Publications
by members of
Institut de Banque et Finance (IBF)
Faculté 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 institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.| Working papers | Journal articles | Chapters |
Working papers
Undated material is listed at the end2024
- Jean-Guillaume Sahuc & Eric Jondeau & Benoit Mojon, 2024.
"Bank Rollover Risk and Liquidity Supply Regimes,"
Post-Print
hal-04445236, HAL.
- Eric Jondeau & Benoit Mojon & Jean-Guillaume Sahuc, 2024. "Bank Rollover Risk and Liquidity Supply Regimes," International Journal of Central Banking, International Journal of Central Banking, vol. 20(3), pages 373-454, July.
- Boris Nikolov & Norman Schuerhoff & Zepeng Wang, 2024. "Beyond Peers: Cross-Industry Competition and Strategic Financing," Swiss Finance Institute Research Paper Series 24-45, Swiss Finance Institute.
2023
- Eric Jondeau & Grégory Levieuge & Jean-Guillaume Sahuc & Gauthier Vermandel, 2023. "Environmental Subsidies to Mitigate Net-Zero Transition Costs," Working papers 910, Banque de France.
- Gong Cheng & Eric Jondeau & Benoit Mojon & Dimitri Vayanos, 2023.
"The impact of green investors on stock prices,"
BIS Working Papers
1127, Bank for International Settlements.
- Gong Cheng & Eric Jondeau & Benoit Mojon & Dimitri Vayanos, 2024. "The Impact of Green Investors on Stock Prices," NBER Working Papers 32317, National Bureau of Economic Research, Inc.
- Turan G. Bali & Heiner Beckmeyer & Amit Goyal, 2023. "A Joint Factor Model for Bonds, Stocks, and Options," Swiss Finance Institute Research Paper Series 23-106, Swiss Finance Institute.
- Amit Goyal & Sunil Wahal, 2023. "R&D, Innovation, and the Stock Market," Swiss Finance Institute Research Paper Series 23-107, Swiss Finance Institute.
- Ali Kakhbod & Seyed Mohammad Kazempour & Dmitry Livdan & Norman Schuerhoff, 2023. "Finfluencers," Swiss Finance Institute Research Paper Series 23-30, Swiss Finance Institute.
- Friedrich Baumann & Ali Kakhbod & Dmitry Livdan & Abdolreza Nazemi & Norman Schürhoff, 2023. "Life after Default: Dealer Intermediation and Recovery in Defaulted Corporate Bonds," Swiss Finance Institute Research Paper Series 23-85, Swiss Finance Institute.
- Orlando Gomes & Roxana Mihet & Kumar Rishabh, 2023. "Growth and Innovation in the Modern Data Economy," Swiss Finance Institute Research Paper Series 23-86, Swiss Finance Institute.
2022
- Torsten Ehlers & Ulrike Elsenhuber & Anandakumar Jegarasasingam & Eric Jondeau, 2022.
"Deconstructing ESG scores: how to invest with your own criteria,"
BIS Working Papers
1008, Bank for International Settlements.
- Torsten Ehlers & Ulrike Elsenhuber & Kumar Jegarasasingam & Eric Jondeau, 2023. "Deconstructing ESG Scores: How to Invest with your own Criteria?," IMF Working Papers 2023/057, International Monetary Fund.
- Torsten Ehlers & Ulrike Elsenhuber & Kumar Jegarasasingam & Eric Jondeau, 2022. "Deconstructing ESG Scores: How to Invest with Your own Criteria," Swiss Finance Institute Research Paper Series 22-23, Swiss Finance Institute.
- Gong Cheng & Eric Jondeau & Benoit Mojon, 2022.
"Building portfolios of sovereign securities with decreasing carbon footprints,"
BIS Working Papers
1038, Bank for International Settlements.
- Gong Cheng & Eric Jondeau & Benoît Mojon, 2022. "Building portfolios of sovereign securities with decreasing carbon footprints," Swiss Finance Institute Research Paper Series 22-66, Swiss Finance Institute.
- Martin Indergand & Eric Jondeau & Andreas Fuster, 2022.
"Measuring and Stress-Testing Market-Implied Bank Capital,"
Swiss Finance Institute Research Paper Series
22-11, Swiss Finance Institute.
- Dr. Martin Indergand & Eric Jondeau & Dr. Andreas Fuster, 2022. "Measuring and stress-testing market-implied bank capital," Working Papers 2022-02, Swiss National Bank.
- Eric Jondeau & Gregory Levieuge & Jean-Guillaume Sahuc & Gauthier Vermandel, 2022.
"Environmental Subsidies to Mitigate Transition Risk,"
Swiss Finance Institute Research Paper Series
22-45, Swiss Finance Institute.
- Eric Jondeau & Grégory Levieuge & Jean-Guillaume Sahuc & Gauthier Vermandel, 2022. "Environmental Subsidies to Mitigate Transition risk," EconomiX Working Papers 2022-21, University of Paris Nanterre, EconomiX.
- Eric Jondeau & Grégory Levieuge & Jean-Guillaume Sahuc & Gauthier Vermandel, 2022. "Environmental Subsidies to Mitigate Transition risk," Working Papers hal-04159804, HAL.
- Fabio Alessandrini & Eric Jondeau & Ghislaine Lang & Evert Reins, 2022. "How Sustainable Is Swiss Real Estate? Evidence from Institutional Property Portfolios," Swiss Finance Institute Research Paper Series 22-46, Swiss Finance Institute.
- Eric Jondeau & Jean-Guillaume Sahuc, 2022.
"Bank capital shortfall in the euro area,"
Post-Print
hal-03771767, HAL.
- Jondeau, Eric & Sahuc, Jean-Guillaume, 2022. "Bank capital shortfall in the euro area," Journal of Financial Stability, Elsevier, vol. 62(C).
- Amit Goyal & Alessio Saretto, 2022. "Are Equity Option Returns Abnormal? IPCA Says No," Working Papers 2214, Federal Reserve Bank of Dallas.
- Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022.
"Non-Standard Errors,"
Swiss Finance Institute Research Paper Series
22-09, Swiss Finance Institute.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024. "Nonstandard Errors," Journal of Finance, American Finance Association, vol. 79(3), pages 2339-2390, June.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian Brownlees & Javier Gil-Bazo, 2021. "Non-Standard Errors," Working Papers 1303, Barcelona School of Economics.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," IWH Discussion Papers 11/2021, Halle Institute for Economic Research (IWH).
- Albert J. et al. Menkveld, 2021. "Non-Standard Errors," CESifo Working Paper Series 9453, CESifo.
- Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Post-Print halshs-03500882, HAL.
- Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Cambridge Working Papers in Economics 2182, Faculty of Economics, University of Cambridge.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024. "Nonstandard errors," LSE Research Online Documents on Economics 123002, London School of Economics and Political Science, LSE Library.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," SAFE Working Paper Series 327, Leibniz Institute for Financial Research SAFE.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Díaz & Menachem Abudy & Tobi, 2021. "Non-Standard Errors," Working Papers 2021-31, Faculty of Economics and Statistics, Universität Innsbruck.
- Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-Standard Errors," CEPR Discussion Papers 16751, C.E.P.R. Discussion Papers.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021. "Non-standard errors," Economics Working Papers 1807, Department of Economics and Business, Universitat Pompeu Fabra.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021. "Non-Standard Errors," Working Papers 2021:17, Lund University, Department of Economics.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Frömmel & et al, 2021. "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1032, Ghent University, Faculty of Economics and Business Administration.
- Ferrara, Gerardo & Jurkatis, Simon, 2021. "Non-standard errors," Bank of England working papers 955, Bank of England.
- Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03500882, HAL.
- Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Janeway Institute Working Papers 2112, Faculty of Economics, University of Cambridge.
- Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021. "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne 21033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Terrence Hendershott & Dan Li & Dmitry Livdan & Norman Schürhoff & Kumar Venkataraman, 2022. "Quote Competition in Corporate Bonds," Swiss Finance Institute Research Paper Series 22-70, Swiss Finance Institute.
- Paul Rolland & Luca Viano & Norman Schürhoff & Boris Nikolov & Volkan Cevher, 2022. "Identifiability and Generalizability from Multiple Experts in Inverse Reinforcement Learning," Swiss Finance Institute Research Paper Series 22-79, Swiss Finance Institute.
2021
- Eric Jondeau & Benoit Mojon & Cyril Monnet, 2021.
"Greening (runnable) brown assets with a liquidity backstop,"
BIS Working Papers
929, Bank for International Settlements.
- Eric Jondeau & Benoît Mojon & Cyril Monnet, 2021. "Greening (Runnable) Brown Assets with a Liquidity Backstop," Swiss Finance Institute Research Paper Series 21-22, Swiss Finance Institute.
- Eric Jondeau & Benoit Mojon & Luiz Awazu Pereira da Silva, 2021.
"Building benchmarks portfolios with decreasing carbon footprints,"
BIS Working Papers
985, Bank for International Settlements.
- Eric Jondeau & Benoît Mojon & Luiz A. Pereira da Silva, 2021. "Building Benchmarks Portfolios with Decreasing Carbon Footprints," Swiss Finance Institute Research Paper Series 21-91, Swiss Finance Institute.
- Eric Jondeau & Alexandre Pauli, 2021. "Disasters, Large Drawdowns, and Long-term Asset Management," Swiss Finance Institute Research Paper Series 21-37, Swiss Finance Institute.
- Rüdiger Fahlenbrach & Eric Jondeau, 2021.
"Greening the Swiss National Bank's Portfolio,"
Swiss Finance Institute Research Paper Series
21-59, Swiss Finance Institute.
- Rüdiger Fahlenbrach & Eric Jondeau, 2023. "Greening the Swiss National Bank’s Portfolio," The Review of Corporate Finance Studies, Society for Financial Studies, vol. 12(4), pages 792-833.
- Valérie Chavez-Demoulin & Eric Jondeau & Linda Mhalla, 2021. "Climate-Related Disasters and the Death Toll," Swiss Finance Institute Research Paper Series 21-63, Swiss Finance Institute.
