC Research Papers Series, HEC Paris View citations (10)
    Also in Working Papers, HAL (2000) View citations (8)
    Working papers, Banque de France (2000) View citations (10)
61. Does Correlation between Stock Returns Really Increase during Turbulent Period?
    Working papers, Banque de France View citations (14)
    See also Journal Article Does Correlation Between Stock Returns Really Increase During Turbulent Periods?, Economic Notes, Banca Monte dei Paschi di Siena SpA (2001) View citations (53) (2001)
62. Entropy Densities
    Working Papers, HAL
    Also in HEC Research Papers Series, HEC Paris (2000) View citations (6)
63. Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies
    Working papers, Banque de France View citations (8)
    See also Journal Article Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies, Annals of Economics and Statistics, GENES (2002) View citations (7) (2002)

1999

64. Estimating Gram-Charlier Expansions with Positivity Constraints
    Working papers, Banque de France View citations (1)
65. Interest Rate Transmission and Volatility Transmission along the Yield Curve
    Working papers, Banque de France View citations (2)
66. La mesure du ratio rendement-risque a partir du marche des euro-devises
    Working papers, Banque de France
67. La modelisation de la volatilite des bourses asiatiques
    Working papers, Banque de France
68. Modelisation et prevision des indices de prix sectoriels
    Working papers, Banque de France View citations (3)
69. Modelling the French Swap Spread
    Working papers, Banque de France
70. The Information Content of the French and German Government Bond Tield Curves: Why Such Differences?
    Working papers, Banque de France View citations (1)
71. The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets
    Working papers, Banque de France View citations (3)
    Also in HEC Research Papers Series, HEC Paris (1999) View citations (19)

1998

72. Estimating Gram-Charlier Expansions Under Positivity Constraints
    Working Papers, HAL View citations (2)
73. La prevision des taux longs fran ais et allemands a partir d'un modele a anticipations rationnelles
    Working papers, Banque de France
74. Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates
    Working papers, Banque de France View citations (1)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1997) View citations (7)
    See also Journal Article Long‐run Causality, with an Application to International Links Between Long‐term Interest Rates, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (1999) View citations (2) (1999)
75. Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
76. Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election
    Working papers, Banque de France View citations (4)
    Also in Working Papers, HAL (1998) View citations (2)
77. Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral
    Working papers, Banque de France View citations (3)
78. Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
    Also in Working Papers, HAL (1997) View citations (3)
    See also Journal Article Reading the smile: the message conveyed by methods which infer risk neutral densities, Journal of International Money and Finance, Elsevier (2000) View citations (52) (2000)

1997

79. Effets volume, volatilit et transmissions internationales sur les march s boursiers dans le G5
    Working papers, Banque de France
80. Estimation et interprétation des densités neutres au risque: une comparaison de méthodes
    Working Papers, HAL View citations (3)
81. La th orie des anticipations de la structure par terme: test partir des titres publics fran ais
    Working papers, Banque de France View citations (1)
82. Le contenu en information de la pente des taux: application au cas des titres publics fran ais
    Working papers, Banque de France View citations (4)
    See also Journal Article Le contenu en information de la pente des taux: application au cas des titres publics français, Économie et Prévision, Programme National Persée (1999) View citations (2) (1999)
83. Repr sentation VAR et test de la th orie des anticipations de la structure par terme
    Working papers, Banque de France

1996

84. Test of persistent Causality with an Application of the Expectations Theory of the Term Structure
    Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1996)
85. The Expectation Theory: Tests on French, German, and American Euro-Rates
    Working papers, Banque de France View citations (4)

1995

86. Les marches boursiers dans le G5: effets volume et mesures de la volatilite
    Working Papers, Caisse des Depots et Consignations - Cahiers de recherche

1994

87. Modele de prevision et allocation d'actifs
    Working Papers, Caisse des Depots et Consignations - Cahiers de recherche

