Eric Jondeau : Citation Profile

Are you Eric Jondeau?

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

20

H index

32

i10 index

1944

Citations

RESEARCH PRODUCTION:

49

Articles

128

Papers

1

Chapters

RESEARCH ACTIVITY:

   34 years (1990 - 2024). See details.
   Cites by year: 57
   Journals where Eric Jondeau has often published
   Relations with other researchers
   Recent citing documents: 145.    Total self citations: 31 (1.57 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pjo225
   Updated: 2024-12-03    RAS profile: 2024-04-18    
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Relations with other researchers

Works with:

Mojon, Benoit (9)

Sahuc, Jean-Guillaume (7)

Cheng, Gong (4)

Vermandel, Gauthier (3)

Ehlers, Torsten (3)

Levieuge, Grégory (3)

Fuster, Andreas (2)

Indergand, Martin (2)

Vayanos, Dimitri (2)

Fahlenbrach, Ruediger (2)

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

Is cited by:

Perote, Javier (28)

Ñíguez Grau, Trino (17)

Sentana, Enrique (16)

Kerstens, Kristiaan (12)

Nguyen, Duc Khuong (11)

Mavroeidis, Sophocles (11)

Tiwari, Aviral (11)

Mora-Valencia, Andrés (10)

Cortés, Lina (10)

Plagborg-Moller, Mikkel (10)

Levieuge, Grégory (9)

Cites to:

Campbell, John (125)

Shiller, Robert (74)

Engle, Robert (56)

Bollerslev, Tim (49)

Harvey, Campbell (39)

Smets, Frank (39)

Svensson, Lars (36)

Mishkin, Frederic (35)

Fuhrer, Jeffrey (32)

Gertler, Mark (28)

Rockinger, Michael (26)

Main data

Where Eric Jondeau has published?

Journals with more than one article published# docs
conomie et Prvision5
Annals of Economics and Statistics4
Journal of Banking & Finance3
Journal of Economic Dynamics and Control3
Journal of International Money and Finance3
Journal of Econometrics2
Journal of Financial Stability2
Bankers, Markets & Investors2
Economics Letters2
Journal of Empirical Finance2
Journal of Financial Econometrics2

Working Papers Series with more than one paper published# docs
Swiss Finance Institute Research Paper Series / Swiss Finance Institute36
Working Papers / HAL10
HEC Research Papers Series / HEC Paris6
BIS Working Papers / Bank for International Settlements5
Post-Print / HAL5
CEPR Discussion Papers / C.E.P.R. Discussion Papers3
FAME Research Paper Series / International Center for Financial Asset Management and Engineering3
Econometrics / University Library of Munich, Germany3
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 (2024 and 2023)

YearTitle of citing document
2024Calendar Effects on Returns, Volatility and Higher Moments: Evidence from Crypto Markets. (2024). Leccadito, Arturo ; Lawuobahsumo, Kokulo ; Algieri, Bernardina. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2024001.

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

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2024Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

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2024Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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

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2023Economic Forecasts Using Many Noises. (2023). Neuhierl, Andreas ; Liao, Yuan ; Shi, Zhentao ; Ma, Xinjie. In: Papers. RePEc:arx:papers:2312.05593.

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2024Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2404.04335.

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2023L’exposition des fonds d’investissement français aux risques climatiques de transition. (2023). Kone, Kolotcholoma ; Jourde, Tristan. In: Bulletin de la Banque de France. RePEc:bfr:bullbf:2023:248:07.

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2024Dynamic linkages in agricultural and energy markets: A quantile impulse response approach. (2024). Li, Jian ; Chavas, Jeanpaul ; Wang, Linjie. In: Agricultural Economics. RePEc:bla:agecon:v:55:y:2024:i:4:p:639-676.

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2023Role of weather in the natural gas market: Insights from the STL?GARCH?W method. (2023). Pan, Zhigang ; Huang, Yisu ; Xia, Zhenglan ; Peng, Lijuan. In: International Finance. RePEc:bla:intfin:v:26:y:2023:i:3:p:304-323.

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2023Average skewness in global equity markets. (2023). Kirli, Imra ; Gunaydin, Doruk A ; Demirtas, Ozgur K ; Atilgan, Yigit. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:245-271.

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2024.

