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Publications

by members of

Université de Lausanne → Faculté des Hautes Études Commerciales (HEC) → Institut de Banque et Finance (IBF)

University of Lausanne → Business School → Institute of Banking and Finance

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. Find also a compilation of publications from alumni here.

This page is updated in the first days of each month.

| Working papers | Journal articles | Books | Chapters |

Working papers

2026

  1. Jon Frost & Kumar Rishabh & Vatsala Shreeti, 2026, "Global giants in the AI supply chain," BIS Bulletins, Bank for International Settlements, number 122, Feb.
  2. Kumar Rishabh & Vatsala Shreeti, 2026, "The geography of AI firms," BIS Working Papers, Bank for International Settlements, number 1343, Apr.
  3. Alessandro Di Stefano & Yvan Lengwiler & Kumar Rishabh, 2026, "The credibility of bail-in," BIS Working Papers, Bank for International Settlements, number 1356, Jun.

2025

  1. Amit Goyal & Yoshio Nozawa & Yancheng Qiu, 2025, "Passive Ownership and Corporate Bond Lending," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 25-100, Sep.
  2. Ivo Welch & Amit Goyal, 2025, "Dividend-Price Ratios and Payout Constraints," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 25-99, Sep.
  3. Roxana Mihet & Kumar Rishabh & Orlando Gomes, 2025, "Is It AI or Data That Drives Firm Growth?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 25-37, Mar.
  4. Kumar Rishabh & Roxana Mihet & Julian Jang-Jaccard, 2025, "Cyberrisk and AI Firms," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 25-39, Apr.
  5. Boris Nikolov & Norman Schuerhoff & Sam Wagner, 2025, "AI in Corporate Governance: Can Machines Recover Corporate Purpose?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 25-23, Mar.

2024

  1. Jie Cao & Amit Goyal & Yajing (Stella) Wang & Xintong Zhan & Weiming Elaine Zhang, 2024, "Opioid Crisis and Firm Downside Tail Risks: Evidence from the Option Market," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-74, Oct.
  2. Amit Goyal & Adam V. Reed & Esad Smajlbegovic & Amar Soebhag, 2024, "Stealthy Shorts: Informed Liquidity Supply," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-75, Sep.
  3. Jean-Guillaume Sahuc & Eric Jondeau & Benoit Mojon, 2024, "Bank Rollover Risk and Liquidity Supply Regimes," Post-Print, HAL, number hal-04445236.
  4. Viral V. Acharya & Markus K. Brunnermeier & Diane Pierret, 2024, "Systemic Risk Measures: From the Panic of 1907 to the Banking Stress of 2023," NBER Working Papers, National Bureau of Economic Research, Inc, number 33211, Nov.
  5. Boris Nikolov & Norman Schuerhoff & Zepeng Wang, 2024, "Beyond Peers: Cross-Industry Competition and Strategic Financing," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-45, Sep.

2023

  1. Turan G. Bali & Heiner Beckmeyer & Amit Goyal, 2023, "A Joint Factor Model for Bonds, Stocks, and Options," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-106, Nov.
  2. Amit Goyal & Sunil Wahal, 2023, "R&D, Innovation, and the Stock Market," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-107, Nov.
  3. Eric Jondeau & Grégory Levieuge & Jean-Guillaume Sahuc & Gauthier Vermandel, 2023, "Environmental Subsidies to Mitigate Net-Zero Transition Costs," Working papers, Banque de France, number 910.
  4. Gong Cheng & Eric Jondeau & Benoit Mojon & Dimitri Vayanos, 2023, "The impact of green investors on stock prices," BIS Working Papers, Bank for International Settlements, number 1127, Sep.
  5. Orlando Gomes & Roxana Mihet & Kumar Rishabh, 2023, "Data Innovation Complementarity and Firm Growth," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-86, Sep.
  6. da Costa Gomes, Orlando Manuel & Mihet, Roxana & Rishabh, Kumar, 2023, "Data Risk, Firm Growth and Innovation," CEPR Discussion Papers, Centre for Economic Policy Research, number 18668, Dec.
  7. Florian Perusset & Michael Rockinger, 2023, "Do Structured Products Improve Portfolio Performance? A Backtesting Exercise," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-47, Jun.
  8. Ali Kakhbod & Seyed Mohammad Kazempour & Dmitry Livdan & Norman Schuerhoff, 2023, "Finfluencers," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-30, Mar.
    • Kakhbod, Ali & Kazempour, Seyed & Livdan, Dmitry & Schürhoff, Norman, 2025, "Finfluencers," CEPR Discussion Papers, Centre for Economic Policy Research, number 20204, May.
  9. 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, Swiss Finance Institute, number 23-85, Sep.

