Eric Jondeau : Citation Profile


Are you Eric Jondeau?

Université de Lausanne (50% share)
Swiss Finance Institute (50% share)

19

H index

25

i10 index

1155

Citations

RESEARCH PRODUCTION:

43

Articles

98

Papers

1

Chapters

RESEARCH ACTIVITY:

   28 years (1990 - 2018). See details.
   Cites by year: 41
   Journals where Eric Jondeau has often published
   Relations with other researchers
   Recent citing documents: 163.    Total self citations: 24 (2.04 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pjo225
   Updated: 2019-04-20    RAS profile: 2019-04-10    
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Relations with other researchers


Works with:

Sahuc, Jean-Guillaume (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Eric Jondeau.

Is cited by:

Perote, Javier (21)

Sentana, Enrique (12)

Ñíguez Grau, Trino (10)

Brière, Marie (8)

Mora-Valencia, Andrés (8)

Kerstens, Kristiaan (8)

Nguyen, Duc Khuong (8)

Rockinger, Michael (7)

Siklos, Pierre (7)

Al-Sadoon, Majid (7)

Rossi, Eduardo (7)

Cites to:

Campbell, John (107)

Shiller, Robert (63)

Engle, Robert (41)

Bollerslev, Tim (39)

Harvey, Campbell (36)

Svensson, Lars (34)

Rudebusch, Glenn (24)

Gertler, Mark (24)

Mishkin, Frederic (23)

Fuhrer, Jeffrey (23)

Granger, Clive (22)

Main data


Where Eric Jondeau has published?


Journals with more than one article published# docs
conomie et Prvision5
Annals of Economics and Statistics4
Journal of Economic Dynamics and Control3
Journal of International Money and Finance3
Journal of Financial Econometrics2
Economics Letters2
Journal of Banking & Finance2
Journal of Econometrics2
Journal of Empirical Finance2
Bankers, Markets & Investors2

Working Papers Series with more than one paper published# docs
Swiss Finance Institute Research Paper Series / Swiss Finance Institute20
Working Papers / HAL10
FAME Research Paper Series / International Center for Financial Asset Management and Engineering3
Econometrics / University Library of Munich, Germany3
Documents de recherche / Centre d'tudes des Politiques conomiques (EPEE), Universit d'Evry Val d'Essonne2
THEMA Working Papers / THEMA (THorie Economique, Modlisation et Applications), Universit de Cergy-Pontoise2
Post-Print / HAL2

Recent works citing Eric Jondeau (2018 and 2017)


YearTitle of citing document
2017A Non-Structural Investigation of VIX Risk Neutral Density. (2017). Violante, Francesco ; Santucci de Magistris, Paolo ; Barletta, Andrea. In: CREATES Research Papers. RePEc:aah:create:2017-15.

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2018Diffusion Copulas: Identification and Estimation. (2018). Kristensen, Dennis ; Hadri, Kaddour ; Bu, Ruijun. In: CREATES Research Papers. RePEc:aah:create:2018-20.

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2017An analysis of the interdependence between cash crop and staple food futures prices. (2017). Heckelei, Thomas ; Grosche, Stephanie-Carolin ; Mamoun, EL. In: Discussion Papers. RePEc:ags:ubfred:265665.

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2017Dynamic Quantile Function Models. (2017). Ye, Wilson ; Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W. In: Papers. RePEc:arx:papers:1707.02587.

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2017Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece. (2017). Papaioannou, Panagiotis G ; Dikaiakos, Christos ; Stratigakos, Akylas ; Siettos, Kostas . In: Papers. RePEc:arx:papers:1708.07063.

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2019A Term Structure Model for Dividends and Interest Rates. (2018). Filipovi, Damir ; Willems, Sander. In: Papers. RePEc:arx:papers:1803.02249.

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2018Conditional heteroskedasticity in crypto-asset returns. (2018). Shaw, Charles. In: Papers. RePEc:arx:papers:1804.07978.

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2018Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Method of Moments Estimators. (2018). Lee, Seojeong. In: Papers. RePEc:arx:papers:1806.01450.

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2019Conditional Density Estimation with Neural Networks: Best Practices and Benchmarks. (2019). Ulrich, Maxim ; Walther, Simon ; Ferreira, Fabio ; Rothfuss, Jonas. In: Papers. RePEc:arx:papers:1903.00954.

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2018Fiscal Policy and Macroeconomic Fluctuations in a Fixed Exchange Rate Regime. (2018). Lai, Chung-Fu. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2018:p:1257-1273.

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2017Volatility as an Alternative asset Class: Does It Improve Portfolio Performance?. (2017). Guidolin, Massimo ; Caloiero, Elvira. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1763.

