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Publications

by members of

Institut de Banque et Finance (IBF)
École des Hautes Études Commerciales (HEC)
Université de Lausanne
Lausanne, Switzerland

(Institute of Banking and Finance, Business School, University of Lausanne))

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

Undated material is listed at the end

2014

  1. Acharya, Viral V & Engle III, Robert F & Pierret, Diane, 2014. "Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights," CEPR Discussion Papers 9800, C.E.P.R. Discussion Papers.

2013

  1. PIERRET, Diane, 2013. "The systemic risk of energy markets," CORE Discussion Papers 2013018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

2012

  1. Chen, Zhihua & Lookman, Aziz & Schürhoff, Norman & Seppi, Duane J, 2012. "Bond Ratings Matter: Evidence from the Lehman Brothers Index Rating Redefinition," CEPR Discussion Papers 9108, C.E.P.R. Discussion Papers.
  2. Cestau, Dario & Green, Richard & Schürhoff, Norman, 2012. "Tax-Subsidized Underpricing: Issuers and Underwriters in the Market for Build America Bonds," CEPR Discussion Papers 9186, C.E.P.R. Discussion Papers.

2011

  1. Schürhoff, Norman & Ziegler, Alexandre, 2011. "Variance risk, financial intermediation, and the cross-section of expected option returns," CEPR Discussion Papers 8268, C.E.P.R. Discussion Papers.
  2. bauwens, Luc & hafner, Christian & pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," CORE Discussion Papers 2011011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

2010

  1. Zhihua CHEN & Aziz A. LOOKMAN & Norman SCHURHOFF & Duane J. SEPPI, 2010. "Why Ratings Matter: Evidence from Lehman's Index Rating Rule Change," Swiss Finance Institute Research Paper Series 10-30, Swiss Finance Institute.

2009

  1. Erwan MORELLEC & Norman SCHURHOFF, 2009. "Dynamic Investment and Financing under Asymmetric Information," Swiss Finance Institute Research Paper Series 09-09, Swiss Finance Institute.

2008

  1. Alberto Holly & Alain Montfort & Michael Rockinger, 2008. "Fourth order pseudo maximum likelihood methods," Working Papers 0802, University of Lausanne, Institute of Health Economics and Management (IEMS).
  2. Eric Jondeau, 2008. "Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias," Swiss Finance Institute Research Paper Series 08-06, Swiss Finance Institute.

2007

  1. Jean Imbs & Eric Jondeau & Florian Pelgrin, 2007. "Aggregating Phillips Curves," Swiss Finance Institute Research Paper Series 07-06, Swiss Finance Institute.
  2. Jondeau, E. & Sahuc, J-G., 2007. "Testing heterogeneity within the euro area," Working papers 181, Banque de France.

2006

  1. Eric Jondeau & Michael Rockinger, 2006. "The Economic Value of Distributional Timing," Swiss Finance Institute Research Paper Series 06-35, Swiss Finance Institute.
  2. Eric Jondeau & Michael Rockinger, 2006. "The Impact of News on Higher Moments," Swiss Finance Institute Research Paper Series 06-28, Swiss Finance Institute.
  3. Jondeau, E. & Sahuc, J-G., 2006. "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity," Working papers 141, Banque de France.

2005

  1. Eric Jondeau & Michael Rockinger, 2005. "Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?," FAME Research Paper Series rp132, International Center for Financial Asset Management and Engineering.
  2. Michael Rockinger & Maria Semenova, 2005. "Estimation of Jump-Diffusion Process vis Empirical Characteristic Function," FAME Research Paper Series rp150, International Center for Financial Asset Management and Engineering.
  3. Eric Jondeau & Jean-Guillaume Sahuc, 2005. "Testing Heterogeneity within the Euro Area Using a Structural Multi-Country Model," Documents de recherche 05-06, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
  4. Richard C. Green & Burton Hollifield & Norman Schürhoff, 2005. "Financial Intermediation and the Costs of Trading in an Opaque Market," FAME Research Paper Series rp130, International Center for Financial Asset Management and Engineering.
  5. Norman Schürhoff, 2005. "Capital Gains Taxes, Irreversible Investment, and Capital Structure," FAME Research Paper Series rp131, International Center for Financial Asset Management and Engineering.