2022

  1. Amit Goyal & Alessio Saretto, 2022, "Are Equity Option Returns Abnormal? IPCA Says No," Working Papers, Federal Reserve Bank of Dallas, number 2214, Aug, DOI: 10.24149/wp2214.
  2. Torsten Ehlers & Ulrike Elsenhuber & Anandakumar Jegarasasingam & Eric Jondeau, 2022, "Deconstructing ESG scores: how to invest with your own criteria," BIS Working Papers, Bank for International Settlements, number 1008, Mar.
  3. Gong Cheng & Eric Jondeau & Benoit Mojon, 2022, "Building portfolios of sovereign securities with decreasing carbon footprints," BIS Working Papers, Bank for International Settlements, number 1038, Sep.
  4. Martin Indergand & Eric Jondeau & Andreas Fuster, 2022, "Measuring and Stress-Testing Market-Implied Bank Capital," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-11, Jan.
  5. Eric Jondeau & Gregory Levieuge & Jean-Guillaume Sahuc & Gauthier Vermandel, 2022, "Environmental Subsidies to Mitigate Transition Risk," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-45, May.
  6. 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, Swiss Finance Institute, number 22-46, May.
  7. Eric Jondeau & Jean-Guillaume Sahuc, 2022, "Bank capital shortfall in the euro area," Post-Print, HAL, number hal-03771767.
  8. 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, Swiss Finance Institute, number 22-09, Jan.
    • 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, volume 79, issue 3, pages 2339-2390, June, DOI: 10.1111/jofi.13337.
    • Utz Weitzel & Michael Razen & Sebastian Neussüs & Michael Kirchler & Magnus Johannesson & Juergen Huber & Felix Holzmeister & Anna Dreber & Albert J. Menkveld & Javier Gil-Bazo, 2021, "Non-Standard Errors," Working Papers, Barcelona School of Economics, number 1303, Dec.
    • Gerardo Ferrara & Simon Jurkatis, 2021, "Non-standard errors," Bank of England Staff Working Paper series, Bank of England, number 955, Dec.
    • 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, Faculty of Economics, University of Cambridge, number 2182, Nov.
    • Albert J. et al. Menkveld, 2021, "Non-Standard Errors," CESifo Working Paper Series, CESifo, number 9453.
    • 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, Centre for Economic Policy Research, number 16751, Nov.
    • 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, London School of Economics and Political Science, LSE Library, number 123002, Jun.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-05077550, Apr, DOI: 10.1111/jofi.13337.
    • 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), HAL, number halshs-03500882, Nov.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Post-Print, HAL, number hal-04676112, Apr, DOI: 10.1111/jofi.13337.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Post-Print, HAL, number hal-05077550, Apr, DOI: 10.1111/jofi.13337.
    • 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, HAL, number halshs-03500882, Nov.
    • 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, Lund University, Department of Economics, number 2021:17, Nov.
    • 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, Faculty of Economics and Statistics, Universität Innsbruck, number 2021-31.
    • 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, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 21033, Nov.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neus ss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Fr mmel & et al, 2021, "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 21/1032, Nov.
    • 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, Department of Economics and Business, Universitat Pompeu Fabra, number 1807, Dec.
    • 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, Halle Institute for Economic Research (IWH), number 11/2021.
    • 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, Leibniz Institute for Financial Research SAFE, number 327, DOI: 10.2139/ssrn.3961574.
  9. Terrence Hendershott & Dan Li & Dmitry Livdan & Norman Schürhoff & Kumar Venkataraman, 2022, "Quote Competition in Corporate Bonds," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-70, Sep.
  10. 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, Swiss Finance Institute, number 22-79, Oct.

2021

  1. Jie Cao & Amit Goyal & Xintong Zhan & Weiming Elaine Zhang, 2021, "Unlocking ESG Premium from Options," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-39, Jul.
  2. Lykourgos Alexiou & Amit Goyal & Alexandros Kostakis & Leonidas Rompolis, 2021, "Pricing Event Risk: Evidence from Concave Implied Volatility Curves," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-48, May.
  3. 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, Swiss Finance Institute, number 21-85, Sep.
  4. Amit Goyal & Sunil Wahal & M. Deniz Yavuz, 2021, "Picking Partners: Manager Selection in Private Equity," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-86, Aug.
  5. 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, Swiss Finance Institute, number 21-87, Aug.
  6. Eric Jondeau & Benoit Mojon & Cyril Monnet, 2021, "Greening (runnable) brown assets with a liquidity backstop," BIS Working Papers, Bank for International Settlements, number 929, Mar.
  7. Eric Jondeau & Benoit Mojon & Luiz Awazu Pereira da Silva, 2021, "Building benchmarks portfolios with decreasing carbon footprints," BIS Working Papers, Bank for International Settlements, number 985, Dec.
  8. Eric Jondeau & Alexandre Pauli, 2021, "Disasters, Large Drawdowns, and Long-term Asset Management," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-37, Jun.
  9. Rüdiger Fahlenbrach & Eric Jondeau, 2021, "Greening the Swiss National Bank's Portfolio," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-59, Aug.
  10. Valérie Chavez-Demoulin & Eric Jondeau & Linda Mhalla, 2021, "Climate-Related Disasters and the Death Toll," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-63, Sep.
  11. Fabio Alessandrini & David Baptista Balula & Eric Jondeau, 2021, "ESG Screening in the Fixed-Income Universe," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-77, Nov.
  12. Rishabh, Kumar & Schäublin, Jorma, 2021, "Payment Fintechs and Debt Enforcement," Working papers, Faculty of Business and Economics - University of Basel, number 2021/02.
  13. Rishabh, Kumar, 2021, "Bank as a Venture Capitalist," Working papers, Faculty of Business and Economics - University of Basel, number 2021/09.
  14. Tobias Dieler & Loriano Mancini & Norman Schürhoff, 2021, "(In)efficient repo markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-10, Feb.
  15. Theodosios Dimopoulos & Norman Schürhoff, 2021, "Self-inflicted Debt Crises," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-11, Feb.
  16. Terrence Hendershott & Dmitry Livdan & Norman Schürhoff, 2021, "Do we need dealers in OTC markets?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-43, Jul.

