Eric Jondeau : Citation Profile


Are you Eric Jondeau?

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

18

H index

24

i10 index

963

Citations

RESEARCH PRODUCTION:

41

Articles

89

Papers

1

Chapters

RESEARCH ACTIVITY:

   26 years (1990 - 2016). See details.
   Cites by year: 37
   Journals where Eric Jondeau has often published
   Relations with other researchers
   Recent citing documents: 119.    Total self citations: 23 (2.33 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pjo225
   Updated: 2017-09-23    RAS profile: 2017-08-12    
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Relations with other researchers


Works with:

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 (17)

Ñíguez Grau, Trino (9)

Kerstens, Kristiaan (8)

Brière, Marie (8)

Rockinger, Michael (7)

Rumler, Fabio (7)

Mavroeidis, Sophocles (7)

Monfort, Alain (7)

Siklos, Pierre (7)

Tristani, Oreste (7)

Christoffersen, Peter (7)

Cites to:

Campbell, John (107)

Shiller, Robert (63)

Engle, Robert (39)

Bollerslev, Tim (39)

Harvey, Campbell (35)

Svensson, Lars (34)

Rudebusch, Glenn (24)

Mishkin, Frederic (23)

Gertler, Mark (23)

Fuhrer, Jeffrey (23)

Granger, Clive (22)

Main data


Where Eric Jondeau has published?


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

Working Papers Series with more than one paper published# docs
Swiss Finance Institute Research Paper Series / Swiss Finance Institute14
Working Papers / HAL10
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 (2017 and 2016)


YearTitle of citing document
2016Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach. (2016). Violante, Francesco ; de Magistris, Paolo Santucci ; Barletta, Andrea . In: CREATES Research Papers. RePEc:aah:create:2016-20.

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

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2016Analysis of Energy and Agricultural Commodity Markets with the Policy Mandated: A Vine Copula-based ARMA-EGARCH Model. (2016). Chen, Kuan-Ju . In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:236028.

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2016TIME VARYING CORRELATION RESEARCH AMONG CORN, ETHANOL, AND GASOLINE: COPULA –GARCH APPROACH. (2016). Anderson, David P ; Welch, Mark J ; Su, Sang . In: 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama. RePEc:ags:saea17:252741.

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2016Switching-GAS Copula Models With Application to Systemic Risk. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1504.03733.

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2016Portfolio Optimisation Under Flexible Dynamic Dependence Modelling. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1601.05199.

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2016Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

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2016A new structural stochastic volatility model of asset pricing and its stylized facts. (2016). Pruna, Radu T ; Jennings, Nicholas R ; Polukarov, Maria . In: Papers. RePEc:arx:papers:1604.08824.

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2016Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models. (2016). Catania, Leopoldo ; Nonejad, Nima . In: Papers. RePEc:arx:papers:1605.00230.

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

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

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

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2016Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets. (2016). Mauad, Roberto ; Laurini, Márcio ; Aiube, Fernando Antonio ; Lucena, Fernando Antonio . In: Working Papers Series. RePEc:bcb:wpaper:415.

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2016Globalization, Market Structure and Inflation Dynamics.. (2016). Guilloux-Nefussi, Sophie. In: Working papers. RePEc:bfr:banfra:610.

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2016Testing Subspace Granger Causality. (2016). Al-Sadoon, Majid. In: Working Papers. RePEc:bge:wpaper:850.

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

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

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

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

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20162333-2349. (2016). de Mendonça, Helder ; da Silva, Roseli ; de Mendona, Helder Ferreira ; deMendona, Helder Ferreira . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00713.

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2016The information in systemic risk rankings. (2016). Schwaab, Bernd ; Lucas, Andre ; Koopman, Siem Jan ; Nucera, Federico . In: Working Paper Series. RePEc:ecb:ecbwps:20161875.

