Eric Jondeau : Citation Profile

Are you Eric Jondeau?

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

20

H index

32

i10 index

1756

Citations

RESEARCH PRODUCTION:

49

Articles

119

Papers

1

Chapters

RESEARCH ACTIVITY:

   32 years (1990 - 2022). See details.
   Cites by year: 54
   Journals where Eric Jondeau has often published
   Relations with other researchers
   Recent citing documents: 177.    Total self citations: 30 (1.68 %)

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   Permalink: http://citec.repec.org/pjo225
   Updated: 2023-03-02    RAS profile: 2022-08-11    
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Relations with other researchers

Works with:

Mojon, Benoit (4)

Sahuc, Jean-Guillaume (4)

Rockinger, Michael (3)

Indergand, Martin (2)

Ehlers, Torsten (2)

Fuster, Andreas (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 (28)

Sentana, Enrique (14)

Kerstens, Kristiaan (12)

Mavroeidis, Sophocles (11)

Tiwari, Aviral (11)

Nguyen, Duc Khuong (11)

Plagborg-Moller, Mikkel (10)

Mora-Valencia, Andrés (10)

Cortés, Lina (10)

Ñíguez Grau, Trino (9)

Brière, Marie (9)

Cites to:

Campbell, John (133)

Shiller, Robert (77)

Engle, Robert (53)

Bollerslev, Tim (49)

Harvey, Campbell (39)

Svensson, Lars (36)

Smets, Frank (34)

Mishkin, Frederic (32)

Fuhrer, Jeffrey (30)

Rudebusch, Glenn (27)

Rockinger, Michael (26)

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 Banking & Finance3
Journal of International Money and Finance3
Journal of Economic Dynamics and Control3
The Journal of Financial Econometrics2
Journal of Empirical Finance2
Economics Letters2
Bankers, Markets & Investors2
Journal of Econometrics2

Working Papers Series with more than one paper published# docs
Swiss Finance Institute Research Paper Series / Swiss Finance Institute35
Working Papers / HAL10
BIS Working Papers / Bank for International Settlements3
Econometrics / University Library of Munich, Germany3
FAME Research Paper Series / International Center for Financial Asset Management and Engineering3
Post-Print / HAL3
CEPR Discussion Papers / C.E.P.R. Discussion Papers3
THEMA Working Papers / THEMA (THorie Economique, Modlisation et Applications), Universit de Cergy-Pontoise2
Documents de recherche / Centre d'tudes des Politiques conomiques (EPEE), Universit d'Evry Val d'Essonne2

Recent works citing Eric Jondeau (2022 and 2021)

YearTitle of citing document
2023Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

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2021Dynamic 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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2021A 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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2021Tail 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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2021Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

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2021ESG, Risk, and (tail) dependence. (2021). Bax, Karoline ; Paterlini, Sandra ; Czado, Claudia ; Sahin, Ozge. In: Papers. RePEc:arx:papers:2105.07248.

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2021Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2107.10455.

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2021Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?. (2021). Timphus, Maike ; Fritzsch, Simon ; Weiss, Gregor. In: Papers. RePEc:arx:papers:2109.10946.

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2022Some connections between higher moments portfolio optimization methods. (2022). Kerstens, Kristiaan ; Noravesh, Farshad. In: Papers. RePEc:arx:papers:2201.00205.

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2022Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia. (2022). Roncalli, Thierry ; Kostyuchyk, Nazar ; Bruder, Benjamin. In: Papers. RePEc:arx:papers:2202.10721.

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2022Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2023Modeling Volatility and Dependence of European Carbon and Energy Prices. (2022). Arsova, Antonia ; Ziel, Florian ; Pappert, Sven ; Berrisch, Jonathan. In: Papers. RePEc:arx:papers:2208.14311.

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2022Measuring Transition Risk in Investment Funds. (2022). Crisostomo, Ricardo . In: Papers. RePEc:arx:papers:2210.15329.