2020

  1. 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, Swiss Finance Institute, number 20-110, Sep.
  2. Amit Goyal & Sunil Wahal & M. Deniz Yavuz, 2020, "Choosing Investment Managers," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-63, Jul.
  3. Assaf Eisdorfer & Amit Goyal & Alexei Zhdanov, 2020, "Cheap Options Are Expensive," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-64, Aug.
  4. Eric Jondeau & Benoit Mojon & Jean-Guillaume Sahuc, 2020, "Bank Funding Cost and Liquidity Supply Regimes," BIS Working Papers, Bank for International Settlements, number 854, Apr.
  5. Eric Jondeau & Benoît Mojon & Jean-Guillaume Sahuc, 2020, "A New Indicator of Bank Funding Cost," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-20, Apr.
  6. Fabio Alessandrini & Eric Jondeau, 2020, "Optimal Strategies for ESG Portfolios," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-21, Apr.
  7. Terrence Hendershott & Dan Li & Dmitry Livdan & Norman Schürhoff, 2020, "True Cost of Immediacy," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-71, Aug.

2019

  1. Jie Cao & Amit Goyal & Sai Ke & Xintong Zhan, 2019, "Option Trading and Stock Price Informativeness," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-74, Jun.
  2. Jie Cao & Amit Goyal & Xiao Xiao & Xintong Zhan, 2019, "Implied Volatility Changes and Corporate Bond Returns," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-75, Jun.
  3. Fabio Alessandrini & Eric Jondeau, 2019, "ESG Investing: From Sin Stocks to Smart Beta," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-16, Mar, revised Mar 2019.
  4. Eric Jondeau & Qunzi Zhang & Xiaoneng Zhu, 2019, "Crude Awakening: Oil Prices and Bond Returns," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-24, Apr, revised May 2019.

2018

  1. Eric Jondeau & Jean-Guillaume Sahuc, 2018, "A General Equilibrium Appraisal of Capital Shortfall," Working papers, Banque de France, number 668.
  2. Eric Jondeau & Qunzi Zhang & Xiaoneng Zhu, 2018, "When Are Stocks Less Volatile in the Long Run?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-07, Jan, revised Feb 2018.
  3. Eric Jondeau & Amir Khalilzadeh, 2018, "Measuring the Capital Shortfall of Large U.S. Banks," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-11, Feb, revised Feb 2018.
  4. Nataliya Gerasimova & Eric Jondeau, 2018, "Strategic Interaction between Hedge Funds and Prime Brokers," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-54, Aug.
  5. 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, Swiss Finance Institute, number 18-35, May.
  6. Dario Cestau & Burton Hollifield & Dan Li & Norman Schürhoff, 2018, "Municipal Bond Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-69, Oct.

2017

  1. Tarun Chordia & Amit Goyal & Alessio Saretto, 2017, "p-Hacking: Evidence from Two Million Trading Strategies," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-37, Aug, revised Apr 2018.
  2. 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, Swiss Finance Institute, number 17-71, Dec.
  3. Diane Pierret & Roberto Steri, 2017, "Stressed Banks," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-58, Nov.
  4. Lengwiler, Yvan & Rishabh, Kumar, 2017, "Credit from the Monopoly Bank," Working papers, Faculty of Business and Economics - University of Basel, number 2017/15.
  5. Terrence Hendershott & Dan Li & Dmitry Livdan & Norman Schürhoff, 2017, "Relationship Trading in OTC Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-30, Dec.

2016

  1. Eric Jondeau & Michael Rockinger, 2016, "Forecasting Financial Returns with a Structural Macroeconomic Model," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-13, Mar.
  2. 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, ZEW - Leibniz Centre for European Economic Research, number 16-019.
  3. Madhusudan Mohanty & Kumar Rishabh, 2016, "Financial intermediation and monetary policy transmission in EMEs: What has changed post-2008 crisis?," BIS Working Papers, Bank for International Settlements, number 546, Mar.

2015

  1. Eric JONDEAU & Amir KHALILZADEH, 2015, "Collateralization, Leverage, and Stressed Expected Loss," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-24, Jul, revised Aug 2015.
  2. Eric JONDEAU & Qunzi ZHANG, 2015, "Average Skewness Matters!," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-47, Nov.
  3. Erwan Morellec & Boris Nikolov & Norman Schürhoff, 2015, "Agency Conflicts Around the World," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-21, Jul, revised Apr 2016.

