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Details about Eric Jondeau

E-mail:
Homepage:http://www.hec.unil.ch/ejondeau/
Postal address:Extranef 232 Institute of Banking and 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 2020-02-20. Update your information in the RePEc Author Service.

Short-id: pjo225


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Working Papers

2019

  1. Crude Awakening: Oil Prices and Bond Returns
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
  2. ESG Investing: From Sin Stocks to Smart Beta
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads

2018

  1. A General Equilibrium Appraisal of Capital Shortfall
    Working papers, Banque de France Downloads
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2018) Downloads
  2. Measuring the Capital Shortfall of Large U.S. Banks
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
  3. Strategic Interaction between Hedge Funds and Prime Brokers
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
  4. When Are Stocks Less Volatile in the Long Run?
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads

2017

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

2016

  1. Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    See also Journal Article in Journal of Banking & Finance (2015)
  2. Forecasting Financial Returns with a Structural Macroeconomic Model
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (1)

2015

  1. Average Skewness Matters!
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    See also Journal Article in Journal of Financial Economics (2019)
  2. Collateralization, Leverage, and Stressed Expected Loss
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    See also Journal Article in Journal of Financial Stability (2017)

2014

  1. Asymmetric Beta Comovement and Systematic Downside Risk
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
  2. Estimating Aggregate Autoregressive Processes When Only Macro Data are Available
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    See also Journal Article in Economics Letters (2014)
  3. Optimal Long-Term Allocation with Pension Fund Liabilities
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads

2013

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

2012

  1. Systemic Risk in Europe
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    See also Chapter (2014)
    Journal Article in Review of Finance (2015)

2011

  1. Sectoral Phillips curves and the aggregate Phillips curve
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (13)
    See also Journal Article in Journal of Monetary Economics (2011)

2010

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

2009

  1. Aggregating Rational Expectations Models in the Presence of Unobserved Micro Heterogeneity
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (1)
  2. Optimal Liquidation Strategies in Illiquid Markets
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads

2008

  1. Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads

2007

  1. Aggregating Phillips Curves
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (7)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2007) Downloads View citations (3)
    2006 Meeting Papers, Society for Economic Dynamics (2006)
    Computing in Economics and Finance 2006, Society for Computational Economics (2006) View citations (4)
    Working Paper Series, European Central Bank (2007) Downloads View citations (20)
  2. Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-Country Heterogeneity
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    Also in Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne (2004) Downloads
    Working papers, Banque de France (2006) Downloads View citations (4)

    See also Journal Article in International Journal of Central Banking (2008)
  3. Testing heterogeneity within the euro area
    Working papers, Banque de France Downloads View citations (1)
    See also Journal Article in Economics Letters (2008)

2006

  1. The Economic Value of Distributional Timing
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (3)
  2. The Impact of News on Higher Moments
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (2)

2005

  1. 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 Downloads View citations (6)
  2. 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 Downloads View citations (1)

2004

  1. 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) Downloads View citations (12)
    Econometrics, University Library of Munich, Germany (2003) Downloads View citations (6)
    Econometrics, University Library of Munich, Germany (2003) Downloads View citations (9)
  2. Optimal Portfolio Allocation Under Higher Moments
    Working papers, Banque de France Downloads View citations (3)
    See also Journal Article in European Financial Management (2006)
  3. The Bank Bias: Segmentation of French Fund Families
    Working papers, Banque de France Downloads

2002

  1. Asset Allocation in Transition Economies
    Working papers, Banque de France Downloads
    Also in Working Papers, HAL (2002)
  2. Conditional Dependency of Financial Series: The Copula-GARCH Model
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads View citations (7)
  3. The Allocation of Assets Under Higher Moments
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads