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2017Portfolio Optimization Using Multivariate t-Copulas with Conditionally Skewed Margins. (2017). Shekhar, Chirag ; Trede, Mark. In: Review of Economics & Finance. RePEc:bap:journl:170303.

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2018Monetary Policy and Long-Run Systemic Risk-Taking. (2018). Colletaz, Gilbert ; Popescu, Alexandra ; Levieuge, Gregory. In: Working papers. RePEc:bfr:banfra:694.

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2017Diversification into Emerging Markets – An Australian and the US Perspective Using a Time-varying Approach. (2017). Gupta, Rakesh ; Jithendranathan, Thadavillil ; Yang, Junhao . In: Australian Economic Papers. RePEc:bla:ausecp:v:56:y:2017:i:2:p:134-162.

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2018Portfolio Diversification Strategy Via Tail‐Dependence Clustering and ARMA‐GARCH Vine Copula Approach. (2018). Ji, Hao ; Liseo, Brunero ; Wang, Hao. In: Australian Economic Papers. RePEc:bla:ausecp:v:57:y:2018:i:3:p:265-283.

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2017The Role of the Conditional Skewness and Kurtosis in VIX Index Valuation. (2017). Lalancette, Simon ; Simonato, Jeana Guy. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:2:p:325-354.

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2017A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach. (2017). Siu, Tak Kuen ; Lu, Zudi ; Tong, Howell ; Wong, Shiu Fung ; Wilson, Granville Tunnicliffe ; Rao, Tata Subba . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:2:p:243-265.

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2017How Has the Behavior of Cross-Market Correlations Altered During Financial and Debt Crises?. (2017). demiralay, sercan ; Ulusoy, Veysel. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:6:p:765-794.

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2017Monetary Policy Implementation and Volatility Transmission Along the Yield Curve: The Case of Kenya. (2017). Alper, C. Emre ; Yang, Fan ; Morales, Armando R. In: South African Journal of Economics. RePEc:bla:sajeco:v:85:y:2017:i:3:p:455-478.

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2018The sparse method of simulated quantiles: An application to portfolio optimization. (2018). Stolfi, Paola ; Petrella, Lea ; Bernardi, Mauro. In: Statistica Neerlandica. RePEc:bla:stanee:v:72:y:2018:i:3:p:375-398.

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2017The information content in the offshore Renminbi foreign-exchange option market : Analytics and implied USD/CNH densities. (2017). Funke, Michael ; Tsang, Andrew ; Loermann, Julius . In: BOFIT Discussion Papers. RePEc:bof:bofitp:2017_015.

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2017Uncertainty across volatility regimes. (2017). Fanelli, Luca ; Caggiano, Giovanni ; Bacchiocchi, Emanuele ; Angelini, Giovanni. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_035.

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2018Testing the systemic risk differences in banks. (2018). Jokivuolle, Esa ; Vioto, Davide ; Tunaru, Radu. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_013.

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2017(Why) Do Central Banks Care About Their Profits?. (2017). Schmalz, Martin ; Ioannidou, Vasso ; Goncharov, Igor . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6546.

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2017Uncertainty Across Volatility Regimes. (2017). Fanelli, Luca ; Caggiano, Giovanni ; Bacchiocchi, Emanuele ; Angelini, Giovanni. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6799.

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2018Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2018_1802.

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2017Measuring firm size distribution with semi-nonparametric densities. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:015300.

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2017Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina ; Cortes, Lina M. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:015923.

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2019Firm size and concentration inequality: A flexible extension of Gibrat’s law. (2019). Perote, Javier ; Lozada, Juan M ; Cortes, Lina . In: Documentos de Trabajo CIEF. RePEc:col:000122:017205.

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2018Consistent non-Gaussian pseudo maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12682.

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2017Forecasting Market Risk of Portfolios: Copula-Markov Switching Multifractal Approach. (2017). Segnon, Mawuli ; Trede, Mark. In: CQE Working Papers. RePEc:cqe:wpaper:6617.

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2017Parallel Bayesian Inference for High Dimensional Dynamic Factor Copulas. (2017). san Miguel, Pedro Galeano ; Nguyen, Hoang ; Ausin, Maria Concepcion. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24552.

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2018Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions. (2018). Geraci, Marco Valerio ; Gnabo, Jean-Yves. In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:53:y:2018:i:03:p:1371-1390_00.

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2017Bank-based versus market-based financing: implications for systemic risk. (2017). Houben, Aerdt ; Bats, Joost. In: DNB Working Papers. RePEc:dnb:dnbwpp:577.

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2018Personality and Risk Aversion. (2018). Desmoulins-Lebeault, Franois ; Meunier, Luc ; Gajewski, Jean-Franois. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00614.

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2017The Gap Effect on the Brazilian Exchange. (2017). Ceretta, Paulo Sergio ; Da costa, Alexandre Silva . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00734.