2014

  1. Theodosios Dimopoulos & Stefano Sacchetto, 2014, "Merger Activity in Industry Equilibrium," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2012-E47, Dec.
  2. Theodosios Dimopoulos & Stefano Sacchetto, 2014, "Preemptive Bidding, Target Resistance, and Takeover Premiums," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2012-E46, Dec.
  3. Eric JONDEAU & Florian PELGRIN, 2014, "Estimating Aggregate Autoregressive Processes When Only Macro Data are Available," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-43, Jun.
  4. Eric JONDEAU & Michael ROCKINGER, 2014, "Optimal Long-Term Allocation with Pension Fund Liabilities," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-58, Oct.
  5. Eric JONDEAU & Qunzi ZHANG, 2014, "Asymmetric Beta Comovement and Systematic Downside Risk," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-59, Nov.
  6. Pierret, D., 2014, "Systemic risk and the solvency-liquidity nexus of banks," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2014056, Jan.
  7. Acharya, Viral & Engle, Robert & Pierret, Diane, 2014, "Testing macroprudential stress tests: The risk of regulatory risk weights," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2014022, Jan.
  8. Terrence HENDERSHOTT & Dmitry LIVDAN & Norman SCHUERHOFF, 2014, "Are Institutions Informed About News?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-49, Jul.
  9. Dan LI & Norman SCHUERHOFF, 2014, "Dealer Networks," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-50, Oct.

2013

  1. Ludovic Cales & Eric Jondeau & Michael Rockinger, 2013, "Long-Term Portfolio Management with a Structural Macroeconomic Model," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-45, Sep.
  2. 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, Swiss Finance Institute, number 13-47, Oct, revised Feb 2016.
  3. Pierret, D., 2013, "The systemic risk of energy markets," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2013061, Jan.
  4. Bauwens, Luc & Hafner, Christian & Pierret, Diane, 2013, "Modelling multivariate volatility of electricity futures," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2013030, Jan.

2012

  1. Assaf Eisdorfer & Amit Goyal & Alexei Zhdanov, 2012, "Misvaluation and Return Anomalies in Distress Stocks," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-12, Mar.
  2. Robert F. Engle & Eric Jondeau & Michael Rockinger, 2012, "Systemic Risk in Europe," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-45, Dec.
  3. 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, Swiss Finance Institute, number 12-32, Oct.
  4. Schürhoff, Norman & Chen, Zhihua & Lookman, Aziz & Seppi, Duane J, 2012, "Bond Ratings Matter: Evidence from the Lehman Brothers Index Rating Redefinition," CEPR Discussion Papers, Centre for Economic Policy Research, number 9108, Aug.

2011

  1. Tarun CHORDIA & Amit GOYAL & Narasimhan JEGADEESH, 2011, "Buyers Versus Sellers: Who Initiates Trades And When?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-43, Aug.
  2. 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, number hal-00612310, May, DOI: 10.1016/j.jmoneco.2011.05.013.
  3. Bauwens, L. & Hafner, C. & Pierret, D., 2011, "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2011013, Jan.
  4. Ziegler, Alexandre & Schürhoff, Norman, 2011, "Variance risk, financial intermediation, and the cross-section of expected option returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 8268, Feb.

2010

  1. Eric JONDEAU & Michael ROCKINGER, 2010, "Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 10-41, Aug.
  2. Eric JONDEAU & Emmanuel JURCZENKO & Michael ROCKINGER, 2010, "Moment Component Analysis: An Illustration with International Stock Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 10-43, Sep.
  3. 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, Swiss Finance Institute, number 10-30, Jun.

2009

  1. Eric JONDEAU & Augusto PERILLA & Michael ROCKINGER, 2009, "Optimal Liquidation Strategies in Illiquid Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 09-24, May.
  2. Eric JONDEAU & Florian PELGRIN, 2009, "Aggregating Rational Expectations Models in the Presence of Unobserved Micro Heterogeneity," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 09-30, Aug.
  3. Alberto HOLLY & Alain MONFORT & Michael ROCKINGER, 2009, "Fourth Order Pseudo Maximum Likelihood Methods," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 09-23, May.
  4. Erwan MORELLEC & Norman SCHURHOFF, 2009, "Dynamic Investment and Financing under Asymmetric Information," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 09-09, Mar.
  5. Erwan MORELLEC & Boris NIKOLOV & Norman SCHURHOFF, 2009, "Dynamic Capital Structure under Managerial Entrenchment: Evidence from a Structural Estimation," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 09-10, Apr.

2008

  1. Christophe Villa & Amit Goyal & Christophe Pérignon, 2008, "How common are common return factors across NYSE and Nasdaq?," Post-Print, HAL, number hal-00796909, DOI: 10.1016/j.jfineco.2008.01.004.
  2. Eric Jondeau, 2008, "Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-06, Feb.

