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Eric Jondeau

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68 publications

2021 | 2020 | 2019 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | 1997 | 1996 | 1993 | 1992 | 1990 |

2021

When are Stocks Less Volatile in the Long Run?

Jondeau Eric, Zhang Qunzi, Zhu Xiaoneng, 2021/06. Journal of Financial and Quantitative Analysis, 56 (4) pp. 1228 - 1258.

[URN][DOI][serval:BIB_21A3D761DFAC]

2020

The Case for Reopening Economies by Sectors

Bonardi Jean-Philippe, Bris Arturo, Brülhart Marius, Danthine Jean-Pierre, Jondeau Eric, Rohner Dominic, Thoenig Mathias, 2020/05/19. Harvard Business Review.

[serval:BIB_99050B6C157D]

2019

Periodic or Generational Actuarial Tables: Which One to Choose?

Arnold S., Jijiie A., Jondeau E., Rockinger M., 2019/12/31. European Actuarial Journal, 9 (2) pp. 519-554. Peer-reviewed.

[DOI][serval:BIB_5EE4D9189F02]

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

Jondeau E., Rockinger M., 2019/12. Journal of Money, Credit, and Banking, 51 (8) pp. 2239-2291. Peer-reviewed.

[DOI][serval:BIB_CA675FAB9C48]

Average skewness matters

Jondeau E., Zhang Q., Zhu X., 2019/03. Journal of Financial Economics. Peer-reviewed.

[DOI][serval:BIB_59E28DC9DA06]

Le modèle de mortalité CMI - Partie 1: La solution pour les caisses de pensions suisses?

Arnold Séverine, Rockinger Michael, Jondeau Eric, Jijiie Anca-Stefania, 2019. Prévoyance Professionnelle Suisse 5 pp. 107-112.

[serval:BIB_4166B0F50C17]

Le modèle de mortalité CMI - Partie 2: La solution pour les caisses de pensions suisses?

Arnold Séverine, Rockinger Michael, Jondeau Eric, Jijiie Anca-Stefania, 2019. Prévoyance Professionnelle Suisse 6 pp. 94-101.

[serval:BIB_0C2007B28370]

2017

Collateralization, leverage, and stressed expected loss

Jondeau E., Khalilzadeh A., 2017/02. Journal of Financial Stability pp. 1-18. Peer-reviewed.

[DOI][serval:BIB_F0E822A77CC9]

Do Higher Realized Moments Predict Cross-sectional Returns? The Case of France

Jondeau E., Rockinger M., 2017., HEC Lausanne.

[serval:BIB_049AEBDFCD4B]

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

Jondeau E., Rockinger M., 2017. 53, Swiss Finance Institute.

[serval:BIB_8F7B53E72580]

2016

Asymmetry in tail dependence in equity portfolios

Jondeau E., 2016/08. Computational Statistics & Data Analysis, 100 pp. 351-368. Peer-reviewed.

[DOI][WoS][serval:BIB_6196E8393271]

Moment Component Analysis: An Illustration with International Stock Markets

Jondeau E., Jurczenko E., Rockinger M., 2016. Journal of Business and Economic Statistics pp. 1-23. Peer-reviewed.

[DOI][serval:BIB_162DD5AAA610]

2015

The dynamics of squared returns under contemporaneous aggregation of GARCH models

Jondeau E., 2015/06. Journal of Empirical Finance, 32 pp. 80-93. Peer-reviewed.

[DOI][WoS][serval:BIB_E986D81F3E28]

Backtesting Longevity Models: An International Perspective

Jondeau E., Rockinger M., 2015., Cronos Finance.

[serval:BIB_CC017C7E8D13]

Estimating the price impact of trades in a high-frequency microstructure model with jumps

Jondeau E., Lahaye J., Rockinger M., 2015. Journal of Banking and Finance, 61 (Supplement 2) pp. S205–S224. Peer-reviewed.

[DOI][WoS][serval:BIB_CED4ACF7AC38]

Long-term Portfolio Allocation Based on Long-term Macro Forecasts

Jondeau E., Rockinger M., 2015. Bankers, Markets & Investors 134 pp. 62-69.

[serval:BIB_B63100E862AF]

Systemic Risk in Europe

Engle R., Jondeau E., Rockinger M., 2015. Review of Finance, 19 (1) pp. 145-190. Peer-reviewed.

