Eric Jondeau : Citation Profile


Are you Eric Jondeau?

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

19

H index

25

i10 index

1295

Citations

RESEARCH PRODUCTION:

46

Articles

106

Papers

1

Chapters

RESEARCH ACTIVITY:

   30 years (1990 - 2020). See details.
   Cites by year: 43
   Journals where Eric Jondeau has often published
   Relations with other researchers
   Recent citing documents: 116.    Total self citations: 24 (1.82 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pjo225
   Updated: 2020-09-26    RAS profile: 2020-09-05    
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Relations with other researchers


Works with:

Rockinger, Michael (8)

Sahuc, Jean-Guillaume (3)

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 (25)

Sentana, Enrique (13)

Ñíguez Grau, Trino (10)

Tiwari, Aviral (9)

Kerstens, Kristiaan (8)

Mavroeidis, Sophocles (8)

Mora-Valencia, Andrés (8)

Nguyen, Duc Khuong (8)

Brière, Marie (8)

Albulescu, Claudiu (8)

Violante, Francesco (8)

Cites to:

Campbell, John (118)

Shiller, Robert (67)

Engle, Robert (39)

Bollerslev, Tim (36)

Harvey, Campbell (36)

Svensson, Lars (34)

Fuhrer, Jeffrey (29)

Rudebusch, Glenn (27)

Smets, Frank (25)

Gertler, Mark (25)

Mishkin, Frederic (23)

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
Bankers, Markets & Investors2
Journal of Econometrics2
Journal of Financial Econometrics2
Economics Letters2
Journal of Empirical Finance2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
Swiss Finance Institute Research Paper Series / Swiss Finance Institute25
Working Papers / HAL10
FAME Research Paper Series / International Center for Financial Asset Management and Engineering3
Econometrics / University Library of Munich, Germany3
Post-Print / HAL3
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

Recent works citing Eric Jondeau (2020 and 2019)


YearTitle of citing document
2019Dynamic Quantile Function Models. (2017). Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W ; Ye, Wilson . In: Papers. RePEc:arx:papers:1707.02587.

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2020A Term Structure Model for Dividends and Interest Rates. (2019). Willems, Sander ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1803.02249.

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2019The spread of a financial virus through Europe and beyond. (2019). , Delfim ; Rodrigues, Helena Sofia ; Kostylenko, Olena. In: Papers. RePEc:arx:papers:1901.07241.

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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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2019Dynamic Dependence Modeling in financial time series. (2019). Aivaliotis, Georgios ; Liu, Haiyan ; Dou, Yali. In: Papers. RePEc:arx:papers:1908.05130.

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2019A Peek into the Unobservable: Hidden States and Bayesian Inference for the Bitcoin and Ether Price Series. (2019). Piliouras, Georgios ; Leonardos, Stefanos ; Koki, Constandina. In: Papers. RePEc:arx:papers:1909.10957.

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2020The Impact of Oil and Gold Prices Shock on Tehran Stock Exchange: A Copula Approach. (2020). Payandeh, Amir ; Ofoghi, Reza ; Qazvini, Marjan. In: Papers. RePEc:arx:papers:2001.11275.

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2020A study on the leverage effect on financial series using a TAR model: a Bayesian approach. (2020). Nieto, Fabio ; Espinosa, Oscar. In: Papers. RePEc:arx:papers:2002.05319.

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2020Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:2005.01160.

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2020Modality for Scenario Analysis and Maximum Likelihood Allocation. (2020). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2005.02950.

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2020Wage Setting and Unemployment: Evidence from Online Job Vacancy Data. (2020). Talavera, Oleksandr ; Pham, Tho ; Faryna, Oleksandr ; Tsapin, Andriy. In: Discussion Papers. RePEc:bir:birmec:20-03.

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2020Female Small Business Owners in China: discouraged, not discriminated. (2020). Talavera, Oleksandr ; Caglayan, Mustafa ; Xiong, Lin. In: Discussion Papers. RePEc:bir:birmec:20-04.

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2020Correlation Analysis of Stock Market and Fund Market Based on M-Copula-EGARCH-M-GED Model. (2020). Hongjun, Wang ; Ruihua, Wang. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:8:y:2020:i:3:p:240-252:n:3.