2007

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

2006

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

2005

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

2004

  1. 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, National Bureau of Economic Research, Inc, number 10934, Nov.
  2. Ivo Welch & Amit Goyal, 2004, "A Note On 'Predicting Returns With Financial Ratios'," Yale School of Management Working Papers, Yale School of Management, number amz2465, Jan.
  3. Eric Jondeau & Michael Rockinger, 2004, "The Bank Bias: Segmentation of French Fund Families," Working papers, Banque de France, number 107.
  4. Eric Jondeau & Michael Rockinger, 2004, "Optimal Portfolio Allocation Under Higher Moments," Working papers, Banque de France, number 108.
  5. Amine JALAL & Michael ROCKINGER, 2004, "Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp115, Jun.

2003

  1. Eric Jondeau & Hervé Le Bihan, 2003, "ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the New Phillips Curve)," Working papers, Banque de France, number 103.

2002

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

2001

  1. Michael Rockinger & Eric Jondeau, 2001, "Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis," Working papers, Banque de France, number 79.
  2. Michael Rockinger & Eric Jondeau, 2001, "Conditional Dependency of Financial Series: An Application of Copulas," Working papers, Banque de France, number 82.
  3. Clémentine Florens & Eric Jondeau & Hervé Le Bihan, 2001, "Assessing GMM Estimates of the Federal Reserve Reaction Function," Working papers, Banque de France, number 83.
  4. Eric Jondeau & Hervé Le Bihan, 2001, "Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US Data," Working papers, Banque de France, number 86.
  5. ROCKINGER, Michael & JONDEAU, Eric, 2001, "Testing for differences in the tails of stock-market returns," HEC Research Papers Series, HEC Paris, number 739, Oct.
  6. ROCKINGER, Michael & JONDEAU, Eric, 2001, "Portfolio allocation in transition economies," HEC Research Papers Series, HEC Paris, number 740, Oct.
  7. Rockinger, Michael & Poon, Ser-Huang & Tawn, Jonathan, 2001, "New Extreme-Value Dependence Measures and Finance Applications," CEPR Discussion Papers, Centre for Economic Policy Research, number 2762, Apr.

2000

  1. François Chesnay & Eric Jondeau, 2000, "Does Correlation between Stock Returns Really Increase during Turbulent Period?," Working papers, Banque de France, number 73.
  2. Eric Jondeau & Hervé Le Bihan, 2000, "Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies," Working papers, Banque de France, number 76.
  3. Eric Jondeau & Michael Rockinger, 2000, "Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence," Working papers, Banque de France, number 77.
  4. ROCKINGER, Michael & JONDEAU, Eric, 2000, "Entropy densities," HEC Research Papers Series, HEC Paris, number 709, Feb.
  5. 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, Centre for Economic Policy Research, number 2346, Jan.

1999

  1. Eric Jondeau & Michael Rockinger, 1999, "Estimating Gram-Charlier Expansions with Positivity Constraints," Working papers, Banque de France, number 56.
  2. Sanvi Avouyi-Dovi & Eric Jondeau, 1999, "Interest Rate Transmission and Volatility Transmission along the Yield Curve," Working papers, Banque de France, number 57.
  3. Sanvi Avouyi-Dovi & Eric Jondeau, 1999, "La modelisation de la volatilite des bourses asiatiques," Working papers, Banque de France, number 58.
  4. Eric Jondeau, 1999, "La mesure du ratio rendement-risque a partir du marche des euro-devises," Working papers, Banque de France, number 59.
  5. Eric Jondeau & Roland Ricart, 1999, "The Information Content of the French and German Government Bond Tield Curves: Why Such Differences?," Working papers, Banque de France, number 61.
  6. Sanvi Avouyi-Dovi & Eric Jondeau, 1999, "Modelling the French Swap Spread," Working papers, Banque de France, number 65.
  7. Eric Jondeau & Michael Rockinger, 1999, "The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets," Working papers, Banque de France, number 66.
  8. Eric Jondeau & Hervé Le Bihan & Frédéric Sedillot, 1999, "Modelisation et prevision des indices de prix sectoriels," Working papers, Banque de France, number 68.

1998

  1. Eric Jondeau & Michael Rockinger, 1998, "Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral," Working papers, Banque de France, number 47.
  2. Catherine Bruno & Eric Jondeau, 1998, "Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates," Working papers, Banque de France, number 53.
  3. Sophie Coutant & Eric Jondeau & Michael Rockinger, 1998, "Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election," Working papers, Banque de France, number 54.
  4. Eric Jondeau & Frédéric Sedillot, 1998, "La pr vision des taux longs fran ais et allemands partir d'un modele anticipations rationnelles," Working papers, Banque de France, number 55.
  5. Rockinger, Michael & Jondeau, Eric, 1998, "Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities," CEPR Discussion Papers, Centre for Economic Policy Research, number 2009, Oct.
  6. Rockinger, Michael & Jondeau, Eric & Coutant, Sophie, 1998, "Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election," CEPR Discussion Papers, Centre for Economic Policy Research, number 2010, Oct.
  7. Michael Rockinger & Eric Jondeau, 1998, "Estimating Gram-Charlier Expansions Under Positivity Constraints," Working Papers, HAL, number hal-00601500.

