Eric Jondeau : Citation Profile


Are you Eric Jondeau?

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

19

H index

25

i10 index

1240

Citations

RESEARCH PRODUCTION:

46

Articles

102

Papers

1

Chapters

RESEARCH ACTIVITY:

   29 years (1990 - 2019). See details.
   Cites by year: 42
   Journals where Eric Jondeau has often published
   Relations with other researchers
   Recent citing documents: 121.    Total self citations: 24 (1.9 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pjo225
   Updated: 2020-05-16    RAS profile: 2020-04-24    
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Relations with other researchers


Works with:

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 (23)

Sentana, Enrique (13)

Ñíguez Grau, Trino (10)

Kerstens, Kristiaan (8)

Violante, Francesco (8)

Nguyen, Duc Khuong (8)

Tiwari, Aviral (8)

Mora-Valencia, Andrés (8)

Brière, Marie (8)

Mavroeidis, Sophocles (8)

Al-Sadoon, Majid (7)

Cites to:

Campbell, John (118)

Shiller, Robert (67)

Engle, Robert (39)

Harvey, Campbell (36)

Bollerslev, Tim (36)

Svensson, Lars (34)

Fuhrer, Jeffrey (29)

Rudebusch, Glenn (27)

Gertler, Mark (25)

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

Working Papers Series with more than one paper published# docs
Swiss Finance Institute Research Paper Series / Swiss Finance Institute25
Working Papers / HAL10
Econometrics / University Library of Munich, Germany3
FAME Research Paper Series / International Center for Financial Asset Management and Engineering3
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 (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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2019A Term Structure Model for Dividends and Interest Rates. (2019). Willems, Sander ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1803.02249.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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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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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). Lobez, Frederic ; Dissem, Sonia. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531918300965.

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

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2018Effects of Macroeconomic Indicators on the Financial Markets Interrelations. (2018). Czapkiewicz, Anna ; Landmesser, Joanna ; Jamer, Pawel. In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:68:y:2018:i:3:p:268-293.

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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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2018Using Grey Incidence Analysis Approach in Portfolio Selection. (2018). Krinjari, Tihana ; Ego, Boko. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:7:y:2018:i:1:p:1-:d:192789.

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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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2018An Improvement of Gain-Loss Price Bounds on Options Based on Binomial Tree and Market-Implied Risk-Neutral Distribution. (2018). Jiang, Shi-Jie ; Chung, Cheng-Huang ; Lei, Mujun. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:6:p:1942-:d:151688.

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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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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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2017A Welfare Analysis of Macroprudential Policy Rules in the Euro Area. (2017). Vermandel, Gauthier ; Poutineau, Jean-Christophe. In: Post-Print. RePEc:hal:journl:hal-01619806.

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2017A Welfare Analysis of Macroprudential Policy Rules in the Euro Area. (2016). Vermandel, Gauthier ; Poutineau, Jean-Christophe. In: Post-Print. RePEc:hal:journl:halshs-01315085.

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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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2017Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem. (2017). Oosterlee, Cornelis W ; Cong, Fei . In: Computational Economics. RePEc:kap:compec:v:49:y:2017:i:3:d:10.1007_s10614-016-9569-0.

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2017A New Method For Dynamic Stock Clustering Based On Spectral Analysis. (2017). Li, Zhaoyuan ; Tian, Maozai . In: Computational Economics. RePEc:kap:compec:v:50:y:2017:i:3:d:10.1007_s10614-016-9589-9.

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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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2017Retrieving risk neutral moments and expected quadratic variation from option prices. (2017). Tzavalis, Elias ; Rompolis, Leonidas. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:4:d:10.1007_s11156-016-0575-z.

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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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2017Global Banking and the Conduct of Macroprudential Policy in a Monetary Union. (2017). Vermandel, Gauthier ; Poutineau, Jean-Christophe. In: MPRA Paper. RePEc:pra:mprapa:81367.

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2017On the effects of static and autoregressive conditional higher order moments on dynamic optimal hedging. (2017). Hou, Yang ; Holmes, Mark. In: MPRA Paper. RePEc:pra:mprapa:82000.

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2018Cojumps and Asset Allocation in International Equity Markets. (2018). Nguyen, Duc Khuong ; M'SADDEK, Oussama ; Pukthuanthong, Kuntara ; Msaddek, Oussama ; el Hedi, Mohamed. In: MPRA Paper. RePEc:pra:mprapa:89938.