[DOI][WoS][serval:BIB_9DED68C0E821]

2014

Estimating aggregate autoregressive processes when only macro data are available

Jondeau E., Pelgrin F., 2014/09. Economics Letters, 124 (3) pp. 341-347. Peer-reviewed.

[DOI][WoS][serval:BIB_48210CB4FB8A]

Optimal Long-Term Allocation for a Defined-Contributions Pension Fund

Jondeau E., Rockinger M., 2014., HEC Lausanne.

[serval:BIB_64757FE6599D]

2013

Systemic Risk in Europe

Jondeau E., Rockinger M., 2013. Global Credit Review, 3 (1) pp. 1-6. Peer-reviewed.

[DOI][serval:BIB_4E7D629ECBAE]

2012

On the Importance of Time Variability in Higher Moments for Asset Allocation

Jondeau E., Rockinger M., 2012. Journal of Financial Econometrics, 10 (1) pp. 84-123. Peer-reviewed.

[DOI][WoS][serval:BIB_B3406FAB48D6]

2011

Sectoral Phillips Curves and the Aggregate Phillips Curve

Imbs J., Jondeau E., Pelgrin F., 2011/05. Journal of Monetary Economics, 58 (4) pp. 328-344. Peer-reviewed.

[DOI][WoS][serval:BIB_711B27209AF8]

2010

Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty

Jondeau E., Rockinger M., 2010., Swiss Finance Institute.

[serval:BIB_88424D0904B8]

2009

Aggregating Rational Expectations Models In the Presence of Unobserved Micro Heterogeneity

Jondeau E., Pelgrin F., 2009/08. (09-30) Research Paper, Swiss Finance Institute.

[serval:BIB_1A3588A321E1]

The Impact of Shocks on Higher Moments

Jondeau E., Rockinger M., 2009. Journal of Financial Econometrics, 7 (2) pp. 77-105. Peer-reviewed.

[DOI][WoS][serval:BIB_C8D3DDBA3CA7]

2008

Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias

Jondeau E., 2008. (08-06) Research Paper, Swiss Finance Institute.

[serval:BIB_27EAE14A781A]

Examining Bias in Estimators of Linear Rational Expectations Models under Misspecification

Jondeau E., Le Bihan H., 2008. Journal of Econometrics, 143 (2) pp. 375 - 395. Peer-reviewed.

[DOI][WoS][serval:BIB_6D6792F8442F]

Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity

Jondeau E., Sahuc J.-G., 2008. International journal of central banking / Bank of Canada, 4 (2) pp. 23-72. Peer-reviewed.

[WoS][serval:BIB_70ABB62C6C84]

Testing Heterogeneity within the Euro Area

Jondeau E., Sahuc J.-G., 2008. Economics Letters, 99 (1) pp. 192-196. Peer-reviewed.

[DOI][WoS][serval:BIB_372FD0161E6D]

2007

Aggregating Phillips Curves

Imbs J., Jondeau E., Pelgrin F., 2007/03. (6184) Discussion Paper, CEPR - Centre for Economic Policy Research.

[serval:BIB_D127D539DCE7]

Financial Modeling Under Non-Gaussian Distributions

Jondeau E., Poon S.-H., Rockinger M., 2007. Springer Finance 541, Springer Verlag London.

[DOI][serval:BIB_F41F2FB652A0]

Optimal Liquidation Strategies in Illiquid Markets

Jondeau E., Perilla A., Rockinger M., 2007. (09-24) Research Paper, Swiss Finance Institute.

[serval:BIB_4841E4F5BC52]

2006

The Economic Value of Distributional Timing

Jondeau E., Rockinger M., 2006/11. (06-35) Research Paper, Swiss Finance Institute.

[serval:BIB_0B6D8DDE1F1E]

Time-Variability in Higher Moments Is Important for Asset Allocation

Jondeau E., Rockinger M., 2006/11. (06-35) Research Paper, Swiss Finance Institute.

[serval:BIB_0F74294BD91E]

The Copula-GARCH Model of Conditional Dependencies: An International Stock Market Application

Jondeau E., Rockinger M., 2006/08. Journal of International Money and Finance, 25 (5) pp. 827-853. Peer-reviewed.