1997

  1. Sanvi Avouyi-Dovi & Eric Jondeau & Charles Lai Tong, 1997, "Effets volume, volatilité et transmissions internationales sur les marchés boursiers dans le G5," Working papers, Banque de France, number 42.
  2. Eric Jondeau & Roland Ricart, 1997, "Le contenu en information de la pente des taux : application au cas des titres publics fran ais," Working papers, Banque de France, number 43.
  3. Eric Jondeau & Roland Ricart, 1997, "La Théorie des anticipations de la structure par terme : test partir des titres publics fran ais," Working papers, Banque de France, number 45.
  4. Eric Jondeau, 1997, "Repr sentation VAR et test de la Théorie des anticipations de la structure par terme," Working papers, Banque de France, number 46.
  5. Michael Rockinger & Eric Jondeau, 1997, "Estimation et interprétation des densités neutres au risque: une comparaison de méthodes," Working Papers, HAL, number hal-00601588.
  6. Michael Rockinger & Giovanni Urga, 1997, "Information Content of Russian Stock Indices," Working Papers, HAL, number hal-00601586.
  7. Michael Rockinger & Karim Abadir, 1997, "Density-embedding Functions," Working Papers, HAL, number hal-00601589.
  8. Michael Rockinger & Brigitte Granville, 1997, "Testing the Fisher Relation: the Russian Case," Working Papers, HAL, number hal-00601590.

1996

  1. Eric Jondeau & Roland Ricart, 1996, "The Expectation Theory: Tests on French, German, and American Euro-Rates," Working papers, Banque de France, number 35.
  2. C. Bruneau & E. Jondeau, 1996, "Test of persistent causality with an application of the expectations theory of the term structure," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 96-14.
  3. Michael Rockinger & Michel Crouhy, 1996, "Volatility Indices for the French Financial Market," Working Papers, HAL, number hal-00602020.

1995

  1. Avouyi-Dovi, S. & Jondeau, E. & Lai tong, C. & Sedillot, F., 1995, "Les marches boursiers dans le G5 : effets volume et mesures de la volatilite," Papers, Caisse des Depots et Consignations - Cahiers de recherche, number 1995-05/f.
  2. Michael Rockinger & Karim M. Abadir, 1995, "The devil's horns: a problem with the densities of AR statistics," Working Papers, HAL, number hal-00602732.
  3. Michael Rockinger, 1995, "Determinants of Capital Flow to Mutual Funds," Working Papers, HAL, number hal-00602733.

1994

  1. Jondeau, E., 1994, "Modele de prevision et allocation d'actifs," Papers, Caisse des Depots et Consignations - Cahiers de recherche, number 1994-05-f.
  2. Michael Rockinger & Michel Crouhy, 1994, "Volatility Clustering, Asymmetry and Hysteresis in Stock Returns: International Evidence," Working Papers, HAL, number hal-00607660.
  3. Michael Rockinger, 1994, "Regime Switching: Evidence for the French Stock Market," Working Papers, HAL, number hal-00607661.
  4. Michael Rockinger, 1994, "Switching Regressions of Unexpected Macroeconomic Events Explaining the French Stock Index," Working Papers, HAL, number hal-00607662.
  5. Michael Rockinger & M. Crouhy, 1994, "Forecasting Conditional Volatility with Garch and Change of Regime Models: International Evidence," Working Papers, HAL, number hal-00612796.

1993

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

1992

  1. Bruneau, C. & Dauphin, H. & Jondeau, E. & Nicolai, J.P., 1992, "France-Allemagne: Asymetries et convergence," Papers, Caisse des Depots et Consignations - Cahiers de recherche, number 1992-19.
  2. Michael Rockinger, 1992, "Remarks concerning 'traditional' investment equations," Working Papers, HAL, number hal-00611414.

1991

  1. Michael Rockinger, 1991, "Short horizons vs. empire building: some empirical evidence," Working Papers, HAL, number hal-00611968.
  2. Michael Rockinger & F. Restoy, 1991, "Investment incentives in endogenously growing economies," Working Papers, HAL, number hal-00611970.

Undated

  1. Theodosios Dimopoulos & Stefano Sacchetto, undated, "Technological Heterogeneity and Corporate Investment," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2012-E48.
  2. Richard C. Green & Burton Hollifield & Norman Schurhoff, undated, "Financial Intermediation and the Costs of Trading in an Opaque Market," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2004-11.
  3. Richard Green & Burton Hollifield & Norman Schurhoff, undated, "Dealer Intermediation and Price Behavior in the Aftermarket for New Bond Issues," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2005-E56.

Journal articles

2026

  1. Rishabh, Kumar, 2026, "Beyond the bureau: Interoperable payment data for loan screening and monitoring," Journal of Financial Intermediation, Elsevier, volume 65, issue C, DOI: 10.1016/j.jfi.2026.101196.
  2. Mihet, Roxana & Rishabh, Kumar & Gomes, Orlando, 2026, "Is it AI or data that drives firm market power?," Journal of Monetary Economics, Elsevier, volume 157, issue C, DOI: 10.1016/j.jmoneco.2025.103878.

