Professeurs et Recherche

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

	Fabio Alessandrini fabio.alessandrini@unil.ch			Oksana Bashchenko oksana.bashchenko@unil.ch Bureau: 2506130 page personnelle

	Kevin Billy kevin.billy@unil.ch			Coralie Jaunin coralie.jaunin@unil.ch Tél: (021 692) 3694 Bureau: 254 page personnelle

	Ghislaine Lang ghislaine.lang@bluewin.ch			Alexandre Pauli alexandre.pauli@unil.ch page personnelle

	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.

	Kurmann M., Jondeau E. (Dir.) (2012). Coskewness risk, correlation risk and jump risk : predictability, pricing and optimum portfolio allocation. Université de Lausanne, Faculté des hautes études commerciales.

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.

	Jondeau E. , Sahuc J.-G. (2008). Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity. International journal of central banking / Bank of Canada, 4, 23-72.

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). Optimal Portfolio Allocation Under Higher Moments. European Financial Management, 12, 29-55.

	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). 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). The Economic Value of Distributional Timing. Swiss Finance Institute.

	Jondeau E. , Rockinger M. (2006). Time-Variability in Higher Moments Is Important for Asset Allocation. 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). Conditional Volatility, Skewness, and Kurtosis: Existence, Persistence, and Comovements. Journal of Economic Dynamics and Control, 27, 1699-1737.

	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). User's Guide. Journal of Economic Dynamics and Control, 27, 1739-1742.

	Rockinger M. , Jondeau E. (2003). How Higher Moments affect the allocation of assets. Finance Letters, 1, 1-5.

2002

	Jondeau E. , Le Bihan H. (2002). Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies. Annales d'Economie et de Statistique / Annals of Economics and Statistics, 361-393.

	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. (2001). La théorie des anticipations permet-elle de rendre compte de l'évolution des taux d'intérêt sur euro-devise ?. Annales d'Economie et de Statistique / Annals of Economics and Statistics, 139-174.

	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). Causalité de long terme et amélioration de la prévision : Application aux courbes de taux d'intérêt. Annales d'Economie et de Statistique / Annals of Economics and Statistics, 23-45.

	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.

	Jondeau E. , Ricart R. (1998). La théorie des anticipations de la structure par terme : Test à partir des titres publics français. Annales d'Economie et de Statistique / Annals of Economics and Statistics, 1-22.

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.

Mots-clés

finance empirique (2)
finances (2)
gestion du risque (3)
marchés boursiers
méthodes numériques en finance

Eric Jondeau

Coordonnées

Liens