- Fabio Alessandrini & David Baptista Balula & Eric Jondeau, 2021. "ESG Screening in the Fixed-Income Universe," Swiss Finance Institute Research Paper Series 21-77, Swiss Finance Institute.
- Jie Cao & Amit Goyal & Xintong Zhan & Weiming Elaine Zhang, 2021. "Unlocking ESG Premium from Options," Swiss Finance Institute Research Paper Series 21-39, Swiss Finance Institute.
- Lykourgos Alexiou & Amit Goyal & Alexandros Kostakis & Leonidas Rompolis, 2021. "Pricing Event Risk: Evidence from Concave Implied Volatility Curves," Swiss Finance Institute Research Paper Series 21-48, Swiss Finance Institute.
- Amit Goyal & Ivo Welch & Athanasse Zafirov, 2021.
"A Comprehensive Look at the Empirical Performance of Equity Premium Prediction II,"
Swiss Finance Institute Research Paper Series
21-85, Swiss Finance Institute.
- Ivo Welch & Amit Goyal, 2008. "A Comprehensive Look at The Empirical Performance of Equity Premium Prediction," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1455-1508, July.
- Amit Goval & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," NBER Working Papers 10483, National Bureau of Economic Research, Inc.
- 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.
- Amit Goyal & Sunil Wahal & M. Deniz Yavuz, 2021. "Picking Partners: Manager Selection in Private Equity," Swiss Finance Institute Research Paper Series 21-86, Swiss Finance Institute.
- Amit Goyal & Avanidhar Subrahmanyam & Bhaskaran Swaminathan, 2021.
"Illiquidity and the Cost of Equity Capital: Evidence from Actual Estimates of Capital Cost for U.S. Data,"
Swiss Finance Institute Research Paper Series
21-87, Swiss Finance Institute.
- Amit Goyal & Avanidhar Subrahmanyam & Bhaskaran Swaminathan, 2023. "Illiquidity and the cost of equity capital: Evidence from actual estimates of capital cost for U.S. data," Review of Financial Economics, John Wiley & Sons, vol. 41(4), pages 364-391, October.
- Tobias Dieler & Loriano Mancini & Norman Schürhoff, 2021.
"(In)efficient repo markets,"
Swiss Finance Institute Research Paper Series
21-10, Swiss Finance Institute.
- Schürhoff, Norman & Dieler, Tobias & Mancini, Loriano, 2021. "(In)efficient repo markets," CEPR Discussion Papers 15782, C.E.P.R. Discussion Papers.
- Theodosios Dimopoulos & Norman Schürhoff, 2021.
"Self-inflicted Debt Crises,"
Swiss Finance Institute Research Paper Series
21-11, Swiss Finance Institute.
- Schürhoff, Norman & Dimopoulos, Theodosios Sakis, 2021. "Self-inflicted debt crises," CEPR Discussion Papers 15781, C.E.P.R. Discussion Papers.
- Terrence Hendershott & Dmitry Livdan & Norman Schürhoff, 2021.
"Do we need dealers in OTC markets?,"
Swiss Finance Institute Research Paper Series
21-43, Swiss Finance Institute.
- Schürhoff, Norman & Livdan, Dmitry & Hendershott, Terrence, 2021. "Do we need dealers in OTC markets?," CEPR Discussion Papers 16437, C.E.P.R. Discussion Papers.
- Rishabh, Kumar & Schäublin, Jorma, 2021. "Payment Fintechs and Debt Enforcement," Working papers 2021/02, Faculty of Business and Economics - University of Basel.
- Rishabh, Kumar, 2021. "Bank as a Venture Capitalist," Working papers 2021/09, Faculty of Business and Economics - University of Basel.
2020
- Eric Jondeau & Benoit Mojon & Jean-Guillaume Sahuc, 2020. "Bank Funding Cost and Liquidity Supply Regimes," BIS Working Papers 854, Bank for International Settlements.
- Eric Jondeau & Benoît Mojon & Jean-Guillaume Sahuc, 2020. "A New Indicator of Bank Funding Cost," Swiss Finance Institute Research Paper Series 20-20, Swiss Finance Institute.
- Fabio Alessandrini & Eric Jondeau, 2020. "Optimal Strategies for ESG Portfolios," Swiss Finance Institute Research Paper Series 20-21, Swiss Finance Institute.
- Turan G. Bali & Amit Goyal & Dashan Huang & Fuwei Jiang & Quan Wen, 2020. "The Cross-Sectional Pricing of Corporate Bonds Using Big Data and Machine Learning," Swiss Finance Institute Research Paper Series 20-110, Swiss Finance Institute.
- Amit Goyal & Sunil Wahal & M. Deniz Yavuz, 2020. "Choosing Investment Managers," Swiss Finance Institute Research Paper Series 20-63, Swiss Finance Institute.
- Assaf Eisdorfer & Amit Goyal & Alexei Zhdanov, 2020. "Cheap Options Are Expensive," Swiss Finance Institute Research Paper Series 20-64, Swiss Finance Institute.
- Terrence Hendershott & Dan Li & Dmitry Livdan & Norman Schürhoff, 2020.
"True Cost of Immediacy,"
Swiss Finance Institute Research Paper Series
20-71, Swiss Finance Institute.
- Schürhoff, Norman & Hendershott, Terrence & Livdan, Dmitry & Li, Dan, 2020. "True Cost of Immediacy," CEPR Discussion Papers 15205, C.E.P.R. Discussion Papers.
2019
- Fabio Alessandrini & Eric Jondeau, 2019. "ESG Investing: From Sin Stocks to Smart Beta," Swiss Finance Institute Research Paper Series 19-16, Swiss Finance Institute, revised Mar 2019.
- Eric Jondeau & Qunzi Zhang & Xiaoneng Zhu, 2019. "Crude Awakening: Oil Prices and Bond Returns," Swiss Finance Institute Research Paper Series 19-24, Swiss Finance Institute, revised May 2019.
- Jie Cao & Amit Goyal & Sai Ke & Xintong Zhan, 2019. "Option Trading and Stock Price Informativeness," Swiss Finance Institute Research Paper Series 19-74, Swiss Finance Institute.
- Jie Cao & Amit Goyal & Xiao Xiao & Xintong Zhan, 2019.
"Implied Volatility Changes and Corporate Bond Returns,"
Swiss Finance Institute Research Paper Series
19-75, Swiss Finance Institute.
- Jie Cao & Amit Goyal & Xiao Xiao & Xintong Zhan, 2023. "Implied Volatility Changes and Corporate Bond Returns," Management Science, INFORMS, vol. 69(3), pages 1375-1397, March.
2018
- E. Jondeau & J-G. Sahuc, 2018.
"A General Equilibrium Appraisal of Capital Shortfall,"
Working papers
668, Banque de France.
- Eric Jondeau & Jean-Guillaume Sahuc, 2018. "A General Equilibrium Appraisal of Capital Shortfall," Swiss Finance Institute Research Paper Series 18-12, Swiss Finance Institute, revised Feb 2018.
- Eric Jondeau & Qunzi Zhang & Xiaoneng Zhu, 2018.
"When Are Stocks Less Volatile in the Long Run?,"
Swiss Finance Institute Research Paper Series
18-07, Swiss Finance Institute, revised Feb 2018.
- Jondeau, Eric & Zhang, Qunzi & Zhu, Xiaoneng, 2021. "When Are Stocks Less Volatile in the Long Run?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 56(4), pages 1228-1258, June.
- Eric Jondeau & Amir Khalilzadeh, 2018. "Measuring the Capital Shortfall of Large U.S. Banks," Swiss Finance Institute Research Paper Series 18-11, Swiss Finance Institute, revised Feb 2018.
- Nataliya Gerasimova & Eric Jondeau, 2018. "Strategic Interaction between Hedge Funds and Prime Brokers," Swiss Finance Institute Research Paper Series 18-54, Swiss Finance Institute.
- Dario Cestau & Burton Hollifield & Dan Li & Norman Schürhoff, 2018.
"Municipal Bond Markets,"
Swiss Finance Institute Research Paper Series
18-69, Swiss Finance Institute.
- Dario Cestau & Burton Hollifield & Dan Li & Norman Schürhoff, 2019. "Municipal Bond Markets," Annual Review of Financial Economics, Annual Reviews, vol. 11(1), pages 65-84, December.
- Schürhoff, Norman & Li, Dan & Cestau, Dario & Hollifield, Burton, 2018. "Municipal Bond Markets," CEPR Discussion Papers 13301, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Diane Pierret & Sascha Steffen, 2018. "Lender of Last Resort versus Buyer of Last Resort – Evidence from the European Sovereign Debt Crisis," Swiss Finance Institute Research Paper Series 18-35, Swiss Finance Institute.
2017
- Severine Arnold (-Gaille) & Anca Jijiie & Eric Jondeau & Michael Rockinger, 2017. "Periodic or Generational Actuarial Tables: Which One to Choose?," Swiss Finance Institute Research Paper Series 17-71, Swiss Finance Institute.
- Tarun Chordia & Amit Goyal & Alessio Saretto, 2017. "p-Hacking: Evidence from Two Million Trading Strategies," Swiss Finance Institute Research Paper Series 17-37, Swiss Finance Institute, revised Apr 2018.
- Terrence Hendershott & Dan Li & Dmitry Livdan & Norman Schürhoff, 2017.
"Relationship Trading in OTC Markets,"
Swiss Finance Institute Research Paper Series
17-30, Swiss Finance Institute.
- Schürhoff, Norman & Hendershott, Terrence & Livdan, Dmitry & Li, Dan, 2017. "Relationship Trading in OTC Markets," CEPR Discussion Papers 12472, C.E.P.R. Discussion Papers.
- Diane Pierret & Roberto Steri, 2017. "Stressed Banks," Swiss Finance Institute Research Paper Series 17-58, Swiss Finance Institute.