2025

  1. Goyal, Amit & Reed, Adam V. & Smajlbegovic, Esad & Soebhag, Amar, 2025, "Stealthy shorts: Informed liquidity supply," Journal of Financial Economics, Elsevier, volume 172, issue C, DOI: 10.1016/j.jfineco.2025.104155.
  2. Amit Goyal & Narasimhan Jegadeesh & Avanidhar Subrahmanyam, 2025, "Empirical determinants of momentum: a perspective using international data," Review of Finance, European Finance Association, volume 29, issue 1, pages 241-273.
  3. Lykourgos Alexiou & Amit Goyal & Alexandros Kostakis & Leonidas Rompolis, 2025, "Pricing event risk: evidence from concave implied volatility curves," Review of Finance, European Finance Association, volume 29, issue 4, pages 963-1007.
  4. Amit Goyal & Alessio Saretto, 2025, "Can Equity Option Returns Be Explained by a Factor Model? IPCA Says Yes," The Review of Financial Studies, Society for Financial Studies, volume 38, issue 6, pages 1783-1821.
  5. Viral V. Acharya & Markus K. Brunnermeier & Diane Pierret, 2025, "Systemic Risk Measures: From the Panic of 1907 to the Banking Stress of 2023," Annual Review of Financial Economics, Annual Reviews, volume 17, issue 1, pages 1-26, November, DOI: 10.1146/annurev-financial-112823-01.
  6. Haozhe Jiang & Ostap Okhrin & Michael Rockinger, 2025, "Artificial neural network small‐sample‐bias‐corrections of the AR(1) parameter close to unit root," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 79, issue 1, February, DOI: 10.1111/stan.12354.
  7. Perusset, Florian & Rockinger, Michael, 2025, "Do structured products improve portfolio performance? A backtesting exercise," Journal of International Money and Finance, Elsevier, volume 157, issue C, DOI: 10.1016/j.jimonfin.2025.103396.
  8. Ostap Okhrin & Michael Rockinger & Manuel Schmid, 2025, "Observations concerning the estimation of Heston’s stochastic volatility model using HF data," Statistical Papers, Springer, volume 66, issue 4, pages 1-23, June, DOI: 10.1007/s00362-025-01710-0.

2024

  1. Cao, Jie & Goyal, Amit & Ke, Sai & Zhan, Xintong, 2024, "Options Trading and Stock Price Informativeness," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 59, issue 4, pages 1516-1540, June.
  2. Goyal, Amit & Wahal, Sunil & Yavuz, M. D., 2024, "Choosing Investment Managers," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 59, issue 8, pages 3531-3563, December.
  3. Amit Goyal & Ivo Welch & Athanasse Zafirov, 2024, "A Comprehensive 2022 Look at the Empirical Performance of Equity Premium Prediction," The Review of Financial Studies, Society for Financial Studies, volume 37, issue 11, pages 3490-3557.
  4. Yao Li & Michael Rockinger, 2024, "Unfolding the Transitions in Sustainability Reporting," Sustainability, MDPI, volume 16, issue 2, pages 1-31, January.
  5. 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, volume 79, issue 3, pages 2339-2390, June, DOI: 10.1111/jofi.13337.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023, "Non-Standard Errors," LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2023002, Jan.
    • Utz Weitzel & Michael Razen & Sebastian Neussüs & Michael Kirchler & Magnus Johannesson & Juergen Huber & Felix Holzmeister & Anna Dreber & Albert J. Menkveld & Javier Gil-Bazo, 2021, "Non-Standard Errors," Working Papers, Barcelona School of Economics, number 1303, Dec.
    • Gerardo Ferrara & Simon Jurkatis, 2021, "Non-standard errors," Bank of England Staff Working Paper series, Bank of England, number 955, Dec.
    • 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, Faculty of Economics, University of Cambridge, number 2182, Nov.
    • Albert J. et al. Menkveld, 2021, "Non-Standard Errors," CESifo Working Paper Series, CESifo, number 9453.
    • 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, Swiss Finance Institute, number 22-09, Jan.
    • 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, Centre for Economic Policy Research, number 16751, Nov.
    • 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, London School of Economics and Political Science, LSE Library, number 123002, Jun.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-05077550, Apr, DOI: 10.1111/jofi.13337.
    • 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), HAL, number halshs-03500882, Nov.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Post-Print, HAL, number hal-04676112, Apr, DOI: 10.1111/jofi.13337.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Post-Print, HAL, number hal-05077550, Apr, DOI: 10.1111/jofi.13337.
    • 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, HAL, number halshs-03500882, Nov.
    • 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, Lund University, Department of Economics, number 2021:17, Nov.
    • 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, Faculty of Economics and Statistics, Universität Innsbruck, number 2021-31.
    • 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, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 21033, Nov.
    • Ciril Bosch-Rosa & Bernhard Kassner, 2023, "Non-Standard Errors," Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition, number 385, Feb.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neus ss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Fr mmel & et al, 2021, "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 21/1032, Nov.
    • Menkveld, Albert J. & Dreber, Anna & Declerck, Fany & Moinas, Sophie, 2023, "Non-Standard Errors," TSE Working Papers, Toulouse School of Economics (TSE), number 23-1451, Jun.
    • 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, Department of Economics and Business, Universitat Pompeu Fabra, number 1807, Dec.
    • 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, Halle Institute for Economic Research (IWH), number 11/2021.
    • 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, Leibniz Institute for Financial Research SAFE, number 327, DOI: 10.2139/ssrn.3961574.
  6. 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, volume 157, issue C, DOI: 10.1016/j.jfineco.2024.103859.