2001

  1. Assessing GMM Estimates of the Federal Reserve Reaction Function
    Working papers, Banque de France Downloads View citations (14)
    Also in Econometrics, University Library of Munich, Germany (2001) Downloads View citations (8)
  2. Conditional Dependency of Financial Series: An Application of Copulas
    Working Papers, HAL View citations (10)
    Also in HEC Research Papers Series, HEC Paris (2001) Downloads View citations (24)
    Working papers, Banque de France (2001) Downloads View citations (24)
  3. Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis
    Working papers, Banque de France Downloads View citations (5)
    See also Journal Article in Journal of Econometrics (2002)
  4. Portfolio allocation in transition economies
    Working Papers, HAL
    Also in HEC Research Papers Series, HEC Paris (2001) Downloads
  5. Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US Data
    Working papers, Banque de France Downloads View citations (19)
    Also in Macroeconomics, University Library of Munich, Germany (2001) Downloads View citations (19)
  6. Testing for differences in the tails of stock-market returns
    Working Papers, HAL View citations (1)
    Also in HEC Research Papers Series, HEC Paris (2001) Downloads View citations (2)

    See also Journal Article in Journal of Empirical Finance (2003)

2000

  1. Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence
    HEC Research Papers Series, HEC Paris Downloads View citations (5)
    Also in Working Papers, HAL (2000)
    Working papers, Banque de France (2000) Downloads View citations (8)
  2. Does Correlation between Stock Returns Really Increase during Turbulent Period?
    Working papers, Banque de France Downloads View citations (10)
    See also Journal Article in Economic Notes (2001)
  3. Entropy Densities
    Working Papers, HAL
    Also in HEC Research Papers Series, HEC Paris (2000) Downloads View citations (6)
  4. Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies
    Working papers, Banque de France Downloads View citations (5)
    See also Journal Article in Annals of Economics and Statistics (2002)

1999

  1. Estimating Gram-Charlier Expansions with Positivity Constraints
    Working papers, Banque de France Downloads
  2. Interest Rate Transmission and Volatility Transmission along the Yield Curve
    Working papers, Banque de France Downloads View citations (1)
  3. La mesure du ratio rendement-risque a partir du marche des euro-devises
    Working papers, Banque de France Downloads
  4. La modelisation de la volatilite des bourses asiatiques
    Working papers, Banque de France Downloads
  5. Modelisation et prevision des indices de prix sectoriels
    Working papers, Banque de France Downloads View citations (3)
  6. Modelling the French Swap Spread
    Working papers, Banque de France Downloads
  7. The Information Content of the French and German Government Bond Tield Curves: Why Such Differences?
    Working papers, Banque de France Downloads View citations (1)
  8. The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets
    Working papers, Banque de France Downloads View citations (2)
    Also in HEC Research Papers Series, HEC Paris (1999) Downloads View citations (15)

1998

  1. Estimating Gram-Charlier Expansions Under Positivity Constraints
    Working Papers, HAL
  2. La prevision des taux longs français et allemands a partir d'un modele a anticipations rationnelles
    Working papers, Banque de France Downloads
  3. Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates
    Working papers, Banque de France Downloads 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 in Oxford Bulletin of Economics and Statistics (1999)
  4. Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
  5. Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election
    Working Papers, HAL
    Also in Working papers, Banque de France (1998) Downloads View citations (2)
  6. Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral
    Working papers, Banque de France Downloads View citations (3)
  7. Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    Also in Working Papers, HAL (1997)

    See also Journal Article in Journal of International Money and Finance (2000)

1997

  1. Effets “volume”, volatilité et transmissions internationales sur les marchés boursiers dans le G5
    Working papers, Banque de France Downloads
  2. Estimation et interprétation des densités neutres au risque: une comparaison de méthodes
    Working Papers, HAL
  3. La théorie des anticipations de la structure par terme: test à partir des titres publics français
    Working papers, Banque de France Downloads View citations (1)
    See also Journal Article in Annals of Economics and Statistics (1998)
  4. Le contenu en information de la pente des taux: application au cas des titres publics français
    Working papers, Banque de France Downloads View citations (3)
    See also Journal Article in Économie et Prévision (1999)
  5. Représentation VAR et test de la théorie des anticipations de la structure par terme
    Working papers, Banque de France Downloads