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2016Monetary Policy and External Factors: Empirical Evidence for Association of Southeast Asian Nations 3. (2016). Gan, Pei-Tha ; Rambeli, Norimah ; Mohammed, Mohammed Yahya ; Lee, Nyuk-Ling . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-04-39.

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2016Managing risk with a realized copula parameter. (2016). Fengler, Matthias ; Okhrin, Ostap . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:131-152.

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2016Linking Tukey’s legacy to financial risk measurement. (2016). Vijverberg, Wim ; Tapinar, Suleyman . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:595-615.

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2016Can monetary policy fully stabilize pure demand shocks in a monetary union with a fiscal leader?. (2016). Mavrodimitrakis, Christos ; Chortareas, Georgios. In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:463-468.

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2016Determinants of sovereign bond yield spreads and contagion in the peripheral EU countries. (2016). Brooks, Rob ; Fenech, Jean Pierre ; Silvapulle, Param ; Thomas, Alice. In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:83-92.

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2016Contagion in the worlds stock exchanges seen as a set of coupled oscillators. (2016). Rotundo, Giulia ; Bellenzier, Lucia ; Andersen, Jorgen Vitting . In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:224-236.

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2016Portfolio selection with a systematic skewness constraint. (2016). An, Yunbi ; Ma, Yongkai ; Jiang, Chonghui . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:37:y:2016:i:c:p:393-405.

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2016Relationship between oil, stock prices and exchange rates: A vine copula based GARCH method. (2016). BEN AISSA, Mohamed ; Aloui, Riadh . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:37:y:2016:i:c:p:458-471.

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2016Linear time-varying regression with Copula–DCC–GARCH models for volatility. (2016). Kim, Jong-Min ; Jung, Hojin . In: Economics Letters. RePEc:eee:ecolet:v:145:y:2016:i:c:p:262-265.

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2016On the sources of macroeconomic stability in the euro area. (2016). Sahuc, Jean-Guillaume ; Avouyi-Dovi, Sanvi. In: European Economic Review. RePEc:eee:eecrev:v:83:y:2016:i:c:p:40-63.

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

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2016Dynamic conditional correlation multiplicative error processes. (2016). Hautsch, Nikolaus ; Bodnar, Taras . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:41-67.

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2016The information in systemic risk rankings. (2016). Schwaab, Bernd ; Lucas, Andre ; Koopman, Siem Jan ; Nucera, Federico . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:461-475.

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2016Uncertainty and crude oil returns. (2016). Miller, Stephen ; GUPTA, RANGAN ; Aloui, Riadh. In: Energy Economics. RePEc:eee:eneeco:v:55:y:2016:i:c:p:92-100.

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

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2016Will the crisis “tear us apart”? Evidence from the EU. (2016). Ingham, Hilary ; Pappas, Vasileios ; Steele, Gerry ; Izzeldin, Marwan . In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:346-360.

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2016Determinants of asymmetric return comovements of gold and other financial assets. (2016). Mandal, Anandadeep ; Poshakwale, Sunil S. In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:229-242.

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2016Dynamic conditional copula correlation and optimal hedge ratios with currency futures. (2016). Kotkatvuori-ornberg, Juha . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:60-69.

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2016Pure higher-order effects in the portfolio choice model. (2016). Peel, David ; Paya, Ivan ; Ñíguez Grau, Trino ; Iguez, Trino-Manuel . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:255-260.

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

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2016A comprehensive approach to measuring the relation between systemic risk exposure and sovereign debt. (2016). Sedunov, John ; Pagano, Michael S. In: Journal of Financial Stability. RePEc:eee:finsta:v:23:y:2016:i:c:p:62-78.

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2016Systemic risk spillovers in the European banking and sovereign network. (2016). Schienle, Melanie ; Hautsch, Nikolaus ; Betz, Frank ; Peltonen, Tuomas A. In: Journal of Financial Stability. RePEc:eee:finsta:v:25:y:2016:i:c:p:206-224.