2004

  1. Amine JALAL & Michael ROCKINGER, 2004. "Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data," FAME Research Paper Series rp115, International Center for Financial Asset Management and Engineering.
  2. Jondeau, E. & Rockinger, M., 2004. "Optimal Portfolio Allocation Under Higher Moments," Working papers 108, Banque de France.
  3. Jondeau, E. & Rockinger, M., 2004. "The Bank Bias: Segmentation of French Fund Families," Working papers 107, Banque de France.
  4. Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan Storud, 2004. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," NBER Working Papers 10934, National Bureau of Economic Research, Inc.
  5. Amit Goyal & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," Yale School of Management Working Papers amz2412, Yale School of Management, revised 01 Jan 2006.
  6. Ivo Welch & Amit Goyal, 2004. "A Note On 'Predicting Returns With Financial Ratios'," Yale School of Management Working Papers amz2465, Yale School of Management.

2003

  1. Eric JONDEAU & Hervé LE BIHAN, 2003. "ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the "New Phillips Curve")," Econometrics 0303004, EconWPA.

2002

  1. Eric Jondeau & Michael Rockinger, 2002. "Conditional Dependency of Financial Series: The Copula-GARCH Model," FAME Research Paper Series rp69, International Center for Financial Asset Management and Engineering.
  2. Eric Jondeau & Michael Rockinger, 2002. "The Allocation of Assets Under Higher Moments," FAME Research Paper Series rp71, International Center for Financial Asset Management and Engineering.
  3. Jondeau, E. & Rockinger, M., 2002. "Asset Allocation in Transition Economies," Working papers 90, Banque de France.
  4. Amit Goyal & Ivo Welch, 2002. "Predicting the Equity Premium With Dividend Ratios," NBER Working Papers 8788, National Bureau of Economic Research, Inc.

2001

  1. POON, Ser-Huang & ROCKINGER, Michael & TAWN, Jonathan, 2001. "New Extreme-Value Dependance Measures and Finance Applications," Les Cahiers de Recherche 719, HEC Paris.
  2. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Portfolio allocation in transition economies," Les Cahiers de Recherche 740, HEC Paris.
  3. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Testing for differences in the tails of stock-market returns," Les Cahiers de Recherche 739, HEC Paris.
  4. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Conditional dependency of financial series : an application of copulas," Les Cahiers de Recherche 723, HEC Paris.
  5. Rockinger, M. & Jondeau, E., 2001. "Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis," Working papers 79, Banque de France.
  6. Eric Jondeau & Hervé Le Bihan, 2001. "Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US data," Macroeconomics 0111005, EconWPA.
  7. Clémentine Florens & Eric Jondeau & Hervé Le Bihan, 2001. "Assessing GMM Estimates of the Federal Reserve Reaction Function," Econometrics 0111003, EconWPA.

2000

  1. ROCKINGER, Michael & JONDEAU, Eric, 2000. "Entropy densities," Les Cahiers de Recherche 709, HEC Paris.
  2. ROCKINGER, Michael & JONDEAU, Eric, 2000. "Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence," Les Cahiers de Recherche 710, HEC Paris.
  3. Rockinger, Michael & Urga, Giovanni, 2000. "A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies," CEPR Discussion Papers 2346, C.E.P.R. Discussion Papers.
  4. Jondeau, E. & Le Bihan, H., 2000. "Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies," Working papers 76, Banque de France.
  5. Chesnay, F. & Jondeau, E., 2000. "Does Correlation between Stock Returns Really Increase during Turbulent Period?," Working papers 73, Banque de France.

1999

  1. ROCKINGER, Michael & JONDEAU, Eric, 1999. "The Tail Behavior of Stock Returns: Emerging versus Mature Markets," Les Cahiers de Recherche 668, HEC Paris.
  2. Jondeau, E. & Le Bihan, H. & Sedillot, F., 1999. "Modelisation et prevision des indices de prix sectoriels," Working papers 68, Banque de France.
  3. Avouyi-Dovi, S. & Jondeau, E., 1999. "Modelling the French Swap Spread," Working papers 65, Banque de France.
  4. Jondeau, E., 1999. "La mesure du ratio rendement-risque a partir du marche des euro-devises," Working papers 59, Banque de France.
  5. Avouyi-Dovi, S. & Jondeau, E., 1999. "Interest Rate Transmission and Volatility Transmission along the Yield Curve," Working papers 57, Banque de France.
  6. Avouyi-Dovi, S. & Jondeau, E., 1999. "La modelisation de la volatilite des bourses asiatiques," Working papers 58, Banque de France.
  7. Jondeau, E. & Ricart, R., 1999. "The Information Content of the French and German Government Bond Tield Curves: Why Such Differences?," Working papers 61, Banque de France.