1996

  1. 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)
  2. The Expectation Theory: Tests on French, German, and American Euro-Rates
    Working papers, Banque de France Downloads View citations (4)

1995

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

1994

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

1993

  1. Analyse des cours boursiers: une premiere approche
    Working Papers, Caisse des Depots et Consignations - Cahiers de recherche
  2. 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
  3. Les politiques monetaires au sein du SME
    Working Papers, Caisse des Depots et Consignations - Cahiers de recherche View citations (1)
    See also Journal Article in Économie et Prévision (1993)
  4. Modelisation du prix des actifs financiers
    Working Papers, Caisse des Depots et Consignations - Cahiers de recherche View citations (1)
  5. Politique monetaire et objectifs intermedieres aux Etats-Unis
    Working Papers, Caisse des Depots et Consignations - Cahiers de recherche
  6. 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

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

Journal Articles

2019

  1. Average skewness matters
    Journal of Financial Economics, 2019, 134, (1), 29-47 Downloads
    See also Working Paper (2015)
  2. Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race
    Journal of Money, Credit and Banking, 2019, 51, (8), 2239-2291 Downloads

2018

  1. Moment Component Analysis: An Illustration With International Stock Markets
    Journal of Business & Economic Statistics, 2018, 36, (4), 576-598 Downloads
    See also Working Paper (2010)

2017

  1. Collateralization, leverage, and stressed expected loss
    Journal of Financial Stability, 2017, 33, (C), 226-243 Downloads
    See also Working Paper (2015)

2016

  1. Asymmetry in tail dependence in equity portfolios
    Computational Statistics & Data Analysis, 2016, 100, (C), 351-368 Downloads View citations (4)
  2. Book Review: Risk-Based and Factor Investing
    Bankers, Markets & Investors, 2016, (141), 3 Downloads
  3. Comment on "Exchange rate floor and central bank balance sheets: Simple spillover tests of the Swiss franc"
    Aussenwirtschaft, 2016, 67, (02), 49-50 Downloads

2015

  1. Estimating the price impact of trades in a high-frequency microstructure model with jumps
    Journal of Banking & Finance, 2015, 61, (S2), S205-S224 Downloads View citations (9)
    See also Working Paper (2016)
  2. Long-term Portfolio Allocation Based on Long-term Macro forecasts
    Bankers, Markets & Investors, 2015, (134), 62-69 Downloads
  3. Systemic Risk in Europe
    Review of Finance, 2015, 19, (1), 145-190 Downloads View citations (29)
    Also in Global Credit Review (GCR), 2013, 03, (01), 1-6 (2013) Downloads

    See also Chapter (2014)
    Working Paper (2012)
  4. The dynamics of squared returns under contemporaneous aggregation of GARCH models
    Journal of Empirical Finance, 2015, 32, (C), 80-93 Downloads View citations (2)

2014

  1. Estimating aggregate autoregressive processes when only macro data are available
    Economics Letters, 2014, 124, (3), 341-347 Downloads View citations (1)
    See also Working Paper (2014)

2011

  1. Sectoral Phillips curves and the aggregate Phillips curve
    Journal of Monetary Economics, 2011, 58, (4), 328-344 Downloads View citations (15)
    See also Working Paper (2011)

2009

  1. On the Importance of Time Variability in Higher Moments for Asset Allocation
    Journal of Financial Econometrics, 2009, 10, (1), 84-123 Downloads
  2. The Impact of Shocks on Higher Moments
    Journal of Financial Econometrics, 2009, 7, (2), 77-105 Downloads View citations (12)

2008

  1. Examining bias in estimators of linear rational expectations models under misspecification
    Journal of Econometrics, 2008, 143, (2), 375-395 Downloads View citations (13)
  2. 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 Downloads View citations (33)
    See also Working Paper (2007)
  3. Testing heterogeneity within the euro area
    Economics Letters, 2008, 99, (1), 192-196 Downloads View citations (21)
    See also Working Paper (2007)