1993

88. Analyse des cours boursiers: une premiere approche
    Working Papers, Caisse des Depots et Consignations - Cahiers de recherche
89. Le modele de prevision mensuelle du prix des actifs financiers dans le G5: une analyse des proprietes
    Working Papers, Caisse des Depots et Consignations - Cahiers de recherche
90. Les politiques monetaires au sein du SME
    Working Papers, Caisse des Depots et Consignations - Cahiers de recherche View citations (1)
    See also Journal Article Les politiques monétaires au sein du SME, Économie et Prévision, Programme National Persée (1993) View citations (1) (1993)
91. Modelisation du prix des actifs financiers
    Working Papers, Caisse des Depots et Consignations - Cahiers de recherche View citations (1)
92. Politique monetaire et objectifs intermedieres aux Etats-Unis
    Working Papers, Caisse des Depots et Consignations - Cahiers de recherche
93. Retour sur les determinants fondamentaux des cours boursiers: une formulation a correction d'erreur
    Working Papers, Caisse des Depots et Consignations - Cahiers de recherche

1992

94. France-Allemagne: Asymetries et convergence
    Working Papers, Caisse des Depots et Consignations - Cahiers de recherche View citations (1)

Journal Articles

2023

1. Greening the Swiss National Bank’s Portfolio
   The Review of Corporate Finance Studies, 2023, 12, (4), 792-833
   See also Working Paper Greening the Swiss National Bank's Portfolio, Swiss Finance Institute Research Paper Series (2021) (2021)

2022

2. Bank capital shortfall in the euro area
   Journal of Financial Stability, 2022, 62, (C) View citations (1)
   See also Working Paper Bank capital shortfall in the euro area, Post-Print (2022) View citations (1) (2022)
3. Predicting the stressed expected loss of large U.S. banks
   Journal of Banking & Finance, 2022, 134, (C) View citations (2)

2021

4. When Are Stocks Less Volatile in the Long Run?
   Journal of Financial and Quantitative Analysis, 2021, 56, (4), 1228-1258
   See also Working Paper When Are Stocks Less Volatile in the Long Run?, Swiss Finance Institute Research Paper Series (2018) (2018)

2020

5. Skewness and index futures return
   Journal of Futures Markets, 2020, 40, (11), 1648-1664 View citations (5)

2019

6. Average skewness matters
   Journal of Financial Economics, 2019, 134, (1), 29-47 View citations (53)
   See also Working Paper Average Skewness Matters!, Swiss Finance Institute Research Paper Series (2015) (2015)
7. Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race
   Journal of Money, Credit and Banking, 2019, 51, (8), 2239-2291

2018

8. Moment Component Analysis: An Illustration With International Stock Markets
   Journal of Business & Economic Statistics, 2018, 36, (4), 576-598 View citations (13)
   See also Working Paper Moment Component Analysis: An Illustration with International Stock Markets, Swiss Finance Institute Research Paper Series (2010) View citations (1) (2010)

2017

9. Collateralization, leverage, and stressed expected loss
   Journal of Financial Stability, 2017, 33, (C), 226-243 View citations (2)
   See also Working Paper Collateralization, Leverage, and Stressed Expected Loss, Swiss Finance Institute Research Paper Series (2015) (2015)

2016

10. Asymmetry in tail dependence in equity portfolios
    Computational Statistics & Data Analysis, 2016, 100, (C), 351-368 View citations (15)
11. Book Review: Risk-Based and Factor Investing
    Bankers, Markets & Investors, 2016, (141), 3
12. Comment on "Exchange rate floor and central bank balance sheets: Simple spillover tests of the Swiss franc"
    Aussenwirtschaft, 2016, 67, (02), 49-50