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2017Statistical Arbitrage Pairs Trading with High-frequency Data. (2017). Stubinger, Johannes ; Bredthauer, Jens. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-04-76.

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2018Monetary policy and long-run systemic risk-taking. (2018). LEVIEUGE, Gregory ; Popescu, Alexandra ; Colletaz, Gilbert. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:165-184.

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2019Cojumps and asset allocation in international equity markets. (2019). Arouri, Mohamed ; Pukthuanthong, Kuntara ; Nguyen, Duc Khuong ; Msaddek, Oussama. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:98:y:2019:i:c:p:1-22.

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2018A note on potential one-way policy instruments in cointegrated VAR systems. (2018). Kurita, Takamitsu. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:58:y:2018:i:c:p:55-59.

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2017Co-movement of ASEAN stock markets: New evidence from wavelet and VMD-based copula tests. (2017). Jiang, Yonghong ; Monginsidi, Joe Yohanes ; Nie, HE. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:384-398.

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2017Can asymmetric conditional volatility imply asymmetric tail dependence?. (2017). Kim, Jong-Min ; Jung, Hojin. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:409-418.

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2017An intertemporal CAPM with higher-order moments. (2017). Jang, Jeewon ; Kang, Jangkoo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:314-337.

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2017Moments expansion densities for quantifying financial risk. (2017). Perote, Javier ; Iguez, Trino-Manuel . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:53-69.

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2019Extreme dependence and risk spillovers across north american equity markets. (2019). Warshaw, Evan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:237-251.

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2018A tale of two risks in the EMU sovereign debt markets. (2018). Sensoy, Ahmet ; Akyildirim, Erdinc ; Nguyen, Duc Khuong. In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:102-106.

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2018Sectoral inflation and the Phillips curve: What has changed since the Great Recession?. (2018). Sheremirov, Viacheslav ; Rao, Nikhil ; Luengo-Prado, Maria Jose . In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:63-68.

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2017Identification of additive and polynomial models of mismeasured regressors without instruments. (2017). Lewbel, Arthur ; D'Haultfoeuille, Xavier ; Ben-Moshe, Dan ; Dhaultfuille, Xavier . In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:2:p:207-222.

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2018Approximating expected shortfall for heavy-tailed distributions. (2018). Broda, Simon A ; Paolella, Marc S ; Krause, Jochen . In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:184-203.

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2019Testing subspace Granger causality. (2019). Al-Sadoon, Majid M. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:42-61.

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2017The kidnapping of Europe: High-order moments transmission between developed and emerging markets. (2017). Perote, Javier ; Mora-Valencia, Andrés ; del Brio, Esther B. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:96-115.

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2017Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach. (2017). Shahzad, Syed Jawad Hussain ; Mensi, walid ; Zeitun, Rami ; Hammoudeh, Shawkat ; Hussain, Syed Jawad ; Ur, Mobeen. In: Emerging Markets Review. RePEc:eee:ememar:v:32:y:2017:i:c:p:130-147.

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2017Heavy tails and asymmetry of returns in the Russian stock market. (2017). Ankudinov, Andrei ; Ibragimov, Rustam ; Lebedev, Oleg . In: Emerging Markets Review. RePEc:eee:ememar:v:32:y:2017:i:c:p:200-219.

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2018“On the (Ab)use of Omega?”. (2018). Caporin, Massimiliano ; Maillet, Bertrand ; Jannin, Gregory ; Costola, Michele. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:11-33.

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2018The “Cubic Law of the Stock Returns” in emerging markets. (2018). Gu, Zhiye ; Ibragimov, Rustam. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:182-190.

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2018Crash risk and risk neutral densities. (2018). Chen, Ren-Raw ; Huang, Jeffrey ; Hsieh, Pei-Lin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:162-189.

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2018Portfolio optimisation under flexible dynamic dependence modelling. (2018). Bernardi, Mauro ; Catania, Leopoldo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:1-18.

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2017Generating options-implied probability densities to understand oil market events. (2017). Datta, Deepa Dhume ; Ross, Landon J ; Londono, Juan M. In: Energy Economics. RePEc:eee:eneeco:v:64:y:2017:i:c:p:440-457.

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2018The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method. (2018). Li, Xiafei ; Wei, YU. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:565-581.

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2018The contagion effect in European sovereign debt markets: A regime-switching vine copula approach. (2018). BenSaïda, Ahmed ; Bensaida, Ahmed. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:153-165.

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2018Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries. (2018). Yang, Lu ; Hamori, Shigeyuki. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:19-34.

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2017Dynamic robust portfolio selection with copulas. (2017). Han, Yingwei ; Xia, Yong ; Li, Ping. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:190-200.