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2022On The Equivalence Of The Mean Variance Criterion And Stochastic Dominance Criteria. (2022). Pittis, Nikitas ; Samartzis, George. In: Papers. RePEc:arx:papers:2211.01240.

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2022SRISK: una medida de riesgo sistémico para la banca colombiana 2005-2021. (2022). Sanchez-Quinto, Camilo Eduardo. In: Borradores de Economia. RePEc:bdr:borrec:1207.

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2021Empirical Investigation of a Sufficient Statistic for Monetary Shocks. (2021). LE BIHAN, Hervé ; Gautier, Erwan ; Lippi, Francesco ; Ferrara, Andrea ; Alvarez, Fernando. In: Working papers. RePEc:bfr:banfra:839.

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2022Assessing the Impact of Basel III: Evidence from Structural Macroeconomic Models. (2022). Straughan, Michael ; Sahuc, Jean-Guillaume ; Röhrs, Sigrid ; Nikolov, Kalin ; Mohimont, Jolan ; Mimir, Yasin ; DE BANDT, OLIVIER ; Scalone, Valerio ; Ichiue, Hibiki ; Durdu, Bora. In: Working papers. RePEc:bfr:banfra:864.

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2022Building portfolios of sovereign securities with decreasing carbon footprints. (2022). Mojon, Benoit ; Jondeau, Eric ; Cheng, Gong. In: BIS Working Papers. RePEc:bis:biswps:1038.

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2021Firm-specific risk-neutral distributions with options and CDS. (2021). Jahan-Parvar, Mohammad ; Aramonte, Sirio ; Schindler, John W ; Rosen, Samuel. In: BIS Working Papers. RePEc:bis:biswps:921.

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2021Do outliers matter? The predictive ability of average skewness on market returns using robust skewness measures. (2021). Yan, WU ; Shi, Jing ; Liao, Yin ; Han, Jianlei ; Bo, Xu Chong. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:3977-4006.

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2021Recovering the market risk premium from higher?order moment risks. (2021). Rompolis, Leonidas ; Chalamandaris, George. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:1:p:147-186.

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2021An Extensive Comparison of Some Well?Established Value at Risk Methods. (2021). Lettieri, Davi ; Ferioli, Eduardo ; Calmon, Wilson ; Pizzinga, Adrian ; Soares, Johann. In: International Statistical Review. RePEc:bla:istatr:v:89:y:2021:i:1:p:148-166.

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2022Is the Slope of the Euro Area Phillips Curve Steeper than It Seems? Heterogeneity and Identification. (2022). van Veen, Tom ; Lieb, Lenard ; Kool, Clemens ; Schuffels, Johannes. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10103.

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2021Connectedness between the Crude Oil Futures and Equity Markets during the Pre- and Post-Financialisation Eras. (2021). Gronwald, Marc ; Durand, Robert D ; Wadud, Sania. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9202.

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2021Nonparametric Portfolio Efficiency Measurement with Higher Moments.. (2021). Kruger, Jens. In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL). RePEc:dar:wpaper:130825.

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2021Modeling ex-ante risk premia in the oil market. (2021). Uctum, Remzi ; Prat, Georges. In: EconomiX Working Papers. RePEc:drm:wpaper:2021-31.

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2022Assessing the Impact of Basel III: Evidence from Structural Macroeconomic Models. (2022). Straughan, Michael ; Sahuc, Jean-Guillaume ; Röhrs, Sigrid ; Nikolov, Kalin ; Mohimont, Jolan ; Mimir, Yasin ; Scalone, Valerio ; Durdu, Bora ; Ichiue, Hibiki ; de Bandt, Olivier. In: EconomiX Working Papers. RePEc:drm:wpaper:2022-3.

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2021The Integrated Copula Spectrum. (2021). Hallin, Marc ; Dette, Holger ; Volgushev, Stanislav ; van Hecke, Ria ; Kley, Tobias ; Goto, Yuichi. In: Working Papers ECARES. RePEc:eca:wpaper:2013/335426.