2015

13. Estimating the price impact of trades in a high-frequency microstructure model with jumps
    Journal of Banking & Finance, 2015, 61, (S2), S205-S224 View citations (13)
    See also Working Paper Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps, Swiss Finance Institute Research Paper Series (2016) (2016)
14. Long-term Portfolio Allocation Based on Long-term Macro forecasts
    Bankers, Markets & Investors, 2015, (134), 62-69
15. Systemic Risk in Europe
    Review of Finance, 2015, 19, (1), 145-190 View citations (100)
    Also in Global Credit Review (GCR), 2013, 03, (01), 1-6 (2013)
    See also Chapter Systemic Risk in Europe, World Scientific Book Chapters, 2014, 1-6 (2014) View citations (15) (2014)
    Working Paper Systemic Risk in Europe, Swiss Finance Institute Research Paper Series (2012) View citations (13) (2012)
16. The dynamics of squared returns under contemporaneous aggregation of GARCH models
    Journal of Empirical Finance, 2015, 32, (C), 80-93 View citations (4)

2014

17. Estimating aggregate autoregressive processes when only macro data are available
    Economics Letters, 2014, 124, (3), 341-347 View citations (1)
    See also Working Paper Estimating Aggregate Autoregressive Processes When Only Macro Data are Available, Swiss Finance Institute Research Paper Series (2014) (2014)

2011

18. Sectoral Phillips curves and the aggregate Phillips curve
    Journal of Monetary Economics, 2011, 58, (4), 328-344 View citations (46)
    See also Working Paper Sectoral Phillips curves and the aggregate Phillips curve, Post-Print (2011) View citations (46) (2011)

2009

19. On the Importance of Time Variability in Higher Moments for Asset Allocation
    Journal of Financial Econometrics, 2009, 10, (1), 84-123
20. The Impact of Shocks on Higher Moments
    Journal of Financial Econometrics, 2009, 7, (2), 77-105 View citations (17)

2008

21. Examining bias in estimators of linear rational expectations models under misspecification
    Journal of Econometrics, 2008, 143, (2), 375-395 View citations (14)
22. Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-Country Heterogeneity
    International Journal of Central Banking, 2008, 4, (2), 23-72 View citations (35)
    See also Working Paper Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity, Post-Print (2008) View citations (31) (2008)
23. Testing heterogeneity within the euro area
    Economics Letters, 2008, 99, (1), 192-196 View citations (28)
    See also Working Paper Testing Heterogeneity within the Euro Area, Post-Print (2008) View citations (21) (2008)

2006

24. Optimal Portfolio Allocation under Higher Moments
    European Financial Management, 2006, 12, (1), 29-55 View citations (168)
    See also Working Paper Optimal Portfolio Allocation Under Higher Moments, Working papers (2004) View citations (5) (2004)
25. The Copula-GARCH model of conditional dependencies: An international stock market application
    Journal of International Money and Finance, 2006, 25, (5), 827-853 View citations (360)

2005

26. Testing for the New Keynesian Phillips Curve. Additional international evidence
    Economic Modelling, 2005, 22, (3), 521-550 View citations (75)

2004

27. Assessing Generalized Method-of-Moments Estimates of the Federal Reserve Reaction Function
    Journal of Business & Economic Statistics, 2004, 22, 225-239 View citations (34)
28. Gestion institutionnelle et volatilité des marchés financiers
    Revue d'Économie Financière, 2004, 74, (1), 157-175 View citations (1)

2003

29. Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements
    Journal of Economic Dynamics and Control, 2003, 27, (10), 1699-1737 View citations (234)
30. Testing for differences in the tails of stock-market returns
    Journal of Empirical Finance, 2003, 10, (5), 559-581 View citations (73)
    See also Working Paper Testing for differences in the tails of stock-market returns, HEC Research Papers Series (2001) View citations (2) (2001)
31. User's guide
    Journal of Economic Dynamics and Control, 2003, 27, (10), 1739-1742 View citations (2)