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2018Pricing short-dated foreign equity options with a bivariate jump-diffusion model with correlated fat-tailed jumps. (2018). Ulyah, Siti Maghfirotul ; Miao, Daniel Wei-Chung ; Lin, Xenos Chang-Shuo. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:113-128.

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2017Permanent price impact asymmetry of trades with institutional constraints. (2017). Chiyachantana, Chiraphol ; Sharma, Vivek ; Jiang, Christine ; Jain, Pankaj K. In: Journal of Financial Markets. RePEc:eee:finmar:v:36:y:2017:i:c:p:1-16.

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2017Firm size, ownership structure, and systematic liquidity risk: The case of an emerging market. (2017). Sensoy, Ahmet. In: Journal of Financial Stability. RePEc:eee:finsta:v:31:y:2017:i:c:p:62-80.

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2018Performance ranking (dis)similarities in commodity markets. (2018). Zhang, Hanxiong ; Vortelinos, Dimitrios I ; Auer, Benjamin R. In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:115-137.

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2017Foreign aid and domestic absorption. (2017). Van de Sijpe, Nicolas ; Temple, Jonathan. In: Journal of International Economics. RePEc:eee:inecon:v:108:y:2017:i:c:p:431-443.

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2017An empirical comparison of transformed diffusion models for VIX and VIX futures. (2017). JAWADI, Fredj ; Bu, Ruijun ; Li, Yuyi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:46:y:2017:i:c:p:116-127.

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2018Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be?. (2018). Aristeidis, Samitas ; Elias, Kampouris. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:263-286.

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2018A new GARCH model with higher moments for stock return predictability. (2018). Narayan, Paresh Kumar ; Liu, Ruipeng. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:93-103.

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2017Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching. (2017). Fuertes, Ana-Maria ; Kalotychou, Elena ; Fei, Fei . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:662-678.

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2019Measuring connectedness of euro area sovereign risk. (2019). Schienle, Melanie ; Buse, Rebekka. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:25-44.

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2017Systemic interconnectedness among Asian Banks. (2017). Premaratne, Gamini ; Mensah, Jones Odei. In: Japan and the World Economy. RePEc:eee:japwor:v:41:y:2017:i:c:p:17-33.

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2017One-sided performance measures under Gram-Charlier distributions. (2017). Moreno, Manuel ; Leon, Angel . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:74:y:2017:i:c:p:38-50.

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2017An evaluation of bank measures for market risk before, during and after the financial crisis. (2017). Brien, James O ; Szersze, Pawe J ; Obrien, James . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:80:y:2017:i:c:p:215-234.

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2018Value at risk and expected shortfall based on Gram-Charlier-like expansions. (2018). Zoia, Maria ; Nicolussi, Federica ; Biffi, Paola . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:93:y:2018:i:c:p:92-104.

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2019A non-structural investigation of VIX risk neutral density. (2019). Santucci de Magistris, Paolo ; Violante, Francesco ; Barletta, Andrea. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:1-20.

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2017Do investors trade too much? A laboratory experiment. (2017). Massaro, Domenico ; Hommes, Cars ; Challet, Damien ; Bouchaud, Jean-Philippe ; da Gama, Joo. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:140:y:2017:i:c:p:18-34.

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2018Why do some banks contribute more to global systemic risk?. (2018). Bostandzic, Denefa . In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:35:y:2018:i:pa:p:17-40.

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2018The reality of stock market jumps diversification. (2018). Chen, KE ; Poon, Ser-Huang ; Hyde, Stuart ; Vitiello, Luiz . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:171-188.

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2017Global banking and the conduct of macroprudential policy in a monetary union. (2017). Vermandel, Gauthier ; Poutineau, Jean-Christophe. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:54:y:2017:i:pb:p:306-331.

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2018Single-index copulas. (2018). Fermanian, Jean-David ; Lopez, Olivier. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:165:y:2018:i:c:p:27-55.

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2017The quest for optimal monetary policy rules in India. (2017). Khundrakpam, Jeevan ; Gangadaran, Sivaramakrishnan ; Patra, Michael Debabrata. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:39:y:2017:i:2:p:349-370.

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2017Conditional dependence between international stock markets: A long memory GARCH-copula model approach. (2017). Mokni, Khaled ; Mansouri, Faysal. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:42-43:y:2017:i::p:116-131.

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2017Co-movement measure of information transmission on international equity markets. (2017). Bhatti, Ishaq M ; al Rahahleh, Naseem. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:470:y:2017:i:c:p:119-131.

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2017Measuring firm size distribution with semi-nonparametric densities. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina ; Cortes, Lina M. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:485:y:2017:i:c:p:35-47.