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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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2019Uncertainty in Electricity Markets from a seminonparametric Approach. (2019). Perote, Javier ; Cortes, Lina M ; Trespalacios, Alfredo. In: Documentos de Trabajo CIEF. RePEc:col:000122:017304.

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2019Modeling the electricity spot price with switching regime semi-nonparametric distributions. (2019). Perote, Javier ; Cortés, Lina ; Cortes, Lina M ; Trespalacios, Alfredo. In: Documentos de Trabajo CIEF. RePEc:col:000122:017618.

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2020Firm size and economic concentration: An analysis from lognormal expansion. (2020). Perote, Javier ; Lozada, Juan M ; Cortes, Lina. In: Documentos de Trabajo CIEF. RePEc:col:000122:018185.

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2019Inflation in the euro area since the Global Financial Crisis. (2019). Samarina, Anna ; Galati, Gabriele ; Bonam, Dennis ; Stanga, Irina ; Hoeberichts, Marco ; Hindrayanto, Irma. In: DNB Occasional Studies. RePEc:dnb:dnbocs:1703.

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2020The effect of the trading activities of banks on systemic risk: does banking industry concentration matter?. (2020). Kamani, Eric Fina. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00798.

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2020Risk aversion, prudence and temperance: It is a matter of gap between moments. (2020). Riccetti, Luca ; Colasante, Annarita. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:25:y:2020:i:c:s2214635019301522.

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2019Harmful diversification: Evidence from alternative investments. (2019). Sutcliffe, Charles ; Sakkas, Athanasios ; Platanakis, Emmanouil. In: The British Accounting Review. RePEc:eee:bracre:v:51:y:2019:i:1:p:1-23.

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2020Policy uncertainty and the capital shortfall of global financial firms. (2020). Papachristopoulou, Andromachi ; Panopoulou, Ekaterini ; Matousek, Roman. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s092911992030002x.

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2019A classification point-of-view about conditional Kendall’s tau. (2019). Fermanian, Jean-David ; Derumigny, Alexis. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:135:y:2019:i:c:p:70-94.

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2019It only takes a few moments to hedge options. (2019). Santucci de Magistris, Paolo ; Sloth, David ; Barletta, Andrea. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:251-269.

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2019Markowitz with regret. (2019). Korn, Olaf ; Baule, Rainer ; Kuntz, Laura-Chloe . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:103:y:2019:i:c:p:1-24.

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2019Capturing deep tail risk via sequential learning of quantile dynamics. (2019). Yan, Xing ; Wu, QI. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:109:y:2019:i:c:s016518891930168x.

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2020The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

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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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2019Return spillovers around the globe: A network approach. (2019). Baumohl, Eduard ; Vrost, Toma ; Lyocsa, Tefan. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:133-146.

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2020Asymmetric signals and skewness. (2020). Zhen, Fang. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:32-42.

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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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2020Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies. (2020). Tiwari, Aviral ; Albulescu, Claudiu ; Wohar, Mark E ; Adewuyi, Adeolu O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818305497.

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2020Modelling conditional skewness: Heterogeneous beliefs, short sale restrictions and market declines. (2020). Shum, Wai Yan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300774.

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2020A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection. (2020). Tong, Yongbo ; Xu, Qifa ; Ding, Xiaoyi ; Jiang, Cuixia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300993.

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2020The economic and financial properties of crude oil: A review. (2020). Auer, Benjamin R ; Lang, Korbinian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940818302559.

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2020Risk dependence and cointegration between pharmaceutical stock markets: The case of China and the USA. (2020). Pérez-Rodríguez, Jorge ; Lopez-Valcarcel, Beatriz Gonzalez ; Perez-Rodriguez, Jorge V ; Qian, Huanhuan ; Zhou, Xinmiao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300723.

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2020Nearly unbiased estimation of sample skewness. (2020). Li, Yifan. In: Economics Letters. RePEc:eee:ecolet:v:192:y:2020:i:c:s0165176520301324.

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2019Dynamic semiparametric models for expected shortfall (and Value-at-Risk). (2019). Ziegel, Johanna F ; Patton, Andrew J ; Chen, Rui. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:2:p:388-413.

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2019Large-scale portfolio allocation under transaction costs and model uncertainty. (2019). Hautsch, Nikolaus ; Voigt, Stefan. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:221-240.