[DOI][WoS][serval:BIB_7A8D160D322B]

Modelling the Dynamics of Conditional Dependency Between Financial Series

Jondeau E., Rockinger M., 2006. pp. 195-221 dans Jurczenko E., Maillet B. (eds.) Multi-moment Asset Allocation and Pricing Models chap. 8, Wiley.

[DOI][serval:BIB_4A2654A0627E]

Optimal Portfolio Allocation Under Higher Moments

Jondeau E., Rockinger M., 2006/01. European Financial Management, 12 (1) pp. 29-55. Peer-reviewed.

[DOI][WoS][serval:BIB_C1AFE85BD94C]

2005

Conditional Asset Allocation under Non-Normality: How Costly Is the Mean-Variance Criterion?

Jondeau E., Rockinger M., 2005. dans European Finance Association Meeting.

[DOI][serval:BIB_006511406CE9]

Testing for the New Keynesian Phillips Curve. Additional international evidence

Jondeau E., Le Bihan H., 2005. Economic Modelling, 22 (3) pp. 521-550. Peer-reviewed.

[DOI][WoS][serval:BIB_F0D2CEC2D137]

2004

Assessing Generalized Method of Moments Estimates of the Federal Reserve Reaction Function

Jondeau E., Le Bihan H., Gallès C., 2004. Journal of Business and Economic Statistics, 22 (2) pp. 225-239. Peer-reviewed.

[DOI][WoS][serval:BIB_E33165CBBA59]

The Bank Bias: Segmentation of French Fund Families

Jondeau E., Rockinger M., 2004. (107) Working Paper, Banque de France.

[serval:BIB_0666BC92E49B]

2003

Conditional Volatility, Skewness, and Kurtosis: Existence, Persistence, and Comovements

Jondeau E., Rockinger M., 2003/08. Journal of Economic Dynamics and Control, 27 (10) pp. 1699-1737. Peer-reviewed.

[DOI][WoS][serval:BIB_4E1D2CB5ABC1]

How Higher Moments affect the allocation of assets

Rockinger M., Jondeau E., 2003. Finance Letters, 1 (2) pp. 1-5. Peer-reviewed.

[serval:BIB_F00F853898DE]

Testing for Differences in the Tails of Stock-Market Returns

Jondeau E., Rockinger M., 2003. Journal of Empirical Finance, 10 (5) pp. 559-581. Peer-reviewed.

[DOI][serval:BIB_9C241DC55A56]

User's Guide

Jondeau E., Rockinger M., 2003. Journal of Economic Dynamics and Control, 27 (10) pp. 1739-1742. Peer-reviewed.

[DOI][serval:BIB_9B2847EF9386]

2002

Entropy Densities with an Application to Autoregressive Conditional Skewness and Kurtosis

Jondeau E., Rockinger M., 2002/01. Journal of Econometrics, 106 (1) pp. 119-142. Peer-reviewed.

[DOI][serval:BIB_0CCC00C94BA1]

Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies

Jondeau E., Le Bihan H., 2002. Annales d'Economie et de Statistique / Annals of Economics and Statistics 67/68 pp. 361-393. Peer-reviewed.

[DOI][serval:BIB_3AEC18F3AE40]

2001

Does Correlation Between Stock Returns Really Increase During Turbulent Periods?

Chesnay F., Jondeau E., 2001. Economic Notes, 30 (1) pp. 53-80. Peer-reviewed.

[DOI][serval:BIB_14D591F10290]

Gram-Charlier Densities

Jondeau E., Rockinger M., 2001. Journal of Economic Dynamics and Control, 25 (10) pp. 1457-1483. Peer-reviewed.

[DOI][WoS][serval:BIB_2F2004420977]

La théorie des anticipations permet-elle de rendre compte de l'évolution des taux d'intérêt sur euro-devise ?

Jondeau E., 2001. Annales d'Economie et de Statistique / Annals of Economics and Statistics 62 pp. 139-174. Peer-reviewed.

[DOI][serval:BIB_DD2D6B8D2669]

Reading PIBOR futures options smiles: The 1997 snap election

Coutant S., Jondeau E., Rockinger M., 2001. Journal of Banking and Finance, 25 (11) pp. 1957-1987. Peer-reviewed.