- Lengwiler, Yvan & Rishabh, Kumar, 2017. "Credit from the Monopoly Bank," Working papers 2017/15, Faculty of Business and Economics - University of Basel.
2016
- Eric Jondeau & Michael Rockinger, 2016. "Forecasting Financial Returns with a Structural Macroeconomic Model," Swiss Finance Institute Research Paper Series 16-13, Swiss Finance Institute.
- Acharya, Viral & Pierret, Diane & Steffen, Sascha, 2016. "Lender of last resort versus buyer of last resort: The impact of the European Central Bank actions on the bank-sovereign nexus," ZEW Discussion Papers 16-019, ZEW - Leibniz Centre for European Economic Research.
- Madhusudan Mohanty & Kumar Rishabh, 2016. "Financial intermediation and monetary policy transmission in EMEs: What has changed post-2008 crisis?," BIS Working Papers 546, Bank for International Settlements.
2015
- Eric JONDEAU & Amir KHALILZADEH, 2015.
"Collateralization, Leverage, and Stressed Expected Loss,"
Swiss Finance Institute Research Paper Series
15-24, Swiss Finance Institute, revised Aug 2015.
- Jondeau, Eric & Khalilzadeh, Amir, 2017. "Collateralization, leverage, and stressed expected loss," Journal of Financial Stability, Elsevier, vol. 33(C), pages 226-243.
- Eric JONDEAU & Qunzi ZHANG, 2015.
"Average Skewness Matters!,"
Swiss Finance Institute Research Paper Series
15-47, Swiss Finance Institute.
- Jondeau, Eric & Zhang, Qunzi & Zhu, Xiaoneng, 2019. "Average skewness matters," Journal of Financial Economics, Elsevier, vol. 134(1), pages 29-47.
- Erwan Morellec & Boris Nikolov & Norman Schürhoff, 2015.
"Agency Conflicts Around the World,"
Swiss Finance Institute Research Paper Series
15-21, Swiss Finance Institute, revised Apr 2016.
- Erwan Morellec & Boris Nikolov & Norman Schürhoff, 2018. "Agency Conflicts around the World," The Review of Financial Studies, Society for Financial Studies, vol. 31(11), pages 4232-4287.
- Norman Schuerhoff & Boris Nikolov & Erwan Morellec, 2016. "Agency Conflicts Around the World," 2016 Meeting Papers 923, Society for Economic Dynamics.
- Schürhoff, Norman & Morellec, Erwan & Nikolov, Boris, 2016. "Agency Conflicts Around the World," CEPR Discussion Papers 11243, C.E.P.R. Discussion Papers.
2014
- Eric JONDEAU & Michael ROCKINGER, 2014. "Optimal Long-Term Allocation with Pension Fund Liabilities," Swiss Finance Institute Research Paper Series 14-58, Swiss Finance Institute.
- Eric JONDEAU & Florian PELGRIN, 2014.
"Estimating Aggregate Autoregressive Processes When Only Macro Data are Available,"
Swiss Finance Institute Research Paper Series
14-43, Swiss Finance Institute.
- Jondeau, Eric & Pelgrin, Florian, 2014. "Estimating aggregate autoregressive processes when only macro data are available," Economics Letters, Elsevier, vol. 124(3), pages 341-347.
- Eric JONDEAU & Qunzi ZHANG, 2014. "Asymmetric Beta Comovement and Systematic Downside Risk," Swiss Finance Institute Research Paper Series 14-59, Swiss Finance Institute.
- Terrence HENDERSHOTT & Dmitry LIVDAN & Norman SCHUERHOFF, 2014.
"Are Institutions Informed About News?,"
Swiss Finance Institute Research Paper Series
14-49, Swiss Finance Institute.
- Hendershott, Terrence & Livdan, Dmitry & Schürhoff, Norman, 2015. "Are institutions informed about news?," Journal of Financial Economics, Elsevier, vol. 117(2), pages 249-287.
- Dan LI & Norman SCHUERHOFF, 2014.
"Dealer Networks,"
Swiss Finance Institute Research Paper Series
14-50, Swiss Finance Institute.
- Dan Li & Norman Schürhoff, 2019. "Dealer Networks," Journal of Finance, American Finance Association, vol. 74(1), pages 91-144, February.
- Schürhoff, Norman & Li, Dan, 2014. "Dealer Networks," CEPR Discussion Papers 10237, C.E.P.R. Discussion Papers.
- Dan Li & Norman Schurhoff, 2014. "Dealer Networks," Finance and Economics Discussion Series 2014-95, Board of Governors of the Federal Reserve System (U.S.).
- Engle, Robert & Acharya, Viral & Pierret, Diane, 2014.
"Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights,"
CEPR Discussion Papers
9800, C.E.P.R. Discussion Papers.
- Acharya, Viral & Engle, Robert & Pierret, Diane, 2014. "Testing macroprudential stress tests: The risk of regulatory risk weights," Journal of Monetary Economics, Elsevier, vol. 65(C), pages 36-53.
- Viral V. Acharya & Robert Engle & Diane Pierret, 2013. "Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights," NBER Working Papers 18968, National Bureau of Economic Research, Inc.
- Engle, Robert & Acharya, Viral & Pierret, Diane, 2013. "Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights," CEPR Discussion Papers 9431, C.E.P.R. Discussion Papers.
- Acharya, Viral & Engle, Robert & Pierret, Diane, 2014. "Testing macroprudential stress tests: The risk of regulatory risk weights," LIDAM Reprints ISBA 2014022, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- PIERRET, Diane, 2014.
"Systemic risk and the solvency-liquidity nexus of banks,"
LIDAM Discussion Papers CORE
2014038, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Diane Pierret, 2015. "Systemic Risk and the Solvency-Liquidity Nexus of Banks," International Journal of Central Banking, International Journal of Central Banking, vol. 11(3), pages 193-227, June.
- Pierret, D., 2014. "Systemic risk and the solvency-liquidity nexus of banks," LIDAM Discussion Papers ISBA 2014056, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Theodosios Dimopoulos & Stefano Sacchetto, 2014. "Merger Activity in Industry Equilibrium," GSIA Working Papers 2012-E47, Carnegie Mellon University, Tepper School of Business.
- Theodosios Dimopoulos & Stefano Sacchetto, 2014.
"Preemptive Bidding, Target Resistance, and Takeover Premiums,"
GSIA Working Papers
2012-E46, Carnegie Mellon University, Tepper School of Business.
- Dimopoulos, Theodosios & Sacchetto, Stefano, 2014. "Preemptive bidding, target resistance, and takeover premiums," Journal of Financial Economics, Elsevier, vol. 114(3), pages 444-470.
2013
- Ludovic Cales & Eric Jondeau & Michael Rockinger, 2013. "Long-Term Portfolio Management with a Structural Macroeconomic Model," Swiss Finance Institute Research Paper Series 13-45, Swiss Finance Institute.
- Eric Jondeau & Jérôme Lahaye & Michael Rockinger, 2013.
"Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps,"
Swiss Finance Institute Research Paper Series
13-47, Swiss Finance Institute, revised Feb 2016.
- Jondeau, Eric & Lahaye, Jérôme & Rockinger, Michael, 2015. "Estimating the price impact of trades in a high-frequency microstructure model with jumps," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 205-224.
- PIERRET, Diane, 2013.
"The systemic risk of energy markets,"
LIDAM Discussion Papers CORE
2013018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Pierret, D., 2013. "The systemic risk of energy markets," LIDAM Discussion Papers ISBA 2013061, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Bauwens, Luc & Hafner, Christian & Pierret, Diane, 2013. "Modelling multivariate volatility of electricity futures," LIDAM Reprints ISBA 2013030, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
2012
- Robert F. Engle & Eric Jondeau & Michael Rockinger, 2012.
"Systemic Risk in Europe,"
Swiss Finance Institute Research Paper Series
12-45, Swiss Finance Institute.
- Eric Jondeau & Michael Rockinger, 2014. "Systemic Risk in Europe," World Scientific Book Chapters, in: Risk Management Institute (ed.), Global Credit Review, chapter 1, pages 1-6, World Scientific Publishing Co. Pte. Ltd..
- Robert Engle & Eric Jondeau & Michael Rockinger, 2015. "Systemic Risk in Europe," Review of Finance, European Finance Association, vol. 19(1), pages 145-190.
- Eric Jondeau & Michael Rockinger, 2013. "Systemic Risk in Europe," Global Credit Review (GCR), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-6.
- Assaf Eisdorfer & Amit Goyal & Alexei Zhdanov, 2012. "Misvaluation and Return Anomalies in Distress Stocks," Swiss Finance Institute Research Paper Series 12-12, Swiss Finance Institute.
- Dario Cestau & Richard C. Green & Norman Schürhoff, 2012.
"Tax-Subsidized Underpricing: Issuers and Underwriters in the Market for Build America Bonds,"
Swiss Finance Institute Research Paper Series
12-32, Swiss Finance Institute.
- Green, Richard & Schürhoff, Norman & Cestau, Dario, 2012. "Tax-Subsidized Underpricing: Issuers and Underwriters in the Market for Build America Bonds," CEPR Discussion Papers 9186, C.E.P.R. Discussion Papers.
- Schürhoff, Norman & Chen, Zhihua & Lookman, Aziz & 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.
2011
- Jean Imbs & Eric Jondeau & Florian Pelgrin, 2011.
"Sectoral Phillips curves and the aggregate Phillips curve,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
hal-00612310, HAL.
- 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.
- Jean Imbs & Eric Jondeau & Florian Pelgrin, 2011. "Sectoral Phillips curves and the aggregate Phillips curve," PSE-Ecole d'économie de Paris (Postprint) hal-00612310, HAL.
- Jean Imbs & Eric Jondeau & Florian Pelgrin, 2011. "Sectoral Phillips curves and the aggregate Phillips curve," Post-Print hal-00612310, HAL.
- Tarun CHORDIA & Amit GOYAL & Narasimhan JEGADEESH, 2011.