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2023Did monetary policy kill the Phillips Curve? Some simple arithmetics. (2023). Vaccaro-Grange, Etienne ; Furlanetto, Francesco ; Bergholt, Drago. In: Working Paper. RePEc:bno:worpap:2023_2.

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2023Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Papantonis, Ioannis ; Orestis, Agapitos ; Elias, Tzavalis ; Ioannis, Papantonis ; Leonidas, Rompolis. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8.

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2024A Dynamic Latent-Space Model for Asset Clustering. (2024). Antonio, Peruzzi ; Roberto, Casarin. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:2:p:379-402:n:9.

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2023Time-Varying Parameters in Monetary Policy Rules: A GMM Approach. (2023). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10451.

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2024Skewness Preferences: Evidence from Online Poker. (2024). Schneider, Dmitrij ; Kasinger, Johannes ; Dertwinkel-Kalt, Markus. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10977.

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2023Measuring Transition Risk in Investment Funds. (2023). Crisostomo, Ricardo. In: CNMV Working Papers. RePEc:cnv:wpaper:dt_81en.

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2024Nonparametric portfolio efficiency measurement with higher moments. (2024). Kruger, Jens J. In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL). RePEc:dar:wpaper:144371.

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2023Understanding the profitability gap between euro area and US global systemically important banks. (2023). Leite, Joo Matos ; di Vito, Luca ; Fuentes, Natalia Martin. In: Occasional Paper Series. RePEc:ecb:ecbops:2023327.

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2023Optimal monetary policy in an estimated SIR model. (2023). Jaccard, Ivan ; Vermandel, Gauthier ; Benmir, Ghassane. In: Working Paper Series. RePEc:ecb:ecbwps:20232847.

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2024The nonlinear effects of banks’ vulnerability to capital depletion in euro area countries. (2024). Moccero, Diego Nicolas ; Davidson, Sharada Nia. In: Working Paper Series. RePEc:ecb:ecbwps:20242912.

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2024Sustainable risk preferences on asset allocation: a higher order optimal portfolio study. (2024). Esparcia, Carlos ; Escribano, Ana ; Diaz, Antonio. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000029.

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2023Currency portfolio behavior in seven major Asian markets. (2023). Lin, Chinho ; Chang, Hao-Wen. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:540-559.

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2023Portfolio optimization in the presence of tail correlation. (2023). Chibane, Messaoud ; ben Abdelaziz, Fouad. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000470.

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2023No place like home: Home bias and flight-to-quality in Group of Seven countries. (2023). Nagy, Balint-Zsolt ; Socaciu, Erzsebet-Mirjam ; Benedek, Botond. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003619.

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2023Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios. (2023). Huelamo, Diego ; Esparcia, Carlos ; Diaz, Antonio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001735.

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2024Risk-neutral skewness and stock market returns: A time-series analysis. (2024). Zhang, LU ; Wu, Zhengyu ; Li, Xiaowei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001638.

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2024Inflation dynamics and persistence: The importance of the uncertainty channel. (2024). Canepa, Alessandra. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000603.

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2023Political environment and bank performance: Does bank size matter?. (2023). Kouzez, Marc. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:1:s0939362522001182.

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2023Optimal monetary policy in an estimated SIR model. (2023). Vermandel, Gauthier ; Jaccard, Ivan ; Benmir, Ghassane. In: European Economic Review. RePEc:eee:eecrev:v:156:y:2023:i:c:s0014292123001319.

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2023Determinants of connectedness in financial institutions: Evidence from Taiwan. (2023). Mo, Wan-Shin ; Chiang, Shu-Hen ; Chen, Yu-Lun. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000681.

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2023Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies. (2023). Vo, Xuan Vinh ; Zeitun, Rami ; Katsiampa, Paraskevi ; Ur, Mobeen. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000838.

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2023Effect of climate-related risk on the costs of bank loans: Evidence from syndicated loan markets in emerging economies. (2023). Wong, Andrew ; Ho, Kelvin. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000942.

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2023Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models. (2023). Virbickait, Audron ; Nguyen, Hoang. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002360.

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2023How important is green awareness in energy investment decisions? An environmentally-based rebalancing portfolio study. (2023). Esparcia, Carlos ; Diaz, Antonio ; Alonso, Daniel. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006722.