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2022On the Effectiveness of Stock Index Futures for Tail Risk Protection. (2022). Zouari, Hammadi. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2022-03-5.

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2022Central moments, stochastic dominance, moment rule, and diversification with an application. (2022). Wong, Wing-Keung ; Guo, XU ; Chow, Sheung-Chi ; Chan, Raymond H. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:161:y:2022:i:c:s0960077922004611.

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2021Exploring the sources of inflation dynamics: New evidence from China. (2021). Lee, Chien-Chiang ; Liao, Ying ; Chiang, Shu-Hen. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:70:y:2021:i:c:p:313-332.

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2021Interdependence between exchange rates: Evidence from multivariate analysis since the financial crisis to the COVID-19 crisis. (2021). Bannour, Nawres ; ben Saad, Mouna ; Boubaker, Heni. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:71:y:2021:i:c:p:592-608.

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2021Realized skewness and the short-term predictability for aggregate stock market volatility. (2021). Wang, Yudong ; Zhang, Yaojie ; He, Mengxi. In: Economic Modelling. RePEc:eee:ecmode:v:103:y:2021:i:c:s0264999321002030.

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2021Mental accounts with horizon and asymmetry preferences. (2021). Lejeune, Thomas ; Hübner, Georges ; Hubner, Georges. In: Economic Modelling. RePEc:eee:ecmode:v:103:y:2021:i:c:s0264999321002042.

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2022Do realized higher moments have information content? - VaR forecasting based on the realized GARCH-RSRK model. (2022). Yan, Hong ; Huang, Zhuo ; Liang, Fang ; Wang, Tianyi. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s026499932200027x.

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2022Empirical evidence of risk contagion across regional housing markets in China. (2022). Fan, Gang-Zhi ; Hu, Genhua. In: Economic Modelling. RePEc:eee:ecmode:v:115:y:2022:i:c:s0264999322001912.

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2022Scopes of carbon emissions and their impact on green portfolios. (2022). Welgryn, Lou ; Tavin, Bertrand ; Coqueret, Guillaume ; Anquetin, Theophile. In: Economic Modelling. RePEc:eee:ecmode:v:115:y:2022:i:c:s0264999322001973.

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2021Diversified behavioral portfolio as an alternative to Modern Portfolio Theory. (2021). Contreras, Javier ; Gomez, Juan M ; Rodriguez, Yeny E. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001273.

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2021Diffusion copulas: Identification and estimation. (2021). Kristensen, Dennis ; Hadri, Kaddour ; Bu, Ruijun. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:616-643.

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2022Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management. (2022). , Amanda ; Thomas, . In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:151-167.

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2022Testing the existence of moments for GARCH processes. (2022). Zakoian, Jean-Michel ; Francq, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:47-64.

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2021State-level wage Phillips curves. (2021). Price, Simon ; Kapetanios, George ; Ventouri, Alexia ; Tasiou, Menelaos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:18:y:2021:i:c:p:1-11.

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2022Multivariate time-series modeling with generative neural networks. (2022). Zhu, MU ; Prasad, Avinash ; Hofert, Marius. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:147-164.

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2022Financial conditions and macroeconomic downside risks in the euro area. (2022). Lhuissier, Stephane. In: European Economic Review. RePEc:eee:eecrev:v:143:y:2022:i:c:s0014292122000101.

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2022Systemic risk, Islamic banks, and the COVID-19 pandemic: An empirical investigation. (2022). Ashraf, Dawood ; Ahmad, Ghufran ; Rizwan, Muhammad Suhail. In: Emerging Markets Review. RePEc:eee:ememar:v:51:y:2022:i:pb:s1566014122000073.

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2021The transformed Gram Charlier distribution: Parametric properties and financial risk applications. (2021). Iguez, Trino-Manuel ; Leon, Angel. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:323-349.

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2022The evolution of day-of-the-week and the implications in crude oil market. (2022). Nor, Normaziah Mohd ; Wen, Fenghua ; Zhu, QI ; Li, Wenhui. In: Energy Economics. RePEc:eee:eneeco:v:106:y:2022:i:c:s014098832200007x.