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2017Modeling stochastic frontier based on vine copulas. (2017). Tabak, Benjamin ; da Costa, Reginaldo Brito ; Candido, Osvaldo ; Constantino, Michel. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:486:y:2017:i:c:p:595-609.

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2017Strategic fiscal policies and leadership in a monetary union. (2017). Mavrodimitrakis, Christos ; Chortareas, Georgios. In: European Journal of Political Economy. RePEc:eee:poleco:v:47:y:2017:i:c:p:133-147.

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2017Dependence structure and portfolio risk in Indian foreign exchange market: A GARCH-EVT-Copula approach. (2017). Karmakar, Madhusudan . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:64:y:2017:i:c:p:275-291.

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2018Quantile dependence between the stock, bond and foreign exchange markets – Evidence from the UK. (2018). Raza, Hamid ; Wu, Weiou. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:286-296.

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2018Extreme co-movements and dependencies among major international exchange rates: A copula approach. (2018). Tiwari, Aviral ; Albulescu, Claudiu ; Goyeau, Daniel ; Aubin, Christian. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:56-69.

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2018The dependence structure between Chinese and other major stock markets using extreme values and copulas. (2018). Hussain, Saiful Izzuan ; Li, Steven. In: International Review of Economics & Finance. RePEc:eee:reveco:v:56:y:2018:i:c:p:421-437.

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2018Dynamic hedging performance and downside risk: Evidence from Nikkei index futures. (2018). Ubukata, Masato. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:270-281.

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2017An integrated macro-financial risk-based approach to the stressed capital requirement. (2017). Liu, Xiaochun. In: Review of Financial Economics. RePEc:eee:revfin:v:34:y:2017:i:c:p:86-98.

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2017Sanctions and the Russian stock market. (2017). Ankudinov, Andrei ; Lebedev, Oleg ; Ibragimov, Rustam. In: Research in International Business and Finance. RePEc:eee:riibaf:v:40:y:2017:i:c:p:150-162.

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2017Dependence patterns among Asian banking sector stocks: A copula approach. (2017). Premaratne, Gamini ; Mensah, Jones Odei. In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:516-546.

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2017Examining dynamic currency linkages amongst South Asian economies: An empirical study. (2017). Diesting, Florent ; Sehgal, Sanjay ; Pandey, Piyush. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:173-190.

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2018Dependence patterns among Asian banking sector stocks: A copula approach. (2018). Premaratne, Gamini ; Mensah, Jones Odei. In: Research in International Business and Finance. RePEc:eee:riibaf:v:45:y:2018:i:c:p:357-388.

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2018The determinants of cross-border portfolio equity flows: new evidence from emerging markets. (2018). Alderighi, Stefano ; Varanasi, Padmasai ; Cleary, Siobhan. In: Economics Discussion Papers. RePEc:esx:essedp:23310.

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2018The Return of the European Wage Phillips Curve. (2018). Orlandi, Fabrice ; Thum-Thysen, Anna ; Roeger, Werner. In: European Economy - Discussion Papers 2015 -. RePEc:euf:dispap:085.

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More than 100 citations found, this list is not complete...

Works by Eric Jondeau:


YearTitleTypeCited
1998La théorie des anticipations de la structure par terme : test à partir de titres publics français In: Annals of Economics and Statistics.
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article2
1997La théorie des anticipations de la structure par terme : test à partir des titres publics français..(1997) In: Working papers.
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paper
1999Causalité de long terme et amélioration de la prévision : application aux courbes de taux dintérêt In: Annals of Economics and Statistics.
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article0
2001La théorie des anticipations de la structure par terme permet-elle de rendre compte de lévolution des taux dintérêt sur euro-devise ? In: Annals of Economics and Statistics.
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article0
2002Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies In: Annals of Economics and Statistics.
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article6
2000Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies..(2000) In: Working papers.
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This paper has another version. Agregated cites: 6
paper
2004Assessing Generalized Method-of-Moments Estimates of the Federal Reserve Reaction Function In: Journal of Business & Economic Statistics.
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article26
2003ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the New Phillips Curve) In: Working papers.
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paper19
2004ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the New Phillips Curve).(2004) In: Econometric Society 2004 North American Summer Meetings.
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paper
2003ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the New Phillips Curve).(2003) In: Econometrics.
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This paper has another version. Agregated cites: 19
paper
2003ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the New Phillips Curve).(2003) In: Econometrics.
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This paper has another version. Agregated cites: 19
paper
2004The Bank Bias: Segmentation of French Fund Families In: Working papers.
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paper0
2004Optimal Portfolio Allocation Under Higher Moments In: Working papers.
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paper93
2006Optimal Portfolio Allocation under Higher Moments.(2006) In: European Financial Management.
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This paper has another version. Agregated cites: 93
article
2006Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity. In: Working papers.
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paper34
2004Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity.(2004) In: Documents de recherche.
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This paper has another version. Agregated cites: 34
paper
2008Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity.(2008) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 34
paper
2008Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-Country Heterogeneity.(2008) In: International Journal of Central Banking.
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This paper has another version. Agregated cites: 34
article
2007Testing heterogeneity within the euro area. In: Working papers.
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paper22
2008Testing heterogeneity within the euro area.(2008) In: Economics Letters.
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This paper has another version. Agregated cites: 22
article
2008Testing Heterogeneity within the Euro Area.(2008) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 22
paper
1996The Expectation Theory: Tests on French, German, and American Euro-Rates. In: Working papers.
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paper2
1997Effets “volume”, volatilité et transmissions internationales sur les marchés boursiers dans le G5 In: Working papers.
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paper0
1997Le contenu en information de la pente des taux : application au cas des titres publics français. In: Working papers.
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paper3
1999Le contenu en information de la pente des taux : application au cas des titres publics français.(1999) In: Économie et Prévision.
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This paper has another version. Agregated cites: 3
article
1997Représentation VAR et test de la théorie des anticipations de la structure par terme. In: Working papers.
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paper0
1998Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral In: Working papers.
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paper2
1998Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates In: Working papers.
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paper23
1999 Long-Run Causality, with an Application to International Links between Long-Term Interest Rates..(1999) In: Oxford Bulletin of Economics and Statistics.
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This paper has another version. Agregated cites: 23
article
1997Long-run causality, with an application to international links between long-term interest rates.(1997) In: THEMA Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 23
paper
1998Reading Interest Rate and Bond Futures Options Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election In: Working papers.
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paper2
1998Reading Interest Rate and Bond Futures Options Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election.(1998) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 2
paper
1998La prevision des taux longs français et allemands a partir dun modele a anticipations rationnelles In: Working papers.
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paper0
1999Estimating Gram-Charlier Expansions with Positivity Constraints. In: Working papers.
[Full Text][Citation analysis]
paper0
1999Interest Rate Transmission and Volatility Transmission along the Yield Curve. In: Working papers.
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paper1
1999La modelisation de la volatilite des bourses asiatiques. In: Working papers.
[Full Text][Citation analysis]
paper0
1999La mesure du ratio rendement-risque a partir du marche des euro-devises. In: Working papers.
[Full Text][Citation analysis]
paper0
1999The Information Content of the French and German Government Bond Tield Curves: Why Such Differences?. In: Working papers.
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paper1
1999Modelling the French Swap Spread. In: Working papers.
[Full Text][Citation analysis]
paper0
1999The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets. In: Working papers.
[Full Text][Citation analysis]
paper14
1999The Tail Behavior of Stock Returns: Emerging versus Mature Markets.(1999) In: HEC Research Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2018A General Equilibrium Appraisal of Capital Shortfall In: Working papers.
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paper0
2018A General Equilibrium Appraisal of Capital Shortfall.(2018) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
1999Modelisation et prevision des indices de prix sectoriels. In: Working papers.
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paper3
2000Does Correlation between Stock Returns Really Increase during Turbulent Period?. In: Working papers.