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2024Evaluating the dynamic connectedness of financial assets and bank indices during black-swan events: A Quantile-VAR approach. (2024). Corbet, Shaen ; Kyriazis, Nikolaos. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324000379.

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2023Where is the distribution tail threshold? A tale on tail and copulas in financial risk measurement. (2023). Nave, Juan M ; Gonzalez-Sanchez, Mariano. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000285.

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2023Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict. (2023). Maghyereh, Aktham ; Cui, Jinxin. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000364.

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2023ESG, risk, and (tail) dependence. (2023). Paterlini, Sandra ; Czado, Claudia ; Sahin, Ozge ; Bax, Karoline. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000297.

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2023Measurement and contagion modelling of systemic risk in Chinas financial sectors: Evidence for functional data analysis and complex network. (2023). Gu, Qinen ; Li, Shaofang ; Tian, Sihua. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004295.

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2023Spillovers of joint volatility-skewness-kurtosis of major cryptocurrencies and their determinants. (2023). Jalkh, Naji ; Bouri, Elie. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004313.

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2024Does systemic risk in the fund markets predict future economic downturns?. (2024). Liu, Xiao-Xing ; Zhou, Dong-Hai. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000218.

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2023Measuring sovereign bond fragmentation in the Eurozone. (2023). Iacopini, Matteo ; Costola, Michele. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005323.

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2023Efficient portfolios computed with moment-based bounds. (2023). Popova, Ivilina ; Dokov, Steftcho ; Morton, David P. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006018.

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2023Can average skewness really predict financial returns? The euro area case. (2023). van Cappellen, Jef ; de Ceuster, Marc ; Annaert, Jan. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005529.

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2023Modeling volatility and dependence of European carbon and energy prices. (2023). Arsova, Antonia ; Ziel, Florian ; Pappert, Sven ; Berrisch, Jonathan. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322006791.

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2023Copula approach to market volatility and technology stocks dependence. (2023). Arenda, Peter ; Raiova, Barbara. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007292.

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2023Does realized skewness predict the cross-section of Chinese stock returns?. (2023). Long, Huaigang ; Jiang, Yuexiang ; Dai, Yiming ; Zaremba, Adam ; Wang, Hui. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323007353.

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2024Measuring systemic risk contribution: A higher-order moment augmented approach. (2024). Huang, Guanglin ; Wang, Peiwen. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323012059.

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2024More than meets the eye: On the relationship between skewness and expected returns. (2024). Stein, Roberto. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012485.

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2023Predicting the equity risk premium using the smooth cross-sectional tail risk: The importance of correlation. (2023). Faias, Jose Afonso. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000593.

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2023Job postings and aggregate stock returns. (2023). Odoherty, Michael S ; Kothari, Pratik. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418123000022.

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2023Options-based systemic risk, financial distress, and macroeconomic downturns. (2023). Vioto, Davide ; Tunaru, Radu ; Bevilacqua, Mattia. In: Journal of Financial Markets. RePEc:eee:finmar:v:65:y:2023:i:c:s1386418123000320.

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2024Intraday variation in cross-sectional stock comovement and impact of index-based strategies. (2024). Shen, Yiwen ; Shi, Meiqi. In: Journal of Financial Markets. RePEc:eee:finmar:v:68:y:2024:i:c:s1386418124000120.

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2024Social responsibility and bank resiliency. (2024). Gehrig, Thomas ; Unger, Stephan ; Iannino, Maria Chiara. In: Journal of Financial Stability. RePEc:eee:finsta:v:70:y:2024:i:c:s1572308923000918.

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2023Hedging longevity risk under non-Gaussian state-space stochastic mortality models: A mean-variance-skewness-kurtosis approach. (2023). Chan, Wai-Sum ; Liu, Yanxin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:96-121.

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2023Average tail risk and aggregate stock returns. (2023). , Richard ; Dai, Yingtong. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001718.

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2023Realized higher-order moments spillovers across cryptocurrencies. (2023). Apergis, Nicholas. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000318.

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2023Gold-mining stocks, risk factors, and tail patterns. (2023). , James ; Cai, Jun ; Qin, Yiyi ; Webb, Robert I. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123000914.