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2022Natural gas volatility prediction: Fresh evidence from extreme weather and extended GARCH-MIDAS-ES model. (2022). Wang, LU ; Lai, Xiaodong ; Xia, Zhenglan ; Liang, Chao. In: Energy Economics. RePEc:eee:eneeco:v:116:y:2022:i:c:s0140988322005667.

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2021Tanker freight rates and economic policy uncertainty: A wavelet-based copula approach. (2021). Bai, Xiwen. In: Energy. RePEc:eee:energy:v:235:y:2021:i:c:s0360544221016315.

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2021Skewness-based market integration: A systemic risk measure across international equity markets. (2021). Li, Xupei ; Jian, Zhihong. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000077.

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2021“Shiny” crypto assets: A systemic look at gold-backed cryptocurrencies during the COVID-19 pandemic. (2021). Matkovskyy, Roman ; Yarovaya, Larisa ; Jalan, Akanksha. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002787.

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2022Systemic risk in the Chinese financial system: A panel Granger causality analysis. (2022). Urga, Giovanni ; Cincinelli, Peter ; Pellini, Elisabetta. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001405.

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2021A realized EGARCH-MIDAS model with higher moments. (2021). Wu, Xinyu ; Xie, Haibin. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319308505.

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2021Covid-19 pandemic and tail-dependency networks of financial assets. (2021). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Do, Hung Xuan ; Le, Trung Hai. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320316147.

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2021Modeling dynamic higher moments of crude oil futures. (2021). Li, Chao ; Wang, Tianyi ; Liang, Fang ; Huang, Zhuo. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319302727.

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2021Backtesting VaR under the COVID-19 sudden changes in volatility. (2021). Iguez, Trino-Manuel ; Leon, Angel ; Castillo, Brenda. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321001057.

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2022Predicting returns and dividend growth — The role of non-Gaussian innovations. (2022). Nguyen, Hoang ; Mazur, Stepan ; Kiss, Tamas. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003445.

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2022Can skewness predict CNY-CNH spread?. (2022). Wu, You ; Han, Liyan ; Liu, Yiye. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321003925.

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2022Time-varying pricing of risk in sovereign bond futures returns. (2022). Malinska, Barbora. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321004955.

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2021Cash conversion cycle and aggregate stock returns. (2021). Lin, XI. In: Journal of Financial Markets. RePEc:eee:finmar:v:52:y:2021:i:c:s138641812030029x.

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2021Bank liquidity creation, network contagion and systemic risk: Evidence from Chinese listed banks. (2021). Zhang, Shuai ; Wang, Qingyu ; Lu, Liping ; Fu, Qiang. In: Journal of Financial Stability. RePEc:eee:finsta:v:53:y:2021:i:c:s1572308921000036.

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2021Internationalization, foreign complexity and systemic risk: Evidence from European banks. (2021). Nyola, Annick Pamen ; Bakkar, Yassine. In: Journal of Financial Stability. RePEc:eee:finsta:v:55:y:2021:i:c:s1572308921000528.

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2021Did the Basel Process of capital regulation enhance the resiliency of European banks?. (2021). Gehrig, Thomas ; Iannino, Maria Chiara. In: Journal of Financial Stability. RePEc:eee:finsta:v:55:y:2021:i:c:s1572308921000644.

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2022Predictability of stock market returns: New evidence from developed and developing countries. (2022). Shi, Kan ; Singh, Tarlok ; Li, Bin ; Chen, Xiaoyue. In: Global Finance Journal. RePEc:eee:glofin:v:54:y:2022:i:c:s1044028321000223.

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2021Modality for scenario analysis and maximum likelihood allocation. (2021). Hofert, Marius ; Koike, Takaaki. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:97:y:2021:i:c:p:24-43.

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2021Dependence structure between oil price volatility and sovereign credit risk of oil exporters: Evidence using a copula approach. (2021). Ehouman, Yao Axel. In: International Economics. RePEc:eee:inteco:v:168:y:2021:i:c:p:76-97.

