Eric Jondeau
Coordonnées
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Professeur ordinaire
Département de finance Contact Eric.Jondeau@unil.ch Extranef, bureau 232 Tél 021.692.33.49 Adresse postale Université de Lausanne Quartier UNIL-Chamberonne Bâtiment Extranef 1015 Lausanne |
Liens
Enseignements
master Empirical Methods in Finance Formations concernées Maîtrise universitaire ès Sciences en finance, Orientation gestion des actifs et des risques Maîtrise universitaire ès Sciences en finance, Orientation finance d'entreprise Maîtrise universitaire ès Sciences en finance : Entrepreneuriat financier et science des données |
master Quantitative Asset and Risk Management Formations concernées Maîtrise universitaire ès Sciences en finance, Orientation gestion des actifs et des risques Maîtrise universitaire ès Sciences en finance, Orientation finance d'entreprise Maîtrise universitaire ès Sciences en finance : Entrepreneuriat financier et science des données |
Assistants
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Fabio Alessandrini
fabio.alessandrini@unil.ch |
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Oksana Bashchenko
oksana.bashchenko@unil.ch Bureau: 2506130 page personnelle |
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Kevin Billy
kevin.billy@unil.ch |
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Coralie Jaunin
coralie.jaunin@unil.ch Tél: (021 692) 3694 Bureau: 254 page personnelle |
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Ghislaine Lang
ghislaine.lang@unil.ch |
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Alexandre Pauli
alexandre.pauli@unil.ch page personnelle |
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Gabriele Quargnali
gabriele.quargnali@unil.ch |
Publications
72 dernières publications
: Revue avec comité de lecture
In Press
Jondeau Eric, Zhang Qunzi ; Zhu Xiaoneng (in press). When are Stocks Less Volatile in the Long Run?. Journal of Financial and Quantitative Analysis. | |
2020
Bonardi Jean-Philippe, Bris Arturo, Brülhart Marius, Danthine Jean-Pierre, Jondeau Eric, Rohner Dominic ; Thoenig Mathias (2020). The Case for Reopening Economies by Sectors. Harvard Business Review. | |
2019
Arnold S., Jijiie A., Jondeau E. ; Rockinger M. (2019). Periodic or Generational Actuarial Tables: Which One to Choose?. European Actuarial Journal, 9, 519-554. ![]() | |
BIALOVA Ina, Schurhoff Norman (Dir.) (2019). THREE ESSAYS ON MARKET FRICTIONS AND FINANCIAL INTERMEDIATION. Université de Lausanne, Faculté des hautes études commerciales. | |
Jondeau E., Zhang Q. ; Zhu X. (2019). Average skewness matters. Journal of Financial Economics. ![]() | |
2018
Jondeau E. , Rockinger M. (2018). Predicting Long-term Financial Returns: VAR vs. DSGE Model – A Horse-Race. Journal of Money, Credit, and Banking, 51, 2239-2291. ![]() | |
KHALILZADEH NAGHNEH Amir Hossein, Jondeau Eric (Dir.) (2018). Three Essays in Bank Systemic Risk. Université de Lausanne, Faculté des hautes études commerciales. | |
2017
Gerasimova Nataliya, JONDEAU Eric (Dir.) (2017). THREE ESSAYS ON DELEGATED PORTFOLIO MANAGEMENT. Université de Lausanne, Faculté des hautes études commerciales. | |
Jondeau E. , Khalilzadeh A. (2017). Collateralization, leverage, and stressed expected loss. Journal of Financial Stability, 1-18. ![]() | |
Jondeau E. , Rockinger M. (2017). Predicting Long-Term Financial Returns: VAR vs. DSGE Model – A Horse-Race. Swiss Finance Institute. | |
Jondeau E. , Rockinger M. (2017). Do Higher Realized Moments Predict Cross-sectional Returns? The Case of France. HEC Lausanne. | |
2016
Jondeau E. (2016). Asymmetry in tail dependence in equity portfolios. Computational Statistics & Data Analysis, 100, 351-368. ![]() | |
Jondeau E., Jurczenko E. ; Rockinger M. (2016). Moment Component Analysis: An Illustration with International Stock Markets. Journal of Business and Economic Statistics, 1-23. ![]() | |
2015