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2019Consistent non-Gaussian pseudo maximum likelihood estimators. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:321-358.

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2019Flexible dynamic vine copula models for multivariate time series data. (2019). Lysy, Martin ; Czado, Claudia ; Acar, Elif F. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:181-197.

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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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2019One country, two systems? The heavy-tailedness of Chinese A- and H- share markets. (2019). Ibragimov, Rustam ; Chen, Zhimin. In: Emerging Markets Review. RePEc:eee:ememar:v:38:y:2019:i:c:p:115-141.

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2019Risk dependence of CoVaR and structural change between oil prices and exchange rates: A time-varying copula model. (2019). Fan, Ying ; Liu, Bing-Yue ; Ji, Qiang. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:80-92.

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2019A copula-GARCH approach for analyzing dynamic conditional dependency structure between liquefied petroleum gas freight rate, product price arbitrage and crude oil price. (2019). Lee, Jasmine Siu ; Bai, Xiwen. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:412-427.

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2020Volatility spillovers in commodity markets: A large t-vector autoregressive approach. (2020). Wilms, Ines ; Barbaglia, Luca ; Croux, Christophe. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303500.

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2019Can switching from gasoline to aromatics mitigate the price risk of refineries?. (2019). Catalão-Lopes, Margarida ; Loureno, Joo Carlos ; Catalo-Lopes, Margarida ; Quintino, Antonio. In: Energy Policy. RePEc:eee:enepol:v:134:y:2019:i:c:s0301421519305506.

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2020Uncertainty in electricity markets from a semi-nonparametric approach. (2020). Perote, Javier ; Cortes, Lina M ; Trespalacios, Alfredo. In: Energy Policy. RePEc:eee:enepol:v:137:y:2020:i:c:s0301421519306780.

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2019Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach. (2019). Naji, Jalkh ; Elie, Bouri ; Uddin, Gazi Salah ; Dutta, Anupam. In: Energy. RePEc:eee:energy:v:178:y:2019:i:c:p:544-553.

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2019Global and regional stock market integration in Asia: A panel convergence approach. (2019). Caporale, Guglielmo Maria ; Chen, Lei ; You, Kefei. In: International Review of Financial Analysis. RePEc:eee:finana:v:65:y:2019:i:c:s1057521918306665.

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2019The effect of non-traditional banking activities on systemic risk: Does bank size matter?. (2019). Kamani, Eric Fina. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:297-305.

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2019Analysing dynamic dependence between gold and stock returns: Evidence using stochastic and full-range tail dependence copula models. (2019). Tiwari, Aviral ; Ji, Qiang ; Ibrahim, Muazu ; Boako, Gideon. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:s1544612318307104.

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2020Forecasting VaR using realized EGARCH model with skewness and kurtosis. (2020). Zhang, Huanming ; Xia, Michelle ; Wu, Xinyu. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318308067.

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2019Foreign expansion, competition and bank risk. (2019). Laffitte, Sébastien ; Faia, Ester. In: Journal of International Economics. RePEc:eee:inecon:v:118:y:2019:i:c:p:179-199.

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2020Globalization, market structure and inflation dynamics. (2020). Guilloux-Nefussi, Sophie. In: Journal of International Economics. RePEc:eee:inecon:v:123:y:2020:i:c:s0022199620300118.

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2020Expected utility approximation and portfolio optimisation. (2020). Sun, Chaofan ; Fahrenwaldt, Matthias A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:301-314.

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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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2019Asset prices and “the devil(s) you know”. (2019). Prokopczuk, Marcel ; Hollstein, Fabian ; Benno, Duc Binh. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:105:y:2019:i:c:p:20-35.

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2020Bank-based versus market-based financing: Implications for systemic risk. (2020). Houben, Aerdt ; Bats, Joost. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:114:y:2020:i:c:s0378426620300443.

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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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2019Developing a hybrid analytics approach to measure the efficiency of deposit banks. (2019). Hacioglu, Umit ; Dincer, Hasan ; Delen, Dursun ; Tatoglu, Ekrem. In: Journal of Business Research. RePEc:eee:jbrese:v:104:y:2019:i:c:p:131-145.

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2019Should investors learn about the timing of equity risk?. (2019). Khapko, Mariana ; Hasler, Michael ; Marfe, Roberto. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:3:p:182-204.