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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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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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This paper has another version. Agregated cites: 2
paper
1999Causalité de long terme et amélioration de la prévision : application aux courbes de taux dintérêt In: Annals of Economics and Statistics.
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article0
2001La théorie des anticipations de la structure par terme permet-elle de rendre compte de lévolution des taux dintérêt sur euro-devise ? In: Annals of Economics and Statistics.
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article0
2002Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies In: Annals of Economics and Statistics.
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article6
2000Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies..(2000) In: Working papers.
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This paper has another version. Agregated cites: 6
paper
2004Assessing Generalized Method-of-Moments Estimates of the Federal Reserve Reaction Function In: Journal of Business & Economic Statistics.
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article27
2003ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the New Phillips Curve) In: Working papers.
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paper19
2004ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the New Phillips Curve).(2004) In: Econometric Society 2004 North American Summer Meetings.
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This paper has another version. Agregated cites: 19
paper
2003ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the New Phillips Curve).(2003) In: Econometrics.
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This paper has another version. Agregated cites: 19
paper
2003ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the New Phillips Curve).(2003) In: Econometrics.
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This paper has another version. Agregated cites: 19
paper
2004The Bank Bias: Segmentation of French Fund Families In: Working papers.
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paper0
2004Optimal Portfolio Allocation Under Higher Moments In: Working papers.
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paper100
2006Optimal Portfolio Allocation under Higher Moments.(2006) In: European Financial Management.
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This paper has another version. Agregated cites: 100
article
2006Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity. In: Working papers.
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paper34
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: 34
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: 34
paper
2008Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-Country Heterogeneity.(2008) In: International Journal of Central Banking.
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This paper has another version. Agregated cites: 34
article
2007Testing heterogeneity within the euro area. In: Working papers.
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paper22
2008Testing heterogeneity within the euro area.(2008) In: Economics Letters.
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This paper has another version. Agregated cites: 22
article
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.
[Full Text][Citation analysis]
paper2
1998Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates In: Working papers.
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paper23
1999 Long-Run Causality, with an Application to International Links between Long-Term Interest Rates..(1999) In: Oxford Bulletin of Economics and Statistics.
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This paper has another version. Agregated cites: 23
article
1997Long-run causality, with an application to international links between long-term interest rates.(1997) In: THEMA Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 23
paper
1998Reading Interest Rate and Bond Futures Options Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election In: Working papers.
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paper2
1998Reading Interest Rate and Bond Futures Options Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election.(1998) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 2
paper
1998La prevision des taux longs français et allemands a partir dun modele a anticipations rationnelles In: Working papers.
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paper0
1999Estimating Gram-Charlier Expansions with Positivity Constraints. In: Working papers.
[Full Text][Citation analysis]
paper0
1999Interest Rate Transmission and Volatility Transmission along the Yield Curve. In: Working papers.
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paper1
1999La modelisation de la volatilite des bourses asiatiques. In: Working papers.
[Full Text][Citation analysis]
paper0
1999La mesure du ratio rendement-risque a partir du marche des euro-devises. In: Working papers.
[Full Text][Citation analysis]
paper0
1999The Information Content of the French and German Government Bond Tield Curves: Why Such Differences?. In: Working papers.
[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.
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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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This paper has another version. Agregated cites: 15
paper
2018A General Equilibrium Appraisal of Capital Shortfall In: Working papers.
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paper0
2018A General Equilibrium Appraisal of Capital Shortfall.(2018) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
1999Modelisation et prevision des indices de prix sectoriels. In: Working papers.
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paper3
2000Does Correlation between Stock Returns Really Increase during Turbulent Period?. In: Working papers.
[Full Text][Citation analysis]
paper32
2001Does Correlation Between Stock Returns Really Increase During Turbulent Periods?.(2001) In: Economic Notes.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32
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.
[Citation analysis]
This paper has another version. Agregated cites: 8
paper
2001Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis. In: Working papers.
[Full Text][Citation analysis]
paper34
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: 34
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.
[Citation analysis]
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2001Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US Data. In: Working papers.
[Full Text][Citation analysis]
paper31
2001Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US data.(2001) In: Macroeconomics.
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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.
[Citation analysis]
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
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.
[Full Text][Citation analysis]
paper2
2007Aggregating Phillips Curves In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper24
2007Aggregating Phillips Curves.(2007) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 24
paper
2007Aggregating Phillips curves.(2007) In: Working Paper Series.
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This paper has another version. Agregated cites: 24
paper
2006Aggregating Phillips curves.(2006) In: 2006 Meeting Papers.
[Citation analysis]
This paper has another version. Agregated cites: 24
paper
2006Aggregating Phillips Curves.(2006) In: Computing in Economics and Finance 2006.
[Citation analysis]
This paper has another version. Agregated cites: 24
paper
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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paper1
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: 1