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2016Insurance companies’ trading behaviour during the European sovereign debt crisis: Flight home or flight to quality?. (2016). Vermeulen, Robert ; Bijlsma, Melle. In: Journal of Financial Stability. RePEc:eee:finsta:v:27:y:2016:i:c:p:137-154.

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2016Pricing and hedging basket options with exact moment matching. (2016). Paletta, Tommaso ; Leccadito, Arturo ; Tunaru, Radu . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:59-69.

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2016Optimal mix between pay-as-you-go and funding for DC pension schemes in an overlapping generations model. (2016). Alonso-Garcia, J ; Devolder, P. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:224-236.

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2016Impact of volatility clustering on equity indexed annuities. (2016). HAINAUT, DONATIEN . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:367-381.

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2016Systemic risk among European banks: A copula approach. (2016). Kleinow, Jacob ; Moreira, Fernando . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:42:y:2016:i:c:p:27-42.

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

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

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

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2016The systemic risk of European banks during the financial and sovereign debt crises. (2016). Correa, Ricardo ; Black, Lamont ; Zhou, Hao ; Huang, Xin . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:63:y:2016:i:c:p:107-125.

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2016Too-international-to-fail? Supranational bank resolution and market discipline. (2016). Zoican, Marius ; Gornicka, Lucyna A. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:65:y:2016:i:c:p:41-58.

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2016Structure and estimation of Lévy subordinated hierarchical Archimedean copulas (LSHAC): Theory and empirical tests. (2016). Wang, Chou-Wen ; Tan, Ken Seng . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:69:y:2016:i:c:p:20-36.

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2016Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests. (2016). Koliai, Lyes . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:70:y:2016:i:c:p:1-22.

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2016Multivariate moments expansion density: Application of the dynamic equicorrelation model. (2016). Perote, Javier ; Ñíguez Grau, Trino ; Iguez, Trino-Manuel . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:s:p:s216-s232.

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2016The economic value of controlling for large losses in portfolio selection. (2016). Dias, Alexandra . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:s:p:s81-s91.

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

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2016Common trends in global volatility. (2016). Hurn, Stan ; Clements, Adam ; Volkov, V V. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:67:y:2016:i:c:p:194-214.

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2016Monetary policy uncertainty and investor expectations. (2016). Sinha, Arunima . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:47:y:2016:i:pb:p:188-199.

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2016Effects of incorrect specification on the finite sample properties of full and limited information estimators in DSGE models. (2016). Scheufele, Rolf ; Giesen, Sebastian. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:48:y:2016:i:c:p:1-18.

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

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2016On the dynamic dependence and asymmetric co-movement between the US and Central and Eastern European transition markets. (2016). Raza, Syed ; Boubaker, Heni . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:459:y:2016:i:c:p:9-23.

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2016The exceedance and cross-correlations between the gold spot and futures markets. (2016). Jiang, Wei ; Ruan, Qingsong ; Huang, Ying . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:463:y:2016:i:c:p:139-151.

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

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

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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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2016The source of stock return fluctuation in Taiwan. (2016). Liu, De-Chih . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:61:y:2016:i:c:p:77-88.

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

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2016Continuous wavelet transform and rolling correlation of European stock markets. (2016). Tiwari, Aviral ; Mutascu, Mihai Ioan ; Albulescu, Claudiu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:42:y:2016:i:c:p:237-256.

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2016The new Keynesian Phillips curve: An update on recent empirical advances. (2016). Sgro, Pasquale ; Bhattacharya, Prasad ; Abbas, Syed. In: International Review of Economics & Finance. RePEc:eee:reveco:v:43:y:2016:i:c:p:378-403.

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2016Trade of goods and services and risk sharing ability in international equity markets: Are these substitutes or complements?. (2016). Doytch, Nadia ; Nguyen, Tri Tung ; Narayan, Seema ; Kluegel, Karl . In: International Review of Economics & Finance. RePEc:eee:reveco:v:45:y:2016:i:c:p:485-503.