"Buyers Versus Sellers: Who Initiates Trades And When?,"
Swiss Finance Institute Research Paper Series
11-43, Swiss Finance Institute.
- Chordia, Tarun & Goyal, Amit & Jegadeesh, Narasimhan, 2016. "Buyers versus Sellers: Who Initiates Trades, and When?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 51(5), pages 1467-1490, October.
- Ziegler, Alexandre & Schürhoff, Norman, 2011. "Variance risk, financial intermediation, and the cross-section of expected option returns," CEPR Discussion Papers 8268, C.E.P.R. Discussion Papers.
- BAUWENS, Luc & HAFNER, Christian & pierret, Diane, 2011.
"Multivariate volatility modeling of electricity futures,"
LIDAM Discussion Papers CORE
2011011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- 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, August.
- BAUWENS, Luc & HAFNER, Christian M. & PIERRET, Diane, 2013. "Multivariate volatility modeling of electricity futures," LIDAM Reprints CORE 2526, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, L. & Hafner, C. & Pierret, D., 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers ISBA 2011013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Luc Bauwens & Christian M. Hafner & Diane Pierret, 2011. "Multivariate Volatility Modeling of Electricity Futures," SFB 649 Discussion Papers SFB649DP2011-063, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
2010
- Eric JONDEAU & Emmanuel JURCZENKO & Michael ROCKINGER, 2010.
"Moment Component Analysis: An Illustration with International Stock Markets,"
Swiss Finance Institute Research Paper Series
10-43, Swiss Finance Institute.
- Eric Jondeau & Emmanuel Jurczenko & Michael Rockinger, 2018. "Moment Component Analysis: An Illustration With International Stock Markets," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(4), pages 576-598, October.
- Eric JONDEAU & Michael ROCKINGER, 2010. "Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty," Swiss Finance Institute Research Paper Series 10-41, Swiss Finance Institute.
- 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
- Alberto HOLLY & Alain MONFORT & Michael ROCKINGER, 2009.
"Fourth Order Pseudo Maximum Likelihood Methods,"
Swiss Finance Institute Research Paper Series
09-23, Swiss Finance Institute.
- Holly, Alberto & Monfort, Alain & Rockinger, Michael, 2011. "Fourth order pseudo maximum likelihood methods," Journal of Econometrics, Elsevier, vol. 162(2), pages 278-293, June.
- Alberto Holly & Alain Monfort & Michael Rockinger, 2011. "Fourth order pseudo maximum likelihood methods," Post-Print hal-00815562, HAL.
- Alberto HOLLY & Alain MONFORT & Michael ROCKINGER, 2011. "Fourth Order Pseudo Maximum Likelihood Methods," Working Papers 2011-05, Center for Research in Economics and Statistics.
- Eric JONDEAU & Augusto PERILLA & Michael ROCKINGER, 2009. "Optimal Liquidation Strategies in Illiquid Markets," Swiss Finance Institute Research Paper Series 09-24, Swiss Finance Institute.
- Eric JONDEAU & Florian PELGRIN, 2009. "Aggregating Rational Expectations Models in the Presence of Unobserved Micro Heterogeneity," Swiss Finance Institute Research Paper Series 09-30, Swiss Finance Institute.
- Erwan MORELLEC & Norman SCHURHOFF, 2009. "Dynamic Investment and Financing under Asymmetric Information," Swiss Finance Institute Research Paper Series 09-09, Swiss Finance Institute.
- Erwan MORELLEC & Boris NIKOLOV & Norman SCHURHOFF, 2009. "Dynamic Capital Structure under Managerial Entrenchment: Evidence from a Structural Estimation," Swiss Finance Institute Research Paper Series 09-10, Swiss Finance Institute.
2008
- 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.
- Christophe Villa & Amit Goyal & Christophe Pérignon, 2008.
"How common are common return factors across NYSE and Nasdaq?,"
Post-Print
hal-00796909, HAL.
- 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
- Jondeau, E. & Sahuc, J-G., 2007.
"Testing heterogeneity within the euro area,"
Working papers
181, Banque de France.
- Jondeau, Eric & Sahuc, Jean-Guillaume, 2008. "Testing heterogeneity within the euro area," Economics Letters, Elsevier, vol. 99(1), pages 192-196, April.
- Eric Jondeau & Jean-Guillaume Sahuc, 2008. "Testing Heterogeneity within the Euro Area," Post-Print hal-01612713, HAL.
- Jean Imbs & Eric Jondeau & Florian Pelgrin, 2007.
"Aggregating Phillips Curves,"
Swiss Finance Institute Research Paper Series
07-06, Swiss Finance Institute.
- FAME,Eric Jondeau, University of Lausanne-HEC & Jean Imbs & Eric Jondeau & Florian Pelgrin, 2006. "Aggregating Phillips Curves," Computing in Economics and Finance 2006 314, Society for Computational Economics.
- Jondeau, Eric & Imbs, Jean & Pelgrin, Florian, 2007. "Aggregating Phillips Curves," CEPR Discussion Papers 6184, C.E.P.R. Discussion Papers.
- Jean Imbs & Eric Jondeau & Florian Pelgrin, 2006. "Aggregating Phillips curves," 2006 Meeting Papers 640, Society for Economic Dynamics.
- Imbs, Jean & Jondeau, Eric & Pelgrin, Florian, 2007. "Aggregating Phillips curves," Working Paper Series 785, European Central Bank.
2006
- Eric Jondeau & Michael Rockinger, 2006. "The Economic Value of Distributional Timing," Swiss Finance Institute Research Paper Series 06-35, Swiss Finance Institute.
- Eric Jondeau & Michael Rockinger, 2006. "The Impact of News on Higher Moments," Swiss Finance Institute Research Paper Series 06-28, Swiss Finance Institute.
- 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.
- 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.
- Eric Jondeau & Jean-Guillaume Sahuc, 2004. "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity," Documents de recherche 04-13, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
- Eric Jondeau & Jean-Guillaume Sahuc, 2008. "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity," Post-Print hal-01612712, HAL.
- Eric Jondeau & Jean-Guillaume SAHUC, 2007. "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-Country Heterogeneity," Swiss Finance Institute Research Paper Series 07-36, Swiss Finance Institute.
2005
- 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.
- 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.
- 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.
- Norman Schürhoff, 2005.
"Capital Gains Taxes, Irreversible Investment, and Capital Structure,"
FAME Research Paper Series
rp131, International Center for Financial Asset Management and Engineering.
- Norman Schuerhoff, 2004. "Capital Gains Taxes, Irreversible Investment, and Capital Structure," 2004 Meeting Papers 688, Society for Economic Dynamics.
- Norman Schurhoff, 2004. "Capital gains taxes, irreversible investment, and capital structure," 2004 Meeting Papers 592b, Society for Economic Dynamics.
2004
- 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.
- 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.
- Jondeau, E. & Rockinger, M., 2004.
"Optimal Portfolio Allocation Under Higher Moments,"
Working papers
108, Banque de France.
- Eric Jondeau & Michael Rockinger, 2006. "Optimal Portfolio Allocation under Higher Moments," European Financial Management, European Financial Management Association, vol. 12(1), pages 29-55, January.
- Jondeau, E. & Rockinger, M., 2004. "The Bank Bias: Segmentation of French Fund Families," Working papers 107, Banque de France.
- 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.
- 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," The Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 831-873.
- 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
- Jondeau, E. & Le Bihan, H., 2003.
"ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the New Phillips Curve),"
Working papers
103, Banque de France.
- Eric JONDEAU & Hervé LE BIHAN, 2003. "ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the "New Phillips Curve")," Econometrics 0303004, University Library of Munich, Germany.
- Eric JONDEAU & Herve LE BIHAN, 2003. "ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the "New Phillips Curve")," Econometrics 0303006, University Library of Munich, Germany.
- Eric JONDEAU & Herve LE BIHAN, 2004. "ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the "New Phillips Curve")," Econometric Society 2004 North American Summer Meetings 270, Econometric Society.
2002
- 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.
- 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.
- Jondeau, E. & Rockinger, M., 2002.
"Asset Allocation in Transition Economies,"
Working papers
90, Banque de France.
- Michael Rockinger & Eric Jondeau, 2002. "Asset Allocation in Transition Economies," Working Papers hal-00597773, HAL.
- Amit Goyal & Ivo Welch, 2002.
"Predicting the Equity Premium With Dividend Ratios,"
NBER Working Papers
8788, National Bureau of Economic Research, Inc.
- Amit Goyal & Ivo Welch, 2003. "Predicting the Equity Premium with Dividend Ratios," Management Science, INFORMS, vol. 49(5), pages 639-654, May.
- Amit Goyal & Ivo Welch, 1999. "Predicting the Equity Premium with Dividend Ratios," Yale School of Management Working Papers amz2437, Yale School of Management, revised 01 Nov 2002.
2001
- POON, Ser-Huang & ROCKINGER, Michael & TAWN, Jonathan, 2001.
"New Extreme-Value Dependance Measures and Finance Applications,"
HEC Research Papers Series
719, HEC Paris.
- Rockinger, Michael & Poon, Ser-Huang & Tawn, Jonathan, 2001. "New Extreme-Value Dependence Measures and Finance Applications," CEPR Discussion Papers 2762, C.E.P.R. Discussion Papers.
- Ser-Huang Poon & Michael Rockinger & J. Tawn, 2001. "New Extreme-Value Dependance Measures and Finance Applications," Working Papers hal-00597018, HAL.
- ROCKINGER, Michael & JONDEAU, Eric, 2001.
"Portfolio allocation in transition economies,"
HEC Research Papers Series
740, HEC Paris.
- Michael Rockinger & Eric Jondeau, 2001. "Portfolio allocation in transition economies," Working Papers hal-00601482, HAL.
- ROCKINGER, Michael & JONDEAU, Eric, 2001.
"Testing for differences in the tails of stock-market returns,"
HEC Research Papers Series
739, HEC Paris.
- 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.