2002

32. Entropy densities with an application to autoregressive conditional skewness and kurtosis
    Journal of Econometrics, 2002, 106, (1), 119-142 View citations (41)
    See also Working Paper Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis, Working papers (2001) View citations (5) (2001)
33. Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies
    Annals of Economics and Statistics, 2002, (67-68), 357-388 View citations (7)
    See also Working Paper Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies, Working papers (2000) View citations (8) (2000)

2001

34. Does Correlation Between Stock Returns Really Increase During Turbulent Periods?
    Economic Notes, 2001, 30, (1), 53-80 View citations (53)
    See also Working Paper Does Correlation between Stock Returns Really Increase during Turbulent Period?, Working papers (2000) View citations (14) (2000)
35. Gram-Charlier densities
    Journal of Economic Dynamics and Control, 2001, 25, (10), 1457-1483 View citations (86)
36. La théorie des anticipations de la structure par terme permet-elle de rendre compte de l'évolution des taux d'intérêt sur euro-devise ?
    Annals of Economics and Statistics, 2001, (62), 139-174 View citations (4)
37. Reading PIBOR futures options smiles: The 1997 snap election
    Journal of Banking & Finance, 2001, 25, (11), 1957-1987 View citations (19)

2000

38. Reading the smile: the message conveyed by methods which infer risk neutral densities
    Journal of International Money and Finance, 2000, 19, (6), 885-915 View citations (52)
    See also Working Paper Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities, CEPR Discussion Papers (1998) View citations (5) (1998)

1999

39. Causalité de long terme et amélioration de la prévision: application aux courbes de taux d'intérêt
    Annals of Economics and Statistics, 1999, (54), 23-45
40. Forecasting French and German long-term rates using a rational expectations model
    Review of World Economics (Weltwirtschaftliches Archiv), 1999, 135, (3), 413-436 View citations (3)
41. Le contenu en information de la pente des taux: application au cas des titres publics français
    Économie et Prévision, 1999, 140, (4), 1-20 View citations (2)
    See also Working Paper Le contenu en information de la pente des taux: application au cas des titres publics fran ais, Working papers (1997) View citations (4) (1997)
42. Long‐run Causality, with an Application to International Links Between Long‐term Interest Rates
    Oxford Bulletin of Economics and Statistics, 1999, 61, (4), 545-568 View citations (2)
    See also Working Paper Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates, Working papers (1998) View citations (1) (1998)
43. The expectations hypothesis of the term structure: tests on US, German, French, and UK Euro-rates
    Journal of International Money and Finance, 1999, 18, (5), 725-750 View citations (47)

1998

44. La théorie des anticipations de la structure par terme: test à partir de titres publics français
    Annals of Economics and Statistics, 1998, (52), 1-22

1996

45. La stabilité de la fonction de demande de monnaie aux Etats-Unis
    Revue Économique, 1996, 47, (5), 1121-1148
46. Les modèles monétaires de taux de change: un examen empirique
    Économie et Prévision, 1996, 123, (2), 53-65

1993

47. Les politiques monétaires au sein du SME
    Économie et Prévision, 1993, 109, (3), 57-74 View citations (1)
    See also Working Paper Les politiques monetaires au sein du SME, Working Papers (1993) View citations (1) (1993)

1992

48. La gestion optimale des finances publiques en présence de coûts d'ajustement
    Économie et Prévision, 1992, 104, (3), 19-38
49. La soutenabilité de la politique budgétaire
    Économie et Prévision, 1992, 104, (3), 1-17 View citations (8)

1990

50. La substitution entre capital et travail: une évaluation sur données d'entreprises
    Économie et Statistique, 1990, 237, (1), 135-142 View citations (4)

Chapters

2014

1. Systemic Risk in Europe
   Chapter 1 in Global Credit Review, 2014, pp 1-6 View citations (15)
   See also Working Paper Systemic Risk in Europe, Swiss Finance Institute (2012) View citations (13) (2012)
   Journal Article Systemic Risk in Europe, European Finance Association (2015) View citations (100) (2015)