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

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

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2016A model based on Copula Theory for sustainable and social responsible investments. (2016). Bilbao-Terol, Amelia ; Caal-Fernandez, Veronica ; Arenas-Parra, Mar . In: Revista de Contabilidad - Spanish Accounting Review. RePEc:eee:spacre:v:19:y:2016:i:1:p:55-76.

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2016Risk-consistent conditional systemic risk measures. (2016). Hoffmann, Hannes ; Svindland, Gregor ; Meyer-Brandis, Thilo . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:7:p:2014-2037.

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2016Should ports expand their facilities under congestion and uncertainty?. (2016). Chen, Hsiao-Chi ; Liu, Shi-Miin . In: Transportation Research Part B: Methodological. RePEc:eee:transb:v:85:y:2016:i:c:p:109-131.

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2016The Effectiveness of a Fiscal Transfer Mechanism in a Monetary Union: A DSGE Model for the Euro Area. (2016). Verstegen, Loes ; Meijdam, Lex . In: EcoMod2016. RePEc:ekd:009007:9622.

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2016Dynamic D-Vine copula model with applications to Value-at-Risk (VaR). (2016). Valls Pereira, Pedro ; Ziegelmann, Flavio Augusto ; Silva, Osvaldo Candido . In: Textos para discussão. RePEc:fgv:eesptd:424.

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2016Recovering the Most Entropic Copulas from Preliminary Knowledge of Dependence. (2016). Chu, Ba ; Satchell, Stephen . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:20-:d:66662.

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2016Recovering the Most Entropic Copulas from Preliminary Knowledge of Dependence. (2016). Chu, BA ; Satchell, Stephen . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:20:d:66662.

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2016A 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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2016Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 Countries. (2016). Härdle, Wolfgang ; Chen, Cathy Yi-Hsuan ; Hardle, Wolfgang Karl ; Chiang, Thomas C. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2016-001.

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2016Searching high and low: Extremal dependence of international sovereign bond markets. (2016). Vizek, Maruška ; Tkalec, Marina ; Posedel, Petra ; Basrak, Bojan . In: Working Papers. RePEc:iez:wpaper:1604.

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2017Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise. (2017). Pederzoli, Chiara ; Torricelli, Costanza . In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:3:d:10.1007_s10436-017-0294-z.

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2016Examining Volatility Persistence and News Asymmetry in Soybeans Futures Returns. (2016). Musunuru, Naveen . In: Atlantic Economic Journal. RePEc:kap:atlecj:v:44:y:2016:i:4:d:10.1007_s11293-016-9517-3.

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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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2017Measuring and Testing Tail Dependence and Contagion Risk Between Major Stock Markets. (2017). Su, Ender . In: Computational Economics. RePEc:kap:compec:v:50:y:2017:i:2:d:10.1007_s10614-016-9587-y.

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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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2017Understanding inflation dynamics in the Euro Area: deviants and commonalities across member countries. (2017). Amberger, Johanna ; Fendel, Ralf . In: Empirica. RePEc:kap:empiri:v:44:y:2017:i:2:d:10.1007_s10663-016-9322-x.

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2017Implied volatility and skewness surface. (2017). Feunou, Bruno ; Tedongap, Romeo ; Fontaine, Jean-Sebastien . In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:2:d:10.1007_s11147-016-9127-x.

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2017Retrieving risk neutral moments and expected quadratic variation from option prices. (2017). Tzavalis, Elias ; Rompolis, Leonidas S. 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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2017Sources of time varying return comovements during different economic regimes: evidence from the emerging Indian equity market. (2017). Poshakwale, Sunil S ; Mandal, Anandadeep . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:4:d:10.1007_s11156-016-0580-2.