1998

  1. Jondeau, Eric & Rockinger, Michael, 1998. "Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities," CEPR Discussion Papers 2009, C.E.P.R. Discussion Papers.
  2. Coutant, Sophie & Jondeau, Eric & Rockinger, Michael, 1998. "Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election," CEPR Discussion Papers 2010, C.E.P.R. Discussion Papers.
  3. Jondeau, E. & Rockinger, M., 1998. "Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral," Working papers 47, Banque de France.
  4. Jondeau, E. & Rockinger, M., 1998. "Estimating Gram-Charlier Expansions with Positivity Constraints," Working papers 56, Banque de France.
  5. Coutant, S. & Jondeau, E. & Rockinger, M., 1998. "Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election," Working papers 54, Banque de France.
  6. Jondeau, E. & Sedillot, F., 1998. "La prevision des taux longs français et allemands a partir d'un modele a anticipations rationnelles," Working papers 55, Banque de France.

1997

  1. C. Bruneau & E. Jondeau, 1997. "Long-run causality, with an application to international links between long-term interest rates," THEMA Working Papers 97-26, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  2. Jondeau, E. & Ricart, R., 1997. "Le contenu en information de la pente des taux : application au cas des titres publics français," Working papers 43, Banque de France.
  3. Jondeau, E. & Ricart, R., 1997. "La théorie des anticipations de la structure par terme : test à partir des titres publics français," Working papers 45, Banque de France.
  4. Jondeau, E., 1997. "Représentation VAR et test de la théorie des anticipations de la structure par terme," Working papers 46, Banque de France.
  5. Avouyi-Dovi, S. & Jondeau, E. & Lai Tong, C., 1997. "Effets “volume”, volatilité et transmissions internationales sur les marchés boursiers dans le G5," Working papers 42, Banque de France.

1996

  1. C. Bruneau & E. Jondeau, 1996. "Test of persistent causality with an application of the expectations theory of the term structure," THEMA Working Papers 96-14, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  2. Jondeau, E. & Ricart, R., 1996. "The Expectation Theory: Tests on French, German, and American Euro-Rates," Working papers 35, Banque de France.

1995

  1. Avouyi-Dovi, S. & Jondeau, E. & Lai tong, C. & Sedillot, F., 1995. "Les marches boursiers dans le G5 : effets volume et mesures de la volatilite," Papers 1995-05/f, Caisse des Depots et Consignations - Cahiers de recherche.

1994

  1. Jondeau, E., 1994. "Modele de prevision et allocation d'actifs," Papers 1994-05-f, Caisse des Depots et Consignations - Cahiers de recherche.

1993

  1. Fernando Restoy & G. Michael Rockinger, 1993. "On Stock Market Returns and Returns on Investments," Banco de Espa�a Working Papers 9311, Banco de Espa�a.
  2. Jacq, P. & Jondeau, E. & Sedillot, F., 1993. "Les politiques monetaires au sein du SME," Papers 1993-13-f, Caisse des Depots et Consignations - Cahiers de recherche.
  3. Jondeau, E. & Nocolai, J.P., 1993. "Modelisation du prix des actifs financiers," Papers 1993-16-f, Caisse des Depots et Consignations - Cahiers de recherche.
  4. Matta, N. & Jondeau, E., 1993. "Politique monetaire et objectifs intermedieres aux Etats-Unis," Papers 1993-14-f, Caisse des Depots et Consignations - Cahiers de recherche.
  5. Avouyi-Dovi, S. & Jondeau, E. & Kaabi, M., 1993. "Analyse des cours boursiers : une premiere approche," Papers 1993-07-f, Caisse des Depots et Consignations - Cahiers de recherche.
  6. Jondeau, E., 1993. "Le modele de prevision mensuelle du prix des actifs financiers dans le G5: une analyse des proprietes," Papers 1993-01-f, Caisse des Depots et Consignations - Cahiers de recherche.
  7. Jondeau, E. & Avouyi-Dovi, S., 1993. "Retour sur les determinants fondamentaux des cours boursiers: une formulation a correction d'erreur," Papers 1993-12-f, Caisse des Depots et Consignations - Cahiers de recherche.

1992

  1. Bruneau, C. & Dauphin, H. & Jondeau, E. & Nicolai, J.P., 1992. "France-Allemagne: Asymetries et convergence," Papers 1992-19, Caisse des Depots et Consignations - Cahiers de recherche.