- Michael Rockinger & Eric Jondeau, 2001. "Testing for differences in the tails of stock-market returns," Working Papers hal-00601480, HAL.
- ROCKINGER, Michael & JONDEAU, Eric, 2001.
"Conditional dependency of financial series : an application of copulas,"
HEC Research Papers Series
723, HEC Paris.
- Michael Rockinger & Eric Jondeau, 2001. "Conditional Dependency of Financial Series: An Application of Copulas," Working Papers hal-00601478, HAL.
- Rockinger, M. & Jondeau, E., 2001. "Conditional Dependency of Financial Series: An Application of Copulas," Working papers 82, Banque de France.
- Rockinger, M. & Jondeau, E., 2001.
"Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis,"
Working papers
79, Banque de France.
- 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.
- Florens, C. & Jondeau, E. & Le Bihan, H., 2001.
"Assessing GMM Estimates of the Federal Reserve Reaction Function,"
Working papers
83, Banque de France.
- Clémentine Florens & Eric Jondeau & Hervé Le Bihan, 2001. "Assessing GMM Estimates of the Federal Reserve Reaction Function," Econometrics 0111003, University Library of Munich, Germany.
- Jondeau, E. & Le Bihan, H., 2001.
"Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US Data,"
Working papers
86, Banque de France.
- Eric Jondeau & Hervé Le Bihan, 2001. "Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US data," Macroeconomics 0111005, University Library of Munich, Germany.
2000
- ROCKINGER, Michael & JONDEAU, Eric, 2000.
"Entropy densities,"
HEC Research Papers Series
709, HEC Paris.
- Michael Rockinger & Eric Jondeau, 2000. "Entropy Densities," Working Papers hal-00601485, HAL.
- ROCKINGER, Michael & JONDEAU, Eric, 2000.
"Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence,"
HEC Research Papers Series
710, HEC Paris.
- Michael Rockinger & Eric Jondeau, 2000. "Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence," Working Papers hal-00601486, HAL.
- Jondeau, E. & Rockinger, M., 2000. "Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence," Working papers 77, Banque de France.
- 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.
- 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.
- Michael, ROCKINGER & Giovanni, URGA, 1998. "A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies," HEC Research Papers Series 635, HEC Paris.
- Michael Rockinger & Giovanni Urga, 1998. "A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies," Working Papers hal-00601498, HAL.
- Chesnay, F. & Jondeau, E., 2000.
"Does Correlation between Stock Returns Really Increase during Turbulent Period?,"
Working papers
73, Banque de France.
- Francois Chesnay & Eric Jondeau, 2001. "Does Correlation Between Stock Returns Really Increase During Turbulent Periods?," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 30(1), pages 53-80, February.
- 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.
- Éric Jondeau & Hervé Le Bihan, 2002. "Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies," Annals of Economics and Statistics, GENES, issue 67-68, pages 357-388.
1999
- ROCKINGER, Michael & JONDEAU, Eric, 1999.
"The Tail Behavior of Stock Returns: Emerging versus Mature Markets,"
HEC Research Papers Series
668, HEC Paris.
- Jondeau, E. & Rockinger, M., 1999. "The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets," Working papers 66, Banque de France.
- Jondeau, E. & Rockinger, M., 1999. "Estimating Gram-Charlier Expansions with Positivity Constraints," Working papers 56, Banque de France.
- Avouyi-Dovi, S. & Jondeau, E., 1999. "Interest Rate Transmission and Volatility Transmission along the Yield Curve," Working papers 57, Banque de France.
- Avouyi-Dovi, S. & Jondeau, E., 1999. "La modelisation de la volatilite des bourses asiatiques," Working papers 58, Banque de France.
- Jondeau, E., 1999. "La mesure du ratio rendement-risque a partir du marche des euro-devises," Working papers 59, Banque de France.
- 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.
- Avouyi-Dovi, S. & Jondeau, E., 1999. "Modelling the French Swap Spread," Working papers 65, Banque de France.
- Jondeau, E. & Le Bihan, H. & Sedillot, F., 1999. "Modelisation et prevision des indices de prix sectoriels," Working papers 68, Banque de France.
1998
- 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.
- 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.
- Michael Rockinger & Eric Jondeau, 1997. "Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities," Working Papers hal-00601591, HAL.
- 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.
- Jondeau, E. & Rockinger, M., 1998. "Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral," Working papers 47, Banque de France.
- 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.
- Michael Rockinger & S. Coutant & Eric Jondeau, 1998. "Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election," Working Papers hal-00601499, HAL.
- Michael Rockinger & Eric Jondeau, 1998. "Estimating Gram-Charlier Expansions Under Positivity Constraints," Working Papers hal-00601500, HAL.
- Bruneau, C. & Jondeau, E., 1998.
"Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates,"
Working papers
53, Banque de France.
- Catherine Bruneau & Eric Jondeau, 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 545-568, November.
- 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.
- 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
- Michael Rockinger & Giovanni Urga, 1997. "Information Content of Russian Stock Indices," Working Papers hal-00601586, HAL.
- Michael Rockinger & Brigitte Granville, 1997. "Testing the Fisher Relation: the Russian Case," Working Papers hal-00601590, HAL.
- Michael Rockinger & Eric Jondeau, 1997. "Estimation et interprétation des densités neutres au risque: une comparaison de méthodes," Working Papers hal-00601588, HAL.
- 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.
- 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.
- Éric Jondeau & Roland Ricart, 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.
- 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.
- Éric Jondeau & Roland Ricart, 1998. "La théorie des anticipations de la structure par terme : test à partir de titres publics français," Annals of Economics and Statistics, GENES, issue 52, pages 1-22.
- Jondeau, E., 1997. "Représentation VAR et test de la théorie des anticipations de la structure par terme," Working papers 46, Banque de France.
1996
- Michael Rockinger & Michel Crouhy, 1996. "Volatility Indices for the French Financial Market," Working Papers hal-00602020, HAL.
- Jondeau, E. & Ricart, R., 1996. "The Expectation Theory: Tests on French, German, and American Euro-Rates," Working papers 35, Banque de France.
- 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.
- Bruneau, C. & Jondeau, E., 1996. "Test of persistent Causality with an Application of the Expectations Theory of the Term Structure," Papers 9614, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
1995
- Michael Rockinger, 1995. "Determinants of Capital Flow to Mutual Funds," Working Papers hal-00602733, HAL.
- Michael Rockinger & Karim M. Abadir, 1995. "The devil's horns: a problem with the densities of AR statistics," Working Papers hal-00602732, HAL.
- 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
- Michael Rockinger, 1994. "Regime Switching: Evidence for the French Stock Market," Working Papers hal-00607661, HAL.
- Michael Rockinger, 1994. "Switching Regressions of Unexpected Macroeconomic Events Explaining the French Stock Index," Working Papers hal-00607662, HAL.
- Michael Rockinger & Michel Crouhy, 1994. "Volatility Clustering, Asymmetry and Hysteresis in Stock Returns: International Evidence," Working Papers hal-00607660, HAL.
- Michael Rockinger & M. Crouhy, 1994. "Forecasting Conditional Volatility with Garch and Change of Regime Models: International Evidence," Working Papers hal-00612796, HAL.
- Jondeau, E., 1994. "Modele de prevision et allocation d'actifs," Papers 1994-05-f, Caisse des Depots et Consignations - Cahiers de recherche.
1993
- Fernando Restoy & G. Michael Rockinger, 1993.
"On Stock Market Returns and Returns on Investments,"
Working Papers
9311, Banco de España.
- Restoy, Fernando & Rockinger, G Michael, 1994. "On Stock Market Returns and Returns on Investment," Journal of Finance, American Finance Association, vol. 49(2), pages 543-556, June.
- Michael Rockinger & Fernando Restoy, 1993. "On stock market returns and returns on investment," Working Papers hal-00608358, HAL.
- 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.
- 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.
- 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.
- 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.
- Patrick Jacq & Eric Jondeau & Frank Sédillot, 1993. "Les politiques monétaires au sein du SME," Économie et Prévision, Programme National Persée, vol. 109(3), pages 57-74.
- 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.
- Jondeau, E. & Nocolai, J.P., 1993. "Modelisation du prix des actifs financiers," Papers 1993-16-f, Caisse des Depots et Consignations - Cahiers de recherche.
1992
- Michael Rockinger, 1992. "Remarks concerning 'traditional' investment equations," Working Papers hal-00611414, HAL.
- 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.
1991
- Michael Rockinger, 1991. "Short horizons vs. empire building: some empirical evidence," Working Papers hal-00611968, HAL.
- Michael Rockinger & F. Restoy, 1991. "Investment incentives in endogenously growing economies," Working Papers hal-00611970, HAL.
Undated
- Karim Abadir & Michael Rockinger, "undated".
"Density-Embedding Functions,"
Discussion Papers
97/16, Department of Economics, University of York.
- Michael Rockinger & Karim Abadir, 1997. "Density-embedding Functions," Working Papers hal-00601589, HAL.
- Richard C. Green & Burton Hollifield & Norman Schurhoff, "undated".
"Financial Intermediation and the Costs of Trading in an Opaque Market,"
GSIA Working Papers
2004-11, Carnegie Mellon University, Tepper School of Business.
- Richard C. Green & Burton Hollifield & Norman Schürhoff, 2007. "Financial Intermediation and the Costs of Trading in an Opaque Market," The Review of Financial Studies, Society for Financial Studies, vol. 20(2), pages 275-314.
- 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.
- Richard Green & Burton Hollifield & Norman Schurhoff, "undated".
"Dealer Intermediation and Price Behavior in the Aftermarket for New Bond Issues,"
GSIA Working Papers
2005-E56, Carnegie Mellon University, Tepper School of Business.
- 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.
- Theodosios Dimopoulos & Stefano Sacchetto, "undated". "Technological Heterogeneity and Corporate Investment," GSIA Working Papers 2012-E48, Carnegie Mellon University, Tepper School of Business.
Journal articles
2024
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024.