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2016The Term Structure of Interest Rates in India. (2016). Sinha, Arunima ; Mehra, Rajnish. In: NBER Working Papers. RePEc:nbr:nberwo:22020.

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2016Estimating the Taylor Rule in the Time-Frequency Domain. (2016). Martins, Manuel ; Aguiar-Conraria, Luis ; Soares, Maria Joana ; Manuel M. F. Martins, . In: CEF.UP Working Papers. RePEc:por:cetedp:1404.

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2016Measuring utility without mixing apples and oranges and eliciting beliefs about stock prices. (2016). O'Callaghan, Patrick . In: MPRA Paper. RePEc:pra:mprapa:69363.

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2016ANALYSE DE LA VULNERABILITE MACROECONOMIQUE DE LA ZONE FRANC. (2016). Besso, Christophe Raoul ; Chameni, Celestin . In: MPRA Paper. RePEc:pra:mprapa:75143.

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2017Dynamika inflácie v krajinách monetárnej únie: jej vplyv na spoločnú hospodársku politiku. (2017). Kupkovic, Patrik. In: Politická ekonomie. RePEc:prg:jnlpol:v:2017:y:2017:i:1:id:1127:p:62-81.

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2016Hybrid MSV-MGARCH Models – General Remarks and the GMSF-SBEKK Specification. (2016). Osiewalski, Jacek. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:8:y:2016:i:4:p:241-271.

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2016Poland as an inflation nutter:The story of successful output stabilization. (2016). Ryczkowski, Maciej. In: Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics. RePEc:rfe:zbefri:v:34:y:2016:i:2:p:363-392.

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2016Joint distribution of stock indices: Methodological aspects of construction and selection of copula models. (2016). Knyazev, Alexander ; Lepekhin, Oleg . In: Applied Econometrics. RePEc:ris:apltrx:0290.