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paper27
2001Does Correlation Between Stock Returns Really Increase During Turbulent Periods?.(2001) In: Economic Notes.
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This paper has another version. Agregated cites: 27
article
2000Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence. In: Working papers.
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paper8
2000Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence.(2000) In: HEC Research Papers Series.
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This paper has another version. Agregated cites: 8
paper
2000Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence.(2000) In: Working Papers.
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This paper has another version. Agregated cites: 8
paper
2001Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis. In: Working papers.
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paper32
2002Entropy densities with an application to autoregressive conditional skewness and kurtosis.(2002) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 32
article
2001Conditional Dependency of Financial Series: An Application of Copulas. In: Working papers.
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paper24
2001Conditional dependency of financial series : an application of copulas.(2001) In: HEC Research Papers Series.
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This paper has another version. Agregated cites: 24
paper
2001Conditional Dependency of Financial Series: An Application of Copulas.(2001) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 24
paper
2001Assessing GMM Estimates of the Federal Reserve Reaction Function. In: Working papers.
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paper14
2001Assessing GMM Estimates of the Federal Reserve Reaction Function.(2001) In: Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2001Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US Data. In: Working papers.
[Full Text][Citation analysis]
paper31
2001Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US data.(2001) In: Macroeconomics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 31
paper
2002Asset Allocation in Transition Economies. In: Working papers.
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paper0
2002Asset Allocation in Transition Economies.(2002) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
2006The Economic Value of Distributional Timing In: Swiss Finance Institute Research Paper Series.
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paper3
2006The Impact of News on Higher Moments In: Swiss Finance Institute Research Paper Series.
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paper2
2007Aggregating Phillips Curves In: Swiss Finance Institute Research Paper Series.
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paper24
2007Aggregating Phillips Curves.(2007) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 24
paper
2007Aggregating Phillips curves.(2007) In: Working Paper Series.
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This paper has another version. Agregated cites: 24
paper
2006Aggregating Phillips curves.(2006) In: 2006 Meeting Papers.
[Citation analysis]
This paper has another version. Agregated cites: 24
paper
2006Aggregating Phillips Curves.(2006) In: Computing in Economics and Finance 2006.
[Citation analysis]
This paper has another version. Agregated cites: 24
paper
2007Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-Country Heterogeneity In: Swiss Finance Institute Research Paper Series.
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paper0
2008Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias In: Swiss Finance Institute Research Paper Series.
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paper0
2009Aggregating Rational Expectations Models in the Presence of Unobserved Micro Heterogeneity In: Swiss Finance Institute Research Paper Series.
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paper1
2010Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty In: Swiss Finance Institute Research Paper Series.
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paper0
2010Moment Component Analysis: An Illustration with International Stock Markets In: Swiss Finance Institute Research Paper Series.
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paper0
2012Systemic Risk in Europe In: Swiss Finance Institute Research Paper Series.
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paper28
2015Systemic Risk in Europe.(2015) In: Review of Finance.
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This paper has another version. Agregated cites: 28
article
2013Systemic Risk in Europe.(2013) In: Global Credit Review (GCR).
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This paper has another version. Agregated cites: 28
article
2014Systemic Risk in Europe.(2014) In: World Scientific Book Chapters.
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This paper has another version. Agregated cites: 28
chapter
2014Estimating Aggregate Autoregressive Processes When Only Macro Data are Available In: Swiss Finance Institute Research Paper Series.
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paper1
2014Estimating aggregate autoregressive processes when only macro data are available.(2014) In: Economics Letters.
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This paper has another version. Agregated cites: 1
article
2014Optimal Long-Term Allocation with Pension Fund Liabilities In: Swiss Finance Institute Research Paper Series.
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paper0
2014Asymmetric Beta Comovement and Systematic Downside Risk In: Swiss Finance Institute Research Paper Series.
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paper0
2015Collateralization, Leverage, and Stressed Expected Loss In: Swiss Finance Institute Research Paper Series.
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paper0
2017Collateralization, leverage, and stressed expected loss.(2017) In: Journal of Financial Stability.
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This paper has another version. Agregated cites: 0
article
2015Average Skewness Matters! In: Swiss Finance Institute Research Paper Series.
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paper0
2016Forecasting Financial Returns with a Structural Macroeconomic Model In: Swiss Finance Institute Research Paper Series.
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paper0
2017Periodic or Generational Actuarial Tables: Which One to Choose? In: Swiss Finance Institute Research Paper Series.
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paper0
2018When Are Stocks Less Volatile in the Long Run? In: Swiss Finance Institute Research Paper Series.
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paper0
2018Measuring the Capital Shortfall of Large U.S. Banks In: Swiss Finance Institute Research Paper Series.
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paper0
2018Strategic Interaction between Hedge Funds and Prime Brokers In: Swiss Finance Institute Research Paper Series.
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paper0
1998Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper40
2000Reading the smile: the message conveyed by methods which infer risk neutral densities.(2000) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 40
article
1997Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities.(1997) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 40
paper
1998Reading Interest Rate and Bond Futures Options Smiles Around the 1997 French Snap Election In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper0