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2023Do world stock markets “jump” together? A measure of high-frequency volatility risk spillover networks. (2023). Liu, Xiao-Xing ; Zhou, Dong-Hai. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001117.

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2023The impact of COVID-19 related policy interventions on international systemic risk. (2023). Vioto, Davide ; Duygun, Meryem ; Bevilacqua, Mattia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001270.

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2024Leveraged finance exposure in the banking system: Systemic risk and interconnectedness. (2024). Ranalli, M G ; Tanzi, Musile P ; de Novellis, G ; Stanghellini, E. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001580.

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

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2023Improving variance forecasts: The role of Realized Variance features. (2023). Papantonis, Ioannis ; Tzavalis, Elias ; Rompolis, Leonidas. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1221-1237.

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2023Detecting political event risk in the option market. (2023). KOSTAKIS, ALEXANDROS ; Otsubo, Yoichi ; Mu, Liangyi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002047.

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2023The effect of uncertainty on stock market volatility and correlation. (2023). Hou, Ai Jun ; Christiansen, Charlotte ; Asgharian, Hossein. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001097.

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2024Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Weiss, Gregor ; Timphus, Maike ; Fritzsch, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002261.

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2024Cash holdings in pension funds. (2024). Salva, Carolina ; Hasa, Sidita. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000323.

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2023Macro-financial spillovers. (2023). Yilmaz, Kamil ; Hallam, Mark ; Cotter, John. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000256.

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2023The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate. (2023). Chang, Kuang-Liang. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000402.

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2024The skewness of mean–variance normal mixtures. (2024). Loperfido, Nicola. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:199:y:2024:i:c:s0047259x2300088x.

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2023Composite jet fuel cross-hedging. (2023). Conlon, Thomas ; Cao, Min. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000289.

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2024Option pricing revisited: The role of price volatility and dynamics. (2024). Wang, Linjie ; Li, Jian ; Chavas, Jean-Paul. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000715.

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2023Risk co-movements and portfolio strategies between energy, gold and BRICS markets. (2023). Shah, Waheed Ullah ; Younis, Ijaz ; Longsheng, Cheng ; Qureshi, Fiza ; Hkiri, Besma. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723001952.

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2023Dynamic time-frequency connectedness and risk spillover between geopolitical risks and natural resources. (2023). Zhang, Weiqian ; Li, Songsong. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002659.

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2023Shock transmission between crude oil prices and stock markets. (2023). Esparcia, Carlos ; Jareo, Francisco ; Koczar, Monika W ; Escribano, Ana. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723004658.

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2023Higher-order moment risk spillovers and optimal portfolio strategies in global oil markets. (2023). Alshater, Muneer ; Mensi, Walid ; Cui, Jinxin. In: Resources Policy. RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723009972.

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2023Assessing jump and cojumps in financial asset returns with applications in futures markets. (2023). Yun, Mu-Shu ; Yeh, Jin-Huei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:82:y:2023:i:c:s0927538x23002287.

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2023The macroeconomic effects of a carbon tax to meet the U.S. Paris agreement target: The role of firm creation and technology adoption. (2023). Metcalf, Gilbert E ; Shapiro, Alan Finkelstein. In: Journal of Public Economics. RePEc:eee:pubeco:v:218:y:2023:i:c:s004727272200202x.

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2023Skewness in energy returns: estimation, testing and retain-->implications for tail risk. (2023). Iguez, Trino-Manuel ; Leon, Angel ; Carnero, Angeles M. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:178-189.

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2023On the predictive ability of conditional market skewness. (2023). Serna, Gregorio. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:91:y:2023:i:c:p:186-191.

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2023Risk preferences, global market conditions and foreign debt: Is there any role for the currency composition of FX reserves?. (2023). Mateane, Lebogang. In: Research in Economics. RePEc:eee:reecon:v:77:y:2023:i:3:p:402-418.

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2023Copula-based projections of wind power: Ireland as a case study. (2023). Iglesias, Gregorio ; Gharbia, Salem ; Olbert, Agnieszka I ; Moradian, Sogol. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:175:y:2023:i:c:s1364032123000035.