Undated

  1. Karim Abadir & Michael Rockinger, . "Density-Embedding Functions," Discussion Papers 97/16, Department of Economics, University of York.
  2. Eric JONDEAU & Emmanuel JURCZENKO & Michael ROCKINGER, . "Moment Component Analysis: An Illustration with International Stock Markets," Swiss Finance Institute Research Paper Series 10-43, Swiss Finance Institute.
  3. Eric JONDEAU & Michael ROCKINGER, . "Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty," Swiss Finance Institute Research Paper Series 10-41, Swiss Finance Institute.
  4. Eric JONDEAU & Florian PELGRIN, . "Aggregating Rational Expectations Models in the Presence of Unobserved Micro Heterogeneity," Swiss Finance Institute Research Paper Series 09-30, Swiss Finance Institute.
  5. Richard Green & Burton Hollifield & Norman Schurhoff, . "Dealer Intermediation and Price Behavior in the Aftermarket for New Bond Issues," GSIA Working Papers 2005-E56, Carnegie Mellon University, Tepper School of Business.
  6. Erwan MORELLEC & Boris NIKOLOV & Norman SCHURHOFF, . "Dynamic Capital Structure under Managerial Entrenchment: Evidence from a Structural Estimation," Swiss Finance Institute Research Paper Series 09-10, Swiss Finance Institute.

Journal articles

2013

  1. Cestau, Dario & Green, Richard C. & Schürhoff, Norman, 2013. "Tax-subsidized underpricing: The market for Build America Bonds," Journal of Monetary Economics, Elsevier, vol. 60(5), pages 593-608.
  2. Luc Bauwens & Christian M. Hafner & Diane Pierret, 2013. "Multivariate Volatility Modeling Of Electricity Futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 743-761, 08.

2012

  1. Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer, vol. 26(1), pages 3-38, March.
  2. Antonio E. Bernardo & Bhagwan Chowdhry & Amit Goyal, 2012. "Assessing Project Risk," Journal of Applied Corporate Finance, Morgan Stanley, vol. 24(3), pages 94-100, 09.

2011

  1. Holly, Alberto & Monfort, Alain & Rockinger, Michael, 2011. "Fourth order pseudo maximum likelihood methods," Journal of Econometrics, Elsevier, vol. 162(2), pages 278-293, June.
  2. Imbs, Jean & Jondeau, Eric & Pelgrin, Florian, 2011. "Sectoral Phillips curves and the aggregate Phillips curve," Journal of Monetary Economics, Elsevier, vol. 58(4), pages 328-344.
  3. Morellec, Erwan & Schürhoff, Norman, 2011. "Corporate investment and financing under asymmetric information," Journal of Financial Economics, Elsevier, vol. 99(2), pages 262-288, February.

2010

  1. Jeffrey A. Busse & Amit Goyal & Sunil Wahal, 2010. "Performance and Persistence in Institutional Investment Management," Journal of Finance, American Finance Association, vol. 65(2), pages 765-790, 04.
  2. Erwan Morellec & Norman Schürhoff, 2010. "Dynamic Investment and Financing under Personal Taxation," Review of Financial Studies, Society for Financial Studies, vol. 23(1), pages 101-146, January.
  3. Richard C. Green & Dan Li & Norman Schürhoff, 2010. "Price Discovery in Illiquid Markets: Do Financial Asset Prices Rise Faster Than They Fall?," Journal of Finance, American Finance Association, vol. 65(5), pages 1669-1702, October.

2009

  1. Eric Jondeau & Michael Rockinger, 2009. "The Impact of Shocks on Higher Moments," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 7(2), pages 77-105, Spring.
  2. Eric Jondeau & Michael Rockinger, 2009. "On the Importance of Time Variability in Higher Moments for Asset Allocation," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 10(1), pages 84-123, 2012 10 1.
  3. Goyal, Amit & Saretto, Alessio, 2009. "Cross-section of option returns and volatility," Journal of Financial Economics, Elsevier, vol. 94(2), pages 310-326, November.