"Nonstandard Errors,"
Journal of Finance, American Finance Association, vol. 79(3), pages 2339-2390, June.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian Brownlees & Javier Gil-Bazo, 2021. "Non-Standard Errors," Working Papers 1303, Barcelona School of Economics.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," IWH Discussion Papers 11/2021, Halle Institute for Economic Research (IWH).
- Albert J. et al. Menkveld, 2021. "Non-Standard Errors," CESifo Working Paper Series 9453, CESifo.
- Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Post-Print halshs-03500882, HAL.
- Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Cambridge Working Papers in Economics 2182, Faculty of Economics, University of Cambridge.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023. "Non-Standard Errors," LIDAM Reprints LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024. "Nonstandard errors," LSE Research Online Documents on Economics 123002, London School of Economics and Political Science, LSE Library.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," SAFE Working Paper Series 327, Leibniz Institute for Financial Research SAFE.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Díaz & Menachem Abudy & Tobi, 2021. "Non-Standard Errors," Working Papers 2021-31, Faculty of Economics and Statistics, Universität Innsbruck.
- Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-Standard Errors," CEPR Discussion Papers 16751, C.E.P.R. Discussion Papers.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021. "Non-standard errors," Economics Working Papers 1807, Department of Economics and Business, Universitat Pompeu Fabra.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021. "Non-Standard Errors," Working Papers 2021:17, Lund University, Department of Economics.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Frömmel & et al, 2021. "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1032, Ghent University, Faculty of Economics and Business Administration.
- Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022. "Non-Standard Errors," Swiss Finance Institute Research Paper Series 22-09, Swiss Finance Institute.
- Moinas, Sophie & Declerck, Fany & Menkveld, Albert J. & Dreber, Anna, 2023. "Non-Standard Errors," TSE Working Papers 23-1451, Toulouse School of Economics (TSE).
- Ferrara, Gerardo & Jurkatis, Simon, 2021. "Non-standard errors," Bank of England working papers 955, Bank of England.
- Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03500882, HAL.
- Ciril Bosch-Rosa & Bernhard Kassner, 2023. "Non-Standard Errors," Rationality and Competition Discussion Paper Series 385, CRC TRR 190 Rationality and Competition.
- Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Janeway Institute Working Papers 2112, Faculty of Economics, University of Cambridge.
- Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021. "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne 21033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Hendershott, Terrence & Li, Dan & Livdan, Dmitry & Schürhoff, Norman, 2024. "When failure is an option: Fragile liquidity in over-the-counter markets," Journal of Financial Economics, Elsevier, vol. 157(C).
2023
- Rüdiger Fahlenbrach & Eric Jondeau, 2023.
"Greening the Swiss National Bank’s Portfolio,"
The Review of Corporate Finance Studies, Society for Financial Studies, vol. 12(4), pages 792-833.
- Rüdiger Fahlenbrach & Eric Jondeau, 2021. "Greening the Swiss National Bank's Portfolio," Swiss Finance Institute Research Paper Series 21-59, Swiss Finance Institute.
- Jie Cao & Amit Goyal & Xiao Xiao & Xintong Zhan, 2023.
"Implied Volatility Changes and Corporate Bond Returns,"
Management Science, INFORMS, vol. 69(3), pages 1375-1397, March.
- Jie Cao & Amit Goyal & Xiao Xiao & Xintong Zhan, 2019. "Implied Volatility Changes and Corporate Bond Returns," Swiss Finance Institute Research Paper Series 19-75, Swiss Finance Institute.
- Amit Goyal & Ramon Tol & Sunil Wahal, 2023. "Forbearance in Institutional Investment Management: Evidence from Survey Data," Financial Analysts Journal, Taylor & Francis Journals, vol. 79(2), pages 7-20, April.
- Amit Goyal & Avanidhar Subrahmanyam & Bhaskaran Swaminathan, 2023.
"Illiquidity and the cost of equity capital: Evidence from actual estimates of capital cost for U.S. data,"
Review of Financial Economics, John Wiley & Sons, vol. 41(4), pages 364-391, October.
- Amit Goyal & Avanidhar Subrahmanyam & Bhaskaran Swaminathan, 2021. "Illiquidity and the Cost of Equity Capital: Evidence from Actual Estimates of Capital Cost for U.S. Data," Swiss Finance Institute Research Paper Series 21-87, Swiss Finance Institute.
2022
- Jondeau, Eric & Sahuc, Jean-Guillaume, 2022.
"Bank capital shortfall in the euro area,"
Journal of Financial Stability, Elsevier, vol. 62(C).
- Eric Jondeau & Jean-Guillaume Sahuc, 2022. "Bank capital shortfall in the euro area," Post-Print hal-03771767, HAL.
- Jondeau, Eric & Khalilzadeh, Amir, 2022. "Predicting the stressed expected loss of large U.S. banks," Journal of Banking & Finance, Elsevier, vol. 134(C).
2021
- Jondeau, Eric & Zhang, Qunzi & Zhu, Xiaoneng, 2021.
"When Are Stocks Less Volatile in the Long Run?,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 56(4), pages 1228-1258, June.
- Eric Jondeau & Qunzi Zhang & Xiaoneng Zhu, 2018. "When Are Stocks Less Volatile in the Long Run?," Swiss Finance Institute Research Paper Series 18-07, Swiss Finance Institute, revised Feb 2018.
2020
- Eric Jondeau & Xuewu Wang & Zhipeng Yan & Qunzi Zhang, 2020. "Skewness and index futures return," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(11), pages 1648-1664, November.
- Tarun Chordia & Amit Goyal & Alessio Saretto, 2020. "Anomalies and False Rejections," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2134-2179.
- Terrence Hendershott & Dan Li & Dmitry Livdan & Norman Schürhoff, 2020. "Relationship Trading in Over‐the‐Counter Markets," Journal of Finance, American Finance Association, vol. 75(2), pages 683-734, April.
2019
- Eric Jondeau & Michael Rockinger, 2019. "Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(8), pages 2239-2291, December.
- Jondeau, Eric & Zhang, Qunzi & Zhu, Xiaoneng, 2019.
"Average skewness matters,"
Journal of Financial Economics, Elsevier, vol. 134(1), pages 29-47.
- Eric JONDEAU & Qunzi ZHANG, 2015. "Average Skewness Matters!," Swiss Finance Institute Research Paper Series 15-47, Swiss Finance Institute.
- Assaf Eisdorfer & Amit Goyal & Alexei Zhdanov, 2019. "Equity Misvaluation and Default Options," Journal of Finance, American Finance Association, vol. 74(2), pages 845-898, April.
- Dario Cestau & Burton Hollifield & Dan Li & Norman Schürhoff, 2019.
"Municipal Bond Markets,"
Annual Review of Financial Economics, Annual Reviews, vol. 11(1), pages 65-84, December.
- Schürhoff, Norman & Li, Dan & Cestau, Dario & Hollifield, Burton, 2018. "Municipal Bond Markets," CEPR Discussion Papers 13301, C.E.P.R. Discussion Papers.
- Dario Cestau & Burton Hollifield & Dan Li & Norman Schürhoff, 2018. "Municipal Bond Markets," Swiss Finance Institute Research Paper Series 18-69, Swiss Finance Institute.
- Dan Li & Norman Schürhoff, 2019.
"Dealer Networks,"
Journal of Finance, American Finance Association, vol. 74(1), pages 91-144, February.
- Schürhoff, Norman & Li, Dan, 2014. "Dealer Networks," CEPR Discussion Papers 10237, C.E.P.R. Discussion Papers.
- Dan LI & Norman SCHUERHOFF, 2014. "Dealer Networks," Swiss Finance Institute Research Paper Series 14-50, Swiss Finance Institute.
- Dan Li & Norman Schurhoff, 2014. "Dealer Networks," Finance and Economics Discussion Series 2014-95, Board of Governors of the Federal Reserve System (U.S.).
2018
- Eric Jondeau & Emmanuel Jurczenko & Michael Rockinger, 2018.
"Moment Component Analysis: An Illustration With International Stock Markets,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(4), pages 576-598, October.
- Eric JONDEAU & Emmanuel JURCZENKO & Michael ROCKINGER, 2010. "Moment Component Analysis: An Illustration with International Stock Markets," Swiss Finance Institute Research Paper Series 10-43, Swiss Finance Institute.
- Assaf Eisdorfer & Amit Goyal & Alexei Zhdanov, 2018. "Distress Anomaly and Shareholder Risk: International Evidence," Financial Management, Financial Management Association International, vol. 47(3), pages 553-581, September.
- Amit Goyal & Narasimhan Jegadeesh, 2018. "Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference?," The Review of Financial Studies, Society for Financial Studies, vol. 31(5), pages 1784-1824.
- Erwan Morellec & Boris Nikolov & Norman Schürhoff, 2018.
"Agency Conflicts around the World,"
The Review of Financial Studies, Society for Financial Studies, vol. 31(11), pages 4232-4287.
- Erwan Morellec & Boris Nikolov & Norman Schürhoff, 2015. "Agency Conflicts Around the World," Swiss Finance Institute Research Paper Series 15-21, Swiss Finance Institute, revised Apr 2016.
- Norman Schuerhoff & Boris Nikolov & Erwan Morellec, 2016. "Agency Conflicts Around the World," 2016 Meeting Papers 923, Society for Economic Dynamics.
- Schürhoff, Norman & Morellec, Erwan & Nikolov, Boris, 2016. "Agency Conflicts Around the World," CEPR Discussion Papers 11243, C.E.P.R. Discussion Papers.
2017
- Jondeau, Eric & Khalilzadeh, Amir, 2017.
"Collateralization, leverage, and stressed expected loss,"
Journal of Financial Stability, Elsevier, vol. 33(C), pages 226-243.
- Eric JONDEAU & Amir KHALILZADEH, 2015. "Collateralization, Leverage, and Stressed Expected Loss," Swiss Finance Institute Research Paper Series 15-24, Swiss Finance Institute, revised Aug 2015.