[DOI][WoS][serval:BIB_A064D8A20BF5]

2000

La mesure du ratio rendement-risque à partir du marché des euro-devises

Jondeau E., 2000. Finance, 21 (1) pp. 35-59.

[serval:BIB_5A2FCABE1839]

Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral Densities

Jondeau E., Rockinger M., 2000. Journal of International Money and Finance, 19 (6) pp. 885-915. Peer-reviewed.

[DOI][WoS][serval:BIB_1ECEE571EFFA]

1999

Causalité de long terme et amélioration de la prévision : Application aux courbes de taux d'intérêt

Bruneau C., Jondeau E., 1999. Annales d'Economie et de Statistique / Annals of Economics and Statistics 54 pp. 23-45. Peer-reviewed.

[DOI][serval:BIB_EBADC2CEB4CD]

Comparaison de méthodes d'extraction d'information à partir d'options de change : le cas du Franc-Deutschemark

Jondeau E., Rockinger M., 1999. Finance, 20 (1) pp. 23-60. Peer-reviewed.

[serval:BIB_B267EE714B8A]

Forecasting French and German Long-Term Rates Using a Rational Expectations Model

Jondeau E., Sédillot F., 1999. Weltwirtschaftliches Archiv, 135 (3) pp. 413-436. Peer-reviewed.

[DOI][WoS][serval:BIB_8BA44AC455AF]

Le contenu en information de la pente des taux : Application au cas des titres publics français

Jondeau E., Ricart R., 1999. Economie et Prévision, 140-141 (4/5) pp. 1-20. Peer-reviewed.

[serval:BIB_F8E63E473133]

Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates

Bruneau C., Jondeau E., 1999. Oxford Bulletin of Economics and Statistics, 61 (4) pp. 545-568. Peer-reviewed.

[DOI][WoS][serval:BIB_95E32984F8E6]

The expectations hypothesis of the term structure: tests on US, German, French, and UK Euro-rates

Jondeau E., Ricart R., 1999. Journal of International Money and Finance, 18 (5) pp. 725-750. Peer-reviewed.

[DOI][WoS][serval:BIB_8B2B54779574]

1998

La théorie des anticipations de la structure par terme : Test à partir des titres publics français

Jondeau E., Ricart R., 1998. Annales d'Economie et de Statistique / Annals of Economics and Statistics 52 pp. 1-22. Peer-reviewed.

[DOI][serval:BIB_F8374347C523]

Représentation VAR et test de la théorie des anticipations de la structure par terme

Jondeau E., 1998. Journal de la Societe de Statistique de Paris, 139 (1) pp. 49-71. Peer-reviewed.

[serval:BIB_F72A4D676DDC]

1997

Allocation d'actifs et prévision de rendements

Jondeau E., 1997. Finance, 18 (2) pp. 67-81. Peer-reviewed.

[serval:BIB_46AF4A41DFD8]

1996

La stabilité de la fonction de demande de monnaie aux États-Unis

Jondeau E., Villermain-Lécolier N., 1996. Revue Economique, 47 (5) pp. 1121-1148. Peer-reviewed.

[DOI][serval:BIB_0FF320B272DF]

Les modèles monétaires de taux de change : un examen empirique

Jondeau E., 1996. Economie et Prévision, 123-124 (2/3) pp. 53-65. Peer-reviewed.

[serval:BIB_22D459FA6569]

1993

Les politiques monétaires au sein du SME

Jacq P., Jondeau E., Sédillot F., 1993. Economie et Prévision, 109 (3) pp. 57-74. Peer-reviewed.

[serval:BIB_1E1685C01FAB]

1992

La gestion optimale des finances publiques en présence de coûts d'ajustement

Loué J.-F., Jondeau E. , 1992. Economie et Prévision, 104 (3) pp. 19-38. Peer-reviewed.

[serval:BIB_2A88EBF93E37]

La soutenabilité de la politique budgétaire

Jondeau E., 1992. Economie et Prévision, 104 (3) pp. 1-17. Peer-reviewed.

[serval:BIB_1A7F8D2C5C06]

1990

La substituabilité entre capital et travail : une évaluation sur données d'entreprises

Girardot D., Jondeau E. , 1990. Économie et Statistique, 237 (1) pp. 135-142. Peer-reviewed.

[serval:BIB_46C599F23DDC]

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