2008

  1. Jalal, Amine & Rockinger, Michael, 2008. "Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 868-877, December.
  2. Jondeau, Eric & Le Bihan, Hervé, 2008. "Examining bias in estimators of linear rational expectations models under misspecification," Journal of Econometrics, Elsevier, vol. 143(2), pages 375-395, April.
  3. Eric Jondeau & Jean-Guillaume Sahuc, 2008. "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-Country Heterogeneity," International Journal of Central Banking, International Journal of Central Banking, vol. 4(2), pages 23-72, June.
  4. Jondeau, Eric & Sahuc, Jean-Guillaume, 2008. "Testing heterogeneity within the euro area," Economics Letters, Elsevier, vol. 99(1), pages 192-196, April.
  5. Ivo Welch & Amit Goyal, 2008. "A Comprehensive Look at The Empirical Performance of Equity Premium Prediction," Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1455-1508, July.
  6. Amit Goyal & Sunil Wahal, 2008. "The Selection and Termination of Investment Management Firms by Plan Sponsors," Journal of Finance, American Finance Association, vol. 63(4), pages 1805-1847, 08.
  7. Goyal, Amit & Pérignon, Christophe & Villa, Christophe, 2008. "How common are common return factors across the NYSE and Nasdaq?," Journal of Financial Economics, Elsevier, vol. 90(3), pages 252-271, December.

2007

  1. Antonio E. Bernardo & Bhagwan Chowdhry & Amit Goyal, 2007. "Growth Options, Beta, and the Cost of Capital," Financial Management, Financial Management Association International, vol. 36(2), pages 1-13, 07.
  2. Green, Richard C. & Hollifield, Burton & Schurhoff, Norman, 2007. "Dealer intermediation and price behavior in the aftermarket for new bond issues," Journal of Financial Economics, Elsevier, vol. 86(3), pages 643-682, December.

2006

  1. Jondeau, Eric & Rockinger, Michael, 2006. "The Copula-GARCH model of conditional dependencies: An international stock market application," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 827-853, August.
  2. Eric Jondeau & Michael Rockinger, 2006. "Optimal Portfolio Allocation under Higher Moments," European Financial Management, European Financial Management Association, vol. 12(1), pages 29-55.
  3. Doron Avramov & Tarun Chordia & Amit Goyal, 2006. "Liquidity and Autocorrelations in Individual Stock Returns," Journal of Finance, American Finance Association, vol. 61(5), pages 2365-2394, October.
  4. Doron Avramov & Tarun Chordia & Amit Goyal, 2006. "The Impact of Trades on Daily Volatility," Review of Financial Studies, Society for Financial Studies, vol. 19(4), pages 1241-1277.

2005

  1. Jondeau, Eric & Le Bihan, Herve, 2005. "Testing for the New Keynesian Phillips Curve. Additional international evidence," Economic Modelling, Elsevier, vol. 22(3), pages 521-550, May.
  2. Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan R. Stroud, 2005. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 831-873.

2004

  1. Jondeau E. & Le Bihan H. & Galles C., 2004. "Assessing Generalized Method-of-Moments Estimates of the Federal Reserve Reaction Function," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 225-239, April.
  2. Éric Jondeau, 2004. "Gestion institutionnelle et volatilité des marchés financiers," Revue d'Économie Financière, Programme National Persée, vol. 74(1), pages 157-175.
  3. Goyal, Amit, 2004. "Demographics, Stock Market Flows, and Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(01), pages 115-142, March.

2003

  1. Jondeau, Eric & Rockinger, Michael, 2003. "Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1699-1737, August.
  2. Jondeau, Eric & Rockinger, Michael, 2003. "User's guide," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1739-1742, August.
  3. Jondeau, Eric & Rockinger, Michael, 2003. "Testing for differences in the tails of stock-market returns," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 559-581, December.
  4. Abadir, Karim M. & Rockinger, Michael, 2003. "Density Functionals, With An Option-Pricing Application," Econometric Theory, Cambridge University Press, vol. 19(05), pages 778-811, October.
  5. Amit Goyal & Pedro Santa-Clara, 2003. "Idiosyncratic Risk Matters!," Journal of Finance, American Finance Association, vol. 58(3), pages 975-1008, 06.
  6. Amit Goyal & Ivo Welch, 2003. "Predicting the Equity Premium with Dividend Ratios," Management Science, INFORMS, vol. 49(5), pages 639-654, May.

2002

  1. Rockinger, Michael & Jondeau, Eric, 2002. "Entropy densities with an application to autoregressive conditional skewness and kurtosis," Journal of Econometrics, Elsevier, vol. 106(1), pages 119-142, January.
  2. Eric JONDEAU & Hervé LE BIHAN, 2002. "Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies," Annales d'Economie et de Statistique, ENSAE, issue 67-68, pages 357-388.

