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Eric Jondeau

Contact

Full Professor
Department of Finance


Contact
Eric.Jondeau@unil.ch
Extranef, room 232
Tel 021.692.33.49

Postal address
Université de Lausanne
Quartier UNIL-Chamberonne
Bâtiment Extranef
1015 Lausanne

Teaching

master Empirical Methods in Finance
Related programmes
Master of Science (MSc) in Finance : Financial Entrepreneurship and Data Science
Master of Science (MSc) in Finance, Orientation Asset and Risk Management
Master of Science (MSc) in Finance, Orientation Corporate Finance
master Quantitative Asset and Risk Management
Related programmes
Master of Science (MSc) in Finance : Financial Entrepreneurship and Data Science
Master of Science (MSc) in Finance, Orientation Asset and Risk Management
Master of Science (MSc) in Finance, Orientation Corporate Finance

Assistants

Oksana Bashchenko
oksana.bashchenko@unil.ch



full description
  Nataliya Gerasimova
nataliya.gerasimova@unil.ch
Tel: (021 692) 3399
Room: 243

full description
 
Alexandre Pauli
alexandre.pauli@unil.ch



full description
 

Publications

60 last publications ordered by: publication type  -  year

: Peer Reviewed

Articles

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


Jondeau E. , Khalilzadeh A. (2017). Collateralization, leverage, and stressed expected loss. Journal of Financial Stability. Peer Reviewed


Jondeau E. (2016). Asymmetry in tail dependence in equity portfolios. Computational Statistics & Data Analysis, 100, 351-368. Peer Reviewed


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


Jondeau E. (2015). The dynamics of squared returns under contemporaneous aggregation of GARCH models. Journal of Empirical Finance, 32, 80-93. Peer Reviewed


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. Peer Reviewed


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


Jondeau E. , Pelgrin F. (2014). Estimating aggregate autoregressive processes when only macro data are available. Economics Letters, 124, 341-347. Peer Reviewed


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


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


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


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


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


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. Peer Reviewed


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


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. Peer Reviewed


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


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


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. Peer Reviewed


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


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


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


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


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. Peer Reviewed


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


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


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


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. Peer Reviewed


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


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. Peer Reviewed


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. Peer Reviewed


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. Peer Reviewed


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. Peer Reviewed


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. Peer Reviewed


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. Peer Reviewed


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


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. Peer Reviewed


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. Peer Reviewed


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


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


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


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


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


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


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


Books

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


Book Sections

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.


In Proceedings

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


Technical Reports

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.


Thesis

Gerasimova Nataliya, JONDEAU Eric (Dir.) (2017). THREE ESSAYS ON DELEGATED PORTFOLIO MANAGEMENT. Université de Lausanne, Faculté des hautes études commerciales.


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.


Keywords

  • empirical finance
  • finance (6)
  • numerical methods in finance
  • risk management (4)
  • stock exchange markets

 
 
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