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2019On tail fatness of macroeconomic dynamics. (2019). Liu, Xiaochun. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:62:y:2019:i:c:s0164070418303367.

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2020Do portfolio investors need to consider the asymmetry of returns on the Russian stock market?. (2020). Lakshina, Valeriya. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:21:y:2020:i:c:s170349491930091x.

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2019Did monetary policy fuel the housing bubble? An application to Ireland. (2019). Hellinckx, Kevin ; Moons, Cindy. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:41:y:2019:i:2:p:294-315.

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2019Comovement between commodity sectors. (2019). Chen, Ziyue ; Zhang, Hao ; Cai, Guixin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:1247-1258.

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2020General solutions of the heat equation. (2020). Choi, M Y ; Kang, Hyuk ; Kim, Chansoo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:539:y:2020:i:c:s037843711931653x.

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2019Measuring persistence of dependence between crude oil prices and GCC stock markets: A copula approach. (2019). Mokni, Khaled ; Youssef, Manel . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:72:y:2019:i:c:p:14-33.

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2019Computational decision framework for enhancing resilience of the energy, water and food nexus in risky environments. (2019). Al-Ansari, Tareq ; Govindan, Rajesh. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:112:y:2019:i:c:p:653-668.

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2020Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China. (2020). Li, Steven ; Hou, Yang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:166-188.

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2019Dynamical Volatility and Correlation among US Stock and Treasury Bond Cash and Futures Markets in Presence of Financial Crisis: A Copula Approach. (2019). Li, Weny ; Wang, Teng-Kun ; Liu, Hsiang-Hsi. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:381-396.

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2020Correlation between the 2014 EU-wide stress tests and the market-based measures of systemic risk. (2020). Dissem, Sonia ; Lobez, Frederic. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531918300965.

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2020The impact of co-jumps in the oil sector. (2020). Mauad, Roberto ; Laurini, Márcio ; Lucena, Fernando Antonio. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919301758.

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2020Systemic risk, economic policy uncertainty and firm bankruptcies: Evidence from multivariate causal inference. (2020). Shchepeleva, Maria ; Stolbov, Mikhail. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919302570.

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2019Strategic Liquidity Mismatch and Financial Sector Stability. (2019). Silva, Andre. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2019-82.

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2019Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time. (2019). Petrov, Vladimir ; Olsen, Richard ; Golub, Anton . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:54-:d:219095.

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2019What Coins Lead in the Cryptocurrency Market: Using Copula and Neural Networks Models. (2019). Jun, Chulhee ; Kim, Jong-Min ; Lee, Jimin ; Hyun, Steve. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:3:p:132-:d:255984.

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2019Tail Dependence in Financial Markets: A Dynamic Copula Approach. (2019). Cortese, Federico Pasquale. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:4:p:116-:d:285787.

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2020Least Quartic Regression Criterion to Evaluate Systematic Risk in the Presence of Co-Skewness and Co-Kurtosis. (2020). Facchinetti, Silvia ; Bramante, Riccardo ; Arbia, Giuseppe. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:95-:d:410286.

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2019Macro Asset Allocation with Social Impact Investments. (2019). Marinelli, Nicoletta ; Giacomini, Emanuela ; Cerqueti, Roy ; Biasin, Massimo ; Riccetti, Luca ; Quaranta, Anna Grazia. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:11:p:3140-:d:237010.

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2019Financial Risk Contagion in Stock Markets: Causality and Measurement Aspects. (2019). Gao, Wangfeng ; Xu, Guoxiang. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:5:p:1402-:d:211569.

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2020Multiscale Quantile Correlation Coefficient: Measuring Tail Dependence of Financial Time Series. (2020). Zhao, Xiaofang ; Ke, Jinchuan ; Xu, Chao. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:12:p:4908-:d:372235.

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2020Assessment of Conditional Dependence Structures in Commodity Futures Markets Using Copula-GARCH Models and Fuzzy Clustering Methods. (2020). Just, Magorzata ; Uczak, Aleksandra. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:6:p:2571-:d:336499.

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2019An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection. (2019). Mazur, Stepan ; Gulliksson, Mrten. In: Working Papers. RePEc:hhs:oruesi:2019_003.