- Chordia, Tarun & Goyal, Amit & Nozawa, Yoshio & Subrahmanyam, Avanidhar & Tong, Qing, 2017. "Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(4), pages 1301-1342, August.
2016
- Anastasia Borisova & Michael Rockinger, 2016. "Violating United Nations Global Compact Principles: An Event Study," Bankers, Markets & Investors, ESKA Publishing, issue 144, pages 4-19, September.
- Jondeau, Eric, 2016. "Asymmetry in tail dependence in equity portfolios," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 351-368.
- Eric Jondeau, 2016. "Book Review: Risk-Based and Factor Investing," Bankers, Markets & Investors, ESKA Publishing, issue 141, pages 1-3, March-Apr.
- Eric Jondeau, 2016. "Comment on "Exchange rate floor and central bank balance sheets: Simple spillover tests of the Swiss franc"," Aussenwirtschaft, University of St. Gallen, School of Economics and Political Science, Swiss Institute for International Economics and Applied Economics Research, vol. 67(02), pages 49-50, August.
- Chordia, Tarun & Goyal, Amit & Jegadeesh, Narasimhan, 2016.
"Buyers versus Sellers: Who Initiates Trades, and When?,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 51(5), pages 1467-1490, October.
- Tarun CHORDIA & Amit GOYAL & Narasimhan JEGADEESH, 2011. "Buyers Versus Sellers: Who Initiates Trades And When?," Swiss Finance Institute Research Paper Series 11-43, Swiss Finance Institute.
2015
- Éric Jondeau & Michael Rockinger, 2015. "Long-term Portfolio Allocation Based on Long-term Macro forecasts," Bankers, Markets & Investors, ESKA Publishing, issue 134, pages 62-69, January-F.
- Jondeau, Eric & Lahaye, Jérôme & Rockinger, Michael, 2015.
"Estimating the price impact of trades in a high-frequency microstructure model with jumps,"
Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 205-224.
- Eric Jondeau & Jérôme Lahaye & Michael Rockinger, 2013. "Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps," Swiss Finance Institute Research Paper Series 13-47, Swiss Finance Institute, revised Feb 2016.
- Jondeau, Eric, 2015. "The dynamics of squared returns under contemporaneous aggregation of GARCH models," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 80-93.
- Goyal, Amit & Wahal, Sunil, 2015. "Is Momentum an Echo?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 50(6), pages 1237-1267, December.
- Hendershott, Terrence & Livdan, Dmitry & Schürhoff, Norman, 2015.
"Are institutions informed about news?,"
Journal of Financial Economics, Elsevier, vol. 117(2), pages 249-287.
- Terrence HENDERSHOTT & Dmitry LIVDAN & Norman SCHUERHOFF, 2014. "Are Institutions Informed About News?," Swiss Finance Institute Research Paper Series 14-49, Swiss Finance Institute.
- Diane Pierret, 2015.
"Systemic Risk and the Solvency-Liquidity Nexus of Banks,"
International Journal of Central Banking, International Journal of Central Banking, vol. 11(3), pages 193-227, June.
- Pierret, D., 2014. "Systemic risk and the solvency-liquidity nexus of banks," LIDAM Discussion Papers ISBA 2014056, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- PIERRET, Diane, 2014. "Systemic risk and the solvency-liquidity nexus of banks," LIDAM Discussion Papers CORE 2014038, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
2014
- Jondeau, Eric & Pelgrin, Florian, 2014.
"Estimating aggregate autoregressive processes when only macro data are available,"
Economics Letters, Elsevier, vol. 124(3), pages 341-347.
- Eric JONDEAU & Florian PELGRIN, 2014. "Estimating Aggregate Autoregressive Processes When Only Macro Data are Available," Swiss Finance Institute Research Paper Series 14-43, Swiss Finance Institute.
- Jeffrey A. Busse & Amit Goyal & Sunil Wahal, 2014. "Investing in a Global World," Review of Finance, European Finance Association, vol. 18(2), pages 561-590.
- Suzanne Treville & Norman Schürhoff & Lenos Trigeorgis & Benjamin Avanzi, 2014. "Optimal Sourcing and Lead-Time Reduction under Evolutionary Demand Risk," Production and Operations Management, Production and Operations Management Society, vol. 23(12), pages 2103-2117, December.
- Zhihua Chen & Aziz A. Lookman & Norman Schürhoff & Duane J. Seppi, 2014. "Rating-Based Investment Practices and Bond Market Segmentation," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 4(2), pages 162-205.
- Acharya, Viral & Engle, Robert & Pierret, Diane, 2014.
"Testing macroprudential stress tests: The risk of regulatory risk weights,"
Journal of Monetary Economics, Elsevier, vol. 65(C), pages 36-53.
- Viral V. Acharya & Robert Engle & Diane Pierret, 2013. "Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights," NBER Working Papers 18968, National Bureau of Economic Research, Inc.
- Engle, Robert & Acharya, Viral & Pierret, Diane, 2013. "Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights," CEPR Discussion Papers 9431, C.E.P.R. Discussion Papers.
- Engle, Robert & Acharya, Viral & Pierret, Diane, 2014. "Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights," CEPR Discussion Papers 9800, C.E.P.R. Discussion Papers.
- Acharya, Viral & Engle, Robert & Pierret, Diane, 2014. "Testing macroprudential stress tests: The risk of regulatory risk weights," LIDAM Reprints ISBA 2014022, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Dimopoulos, Theodosios & Sacchetto, Stefano, 2014.
"Preemptive bidding, target resistance, and takeover premiums,"
Journal of Financial Economics, Elsevier, vol. 114(3), pages 444-470.
- Theodosios Dimopoulos & Stefano Sacchetto, 2014. "Preemptive Bidding, Target Resistance, and Takeover Premiums," GSIA Working Papers 2012-E46, Carnegie Mellon University, Tepper School of Business.
2013
- Eric Jondeau & Michael Rockinger, 2013.
"Systemic Risk in Europe,"
Global Credit Review (GCR), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-6.
- Eric Jondeau & Michael Rockinger, 2014. "Systemic Risk in Europe," World Scientific Book Chapters, in: Risk Management Institute (ed.), Global Credit Review, chapter 1, pages 1-6, World Scientific Publishing Co. Pte. Ltd..
- Robert Engle & Eric Jondeau & Michael Rockinger, 2015. "Systemic Risk in Europe," Review of Finance, European Finance Association, vol. 19(1), pages 145-190.
- Robert F. Engle & Eric Jondeau & Michael Rockinger, 2012. "Systemic Risk in Europe," Swiss Finance Institute Research Paper Series 12-45, Swiss Finance Institute.
- Poon, Ser-Huang & Rockinger, Michael & Stathopoulos, Konstantinos, 2013. "Market liquidity and institutional trading during the 2007–8 financial crisis," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 86-97.
- 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.
- 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, August.
- BAUWENS, Luc & HAFNER, Christian M. & PIERRET, Diane, 2013. "Multivariate volatility modeling of electricity futures," LIDAM Reprints CORE 2526, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, L. & Hafner, C. & Pierret, D., 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers ISBA 2011013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Luc Bauwens & Christian M. Hafner & Diane Pierret, 2011. "Multivariate Volatility Modeling of Electricity Futures," SFB 649 Discussion Papers SFB649DP2011-063, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- BAUWENS, Luc & HAFNER, Christian & pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers CORE 2011011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
2012
- Antonio E. Bernardo & Bhagwan Chowdhry & Amit Goyal, 2012. "Assessing Project Risk," Journal of Applied Corporate Finance, Morgan Stanley, vol. 24(3), pages 94-100, September.
- Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.
- Erwan Morellec & Boris Nikolov & Norman Schürhoff, 2012. "Corporate Governance and Capital Structure Dynamics," Journal of Finance, American Finance Association, vol. 67(3), pages 803-848, June.
2011
- Holly, Alberto & Monfort, Alain & Rockinger, Michael, 2011.
"Fourth order pseudo maximum likelihood methods,"
Journal of Econometrics, Elsevier, vol. 162(2), pages 278-293, June.
- Alberto Holly & Alain Monfort & Michael Rockinger, 2011. "Fourth order pseudo maximum likelihood methods," Post-Print hal-00815562, HAL.
- Alberto HOLLY & Alain MONFORT & Michael ROCKINGER, 2009. "Fourth Order Pseudo Maximum Likelihood Methods," Swiss Finance Institute Research Paper Series 09-23, Swiss Finance Institute.
- Alberto HOLLY & Alain MONFORT & Michael ROCKINGER, 2011. "Fourth Order Pseudo Maximum Likelihood Methods," Working Papers 2011-05, Center for Research in Economics and Statistics.
- 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.
- Jean Imbs & Eric Jondeau & Florian Pelgrin, 2011. "Sectoral Phillips curves and the aggregate Phillips curve," PSE-Ecole d'économie de Paris (Postprint) hal-00612310, HAL.
- Jean Imbs & Eric Jondeau & Florian Pelgrin, 2011. "Sectoral Phillips curves and the aggregate Phillips curve," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00612310, HAL.
- Jean Imbs & Eric Jondeau & Florian Pelgrin, 2011. "Sectoral Phillips curves and the aggregate Phillips curve," Post-Print hal-00612310, HAL.
- 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
- 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, April.
- 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.
- Erwan Morellec & Norman Schürhoff, 2010. "Dynamic Investment and Financing under Personal Taxation," The Review of Financial Studies, Society for Financial Studies, vol. 23(1), pages 101-146, January.
2009
- Eric Jondeau & Michael Rockinger, 2009. "The Impact of Shocks on Higher Moments," Journal of Financial Econometrics, Oxford University Press, vol. 7(2), pages 77-105, Spring.
- Eric Jondeau & Michael Rockinger, 2009. "On the Importance of Time Variability in Higher Moments for Asset Allocation," Journal of Financial Econometrics, Oxford University Press, vol. 10(1), pages 84-123, 2012 10 1.