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2021Investing during a Fintech Revolution: Ambiguity and return risk in cryptocurrencies. (2021). Mishra, Tapas ; Zhang, Zhuang ; Yarovaya, Larisa ; Luo, DI. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000810.

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2021An efficient method for pricing foreign currency options. (2021). Zhang, Shuonan ; Jin, Chenglu ; Yu, Lean ; Zhou, Hanxian ; Chen, Rongda. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121000147.

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2022Shifting balances of systemic risk in the Chinese banking sector: Determinants and trends. (2022). Chondrogiannis, Ilias ; Nivorozhkin, Eugene. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001700.

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2022Co-skewness and expected return: Evidence from international stock markets. (2022). Liu, Ming ; Kot, Hung Wan ; Dong, Liang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001852.

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2022Does the choice of monetary policy tool matter for systemic risk? The curious case of negative interest rates. (2022). Rogowicz, Karol ; Iwanicz-Drozdowska, Magorzata. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000865.

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2022Portfolio risk and stress across the business cycle. (2022). Chakraborty, Sandip ; Kakani, Ram Kumar ; Sampath, Aravind. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122000993.

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2022The Skewness-Kurtosis plane for non-Gaussian systems: The case of hedge fund returns. (2022). Karagiorgis, Ariston ; Drakos, Konstantinos. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122001111.

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2022Borrower- and lender-based macroprudential policies: What works best against bank systemic risk?. (2022). Apergis, Nicholas ; Aysan, Ahmet F ; Bakkar, Yassine. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122001202.

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2022Forecasting in GARCH models with polynomially modified innovations. (2022). Bagnato, Luca ; Zoia, Maria Grazia ; Vacca, Gianmarco. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:117-141.

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2023Non-Gaussian models for CoVaR estimation. (2023). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:391-404.

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2021Portfolio selection with parsimonious higher comoments estimation. (2021). Vrins, Frederic ; Lassance, Nathan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:126:y:2021:i:c:s037842662100073x.

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2021Federal reserve intervention and systemic risk during financial crises. (2021). Sedunov, John. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621001692.

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2022Systemic risk and severe economic downturns: A targeted and sparse analysis. (2022). Caporin, Massimiliano ; Garibal, Jean-Charles ; Costola, Michele ; Maillet, Bertrand. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002909.

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2022Machine-Learning-enhanced systemic risk measure: A Two-Step supervised learning approach. (2022). Pun, Chi Seng ; Liu, Ruicheng. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:136:y:2022:i:c:s0378426622000164.

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2022Systemic risk and the COVID challenge in the european banking sector. (2022). Borri, Nicola ; di Giorgio, Giorgio. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:140:y:2022:i:c:s0378426621000315.

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2022Contagion and tail risk in complex financial networks. (2022). Abduraimova, Kumushoy. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:143:y:2022:i:c:s037842662200156x.

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2022Operational Risk is More Systemic than You Think: Evidence from U.S. Bank Holding Companies. (2022). Sedunov, John ; Mihov, Atanas ; Curti, Filippo ; Berger, Allen N. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:143:y:2022:i:c:s0378426622001996.

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2022Wage and unemployment: Evidence from online job vacancy data. (2022). Talavera, Oleksandr ; Pham, Tho ; Tsapin, Andriy ; Faryna, Oleksandr. In: Journal of Comparative Economics. RePEc:eee:jcecon:v:50:y:2022:i:1:p:52-70.

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2021Sectoral inflation persistence, market concentration, and imperfect common knowledge. (2021). Tsuruga, Takayuki ; Okuda, Tatsushi ; Kato, Ryo. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:192:y:2021:i:c:p:500-517.

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2021Are disagreements agreeable? Evidence from information aggregation. (2021). Li, Jiangyuan ; Huang, Dashan ; Wang, Liyao. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:1:p:83-101.