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2019Dynamic analysis of implied risk neutral density. (2019). Boujelbene, Younes ; Aloulou, Abderrahmen. In: International Journal of Monetary Economics and Finance. RePEc:ids:ijmefi:v:12:y:2019:i:1:p:39-58.

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2019Analyzing Contagion Effect in Markets During Financial Crisis Using Stochastic Autoregressive Canonical Vine Model. (2019). Mehra, Aparna ; Goel, Anubha. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:3:d:10.1007_s10614-017-9772-7.

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2019A general closed form option pricing formula. (2019). Necula, Ciprian ; Farkas, Walter ; Drimus, Gabriel . In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:1:d:10.1007_s11147-018-9144-z.

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2020Option-implied information: What’s the vol surface got to do with it?. (2020). Walther, Simon ; Ulrich, Maxim. In: Review of Derivatives Research. RePEc:kap:revdev:v:23:y:2020:i:3:d:10.1007_s11147-020-09166-0.

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2019.

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2019Refinement of the hedging ratio using copula-GARCH models. (2019). Raïs, Hassen ; Rais, Hassen ; Louhichi, Wael. In: Journal of Asset Management. RePEc:pal:assmgt:v:20:y:2019:i:5:d:10.1057_s41260-019-00133-5.

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2019Systemic risk in financial institutions of BRICS: measurement and identification of firm-specific determinants. (2019). Rashid, Abdul ; Zeb, Shumaila. In: Risk Management. RePEc:pal:risman:v:21:y:2019:i:4:d:10.1057_s41283-018-00048-2.

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2020Sectoral dependence and contagion in the BRICS grouping: an application of the R-Vine copulas. (2020). Bonga-Bonga, Lumengo ; Hendriks, Johannes Jurgens. In: MPRA Paper. RePEc:pra:mprapa:102473.

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2019Influence of US Presidential Terms on S&P500 Index Using a Time Series Analysis Approach. (2019). Ogbonna, Ahamuefula ; Yaya, Olaoluwa S ; Mudida, Robert ; Gil-Alana, Luis A ; Osuolale, Kazeem. In: MPRA Paper. RePEc:pra:mprapa:93941.

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2019Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds. (2019). Fries, Sebastien. In: MPRA Paper. RePEc:pra:mprapa:97353.

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2019Testing the existence of moments for GARCH processes. (2019). Zakoian, Jean-Michel ; Francq, Christian. In: MPRA Paper. RePEc:pra:mprapa:98892.

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2019Bayesian comparison of bivariate Copula-GARCH and MGARCH models. (2019). Mokrzycka, Justyna . In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:11:y:2019:i:1:p:47-71.

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2020Wage Setting and Unemployment: Evidence from Online Job Vacancy Data. (2020). Talavera, Oleksandr ; Pham, Tho ; Faryna, Oleksandr ; Tsapin, Andriy. In: Economics & Management Discussion Papers. RePEc:rdg:emxxdp:em-dp2020-02.

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2020.

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2019Finite mixtures, projection pursuit and tensor rank: a triangulation. (2019). Loperfido, Nicola. In: Advances in Data Analysis and Classification. RePEc:spr:advdac:v:13:y:2019:i:1:d:10.1007_s11634-018-0336-z.

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2019A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy. (2019). Peraita-Ezcurra, Olivia ; Vilar-Zanon, Jose L. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:1:d:10.1007_s10203-019-00236-z.