article
2012Systemic Risk in Europe In: Swiss Finance Institute Research Paper Series.
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paper38
2015Systemic Risk in Europe.(2015) In: Review of Finance.
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This paper has another version. Agregated cites: 38
article
2013Systemic Risk in Europe.(2013) In: Global Credit Review (GCR).
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This paper has another version. Agregated cites: 38
article
2014Systemic Risk in Europe.(2014) In: World Scientific Book Chapters.
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This paper has another version. Agregated cites: 38
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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This paper has another version. Agregated cites: 1
article
2014Optimal Long-Term Allocation with Pension Fund Liabilities In: Swiss Finance Institute Research Paper Series.
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paper0
2014Asymmetric Beta Comovement and Systematic Downside Risk In: Swiss Finance Institute Research Paper Series.
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paper0
2015Collateralization, Leverage, and Stressed Expected Loss In: Swiss Finance Institute Research Paper Series.
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paper0
2017Collateralization, leverage, and stressed expected loss.(2017) In: Journal of Financial Stability.
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This paper has another version. Agregated cites: 0
article
2015Average Skewness Matters! In: Swiss Finance Institute Research Paper Series.
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paper0
2019Average skewness matters.(2019) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 0
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.
[Full Text][Citation analysis]
paper0
2018When Are Stocks Less Volatile in the Long Run? In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
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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paper0
1998Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities In: CEPR Discussion Papers.
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paper42
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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This paper has another version. Agregated cites: 42
article
1997Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities.(1997) In: Working Papers.
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This paper has another version. Agregated cites: 42
paper
1998Reading Interest Rate and Bond Futures Options Smiles Around the 1997 French Snap Election In: CEPR Discussion Papers.
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paper0
2000Entropy densities In: HEC Research Papers Series.
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paper6
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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paper58
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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This paper has another version. Agregated cites: 58
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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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article144
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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article57
2008Examining bias in estimators of linear rational expectations models under misspecification In: Journal of Econometrics.
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article12
2015The dynamics of squared returns under contemporaneous aggregation of GARCH models In: Journal of Empirical Finance.
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article2
2001Reading PIBOR futures options smiles: The 1997 snap election In: Journal of Banking & Finance.
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article14
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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article39
2006The Copula-GARCH model of conditional dependencies: An international stock market application In: Journal of International Money and Finance.
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article238
2011Sectoral Phillips curves and the aggregate Phillips curve In: Journal of Monetary Economics.
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article20
2011Sectoral Phillips curves and the aggregate Phillips curve.(2011) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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paper
1996Test of persistent causality with an application of the expectations theory of the term structure In: THEMA Working Papers.
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paper0
1996Test of persistent Causality with an Application of the Expectations Theory of the Term Structure..(1996) In: Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
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2005Testing Heterogeneity within the Euro Area Using a Structural Multi-Country Model In: Documents de recherche.
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paper0
2005Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion? In: FAME Research Paper Series.
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paper6
2002Conditional Dependency of Financial Series: The Copula-GARCH Model In: FAME Research Paper Series.
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paper7
2002The Allocation of Assets Under Higher Moments In: FAME Research Paper Series.
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paper0
1992France-Allemagne: Asymetries et convergence. In: Caisse des Depots et Consignations - Cahiers de recherche.
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paper1
1993Le modele de prevision mensuelle du prix des actifs financiers dans le G5: une analyse des proprietes. In: Caisse des Depots et Consignations - Cahiers de recherche.
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paper0
1993Analyse des cours boursiers : une premiere approche. In: Caisse des Depots et Consignations - Cahiers de recherche.
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paper0
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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paper0
1993Les politiques monetaires au sein du SME. In: Caisse des Depots et Consignations - Cahiers de recherche.
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paper1
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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paper0
1993Modelisation du prix des actifs financiers. In: Caisse des Depots et Consignations - Cahiers de recherche.
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paper1
1994Modele de prevision et allocation dactifs. In: Caisse des Depots et Consignations - Cahiers de recherche.
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paper0
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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paper0
1998Estimating Gram-Charlier Expansions Under Positivity Constraints In: Working Papers.
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paper0
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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article11
1992La soutenabilité de la politique budgétaire In: Économie et Prévision.
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article7
1992La gestion optimale des finances publiques en présence de coûts dajustement In: Économie et Prévision.
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article0
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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article3
2004Gestion institutionnelle et volatilité des marchés financiers In: Revue d'Économie Financière.
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article1
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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