Professeurs et Recherche

Enseignements

master Empirical Methods in Finance
Formation concernée
Maîtrise universitaire ès Sciences en finance

master Quantitative Asset and Risk Management
Formation concernée
Maîtrise universitaire ès Sciences en finance

Assistants

	Nataliya Gerasimova nataliya.gerasimova@unil.ch Tél: (021 692) 3399 Bureau: 243 page personnelle			Amir Khalilzadeh akhalilz@unil.ch Tél: (021 692) 3359 Bureau: 253 page personnelle

	Aurélien Sieber aurelien.sieber@unil.ch

Publications

55 dernières publications classées par: type de publication - année

: Revue avec comité de lecture

Articles

	Jondeau E., Jurczenko E. ; Rockinger M. (in press). Moment Component Analysis: An Illustration with International Stock Markets. Journal of Business and Economic Statistics.

	Engle R., Jondeau E. ; Rockinger M. (2015). Systemic Risk in Europe. Review of Finance, 19, 145-190.

	Jondeau E., Lahaye J. ; Rockinger M. (2015). Estimating the price impact of trades in a high-frequency microstructure model with jumps. Journal of Banking and Finance, 61, S205–S224.

	Jondeau E. , Rockinger M. (2015). Long-term Portfolio Allocation Based on Long-term Macro Forecasts. Bankers, Markets & Investors, 62-69.

	Jondeau E. , Rockinger M. (2013). Systemic Risk in Europe. Global Credit Review, 3, 1-6.

	Jondeau E. , Rockinger M. (2012). On the Importance of Time Variability in Higher Moments for Asset Allocation. Journal of Financial Econometrics, 10, 84-123.

	Imbs J., Jondeau E. ; Pelgrin F. (2011). Sectoral Phillips Curves and the Aggregate Phillips Curve. Journal of Monetary Economics, 58, 328-344.

	Jondeau E. , Rockinger M. (2009). The Impact of Shocks on Higher Moments. Journal of Financial Econometrics, 7, 77-105.

	Jondeau E. , Le Bihan H. (2008). Examining Bias in Estimators of Linear Rational Expectations Models under Misspecification. Journal of Econometrics, 143, 375 - 395.

	Jondeau E. , Sahuc J.-G. (2008). Testing Heterogeneity within the Euro Area. Economics Letters, 99, 192-196.

	Jondeau E. , Sahuc J.-G. (2008). Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity. International journal of central banking / Bank of Canada, 4, 23-72.

	Jondeau E. , Rockinger M. (2006). The Copula-GARCH Model of Conditional Dependencies: An International Stock Market Application. Journal of International Money and Finance, 25, 827-853.

	Jondeau E. , Rockinger M. (2006). Optimal Portfolio Allocation Under Higher Moments. European Financial Management, 12, 29-55.

	Jondeau E. , Le Bihan H. (2005). Testing for the New Keynesian Phillips Curve. Additional international evidence. Economic Modelling, 22, 521-550.

	Jondeau E., Le Bihan H. ; Gallès C. (2004). Assessing Generalized Method of Moments Estimates of the Federal Reserve Reaction Function. Journal of Business and Economic Statistics, 22, 225-239.

	Jondeau E. , Rockinger M. (2003). Testing for Differences in the Tails of Stock-Market Returns. Journal of Empirical Finance, 10, 559-581.

	Jondeau E. , Rockinger M. (2003). User's Guide. Journal of Economic Dynamics and Control, 27, 1739-1742.

	Jondeau E. , Rockinger M. (2003). Conditional Volatility, Skewness, and Kurtosis: Existence, Persistence, and Comovements. Journal of Economic Dynamics and Control, 27, 1699-1737.

	Rockinger M. , Jondeau E. (2003). How Higher Moments affect the allocation of assets. Finance Letters, 1, 1-5.

	Jondeau E. , Le Bihan H. (2002). Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies. Annales d'Economie et de Statistique / Annals of Economics and Statistics, 361-393.

	Jondeau E. , Rockinger M. (2002). Entropy Densities with an Application to Autoregressive Conditional Skewness and Kurtosis. Journal of Econometrics, 106, 119-142.

	Chesnay F. , Jondeau E. (2001). Does Correlation Between Stock Returns Really Increase During Turbulent Periods?. Economic Notes, 30, 53-80.

	Coutant S., Jondeau E. ; Rockinger M. (2001). Reading PIBOR futures options smiles: The 1997 snap election. Journal of Banking and Finance, 25, 1957-1987.

	Jondeau E. (2001). La théorie des anticipations permet-elle de rendre compte de l'évolution des taux d'intérêt sur euro-devise ?. Annales d'Economie et de Statistique / Annals of Economics and Statistics, 139-174.

	Jondeau E. , Rockinger M. (2001). Gram-Charlier Densities. Journal of Economic Dynamics and Control, 25, 1457-1483.

	Jondeau E. (2000). La mesure du ratio rendement-risque à partir du marché des euro-devises. Finance, 21, 35-59.