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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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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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paper
2004Assessing Generalized Method-of-Moments Estimates of the Federal Reserve Reaction Function In: Journal of Business & Economic Statistics.
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article28
2003ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the New Phillips Curve) In: Working papers.
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paper20
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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paper
2003ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the New Phillips Curve).(2003) In: Econometrics.
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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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paper105
2006Optimal Portfolio Allocation under Higher Moments.(2006) In: European Financial Management.
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article
2006Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity. In: Working papers.
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paper35
2007Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-Country Heterogeneity.(2007) In: Swiss Finance Institute Research Paper Series.
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paper
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: 35
paper
2008Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity.(2008) In: Post-Print.
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This paper has another version. Agregated cites: 35
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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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.
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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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paper9
1997Long-run causality, with an application to international links between long-term interest rates.(1997) In: THEMA Working Papers.
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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.
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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.
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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.
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paper0
1999La mesure du ratio rendement-risque a partir du marche des euro-devises. In: Working papers.
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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.
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paper0
1999The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets. In: Working papers.
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paper15
1999The Tail Behavior of Stock Returns: Emerging versus Mature Markets.(1999) In: HEC Research Papers Series.
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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.
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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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paper33
2001Does Correlation Between Stock Returns Really Increase During Turbulent Periods?.(2001) In: Economic Notes.
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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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paper37
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: 37
article
2001Conditional Dependency of Financial Series: An Application of Copulas. In: Working papers.
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paper26
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: 26
paper
2001Conditional Dependency of Financial Series: An Application of Copulas.(2001) In: Working Papers.
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This paper has another version. Agregated cites: 26
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.
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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.
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paper31
2001Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US data.(2001) In: Macroeconomics.
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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.
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This paper has another version. Agregated cites: 0
paper
2020A New Indicator of Bank Funding Cost In: BIS Working Papers.
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paper0
1999 Long-Run Causality, with an Application to International Links between Long-Term Interest Rates. In: Oxford Bulletin of Economics and Statistics.
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article15
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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paper25
2007Aggregating Phillips Curves.(2007) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 25
paper
2007Aggregating Phillips curves.(2007) In: Working Paper Series.
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This paper has another version. Agregated cites: 25
paper
2006Aggregating Phillips curves.(2006) In: 2006 Meeting Papers.
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This paper has another version. Agregated cites: 25
paper
2006Aggregating Phillips Curves.(2006) In: Computing in Economics and Finance 2006.
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This paper has another version. Agregated cites: 25
paper
2008Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias In: Swiss Finance Institute Research Paper Series.
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paper0
2009Optimal Liquidation Strategies in Illiquid Markets 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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paper2
2018Moment Component Analysis: An Illustration With International Stock Markets.(2018) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 2
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2012Systemic Risk in Europe In: Swiss Finance Institute Research Paper Series.
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paper42
2015Systemic Risk in Europe.(2015) In: Review of Finance.
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This paper has another version. Agregated cites: 42
article
2013Systemic Risk in Europe.(2013) In: Global Credit Review (GCR).
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This paper has another version. Agregated cites: 42
article
2014Systemic Risk in Europe.(2014) In: World Scientific Book Chapters.
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This paper has another version. Agregated cites: 42
chapter
2013Long-Term Portfolio Management with a Structural Macroeconomic Model In: Swiss Finance Institute Research Paper Series.
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paper0
2016Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps In: Swiss Finance Institute Research Paper Series.
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paper9
2015Estimating the price impact of trades in a high-frequency microstructure model with jumps.(2015) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 9
article
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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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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paper2
2019Average skewness matters.(2019) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 2
article
2016Forecasting Financial Returns with a Structural Macroeconomic Model In: Swiss Finance Institute Research Paper Series.
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paper1
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
2019ESG Investing: From Sin Stocks to Smart Beta In: Swiss Finance Institute Research Paper Series.
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paper0
2019Crude Awakening: Oil Prices and Bond Returns In: Swiss Finance Institute Research Paper Series.
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1998Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities In: CEPR Discussion Papers.
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paper43