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2022Multi-commodity price risk hedging in the Atlantic salmon farming industry. (2022). Strom, Eivind ; Strypet, Kristian ; Lavrutich, Maria ; Haarstad, Aleksander H. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:25:y:2022:i:c:s2405851321000167.

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2021Asymmetric tail dependence between stock market returns and implied volatility. (2021). Echaust, Krzysztof. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:23:y:2021:i:c:s1703494920300372.

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2022Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy. (2022). van De, Ignace ; Ren, Tiantian ; Mazza, Paolo ; Kerstens, Kristiaan. In: Omega. RePEc:eee:jomega:v:113:y:2022:i:c:s0305048322001256.

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2021Clustering commodity markets in space and time: Clarifying returns, volatility, and trading regimes through unsupervised machine learning. (2021). Vo, Xuan Vinh ; Ur, Mobeen ; Chen, James Ming. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001768.

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2022The lithium and oil markets – dependencies and volatility spillovers. (2022). Bdowska-Sojka, Barbara ; Gorka, Joanna. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003452.

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2021Systemically important banks in Asian emerging markets: Evidence from four systemic risk measures. (2021). Bannigidadmath, Deepa ; Powell, Robert ; Pham, Thach N. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:70:y:2021:i:c:s0927538x21001773.

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2022Real estate climate index and aggregate stock returns: Evidence from China. (2022). Zhou, Wenyu ; Zaremba, Adam ; Long, Huaigang ; Fu, Tao ; Jiang, Yuexiang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:75:y:2022:i:c:s0927538x22001366.

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2021Gainers and losers with higher order portfolio risk optimization. (2021). Ayub, Usman ; Ashfaq, Saira ; Gulzar, Saqib ; Raza, Naveed ; Mujtaba, Ghulam. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:563:y:2021:i:c:s0378437120307524.

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2022On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis. (2022). Ahmed, Walid. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:83:y:2022:i:c:p:135-151.

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2021Inflation dynamics, the role of inflation at different horizons and inflation uncertainty. (2021). Choi, Yoonseok. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:649-662.

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2021Do higher-order realized moments matter for cryptocurrency returns?. (2021). Ahmed, Walid ; al Mafrachi, Mustafa. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:483-499.

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2021International portfolio allocation: The role of conditional higher moments. (2021). Le, Trung H. In: International Review of Economics & Finance. RePEc:eee:reveco:v:74:y:2021:i:c:p:33-57.

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2021Systemic risk measures and distribution forecasting of macroeconomic shocks. (2021). Zhang, YU ; Liu, Yanzhen ; Chen, Guojin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:178-196.

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2021Measuring risk spillovers from multiple developed stock markets to China: A vine-copula-GARCH-MIDAS model. (2021). Liu, Yezheng ; Xu, Qifa ; Jiang, Cuixia. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:386-398.

