Eric Jondeau
Eric Jondeau
Professor of Finance, Faculty of Business and Economics (HEC Lausanne), University of Lausanne
Verified email at unil.ch - Homepage
TitleCited byYear
The copula-GARCH model of conditional dependencies: An international stock market application
E Jondeau, M Rockinger
Journal of International Money and Finance 25, 827-853, 2006
7452006
Conditional volatility, skewness, and kurtosis: Existence, persistence, and comvements
E Jondeau, M Rockinger
Journal of Economic Dynamics and Control 27 (10), 1699-1737, 2003
4672003
Financial Modeling Under Non-Gaussian Distributions
E Jondeau, SH Poon, M Rockinger
Springer-Verlag, London, 2007
4192007
Optimal Portfolio Allocation Under Higher Moments
E Jondeau, M Rockinger
mimeo, HEC Lausanne, 2003
4062003
Gram–Charlier densities
E Jondeau, M Rockinger
Journal of Economic Dynamics and Control 25 (10), 1457-1483, 2001
2522001
Systemic risk in Europe
R Engle, E Jondeau, M Rockinger
Review of Finance 19 (1), 145-190, 2015
2022015
Entropy densities with an application to autoregressive conditional skewness and kurtosis
M Rockinger, E Jondeau
Journal of Econometrics 106 (1), 119-142, 2002
1922002
Testing for differences in the tails of stock-market returns
E Jondeau, M Rockinger
Journal of Empirical Finance 10 (5), 559-581, 2003
1812003
Conditional dependency of financial series: an application of copulas
M Rockinger, E Jondeau
Banque de France Working Paper No. 82, 2001
1412001
Reading the smile: the message conveyed by methods which infer risk neutral densities
E Jondeau, M Rockinger
Journal of International Money and Finance 19 (6), 885-915, 2000
1402000
Does correlation between stock returns really increase during turbulent periods?
F Chesnay, E Jondeau
Economic Notes 30 (1), 53-80, 2001
1362001
Testing for the new Keynesian Phillips curve. Additional international evidence
E Jondeau, H Le Bihan
Economic Modelling 22 (3), 521-550, 2005
1132005
The tail behavior of stock returns: Emerging versus mature markets
E Jondeau, M Rockinger
Banque de France Working Paper No. 66, 1999
931999
Testing for a forward-looking Phillips Curve: Additional evidence from European and US data
E Jondeau, H Le Bihan
Notes d'Etudes et de Recherche 86, 2001
91*2001
Long-run Causality, with an Application to International Links Between Long‐term Interest Rates
C Bruneau, E Jondeau
Oxford Bulletin of Economics and Statistics 61 (4), 545-568, 1999
831999
The expectations hypothesis of the term structure: tests on US, German, French, and UK euro-rates
E Jondeau, R Ricart
Journal of International Money and Finance 18 (5), 725-750, 1999
741999
On the importance of time variability in higher moments for asset allocation
E Jondeau, M Rockinger
Journal of Financial Econometrics 10 (1), 84-123, 2012
71*2012
Conditional Volatility, Skewness and Kurtosis: Existence and Persistence
E Jondeau, M Rockinger
Banque de France, 2000
62*2000
Estimating Gram-Charlier expansions with positivity constraints
E Jondeau, M Rockinger
Banque de France Working Paper 56, 1999
62*1999
Assessing GMM Estimates of the Federal Reserve Reaction Function
C Florens, E Jondeau, H Le Bihan
Universite de Paris 12, 01-04, 2001
612001
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