- Goyal, Amit & Saretto, Alessio, 2009. "Cross-section of option returns and volatility," Journal of Financial Economics, Elsevier, vol. 94(2), pages 310-326, November.
- Tarun Chordia & Amit Goyal & Gil Sadka & Ronnie Sadka & Lakshmanan Shivakumar, 2009. "Liquidity and the Post-Earnings-Announcement Drift," Financial Analysts Journal, Taylor & Francis Journals, vol. 65(4), pages 18-32, July.
2008
- 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.
- 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.
- Jondeau, Eric & Sahuc, Jean-Guillaume, 2008.
"Testing heterogeneity within the euro area,"
Economics Letters, Elsevier, vol. 99(1), pages 192-196, April.
- Jondeau, E. & Sahuc, J-G., 2007. "Testing heterogeneity within the euro area," Working papers 181, Banque de France.
- Eric Jondeau & Jean-Guillaume Sahuc, 2008. "Testing Heterogeneity within the Euro Area," Post-Print hal-01612713, HAL.
- 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.
- 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.
- Eric Jondeau & Jean-Guillaume Sahuc, 2004. "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity," Documents de recherche 04-13, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
- Eric Jondeau & Jean-Guillaume Sahuc, 2008. "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity," Post-Print hal-01612712, HAL.
- 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.
- Eric Jondeau & Jean-Guillaume SAHUC, 2007. "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-Country Heterogeneity," Swiss Finance Institute Research Paper Series 07-36, Swiss Finance Institute.
- 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, August.
- 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.
- Christophe Villa & Amit Goyal & Christophe Pérignon, 2008. "How common are common return factors across NYSE and Nasdaq?," Post-Print hal-00796909, HAL.
- Ivo Welch & Amit Goyal, 2008.
"A Comprehensive Look at The Empirical Performance of Equity Premium Prediction,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1455-1508, July.
- Amit Goval & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," NBER Working Papers 10483, National Bureau of Economic Research, Inc.
- Amit Goyal & Ivo Welch & Athanasse Zafirov, 2021. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction II," Swiss Finance Institute Research Paper Series 21-85, Swiss Finance Institute.
- 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.
2007
- 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, July.
- 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.
- Richard Green & Burton Hollifield & Norman Schurhoff, "undated". "Dealer Intermediation and Price Behavior in the Aftermarket for New Bond Issues," GSIA Working Papers 2005-E56, Carnegie Mellon University, Tepper School of Business.
- Richard C. Green & Burton Hollifield & Norman Schürhoff, 2007.
"Financial Intermediation and the Costs of Trading in an Opaque Market,"
The Review of Financial Studies, Society for Financial Studies, vol. 20(2), pages 275-314.
- 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.
- Richard C. Green & Burton Hollifield & Norman Schurhoff, "undated". "Financial Intermediation and the Costs of Trading in an Opaque Market," GSIA Working Papers 2004-11, Carnegie Mellon University, Tepper School of Business.
2006
- 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.
- Eric Jondeau & Michael Rockinger, 2006.
"Optimal Portfolio Allocation under Higher Moments,"
European Financial Management, European Financial Management Association, vol. 12(1), pages 29-55, January.
- Jondeau, E. & Rockinger, M., 2004. "Optimal Portfolio Allocation Under Higher Moments," Working papers 108, Banque de France.
- 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.
- Doron Avramov & Tarun Chordia & Amit Goyal, 2006. "The Impact of Trades on Daily Volatility," The Review of Financial Studies, Society for Financial Studies, vol. 19(4), pages 1241-1277.
2005
- 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.
- 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,"
The Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 831-873.
- 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.
2004
- 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.
- Éric Jondeau, 2004. "Gestion institutionnelle et volatilité des marchés financiers," Revue d'Économie Financière, Programme National Persée, vol. 74(1), pages 157-175.
- Goyal, Amit, 2004. "Demographics, Stock Market Flows, and Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(1), pages 115-142, March.
2003
- 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.
- Jondeau, Eric & Rockinger, Michael, 2003. "User's guide," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1739-1742, August.
- 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.
- Michael Rockinger & Eric Jondeau, 2001. "Testing for differences in the tails of stock-market returns," Working Papers hal-00601480, HAL.
- ROCKINGER, Michael & JONDEAU, Eric, 2001. "Testing for differences in the tails of stock-market returns," HEC Research Papers Series 739, HEC Paris.
- Abadir, Karim M. & Rockinger, Michael, 2003. "Density Functionals, With An Option-Pricing Application," Econometric Theory, Cambridge University Press, vol. 19(5), pages 778-811, October.
- Amit Goyal & Pedro Santa‐Clara, 2003. "Idiosyncratic Risk Matters!," Journal of Finance, American Finance Association, vol. 58(3), pages 975-1007, June.
- Amit Goyal & Ivo Welch, 2003.
"Predicting the Equity Premium with Dividend Ratios,"
Management Science, INFORMS, vol. 49(5), pages 639-654, May.
- Amit Goyal & Ivo Welch, 1999. "Predicting the Equity Premium with Dividend Ratios," Yale School of Management Working Papers amz2437, Yale School of Management, revised 01 Nov 2002.
- Amit Goyal & Ivo Welch, 2002. "Predicting the Equity Premium With Dividend Ratios," NBER Working Papers 8788, National Bureau of Economic Research, Inc.
2002
- 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.
- Rockinger, M. & Jondeau, E., 2001. "Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis," Working papers 79, Banque de France.
- Éric Jondeau & Hervé Le Bihan, 2002.
"Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies,"
Annals of Economics and Statistics, GENES, issue 67-68, pages 357-388.
- 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.
2001
- Jondeau, Eric & Rockinger, Michael, 2001. "Gram-Charlier densities," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1457-1483, October.
- 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.
- 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.
- 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.
- Michael, ROCKINGER & Giovanni, URGA, 1998. "A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies," HEC Research Papers Series 635, HEC Paris.
- Michael Rockinger & Giovanni Urga, 1998. "A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies," Working Papers hal-00601498, HAL.
- 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 ?," Annals of Economics and Statistics, GENES, issue 62, pages 139-174.
- Francois Chesnay & Eric Jondeau, 2001.
"Does Correlation Between Stock Returns Really Increase During Turbulent Periods?,"
Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 30(1), pages 53-80, February.
- Chesnay, F. & Jondeau, E., 2000. "Does Correlation between Stock Returns Really Increase during Turbulent Period?," Working papers 73, Banque de France.
2000
- 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.
- 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.
- 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.
- Michael Rockinger & Eric Jondeau, 1997. "Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities," Working Papers hal-00601591, HAL.
- Alexandros Benos & Michael Rockinger, 2000. "Market Response to Earnings Announcements and Interim Reports: An Analysis of SBF120 Companies," Annals of Economics and Statistics, GENES, issue 60, pages 151-175.
- Chowdhry, Bhagwan & Goyal, Amit, 2000. "Understanding the financial crisis in Asia," Pacific-Basin Finance Journal, Elsevier, vol. 8(2), pages 135-152, May.
1999
- Catherine Bruneau & Eric Jondeau, 1999. "Causalité de long terme et amélioration de la prévision : application aux courbes de taux d'intérêt," Annals of Economics and Statistics, GENES, issue 54, pages 23-45.
- Catherine Bruneau & Eric Jondeau, 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 545-568, November.
- Bruneau, C. & Jondeau, E., 1998. "Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates," Working papers 53, Banque de France.
- 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.
- 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.
- Éric Jondeau & Roland Ricart, 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.
- 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.
- Eric Jondeau & Franck Sédillot, 1999. "Forecasting French and German long-term rates using a rational expectations model," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 135(3), pages 413-436, September.
1998
- Éric Jondeau & Roland Ricart, 1998.
"La théorie des anticipations de la structure par terme : test à partir de titres publics français,"
Annals of Economics and Statistics, GENES, issue 52, pages 1-22.
- 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.
1997
- 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
- 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.
- 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.
1994
- Restoy, Fernando & Rockinger, G Michael, 1994.
"On Stock Market Returns and Returns on Investment,"
Journal of Finance, American Finance Association, vol. 49(2), pages 543-556, June.
- Michael Rockinger & Fernando Restoy, 1993. "On stock market returns and returns on investment," Working Papers hal-00608358, HAL.
- Fernando Restoy & G. Michael Rockinger, 1993. "On Stock Market Returns and Returns on Investments," Working Papers 9311, Banco de España.
1993
- Patrick Jacq & Eric Jondeau & Frank Sédillot, 1993.
"Les politiques monétaires au sein du SME,"
Économie et Prévision, Programme National Persée, vol. 109(3), pages 57-74.
- 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.
1992
- Eric Jondeau, 1992. "La soutenabilité de la politique budgétaire," Économie et Prévision, Programme National Persée, vol. 104(3), pages 1-17.
- Jean-François Loué & Eric Jondeau, 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.
1990
- Damien Girardot & Eric Jondeau, 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.
Chapters
2021
- Bhagwan Chowdhry & Amit Goyal & Syed Anas Ahmed, 2021. "Digital Identity in India," Springer Books, in: Raghavendra Rau & Robert Wardrop & Luigi Zingales (ed.), The Palgrave Handbook of Technological Finance, pages 837-853, Springer.
2014
- Eric Jondeau & Michael Rockinger, 2014.
"Systemic Risk in Europe,"
World Scientific Book Chapters, in: Risk Management Institute (ed.), Global Credit Review, chapter 1, pages 1-6,
World Scientific Publishing Co. Pte. Ltd..
- Robert Engle & Eric Jondeau & Michael Rockinger, 2015. "Systemic Risk in Europe," Review of Finance, European Finance Association, vol. 19(1), pages 145-190.
- Eric Jondeau & Michael Rockinger, 2013. "Systemic Risk in Europe," Global Credit Review (GCR), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-6.
- Robert F. Engle & Eric Jondeau & Michael Rockinger, 2012. "Systemic Risk in Europe," Swiss Finance Institute Research Paper Series 12-45, Swiss Finance Institute.