Engle R., Jondeau E. ; Rockinger M. (2015). Systemic Risk in Europe. Review of Finance, 19, 145-190. ![]() | |
Jondeau E. (2015). The dynamics of squared returns under contemporaneous aggregation of GARCH models. Journal of Empirical Finance, 32, 80-93. ![]() | |
Jondeau E., Lahaye J. ; Rockinger M. (2015). Estimating the price impact of trades in a high-frequency microstructure model with jumps. Journal of Banking and Finance, 61, S205–S224. ![]() | |
Jondeau E. , Rockinger M. (2015). Long-term Portfolio Allocation Based on Long-term Macro Forecasts. Bankers, Markets & Investors, 62-69. | |
Jondeau E. , Rockinger M. (2015). Backtesting Longevity Models: An International Perspective. Cronos Finance. | |
2014
Jondeau E. , Pelgrin F. (2014). Estimating aggregate autoregressive processes when only macro data are available. Economics Letters, 124, 341-347. ![]() | |
Jondeau E. , Rockinger M. (2014). Optimal Long-Term Allocation for a Defined-Contributions Pension Fund. HEC Lausanne. | |
Zhang Q., Jondeau E. (Dir.) (2014). Essays in higher moment asset pricing and liquidity risk. Université de Lausanne, Faculté des hautes études commerciales. | |
2013
Jondeau E. , Rockinger M. (2013). Systemic Risk in Europe. Global Credit Review, 3, 1-6. ![]() | |
2012
Jondeau E. , Rockinger M. (2012). On the Importance of Time Variability in Higher Moments for Asset Allocation. Journal of Financial Econometrics, 10, 84-123. ![]() | |
2011
Imbs J., Jondeau E. ; Pelgrin F. (2011). Sectoral Phillips Curves and the Aggregate Phillips Curve. Journal of Monetary Economics, 58, 328-344. ![]() | |
2010
Jondeau E. , Rockinger M. (2010). Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty. Swiss Finance Institute. | |
2009
Jondeau E. , Pelgrin F. (2009). Aggregating Rational Expectations Models In the Presence of Unobserved Micro Heterogeneity. Swiss Finance Institute. | |
Jondeau E. , Rockinger M. (2009). The Impact of Shocks on Higher Moments. Journal of Financial Econometrics, 7, 77-105. ![]() | |
Vulkán L. N., Jondeau E. (Dir.) (2009). Structural macro factors and the affine term structure of interest rates. Université de Lausanne, Faculté des hautes études commerciales. | |
2008
Jondeau E. (2008). Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias. Swiss Finance Institute. | |
Jondeau E. , Le Bihan H. (2008). Examining Bias in Estimators of Linear Rational Expectations Models under Misspecification. Journal of Econometrics, 143, 375 - 395. ![]() | |
Jondeau E. , Sahuc J.-G. (2008). Testing Heterogeneity within the Euro Area. Economics Letters, 99, 192-196. ![]() | |
2007
Imbs J., Jondeau E. ; Pelgrin F. (2007). Aggregating Phillips Curves. CEPR - Centre for Economic Policy Research. | |
Jondeau E., Perilla A. ; Rockinger M. (2007). Optimal Liquidation Strategies in Illiquid Markets. Swiss Finance Institute. | |
Jondeau E., Poon S.-H. ; Rockinger M. (2007). Financial Modeling Under Non-Gaussian Distributions. Springer Verlag London, London, UK. | |
2006
Jondeau E. , Rockinger M. (2006). The Copula-GARCH Model of Conditional Dependencies: An International Stock Market Application. Journal of International Money and Finance, 25, 827-853. ![]() | |
Jondeau E. , Rockinger M. (2006). Optimal Portfolio Allocation Under Higher Moments. European Financial Management, 12, 29-55. ![]() | |
Jondeau E. , Rockinger M. (2006). Modelling the Dynamics of Conditional Dependency Between Financial Series. Multi-moment Asset Allocation and Pricing Models (pp. 195-221). Wiley, Chichester, UK. | |
Jondeau E. , Rockinger M. (2006). Time-Variability in Higher Moments Is Important for Asset Allocation. Swiss Finance Institute. | |
Jondeau E. , Rockinger M. (2006). The Economic Value of Distributional Timing. Swiss Finance Institute. | |
2005
Jondeau E. , Le Bihan H. (2005). Testing for the New Keynesian Phillips Curve. Additional international evidence. Economic Modelling, 22, 521-550. ![]() | |