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

Works by Eric Jondeau:

YearTitleTypeCited
1998La théorie des anticipations de la structure par terme : test à partir de titres publics français In: Annals of Economics and Statistics.
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1997La théorie des anticipations de la structure par terme : test à partir des titres publics français..(1997) In: Working papers.
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This paper has nother 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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2001La théorie des anticipations de la structure par terme permet-elle de rendre compte de lévolution des taux dintérêt sur euro-devise ? In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article4
2002Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article13
2000Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies..(2000) In: Working papers.
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This paper has nother version. Agregated cites: 13		paper
2004Assessing Generalized Method-of-Moments Estimates of the Federal Reserve Reaction Function In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article33
2003ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the New Phillips Curve) In: Working papers.
[Full Text][Citation analysis]		paper27
2004ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the New Phillips Curve).(2004) In: Econometric Society 2004 North American Summer Meetings.
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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 nother version. Agregated cites: 27		paper
2003ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the New Phillips Curve).(2003) In: Econometrics.
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This paper has nother version. Agregated cites: 27		paper
2004The Bank Bias: Segmentation of French Fund Families In: Working papers.
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2004Optimal Portfolio Allocation Under Higher Moments In: Working papers.
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2006Optimal Portfolio Allocation under Higher Moments.(2006) In: European Financial Management.
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2006Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity. In: Working papers.
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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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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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2008Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity.(2008) In: Post-Print.
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This paper has nother version. Agregated cites: 37		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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2007Testing heterogeneity within the euro area. In: Working papers.
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2008Testing heterogeneity within the euro area.(2008) In: Economics Letters.
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2008Testing Heterogeneity within the Euro Area.(2008) In: Post-Print.
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This paper has nother version. Agregated cites: 29		paper
1996The Expectation Theory: Tests on French, German, and American Euro-Rates. In: Working papers.
[Full Text][Citation analysis]		paper2
1997Effets “volume”, volatilité et transmissions internationales sur les marchés boursiers dans le G5 In: Working papers.
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1997Le contenu en information de la pente des taux : application au cas des titres publics français. In: Working papers.
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1999Le contenu en information de la pente des taux : application au cas des titres publics français.(1999) In: Économie et Prévision.
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This paper has nother version. Agregated cites: 4		article
1997Représentation VAR et test de la théorie des anticipations de la structure par terme. In: Working papers.
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1998Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral In: Working papers.
[Full Text][Citation analysis]		paper2
1998Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates In: Working papers.
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1997Long-run causality, with an application to international links between long-term interest rates.(1997) In: THEMA Working Papers.
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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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1998Reading Interest Rate and Bond Futures Options Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election.(1998) In: Working Papers.
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1998La prevision des taux longs français et allemands a partir dun modele a anticipations rationnelles In: Working papers.
[Full Text][Citation analysis]		paper0
1999Estimating Gram-Charlier Expansions with Positivity Constraints. In: Working papers.
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1999Interest Rate Transmission and Volatility Transmission along the Yield Curve. In: Working papers.
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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.
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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.
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1999The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets. In: Working papers.
[Full Text][Citation analysis]		paper19
1999The Tail Behavior of Stock Returns: Emerging versus Mature Markets.(1999) In: HEC Research Papers Series.
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This paper has nother version. Agregated cites: 19		paper
2018A General Equilibrium Appraisal of Capital Shortfall In: Working papers.
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2018A General Equilibrium Appraisal of Capital Shortfall.(2018) In: Swiss Finance Institute Research Paper Series.
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1999Modelisation et prevision des indices de prix sectoriels. In: Working papers.
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2000Does Correlation between Stock Returns Really Increase during Turbulent Period?. In: Working papers.
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2001Does Correlation Between Stock Returns Really Increase During Turbulent Periods?.(2001) In: Economic Notes.