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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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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.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		article4
2002Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article13
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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2004Assessing Generalized Method-of-Moments Estimates of the Federal Reserve Reaction Function In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article33
2003ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the New Phillips Curve) In: Working papers.
[Full Text][Citation analysis]		paper27
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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This paper has another version. Agregated cites: 27		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: 27		paper
2003ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the New Phillips Curve).(2003) In: Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		paper
2004The Bank Bias: Segmentation of French Fund Families In: Working papers.
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2004Optimal Portfolio Allocation Under Higher Moments In: Working papers.
[Full Text][Citation analysis]		paper144
2006Optimal Portfolio Allocation under Higher Moments.(2006) In: European Financial Management.
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This paper has another version. Agregated cites: 144		article
2006Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity. In: Working papers.
[Full Text][Citation analysis]		paper38
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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This paper has another version. Agregated cites: 38		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: 38		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: 38		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: 38		article
2007Testing heterogeneity within the euro area. In: Working papers.
[Full Text][Citation analysis]		paper27
2008Testing heterogeneity within the euro area.(2008) In: Economics Letters.
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This paper has another version. Agregated cites: 27		article
2008Testing Heterogeneity within the Euro Area.(2008) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 27		paper
1996The Expectation Theory: Tests on French, German, and American Euro-Rates. In: Working papers.
[Full Text][Citation analysis]		paper2
1997Effets “volume”, volatilité et transmissions internationales sur les marchés boursiers dans le G5 In: Working papers.
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1997Le contenu en information de la pente des taux : application au cas des titres publics français. In: Working papers.
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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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1998Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral In: Working papers.
[Full Text][Citation analysis]		paper2
1998Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates In: Working papers.
[Full Text][Citation analysis]		paper10
1999Long?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: 10		article
1997Long-run causality, with an application to international links between long-term interest rates.(1997) In: THEMA Working Papers.
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This paper has another version. Agregated cites: 10		paper
1998Reading Interest Rate and Bond Futures Options Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election In: Working papers.
[Full Text][Citation analysis]		paper4
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: 4		paper
1998La prevision des taux longs français et allemands a partir dun modele a anticipations rationnelles In: Working papers.
[Full Text][Citation analysis]		paper0
1999Estimating Gram-Charlier Expansions with Positivity Constraints. In: Working papers.
[Full Text][Citation analysis]		paper1
1999Interest Rate Transmission and Volatility Transmission along the Yield Curve. In: Working papers.
[Full Text][Citation analysis]		paper2
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.
[Full Text][Citation analysis]		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]		paper17
1999The Tail Behavior of Stock Returns: Emerging versus Mature Markets.(1999) In: HEC Research Papers Series.
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2018A General Equilibrium Appraisal of Capital Shortfall In: Working papers.
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2018A General Equilibrium Appraisal of Capital Shortfall.(2018) In: Swiss Finance Institute Research Paper Series.
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1999Modelisation et prevision des indices de prix sectoriels. In: Working papers.
[Full Text][Citation analysis]		paper4
2000Does Correlation between Stock Returns Really Increase during Turbulent Period?. In: Working papers.
[Full Text][Citation analysis]		paper53
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: 53		article
2000Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence. In: Working papers.
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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: 10		paper
2000Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence.(2000) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 10		paper
2001Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis. In: Working papers.
[Full Text][Citation analysis]		paper41
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: 41		article
2001Conditional Dependency of Financial Series: An Application of Copulas. In: Working papers.
[Full Text][Citation analysis]		paper32
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: 32		paper
2001Conditional Dependency of Financial Series: An Application of Copulas.(2001) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 32		paper
2001Assessing GMM Estimates of the Federal Reserve Reaction Function. In: Working papers.
[Full Text][Citation analysis]		paper19
2001Assessing GMM Estimates of the Federal Reserve Reaction Function.(2001) In: Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19		paper
2001Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US Data. In: Working papers.
[Full Text][Citation analysis]		paper41
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: 41		paper
2002Asset Allocation in Transition Economies. In: Working papers.
[Full Text][Citation analysis]		paper0
2002Asset Allocation in Transition Economies.(2002) In: Working Papers.
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This paper has another version. Agregated cites: 0		paper
2022Deconstructing ESG scores: how to invest with your own criteria In: BIS Working Papers.
[Full Text][Citation analysis]		paper2
2022Deconstructing ESG Scores: How to Invest with Your own Criteria.(2022) In: Swiss Finance Institute Research Paper Series.
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2020Bank Funding Cost and Liquidity Supply Regimes In: BIS Working Papers.
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2021Greening (runnable) brown assets with a liquidity backstop In: BIS Working Papers.