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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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article1
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: 1
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1999Causalité de long terme et amélioration de la prévision : application aux courbes de taux dintérêt In: Annals of Economics and Statistics.
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article0
2001La théorie des anticipations de la structure par terme permet-elle de rendre compte de lévolution des taux dintérêt sur euro-devise ? In: Annals of Economics and Statistics.
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article0
2002Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies In: Annals of Economics and Statistics.
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article6
2000Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies..(2000) In: Working papers.
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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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article23
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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paper69
2006Optimal Portfolio Allocation under Higher Moments.(2006) In: European Financial Management.
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This paper has another version. Agregated cites: 69
article
2006Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity. In: Working papers.
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paper27
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: 27
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: 27
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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paper2
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: 2
article
1997Représentation VAR et test de la théorie des anticipations de la structure par terme. In: Working papers.
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paper0
1998Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral In: Working papers.
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paper2
1998Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates In: Working papers.
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paper18
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: 18
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: 18
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.
[Full Text][Citation analysis]
paper0
1999La modelisation de la volatilite des bourses asiatiques. In: Working papers.
[Full Text][Citation analysis]
paper0
1999La mesure du ratio rendement-risque a partir du marche des euro-devises. In: Working papers.
[Full Text][Citation analysis]
paper0
1999The Information Content of the French and German Government Bond Tield Curves: Why Such Differences?. In: Working papers.
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paper1
1999Modelling the French Swap Spread. In: Working papers.
[Full Text][Citation analysis]
paper0
1999The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets. In: Working papers.
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paper11
1999The Tail Behavior of Stock Returns: Emerging versus Mature Markets.(1999) In: Les Cahiers de Recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
paper
1999Modelisation et prevision des indices de prix sectoriels. In: Working papers.
[Full Text][Citation analysis]
paper3
2000Does Correlation between Stock Returns Really Increase during Turbulent Period?. In: Working papers.
[Full Text][Citation analysis]
paper18
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: 18
article
2000Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence. In: Working papers.
[Full Text][Citation analysis]
paper8
2000Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence.(2000) In: Les Cahiers de Recherche.
[Full Text][Citation analysis]
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.
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paper27
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: 27
article
2001Conditional Dependency of Financial Series: An Application of Copulas. In: Working papers.
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paper20
2001Conditional dependency of financial series : an application of copulas.(2001) In: Les Cahiers de Recherche.
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This paper has another version. Agregated cites: 20
paper
2001Conditional Dependency of Financial Series: An Application of Copulas.(2001) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 20
paper
2001Assessing GMM Estimates of the Federal Reserve Reaction Function. In: Working papers.
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paper13
2001Assessing GMM Estimates of the Federal Reserve Reaction Function.(2001) In: Econometrics.
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This paper has another version. Agregated cites: 13
paper
2001Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US Data. In: Working papers.
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paper31
2001Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US data.(2001) In: Macroeconomics.
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This paper has another version. Agregated cites: 31
paper
2002Asset Allocation in Transition Economies. In: Working papers.
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paper0
2002Asset Allocation in Transition Economies.(2002) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
2006The Economic Value of Distributional Timing In: Swiss Finance Institute Research Paper Series.
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paper2
2006The Impact of News on Higher Moments In: Swiss Finance Institute Research Paper Series.
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paper1
2007Aggregating Phillips Curves In: Swiss Finance Institute Research Paper Series.
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paper24
2007Aggregating Phillips Curves.(2007) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 24
paper
2007Aggregating Phillips curves.(2007) In: Working Paper Series.
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This paper has another version. Agregated cites: 24
paper
2006Aggregating Phillips curves.(2006) In: 2006 Meeting Papers.
[Citation analysis]
This paper has another version. Agregated cites: 24
paper
2006Aggregating Phillips Curves.(2006) In: Computing in Economics and Finance 2006.
[Citation analysis]
This paper has another version. Agregated cites: 24
paper
2008Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias In: Swiss Finance Institute Research Paper Series.
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paper0
2009Aggregating Rational Expectations Models in the Presence of Unobserved Micro Heterogeneity In: Swiss Finance Institute Research Paper Series.
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paper1
0Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty In: Swiss Finance Institute Research Paper Series.
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paper0
0Moment Component Analysis: An Illustration with International Stock Markets In: Swiss Finance Institute Research Paper Series.
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paper0
Systemic Risk in Europe In: Swiss Finance Institute Research Paper Series.
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paper15
2015Systemic Risk in Europe.(2015) In: Review of Finance.
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This paper has another version. Agregated cites: 15
article