2000Reading the smile: the message conveyed by methods which infer risk neutral densities.(2000) In: Journal of International Money and Finance.
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article
1997Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities.(1997) In: Working Papers.
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1998Reading Interest Rate and Bond Futures Options Smiles Around the 1997 French Snap Election In: CEPR Discussion Papers.
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2000Entropy densities In: HEC Research Papers Series.
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2000Entropy Densities.(2000) In: Working Papers.
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2001Testing for differences in the tails of stock-market returns In: HEC Research Papers Series.
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2003Testing for differences in the tails of stock-market returns.(2003) In: Journal of Empirical Finance.
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2001Testing for differences in the tails of stock-market returns.(2001) In: Working Papers.
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2001Portfolio allocation in transition economies In: HEC Research Papers Series.
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2001Portfolio allocation in transition economies.(2001) In: Working Papers.
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2016Asymmetry in tail dependence in equity portfolios In: Computational Statistics & Data Analysis.
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2001Gram-Charlier densities In: Journal of Economic Dynamics and Control.
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2003Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements In: Journal of Economic Dynamics and Control.
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2003Users guide In: Journal of Economic Dynamics and Control.
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2005Testing for the New Keynesian Phillips Curve. Additional international evidence In: Economic Modelling.
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2008Examining bias in estimators of linear rational expectations models under misspecification In: Journal of Econometrics.
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2015The dynamics of squared returns under contemporaneous aggregation of GARCH models In: Journal of Empirical Finance.
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2001Reading PIBOR futures options smiles: The 1997 snap election In: Journal of Banking & Finance.
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1999The expectations hypothesis of the term structure: tests on US, German, French, and UK Euro-rates In: Journal of International Money and Finance.
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2006The Copula-GARCH model of conditional dependencies: An international stock market application In: Journal of International Money and Finance.
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article252
2011Sectoral Phillips curves and the aggregate Phillips curve In: Journal of Monetary Economics.
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2011Sectoral Phillips curves and the aggregate Phillips curve.(2011) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2011Sectoral Phillips curves and the aggregate Phillips curve.(2011) In: Post-Print.
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2011Sectoral Phillips curves and the aggregate Phillips curve.(2011) In: PSE-Ecole d'économie de Paris (Postprint).
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1996Test of persistent causality with an application of the expectations theory of the term structure In: THEMA Working Papers.
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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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2005Testing Heterogeneity within the Euro Area Using a Structural Multi-Country Model In: Documents de recherche.
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2005Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion? In: FAME Research Paper Series.
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2002Conditional Dependency of Financial Series: The Copula-GARCH Model In: FAME Research Paper Series.
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2002The Allocation of Assets Under Higher Moments In: FAME Research Paper Series.
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1992France-Allemagne: Asymetries et convergence. In: Caisse des Depots et Consignations - Cahiers de recherche.
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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.
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1993Analyse des cours boursiers : une premiere approche. In: Caisse des Depots et Consignations - Cahiers de recherche.
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1993Retour sur les determinants fondamentaux des cours boursiers: une formulation a correction derreur. In: Caisse des Depots et Consignations - Cahiers de recherche.
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1993Les politiques monetaires au sein du SME. In: Caisse des Depots et Consignations - Cahiers de recherche.
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1993Les politiques monétaires au sein du SME.(1993) In: Économie et Prévision.
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1993Politique monetaire et objectifs intermedieres aux Etats-Unis. In: Caisse des Depots et Consignations - Cahiers de recherche.
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1993Modelisation du prix des actifs financiers. In: Caisse des Depots et Consignations - Cahiers de recherche.
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1994Modele de prevision et allocation dactifs. In: Caisse des Depots et Consignations - Cahiers de recherche.
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1995Les marches boursiers dans le G5 : effets volume et mesures de la volatilite. In: Caisse des Depots et Consignations - Cahiers de recherche.
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1998Estimating Gram-Charlier Expansions Under Positivity Constraints In: Working Papers.
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1997Estimation et interprétation des densités neutres au risque: une comparaison de méthodes In: Working Papers.
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2009On the Importance of Time Variability in Higher Moments for Asset Allocation In: Journal of Financial Econometrics.
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2009The Impact of Shocks on Higher Moments In: Journal of Financial Econometrics.
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1992La soutenabilité de la politique budgétaire In: Économie et Prévision.
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1992La gestion optimale des finances publiques en présence de coûts dajustement In: Économie et Prévision.
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1996Les modèles monétaires de taux de change : un examen empirique In: Économie et Prévision.
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1990La substitution entre capital et travail : une évaluation sur données dentreprises In: Économie et Statistique.
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2004Gestion institutionnelle et volatilité des marchés financiers In: Revue d'Économie Financière.
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1996La stabilité de la fonction de demande de monnaie aux Etats-Unis. In: Revue Économique.
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2015Long-term Portfolio Allocation Based on Long-term Macro forecasts In: Bankers, Markets & Investors.
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2016Book Review: Risk-Based and Factor Investing In: Bankers, Markets & Investors.
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1999Forecasting French and German long-term rates using a rational expectations model In: Review of World Economics (Weltwirtschaftliches Archiv).
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2016Comment on Exchange rate floor and central bank balance sheets: Simple spillover tests of the Swiss franc In: Aussenwirtschaft.
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2019Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race In: Journal of Money, Credit and Banking.
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