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This paper has nother version. Agregated cites: 59		article
2000Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence. In: Working papers.
[Full Text][Citation analysis]		paper10
2000Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence.(2000) In: HEC Research Papers Series.
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2000Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence.(2000) In: Working Papers.
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This paper has nother version. Agregated cites: 10		paper
2001Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis. In: Working papers.
[Full Text][Citation analysis]		paper44
2002Entropy densities with an application to autoregressive conditional skewness and kurtosis.(2002) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 44		article
2001Conditional Dependency of Financial Series: An Application of Copulas. In: Working papers.
[Full Text][Citation analysis]		paper33
2001Conditional dependency of financial series : an application of copulas.(2001) In: HEC Research Papers Series.
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2001Conditional Dependency of Financial Series: An Application of Copulas.(2001) In: Working Papers.
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This paper has nother version. Agregated cites: 33		paper
2001Assessing GMM Estimates of the Federal Reserve Reaction Function. In: Working papers.
[Full Text][Citation analysis]		paper20
2001Assessing GMM Estimates of the Federal Reserve Reaction Function.(2001) In: Econometrics.
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This paper has nother version. Agregated cites: 20		paper
2001Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US Data. In: Working papers.
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2001Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US data.(2001) In: Macroeconomics.
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This paper has nother version. Agregated cites: 44		paper
2002Asset Allocation in Transition Economies. In: Working papers.
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2002Asset Allocation in Transition Economies.(2002) In: Working Papers.
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2023Environmental Subsidies to Mitigate Net-Zero Transition Costs In: Working papers.
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2022Deconstructing ESG scores: how to invest with your own criteria In: BIS Working Papers.
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2022Deconstructing ESG Scores: How to Invest with Your own Criteria.(2022) In: Swiss Finance Institute Research Paper Series.
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This paper has nother version. Agregated cites: 4		paper
2023Deconstructing ESG Scores: How to Invest with your own Criteria?.(2023) In: IMF Working Papers.
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This paper has nother version. Agregated cites: 4		paper
2022Building portfolios of sovereign securities with decreasing carbon footprints In: BIS Working Papers.
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2022Building portfolios of sovereign securities with decreasing carbon footprints.(2022) In: Swiss Finance Institute Research Paper Series.
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This paper has nother version. Agregated cites: 2		paper
2023The impact of green investors on stock prices In: BIS Working Papers.
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2024The Impact of Green Investors on Stock Prices.(2024) In: NBER Working Papers.
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2020Bank Funding Cost and Liquidity Supply Regimes In: BIS Working Papers.
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2021Greening (runnable) brown assets with a liquidity backstop In: BIS Working Papers.
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2021Greening (Runnable) Brown Assets with a Liquidity Backstop.(2021) In: Swiss Finance Institute Research Paper Series.
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This paper has nother version. Agregated cites: 4		paper
2006The Economic Value of Distributional Timing In: Swiss Finance Institute Research Paper Series.
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2006The Impact of News on Higher Moments In: Swiss Finance Institute Research Paper Series.
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2007Aggregating Phillips Curves In: Swiss Finance Institute Research Paper Series.
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2007Aggregating Phillips Curves.(2007) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 30		paper
2007Aggregating Phillips curves.(2007) In: Working Paper Series.
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2006Aggregating Phillips curves.(2006) In: 2006 Meeting Papers.
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This paper has nother version. Agregated cites: 30		paper
2006Aggregating Phillips Curves.(2006) In: Computing in Economics and Finance 2006.
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This paper has nother version. Agregated cites: 30		paper
2008Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias In: Swiss Finance Institute Research Paper Series.
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2009Optimal Liquidation Strategies in Illiquid Markets In: Swiss Finance Institute Research Paper Series.
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2009Aggregating Rational Expectations Models in the Presence of Unobserved Micro Heterogeneity In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper2
2010Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty In: Swiss Finance Institute Research Paper Series.
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2010Moment Component Analysis: An Illustration with International Stock Markets In: Swiss Finance Institute Research Paper Series.
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2018Moment Component Analysis: An Illustration With International Stock Markets.(2018) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 12		article
2012Systemic Risk in Europe In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper122
2015Systemic Risk in Europe.(2015) In: Review of Finance.
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This paper has nother version. Agregated cites: 122		article
2013Systemic Risk in Europe.(2013) In: Global Credit Review (GCR).
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This paper has nother version. Agregated cites: 122		article
2014Systemic Risk in Europe.(2014) In: World Scientific Book Chapters.