2014Systemic Risk in Europe.(2014) In: World Scientific Book Chapters.
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This paper has another version. Agregated cites: 15
chapter
Estimating 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
Optimal Long-Term Allocation with Pension Fund Liabilities In: Swiss Finance Institute Research Paper Series.
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paper0
Asymmetric Beta Comovement and Systematic Downside Risk In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper0
2015Collateralization, Leverage, and Stressed Expected Loss In: Swiss Finance Institute Research Paper Series.
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paper0
2015Average Skewness Matters! In: Swiss Finance Institute Research Paper Series.
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paper0
2016Forecasting Financial Returns with a Structural Macroeconomic Model In: Swiss Finance Institute Research Paper Series.
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paper0
1998Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper31
2000Reading the smile: the message conveyed by methods which infer risk neutral densities.(2000) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 31
article
1997Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities.(1997) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 31
paper
1998Reading Interest Rate and Bond Futures Options Smiles Around the 1997 French Snap Election In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper0
2000Entropy densities In: Les Cahiers de Recherche.
[Full Text][Citation analysis]
paper6
2000Entropy Densities.(2000) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 6
paper
2001Testing for differences in the tails of stock-market returns In: Les Cahiers de Recherche.
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paper46
2003Testing for differences in the tails of stock-market returns.(2003) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 46
article
2001Testing for differences in the tails of stock-market returns.(2001) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 46
paper
2001Portfolio allocation in transition economies In: Les Cahiers de Recherche.
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paper0
2001Portfolio allocation in transition economies.(2001) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
2016Asymmetry in tail dependence in equity portfolios In: Computational Statistics & Data Analysis.
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article1
2001Gram-Charlier densities In: Journal of Economic Dynamics and Control.
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article61
2003Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements In: Journal of Economic Dynamics and Control.
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article111
2003Users guide In: Journal of Economic Dynamics and Control.
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article1
2005Testing for the New Keynesian Phillips Curve. Additional international evidence In: Economic Modelling.
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article57
2008Examining bias in estimators of linear rational expectations models under misspecification In: Journal of Econometrics.
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article10
2015The dynamics of squared returns under contemporaneous aggregation of GARCH models In: Journal of Empirical Finance.
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article1
2001Reading PIBOR futures options smiles: The 1997 snap election In: Journal of Banking & Finance.
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article11
2015Estimating the price impact of trades in a high-frequency microstructure model with jumps In: Journal of Banking & Finance.
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article2
1999The expectations hypothesis of the term structure: tests on US, German, French, and UK Euro-rates In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article37
2006The Copula-GARCH model of conditional dependencies: An international stock market application In: Journal of International Money and Finance.
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article175
2011Sectoral Phillips curves and the aggregate Phillips curve In: Journal of Monetary Economics.
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article11
2011Sectoral Phillips curves and the aggregate Phillips curve.(2011) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]
This paper has another version. Agregated cites: 11
paper
1996Test of persistent causality with an application of the expectations theory of the term structure In: THEMA Working Papers.
[Citation analysis]
paper0
1996Test of persistent Causality with an Application of the Expectations Theory of the Term Structure..(1996) In: Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
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This paper has another version. Agregated cites: 0
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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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paper5
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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This paper has another version. Agregated cites: 1
article
1993Politique monetaire et objectifs intermedieres aux Etats-Unis. In: Caisse des Depots et Consignations - Cahiers de recherche.
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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.
[Citation analysis]
paper0
1998Estimating Gram-Charlier Expansions Under Positivity Constraints In: Working Papers.
[Citation analysis]
paper0
1997Estimation et interprétation des densités neutres au risque: une comparaison de méthodes In: Working Papers.
[Citation analysis]
paper0
2009On the Importance of Time Variability in Higher Moments for Asset Allocation In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article0
2009The Impact of Shocks on Higher Moments In: Journal of Financial Econometrics.
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article5
1992La soutenabilité de la politique budgétaire In: Économie et Prévision.
[Full Text][Citation analysis]
article7
1992La gestion optimale des finances publiques en présence de coûts dajustement In: Économie et Prévision.
[Full Text][Citation analysis]
article0
1996Les modèles monétaires de taux de change : un examen empirique In: Économie et Prévision.
[Full Text][Citation analysis]
article0
1990La substitution entre capital et travail : une évaluation sur données dentreprises In: Économie et Statistique.
[Full Text][Citation analysis]
article4
2004Gestion institutionnelle et volatilité des marchés financiers In: Revue d'Économie Financière.
[Full Text][Citation analysis]
article1
1996La stabilité de la fonction de demande de monnaie aux Etats-Unis. In: Revue Économique.
[Full Text][Citation analysis]
article0
2015Long-term Portfolio Allocation Based on Long-term Macro forecasts In: Bankers, Markets & Investors.
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article0
2016Book Review: Risk-Based and Factor Investing In: Bankers, Markets & Investors.
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article0
1999Forecasting French and German long-term rates using a rational expectations model In: Review of World Economics (Weltwirtschaftliches Archiv).
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article1
2016Comment on Exchange rate floor and central bank balance sheets: Simple spillover tests of the Swiss franc In: Aussenwirtschaft.
[Full Text][Citation analysis]
article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated September, 5 2017. Contact: CitEc Team