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2021Greening (Runnable) Brown Assets with a Liquidity Backstop.(2021) In: Swiss Finance Institute Research Paper Series.
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2006The Economic Value of Distributional Timing In: Swiss Finance Institute Research Paper Series.
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2006The Impact of News on Higher Moments In: Swiss Finance Institute Research Paper Series.
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2007Aggregating Phillips Curves In: Swiss Finance Institute Research Paper Series.
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2007Aggregating Phillips Curves.(2007) In: CEPR Discussion Papers.
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2007Aggregating Phillips curves.(2007) In: Working Paper Series.
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2006Aggregating Phillips curves.(2006) In: 2006 Meeting Papers.
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2006Aggregating Phillips Curves.(2006) In: Computing in Economics and Finance 2006.
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This paper has another version. Agregated cites: 30		paper
2008Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias In: Swiss Finance Institute Research Paper Series.
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2009Optimal Liquidation Strategies in Illiquid Markets In: Swiss Finance Institute Research Paper Series.
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2009Aggregating Rational Expectations Models in the Presence of Unobserved Micro Heterogeneity In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper2
2010Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2010Moment Component Analysis: An Illustration with International Stock Markets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper6
2018Moment Component Analysis: An Illustration With International Stock Markets.(2018) In: Journal of Business & Economic Statistics.
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2012Systemic Risk in Europe In: Swiss Finance Institute Research Paper Series.
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2015Systemic Risk in Europe.(2015) In: Review of Finance.
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This paper has another version. Agregated cites: 103		article
2013Systemic Risk in Europe.(2013) In: Global Credit Review (GCR).
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This paper has another version. Agregated cites: 103		article
2014Systemic Risk in Europe.(2014) In: World Scientific Book Chapters.
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This paper has another version. Agregated cites: 103		chapter
2013Long-Term Portfolio Management with a Structural Macroeconomic Model In: Swiss Finance Institute Research Paper Series.
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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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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: 11		article
2014Estimating Aggregate Autoregressive Processes When Only Macro Data are Available In: Swiss Finance Institute Research Paper Series.
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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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2014Asymmetric Beta Comovement and Systematic Downside Risk In: Swiss Finance Institute Research Paper Series.
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2015Collateralization, Leverage, and Stressed Expected Loss In: Swiss Finance Institute Research Paper Series.
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2017Collateralization, leverage, and stressed expected loss.(2017) In: Journal of Financial Stability.
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2015Average Skewness Matters! In: Swiss Finance Institute Research Paper Series.
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2019Average skewness matters.(2019) In: Journal of Financial Economics.
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2016Forecasting Financial Returns with a Structural Macroeconomic Model In: Swiss Finance Institute Research Paper Series.
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2017Periodic or Generational Actuarial Tables: Which One to Choose? In: Swiss Finance Institute Research Paper Series.
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2018When Are Stocks Less Volatile in the Long Run? In: Swiss Finance Institute Research Paper Series.
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2021When Are Stocks Less Volatile in the Long Run?.(2021) In: Journal of Financial and Quantitative Analysis.
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2018Measuring the Capital Shortfall of Large U.S. Banks In: Swiss Finance Institute Research Paper Series.
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2018Strategic Interaction between Hedge Funds and Prime Brokers In: Swiss Finance Institute Research Paper Series.
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2019ESG Investing: From Sin Stocks to Smart Beta In: Swiss Finance Institute Research Paper Series.
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2019Crude Awakening: Oil Prices and Bond Returns In: Swiss Finance Institute Research Paper Series.
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2021Disasters, Large Drawdowns, and Long-term Asset Management In: Swiss Finance Institute Research Paper Series.
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2021Greening the Swiss National Banks Portfolio In: Swiss Finance Institute Research Paper Series.
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2021Climate-Related Disasters and the Death Toll In: Swiss Finance Institute Research Paper Series.
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2021ESG Screening in the Fixed-Income Universe In: Swiss Finance Institute Research Paper Series.
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2021Building Benchmarks Portfolios with Decreasing Carbon Footprints In: Swiss Finance Institute Research Paper Series.
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2022Measuring and Stress-Testing Market-Implied Bank Capital In: Swiss Finance Institute Research Paper Series.
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2022Measuring and stress-testing market-implied bank capital.(2022) In: Working Papers.
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2022Environmental Subsidies to Mitigate Transition Risk In: Swiss Finance Institute Research Paper Series.
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2022How Sustainable Is Swiss Real Estate? Evidence from Institutional Property Portfolios 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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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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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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2022Predicting the stressed expected loss of large U.S. banks In: Journal of Banking & 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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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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