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This paper has nother version. Agregated cites: 122		chapter
2013Long-Term Portfolio Management with a Structural Macroeconomic Model In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2016Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper12
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 nother version. Agregated cites: 12		article
2014Estimating Aggregate Autoregressive Processes When Only Macro Data are Available In: Swiss Finance Institute Research Paper Series.
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2014Estimating aggregate autoregressive processes when only macro data are available.(2014) In: Economics Letters.
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This paper has nother version. Agregated cites: 1		article
2014Optimal Long-Term Allocation with Pension Fund Liabilities In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper1
2014Asymmetric Beta Comovement and Systematic Downside Risk In: Swiss Finance Institute Research Paper Series.
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2015Collateralization, Leverage, and Stressed Expected Loss In: Swiss Finance Institute Research Paper Series.
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2017Collateralization, leverage, and stressed expected loss.(2017) In: Journal of Financial Stability.
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This paper has nother version. Agregated cites: 0		article
2015Average Skewness Matters! In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper45
2019Average skewness matters.(2019) In: Journal of Financial Economics.
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This paper has nother version. Agregated cites: 45		article
2016Forecasting Financial Returns with a Structural Macroeconomic Model In: Swiss Finance Institute Research Paper Series.
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2017Periodic or Generational Actuarial Tables: Which One to Choose? In: Swiss Finance Institute Research Paper Series.
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2018When Are Stocks Less Volatile in the Long Run? In: Swiss Finance Institute Research Paper Series.
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2021When Are Stocks Less Volatile in the Long Run?.(2021) In: Journal of Financial and Quantitative Analysis.
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This paper has nother version. Agregated cites: 0		article
2018Measuring the Capital Shortfall of Large U.S. Banks In: Swiss Finance Institute Research Paper Series.
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2018Strategic Interaction between Hedge Funds and Prime Brokers In: Swiss Finance Institute Research Paper Series.
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2019ESG Investing: From Sin Stocks to Smart Beta In: Swiss Finance Institute Research Paper Series.
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2019Crude Awakening: Oil Prices and Bond Returns In: Swiss Finance Institute Research Paper Series.
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2021Disasters, Large Drawdowns, and Long-term Asset Management In: Swiss Finance Institute Research Paper Series.
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2021Greening the Swiss National Banks Portfolio In: Swiss Finance Institute Research Paper Series.
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2023Greening the Swiss National Bank’s Portfolio.(2023) In: The Review of Corporate Finance Studies.
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This paper has nother version. Agregated cites: 0		article
2021Climate-Related Disasters and the Death Toll In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper1
2021ESG Screening in the Fixed-Income Universe In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper1
2021Building Benchmarks Portfolios with Decreasing Carbon Footprints In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper3
2022Measuring and Stress-Testing Market-Implied Bank Capital In: Swiss Finance Institute Research Paper Series.
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2022Measuring and stress-testing market-implied bank capital.(2022) In: Working Papers.
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This paper has nother version. Agregated cites: 0		paper
2022Environmental Subsidies to Mitigate Transition Risk In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper2
2022Environmental Subsidies to Mitigate Transition risk.(2022) In: EconomiX Working Papers.
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This paper has nother version. Agregated cites: 2		paper
2022How Sustainable Is Swiss Real Estate? Evidence from Institutional Property Portfolios In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
1998Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper57
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 nother version. Agregated cites: 57		article
1997Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities.(1997) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 57		paper
1998Reading Interest Rate and Bond Futures Options Smiles Around the 1997 French Snap Election In: CEPR Discussion Papers.
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2000Entropy densities In: HEC Research Papers Series.
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2000Entropy Densities.(2000) In: Working Papers.
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2001Testing for differences in the tails of stock-market returns In: HEC Research Papers Series.
[Full Text][Citation analysis]		paper72
2003Testing for differences in the tails of stock-market returns.(2003) In: Journal of Empirical Finance.
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2001Testing for differences in the tails of stock-market returns.(2001) In: Working Papers.
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2001Portfolio allocation in transition economies In: HEC Research Papers Series.
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2001Portfolio allocation in transition economies.(2001) In: Working Papers.
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2016Asymmetry in tail dependence in equity portfolios In: Computational Statistics & Data Analysis.
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2001Gram-Charlier densities In: Journal of Economic Dynamics and Control.
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2003Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements In: Journal of Economic Dynamics and Control.
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2003Users guide In: Journal of Economic Dynamics and Control.
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2005Testing for the New Keynesian Phillips Curve. Additional international evidence In: Economic Modelling.