2000Entropy densities In: HEC Research Papers Series.
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paper6
2000Entropy Densities.(2000) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 6
paper
2001Testing for differences in the tails of stock-market returns In: HEC Research Papers Series.
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paper53
2003Testing for differences in the tails of stock-market returns.(2003) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 53
article
2001Testing for differences in the tails of stock-market returns.(2001) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 53
paper
2001Portfolio allocation in transition economies In: HEC Research Papers Series.
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paper0
2001Portfolio allocation in transition economies.(2001) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
2016Asymmetry in tail dependence in equity portfolios In: Computational Statistics & Data Analysis.
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article4
2001Gram-Charlier densities In: Journal of Economic Dynamics and Control.
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article69
2003Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements In: Journal of Economic Dynamics and Control.
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article137
2003Users guide In: Journal of Economic Dynamics and Control.
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article1
2005Testing for the New Keynesian Phillips Curve. Additional international evidence In: Economic Modelling.
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article58
2008Examining bias in estimators of linear rational expectations models under misspecification In: Journal of Econometrics.
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article11
2015The dynamics of squared returns under contemporaneous aggregation of GARCH models In: Journal of Empirical Finance.
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article1
2001Reading PIBOR futures options smiles: The 1997 snap election In: Journal of Banking & Finance.
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article12
2015Estimating the price impact of trades in a high-frequency microstructure model with jumps In: Journal of Banking & Finance.
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article9
1999The expectations hypothesis of the term structure: tests on US, German, French, and UK Euro-rates In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article38
2006The Copula-GARCH model of conditional dependencies: An international stock market application In: Journal of International Money and Finance.
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article217
2011Sectoral Phillips curves and the aggregate Phillips curve In: Journal of Monetary Economics.
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article13
2011Sectoral Phillips curves and the aggregate Phillips curve.(2011) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has another version. Agregated cites: 13
paper
1996Test of persistent causality with an application of the expectations theory of the term structure In: THEMA Working Papers.
[Citation analysis]
paper0
1996Test of persistent Causality with an Application of the Expectations Theory of the Term Structure..(1996) In: Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
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This paper has another version. Agregated cites: 0
paper
2005Testing Heterogeneity within the Euro Area Using a Structural Multi-Country Model In: Documents de recherche.
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paper0
2005Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion? In: FAME Research Paper Series.
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paper6
2002Conditional Dependency of Financial Series: The Copula-GARCH Model In: FAME Research Paper Series.
[Full Text][Citation analysis]
paper7
2002The Allocation of Assets Under Higher Moments In: FAME Research Paper Series.
[Full Text][Citation analysis]
paper0
1992France-Allemagne: Asymetries et convergence. In: Caisse des Depots et Consignations - Cahiers de recherche.
[Citation analysis]
paper1
1993Le modele de prevision mensuelle du prix des actifs financiers dans le G5: une analyse des proprietes. In: Caisse des Depots et Consignations - Cahiers de recherche.
[Citation analysis]
paper0
1993Analyse des cours boursiers : une premiere approche. In: Caisse des Depots et Consignations - Cahiers de recherche.
[Citation analysis]
paper0
1993Retour sur les determinants fondamentaux des cours boursiers: une formulation a correction derreur. In: Caisse des Depots et Consignations - Cahiers de recherche.
[Citation analysis]
paper0
1993Les politiques monetaires au sein du SME. In: Caisse des Depots et Consignations - Cahiers de recherche.
[Citation analysis]
paper1
1993Les politiques monétaires au sein du SME.(1993) In: Économie et Prévision.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
1993Politique monetaire et objectifs intermedieres aux Etats-Unis. In: Caisse des Depots et Consignations - Cahiers de recherche.
[Citation analysis]
paper0
1993Modelisation du prix des actifs financiers. In: Caisse des Depots et Consignations - Cahiers de recherche.
[Citation analysis]
paper1
1994Modele de prevision et allocation dactifs. In: Caisse des Depots et Consignations - Cahiers de recherche.
[Citation analysis]
paper0
1995Les marches boursiers dans le G5 : effets volume et mesures de la volatilite. In: Caisse des Depots et Consignations - Cahiers de recherche.
[Citation analysis]
paper0
1998Estimating Gram-Charlier Expansions Under Positivity Constraints In: Working Papers.
[Citation analysis]
paper0
1997Estimation et interprétation des densités neutres au risque: une comparaison de méthodes In: Working Papers.
[Citation analysis]
paper0
2009On the Importance of Time Variability in Higher Moments for Asset Allocation In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article0
2009The Impact of Shocks on Higher Moments In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article10
1992La soutenabilité de la politique budgétaire In: Économie et Prévision.
[Full Text][Citation analysis]
article7
1992La gestion optimale des finances publiques en présence de coûts dajustement In: Économie et Prévision.
[Full Text][Citation analysis]
article0
1996Les modèles monétaires de taux de change : un examen empirique In: Économie et Prévision.
[Full Text][Citation analysis]
article0
1990La substitution entre capital et travail : une évaluation sur données dentreprises In: Économie et Statistique.
[Full Text][Citation analysis]
article3
2004Gestion institutionnelle et volatilité des marchés financiers In: Revue d'Économie Financière.
[Full Text][Citation analysis]
article1
1996La stabilité de la fonction de demande de monnaie aux Etats-Unis. In: Revue Économique.
[Full Text][Citation analysis]
article0
2015Long-term Portfolio Allocation Based on Long-term Macro forecasts In: Bankers, Markets & Investors.
[Full Text][Citation analysis]
article0
2016Book Review: Risk-Based and Factor Investing In: Bankers, Markets & Investors.
[Full Text][Citation analysis]
article0
1999Forecasting French and German long-term rates using a rational expectations model In: Review of World Economics (Weltwirtschaftliches Archiv).
[Full Text][Citation analysis]
article1
2016Comment on Exchange rate floor and central bank balance sheets: Simple spillover tests of the Swiss franc In: Aussenwirtschaft.
[Full Text][Citation analysis]
article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 4 2019. Contact: CitEc Team