2006

  1. Optimal Portfolio Allocation under Higher Moments
    European Financial Management, 2006, 12, (1), 29-55 Downloads View citations (98)
    See also Working Paper (2004)
  2. The Copula-GARCH model of conditional dependencies: An international stock market application
    Journal of International Money and Finance, 2006, 25, (5), 827-853 Downloads View citations (236)

2005

  1. Testing for the New Keynesian Phillips Curve. Additional international evidence
    Economic Modelling, 2005, 22, (3), 521-550 Downloads View citations (58)

2004

  1. Assessing Generalized Method-of-Moments Estimates of the Federal Reserve Reaction Function
    Journal of Business & Economic Statistics, 2004, 22, 225-239 Downloads View citations (29)
  2. Gestion institutionnelle et volatilité des marchés financiers
    Revue d'Économie Financière, 2004, 74, (1), 157-175 Downloads View citations (1)

2003

  1. Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements
    Journal of Economic Dynamics and Control, 2003, 27, (10), 1699-1737 Downloads View citations (147)
  2. Testing for differences in the tails of stock-market returns
    Journal of Empirical Finance, 2003, 10, (5), 559-581 Downloads View citations (56)
    See also Working Paper (2001)
  3. User's guide
    Journal of Economic Dynamics and Control, 2003, 27, (10), 1739-1742 Downloads View citations (2)

2002

  1. Entropy densities with an application to autoregressive conditional skewness and kurtosis
    Journal of Econometrics, 2002, 106, (1), 119-142 Downloads View citations (31)
    See also Working Paper (2001)
  2. 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 Downloads View citations (1)
    See also Working Paper (2000)

2001

  1. Does Correlation Between Stock Returns Really Increase During Turbulent Periods?
    Economic Notes, 2001, 30, (1), 53-80 Downloads View citations (21)
    See also Working Paper (2000)
  2. Gram-Charlier densities
    Journal of Economic Dynamics and Control, 2001, 25, (10), 1457-1483 Downloads View citations (76)
  3. 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 Downloads
  4. Reading PIBOR futures options smiles: The 1997 snap election
    Journal of Banking & Finance, 2001, 25, (11), 1957-1987 Downloads View citations (14)

2000

  1. Reading the smile: the message conveyed by methods which infer risk neutral densities
    Journal of International Money and Finance, 2000, 19, (6), 885-915 Downloads View citations (41)
    See also Working Paper (1998)

1999

  1. 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 Downloads
  2. Forecasting French and German long-term rates using a rational expectations model
    Review of World Economics (Weltwirtschaftliches Archiv), 1999, 135, (3), 413-436 Downloads View citations (1)
  3. Le contenu en information de la pente des taux: application au cas des titres publics français
    Économie et Prévision, 1999, 140, (4), 1-20 Downloads View citations (2)
    See also Working Paper (1997)
  4. Long-Run Causality, with an Application to International Links between Long-Term Interest Rates
    Oxford Bulletin of Economics and Statistics, 1999, 61, (4), 545-68 Downloads View citations (15)
    See also Working Paper (1998)
  5. 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 Downloads View citations (41)

1998

  1. 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 Downloads
    See also Working Paper (1997)

1996

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

1993

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

1992

  1. La gestion optimale des finances publiques en présence de coûts d'ajustement
    Économie et Prévision, 1992, 104, (3), 19-38 Downloads
  2. La soutenabilité de la politique budgétaire
    Économie et Prévision, 1992, 104, (3), 1-17 Downloads View citations (7)

1990

  1. La substitution entre capital et travail: une évaluation sur données d'entreprises
    Économie et Statistique, 1990, 237, (1), 135-142 Downloads View citations (3)

Chapters

2014

  1. Systemic Risk in Europe
    Chapter 1 in Global Credit Review, 2014, pp 1-6 Downloads View citations (6)
    See also Working Paper (2012)
    Journal Article in Review of Finance (2015)
 
Page updated 2020-03-29