[Full Text][Citation analysis]		article79
2008Examining bias in estimators of linear rational expectations models under misspecification In: Journal of Econometrics.
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2015The dynamics of squared returns under contemporaneous aggregation of GARCH models In: Journal of Empirical Finance.
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2022Bank capital shortfall in the euro area In: Journal of Financial Stability.
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2022Bank capital shortfall in the euro area.(2022) In: Post-Print.
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2022Predicting the stressed expected loss of large U.S. banks In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article2
2001Reading PIBOR futures options smiles: The 1997 snap election In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article18
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]		article45
2006The Copula-GARCH model of conditional dependencies: An international stock market application In: Journal of International Money and Finance.
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2011Sectoral Phillips curves and the aggregate Phillips curve In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article43
2011Sectoral Phillips curves and the aggregate Phillips curve.(2011) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2011Sectoral Phillips curves and the aggregate Phillips curve.(2011) In: Post-Print.
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2011Sectoral Phillips curves and the aggregate Phillips curve.(2011) In: PSE-Ecole d'économie de Paris (Postprint).
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1996Test of persistent causality with an application of the expectations theory of the term structure In: THEMA Working Papers.
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1996Test of persistent Causality with an Application of the Expectations Theory of the Term Structure..(1996) In: Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
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2005Testing Heterogeneity within the Euro Area Using a Structural Multi-Country Model In: Documents de recherche.
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2005Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion? In: FAME Research Paper Series.
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2002Conditional Dependency of Financial Series: The Copula-GARCH Model In: FAME Research Paper Series.
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2002The Allocation of Assets Under Higher Moments In: FAME Research Paper Series.
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1992France-Allemagne: Asymetries et convergence. In: Caisse des Depots et Consignations - Cahiers de recherche.
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1993Le modele de prevision mensuelle du prix des actifs financiers dans le G5: une analyse des proprietes. In: Caisse des Depots et Consignations - Cahiers de recherche.
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1993Analyse des cours boursiers : une premiere approche. In: Caisse des Depots et Consignations - Cahiers de recherche.
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1993Retour sur les determinants fondamentaux des cours boursiers: une formulation a correction derreur. In: Caisse des Depots et Consignations - Cahiers de recherche.
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1993Les politiques monetaires au sein du SME. In: Caisse des Depots et Consignations - Cahiers de recherche.
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1993Les politiques monétaires au sein du SME.(1993) In: Économie et Prévision.
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1993Politique monetaire et objectifs intermedieres aux Etats-Unis. In: Caisse des Depots et Consignations - Cahiers de recherche.
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1993Modelisation du prix des actifs financiers. In: Caisse des Depots et Consignations - Cahiers de recherche.
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1994Modele de prevision et allocation dactifs. In: Caisse des Depots et Consignations - Cahiers de recherche.
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1995Les marches boursiers dans le G5 : effets volume et mesures de la volatilite. In: Caisse des Depots et Consignations - Cahiers de recherche.
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1997Estimation et interprétation des densités neutres au risque: une comparaison de méthodes In: Working Papers.
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2009On the Importance of Time Variability in Higher Moments for Asset Allocation In: Journal of Financial Econometrics.
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2009The Impact of Shocks on Higher Moments In: Journal of Financial Econometrics.
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1992La soutenabilité de la politique budgétaire In: Économie et Prévision.
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1992La gestion optimale des finances publiques en présence de coûts dajustement In: Économie et Prévision.
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1996Les modèles monétaires de taux de change : un examen empirique In: Économie et Prévision.
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1990La substitution entre capital et travail : une évaluation sur données dentreprises In: Économie et Statistique.
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2004Gestion institutionnelle et volatilité des marchés financiers In: Revue d'Économie Financière.
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1996La stabilité de la fonction de demande de monnaie aux Etats-Unis. In: Revue Économique.
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2015Long-term Portfolio Allocation Based on Long-term Macro forecasts In: Bankers, Markets & Investors.
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2016Book Review: Risk-Based and Factor Investing In: Bankers, Markets & Investors.
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1999Forecasting French and German long-term rates using a rational expectations model In: Review of World Economics (Weltwirtschaftliches Archiv).
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2016Comment on Exchange rate floor and central bank balance sheets: Simple spillover tests of the Swiss franc In: Aussenwirtschaft.
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2020Skewness and index futures return In: Journal of Futures Markets.
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