2001

  1. Jondeau, Eric & Rockinger, Michael, 2001. "Gram-Charlier densities," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1457-1483, October.
  2. Coutant, Sophie & Jondeau, Eric & Rockinger, Michael, 2001. "Reading PIBOR futures options smiles: The 1997 snap election," Journal of Banking & Finance, Elsevier, vol. 25(11), pages 1957-1987, November.
  3. Rockinger, Michael & Urga, Giovanni, 2001. "A Time-Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(1), pages 73-84, January.
  4. Éric JONDEAU -, 2001. "La théorie des anticipations de la structure par terme permet-elle de rendre compte de l'évolution des taux d'intérêt sur euro-devise ?," Annales d'Economie et de Statistique, ENSAE, issue 62, pages 139-174.

2000

  1. Rockinger, Michael & Urga, Giovanni, 2000. "The Evolution of Stock Markets in Transition Economies," Journal of Comparative Economics, Elsevier, vol. 28(3), pages 456-472, September.
  2. Jondeau, Eric & Rockinger, Michael, 2000. "Reading the smile: the message conveyed by methods which infer risk neutral densities," Journal of International Money and Finance, Elsevier, vol. 19(6), pages 885-915, December.
  3. Alexandros BENOS & Michael ROCKINGER, 2000. "Market Response to Earnings Announcements and Interim Reports: An Analysis of SBF120 Companies," Annales d'Economie et de Statistique, ENSAE, issue 60, pages 151-175.
  4. Chowdhry, Bhagwan & Goyal, Amit, 2000. "Understanding the financial crisis in Asia," Pacific-Basin Finance Journal, Elsevier, vol. 8(2), pages 135-152, May.

1999

  1. Eric Jondeau & Franck Sédillot, 1999. "Forecasting French and German long-term rates using a rational expectations model," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 135(3), pages 413-436, September.
  2. Jondeau, Eric & Ricart, Roland, 1999. "The expectations hypothesis of the term structure: tests on US, German, French, and UK Euro-rates," Journal of International Money and Finance, Elsevier, vol. 18(5), pages 725-750, October.
  3. Bruneau, Catherine & Jondeau, Eric, 1999. " Long-Run Causality, with an Application to International Links between Long-Term Interest Rates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(4), pages 545-68, November.
  4. Catherine BRUNEAU & Eric JONDEAU, 1999. "Causalité de long terme et amélioration de la prévision : application aux courbes de taux d'intérêt," Annales d'Economie et de Statistique, ENSAE, issue 54, pages 23-45.
  5. Roland Ricart & Éric Jondeau, 1999. "Le contenu en information de la pente des taux : application au cas des titres publics français," Économie et Prévision, Programme National Persée, vol. 140(4), pages 1-20.

1998

  1. Eric JONDEAU & Roland RICART, 1998. "La théorie des anticipations de la structure par terme : test à partir de titres publics français," Annales d'Economie et de Statistique, ENSAE, issue 52, pages 1-22.

1997

  1. Karim M. Abadir & Michael Rockinger, 1997. "The 'Devil's Horns' Problem of Inverting Confluent Characteristic Functions," Econometrica, Econometric Society, vol. 65(5), pages 1221-1226, September.

1996

  1. Éric Jondeau & Nada Villermain-Lécolier, 1996. "La stabilité de la fonction de demande de monnaie aux Etats-Unis," Revue Économique, Programme National Persée, vol. 47(5), pages 1121-1148.
  2. Éric Jondeau, 1996. "Les modèles monétaires de taux de change : un examen empirique," Économie et Prévision, Programme National Persée, vol. 123(2), pages 53-65.

1994

  1. Restoy, Fernando & Rockinger, G Michael, 1994. " On Stock Market Returns and Returns on Investment," Journal of Finance, American Finance Association, vol. 49(2), pages 543-56, June.

1993

  1. Frank Sédillot & Eric Jondeau & Patrick Jacq, 1993. "Les politiques monétaires au sein du SME," Économie et Prévision, Programme National Persée, vol. 109(3), pages 57-74.

1992

  1. Eric Jondeau & Jean-François Loué, 1992. "La gestion optimale des finances publiques en présence de coûts d'ajustement," Économie et Prévision, Programme National Persée, vol. 104(3), pages 19-38.
  2. Eric Jondeau, 1992. "La soutenabilité de la politique budgétaire," Économie et Prévision, Programme National Persée, vol. 104(3), pages 1-17.

1990

  1. Eric Jondeau & Damien Girardot, 1990. "La substitution entre capital et travail : une évaluation sur données d'entreprises," Économie et Statistique, Programme National Persée, vol. 237(1), pages 135-142.