Jondeau E. , Rockinger M. (2005, Jan). Conditional Asset Allocation under Non-Normality: How Costly Is the Mean-Variance Criterion?. European Finance Association Meeting. | |
2004
Jondeau E., Le Bihan H. ; Gallès C. (2004). Assessing Generalized Method of Moments Estimates of the Federal Reserve Reaction Function. Journal of Business and Economic Statistics, 22, 225-239. ![]() | |
Jondeau E. , Rockinger M. (2004). The Bank Bias: Segmentation of French Fund Families. Banque de France. | |
2003
Jondeau E. , Rockinger M. (2003). User's Guide. Journal of Economic Dynamics and Control, 27, 1739-1742. ![]() | |
Jondeau E. , Rockinger M. (2003). Testing for Differences in the Tails of Stock-Market Returns. Journal of Empirical Finance, 10, 559-581. ![]() | |
Jondeau E. , Rockinger M. (2003). Conditional Volatility, Skewness, and Kurtosis: Existence, Persistence, and Comovements. Journal of Economic Dynamics and Control, 27, 1699-1737. ![]() | |
Rockinger M. , Jondeau E. (2003). How Higher Moments affect the allocation of assets. Finance Letters, 1, 1-5. ![]() | |
2002
Jondeau E. , Rockinger M. (2002). Entropy Densities with an Application to Autoregressive Conditional Skewness and Kurtosis. Journal of Econometrics, 106, 119-142. ![]() | |
2001
Chesnay F. , Jondeau E. (2001). Does Correlation Between Stock Returns Really Increase During Turbulent Periods?. Economic Notes, 30, 53-80. ![]() | |
Coutant S., Jondeau E. ; Rockinger M. (2001). Reading PIBOR futures options smiles: The 1997 snap election. Journal of Banking and Finance, 25, 1957-1987. ![]() | |
Jondeau E. , Rockinger M. (2001). Gram-Charlier Densities. Journal of Economic Dynamics and Control, 25, 1457-1483. ![]() | |
2000
Jondeau E. (2000). La mesure du ratio rendement-risque à partir du marché des euro-devises. Finance, 21, 35-59. | |
Jondeau E. , Rockinger M. (2000). Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral Densities. Journal of International Money and Finance, 19, 885-915. ![]() | |
1999
Bruneau C. , Jondeau E. (1999). Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates. Oxford Bulletin of Economics and Statistics, 61, 545-568. ![]() | |
Jondeau E. , Ricart R. (1999). The expectations hypothesis of the term structure: tests on US, German, French, and UK Euro-rates. Journal of International Money and Finance, 18, 725-750. ![]() | |
Jondeau E. , Ricart R. (1999). Le contenu en information de la pente des taux : Application au cas des titres publics français. Economie et Prévision, 140-141, 1-20. ![]() | |
Jondeau E. , Rockinger M. (1999). Comparaison de méthodes d'extraction d'information à partir d'options de change : le cas du Franc-Deutschemark. Finance, 20, 23-60. ![]() | |
Jondeau E. , Sédillot F. (1999). Forecasting French and German Long-Term Rates Using a Rational Expectations Model. Weltwirtschaftliches Archiv, 135, 413-436. ![]() | |
1998
Jondeau E. (1998). Représentation VAR et test de la théorie des anticipations de la structure par terme. Journal de la Societe de Statistique de Paris, 139, 49-71. ![]() | |
1997
Jondeau E. (1997). Allocation d'actifs et prévision de rendements. Finance, 18, 67-81. ![]() | |
1996
Jondeau E. (1996). Les modèles monétaires de taux de change : un examen empirique. Economie et Prévision, 123-124, 53-65. ![]() | |
Jondeau E. , Villermain-Lécolier N. (1996). La stabilité de la fonction de demande de monnaie aux États-Unis. Revue Economique, 47, 1121-1148. ![]() | |
1993
Jacq P., Jondeau E. ; Sédillot F. (1993). Les politiques monétaires au sein du SME. Economie et Prévision, 109, 57-74. ![]() | |
1992
Jondeau E. (1992). La soutenabilité de la politique budgétaire. Economie et Prévision, 104, 1-17. ![]() | |
Loué J.-F. , Jondeau E. (1992). La gestion optimale des finances publiques en présence de coûts d'ajustement. Economie et Prévision, 104, 19-38. ![]() | |
1990
Girardot D. , Jondeau E. (1990). La substituabilité entre capital et travail : une évaluation sur données d'entreprises. Économie et Statistique, 237, 135-142. ![]() | |