	Jondeau E. , Rockinger M. (2000). Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral Densities. Journal of International Money and Finance, 19, 885-915.

	Bruneau C. , Jondeau E. (1999). Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates. Oxford Bulletin of Economics and Statistics, 61, 545-568.

	Bruneau C. , Jondeau E. (1999). Causalité de long terme et amélioration de la prévision : Application aux courbes de taux d'intérêt. Annales d'Economie et de Statistique / Annals of Economics and Statistics, 23-45.

	Jondeau E. , Ricart R. (1999). The expectations hypothesis of the term structure: tests on US, German, French, and UK Euro-rates. Journal of International Money and Finance, 18, 725-750.

	Jondeau E. , Ricart R. (1999). Le contenu en information de la pente des taux : Application au cas des titres publics français. Economie et Prévision, 140-141, 1-20.

	Jondeau E. , Rockinger M. (1999). Comparaison de méthodes d'extraction d'information à partir d'options de change : le cas du Franc-Deutschemark. Finance, 20, 23-60.

	Jondeau E. , Sédillot F. (1999). Forecasting French and German Long-Term Rates Using a Rational Expectations Model. Weltwirtschaftliches Archiv, 135, 413-436.

	Jondeau E. (1998). Représentation VAR et test de la théorie des anticipations de la structure par terme. Journal de la Societe de Statistique de Paris, 139, 49-71.

	Jondeau E. , Ricart R. (1998). La théorie des anticipations de la structure par terme : Test à partir des titres publics français. Annales d'Economie et de Statistique / Annals of Economics and Statistics, 1-22.

	Jondeau E. (1997). Allocation d'actifs et prévision de rendements. Finance, 18, 67-81.

	Jondeau E. (1996). Les modèles monétaires de taux de change : un examen empirique. Economie et Prévision, 123-124, 53-65.

	Jondeau E. , Villermain-Lécolier N. (1996). La stabilité de la fonction de demande de monnaie aux États-Unis. Revue Economique, 47, 1121-1148.

	Jacq P., Jondeau E. ; Sédillot F. (1993). Les politiques monétaires au sein du SME. Economie et Prévision, 109, 57-74.

	Jondeau E. (1992). La soutenabilité de la politique budgétaire. Economie et Prévision, 104, 1-17.

	Loué J.-F. , Jondeau E. (1992). La gestion optimale des finances publiques en présence de coûts d'ajustement. Economie et Prévision, 104, 19-38.

	Girardot D. , Jondeau E. (1990). La substituabilité entre capital et travail : une évaluation sur données d'entreprises. Économie et Statistique, 237, 135-142.

Livres

	Jondeau E., Poon S.-H. ; Rockinger M. (2007). Financial Modeling Under Non-Gaussian Distributions. Springer Verlag London, London, UK.

Parties de livre

	Jondeau E. , Rockinger M. (2006). Modelling the Dynamics of Conditional Dependency Between Financial Series. Multi-moment Asset Allocation and Pricing Models (pp. 195-221). Wiley, Chichester, UK.

Actes de conférence (partie)

	Jondeau E. , Rockinger M. (2005, Jan). Conditional Asset Allocation under Non-Normality: How Costly Is the Mean-Variance Criterion?. European Finance Association Meeting.

Rapports

	Jondeau E. , Pelgrin F. (2009). Aggregating Rational Expectations Models In the Presence of Unobserved Micro Heterogeneity. Swiss Finance Institute.

	Jondeau E. (2008). Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias. Swiss Finance Institute.

	Imbs J., Jondeau E. ; Pelgrin F. (2007). Aggregating Phillips Curves. CEPR - Centre for Economic Policy Research.

	Jondeau E., Perilla A. ; Rockinger M. (2007). Optimal Liquidation Strategies in Illiquid Markets. Swiss Finance Institute.

	Jondeau E. , Rockinger M. (2006). The Economic Value of Distributional Timing. Swiss Finance Institute.

	Jondeau E. , Rockinger M. (2006). Time-Variability in Higher Moments Is Important for Asset Allocation. Swiss Finance Institute.

	Jondeau E. , Rockinger M. (2004). The Bank Bias: Segmentation of French Fund Families. Banque de France.

Thèses

	Zhang Q., Jondeau E. (Dir.) (2014). Essays in higher moment asset pricing and liquidity risk. Université de Lausanne, Faculté des hautes études commerciales.

	Kurmann M., Jondeau E. (Dir.) (2012). Coskewness risk, correlation risk and jump risk : predictability, pricing and optimum portfolio allocation. Université de Lausanne, Faculté des hautes études commerciales.

	Vulkán L. N., Jondeau E. (Dir.) (2009). Structural macro factors and the affine term structure of interest rates. Université de Lausanne, Faculté des hautes études commerciales.

Mots-clés

finance empirique
finances (2)
gestion du risque (3)
marchés boursiers
méthodes numériques en finance

Eric Jondeau

Coordonnées

Liens