2023

  1. Jie Cao & Amit Goyal & Xiao Xiao & Xintong Zhan, 2023, "Implied Volatility Changes and Corporate Bond Returns," Management Science, INFORMS, volume 69, issue 3, pages 1375-1397, March, DOI: 10.1287/mnsc.2022.4379.
  2. Amit Goyal & Ramon Tol & Sunil Wahal, 2023, "Forbearance in Institutional Investment Management: Evidence from Survey Data," Financial Analysts Journal, Taylor & Francis Journals, volume 79, issue 2, pages 7-20, April, DOI: 10.1080/0015198X.2023.2176163.
  3. 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, volume 41, issue 4, pages 364-391, October, DOI: 10.1002/rfe.1179.
  4. Rüdiger Fahlenbrach & Eric Jondeau, 2023, "Greening the Swiss National Bank’s Portfolio," The Review of Corporate Finance Studies, Society for Financial Studies, volume 12, issue 4, pages 792-833.
  5. Rim Bernoussi & Michael Rockinger, 2023, "Rebalancing with transaction costs: theory, simulations, and actual data," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 37, issue 2, pages 121-160, June, DOI: 10.1007/s11408-022-00419-6.
  6. Ostap Okhrin & Michael Rockinger & Manuel Schmid, 2023, "Distributional properties of continuous time processes: from CIR to bates," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 107, issue 3, pages 397-419, September, DOI: 10.1007/s10182-022-00459-3.

2022

  1. Jondeau, Eric & Sahuc, Jean-Guillaume, 2022, "Bank capital shortfall in the euro area," Journal of Financial Stability, Elsevier, volume 62, issue C, DOI: 10.1016/j.jfs.2022.101070.
  2. Jondeau, Eric & Khalilzadeh, Amir, 2022, "Predicting the stressed expected loss of large U.S. banks," Journal of Banking & Finance, Elsevier, volume 134, issue C, DOI: 10.1016/j.jbankfin.2021.106321.

2021

  1. 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, volume 56, issue 4, pages 1228-1258, June.
  2. Viral Acharya & Diane Pierret & Sascha Steffen, 2021, "Lender of last resort, buyer of last resort, and a fear of fire sales in the sovereign bond market," Financial Markets, Institutions & Instruments, John Wiley & Sons, volume 30, issue 4, pages 87-112, November, DOI: 10.1111/fmii.12143.

2020

  1. Tarun Chordia & Amit Goyal & Alessio Saretto, 2020, "Anomalies and False Rejections," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 5, pages 2134-2179.
  2. Eric Jondeau & Xuewu Wang & Zhipeng Yan & Qunzi Zhang, 2020, "Skewness and index futures return," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 40, issue 11, pages 1648-1664, November, DOI: 10.1002/fut.22112.
  3. Terrence Hendershott & Dan Li & Dmitry Livdan & Norman Schürhoff, 2020, "Relationship Trading in Over‐the‐Counter Markets," Journal of Finance, American Finance Association, volume 75, issue 2, pages 683-734, April, DOI: 10.1111/jofi.12864.

2019

  1. Assaf Eisdorfer & Amit Goyal & Alexei Zhdanov, 2019, "Equity Misvaluation and Default Options," Journal of Finance, American Finance Association, volume 74, issue 2, pages 845-898, April, DOI: 10.1111/jofi.12748.
  2. Jondeau, Eric & Zhang, Qunzi & Zhu, Xiaoneng, 2019, "Average skewness matters," Journal of Financial Economics, Elsevier, volume 134, issue 1, pages 29-47, DOI: 10.1016/j.jfineco.2019.03.003.
  3. 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, volume 51, issue 8, pages 2239-2291, December, DOI: 10.1111/jmcb.12586.
  4. Dario Cestau & Burton Hollifield & Dan Li & Norman Schürhoff, 2019, "Municipal Bond Markets," Annual Review of Financial Economics, Annual Reviews, volume 11, issue 1, pages 65-84, December, DOI: 10.1146/annurev-financial-110118-12.
  5. Dan Li & Norman Schürhoff, 2019, "Dealer Networks," Journal of Finance, American Finance Association, volume 74, issue 1, pages 91-144, February, DOI: 10.1111/jofi.12728.

2018

  1. Assaf Eisdorfer & Amit Goyal & Alexei Zhdanov, 2018, "Distress Anomaly and Shareholder Risk: International Evidence," Financial Management, Financial Management Association International, volume 47, issue 3, pages 553-581, September, DOI: 10.1111/fima.12203.
  2. 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, volume 31, issue 5, pages 1784-1824.
  3. Eric Jondeau & Emmanuel Jurczenko & Michael Rockinger, 2018, "Moment Component Analysis: An Illustration With International Stock Markets," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 36, issue 4, pages 576-598, October, DOI: 10.1080/07350015.2016.1216851.
  4. Erwan Morellec & Boris Nikolov & Norman Schürhoff, 2018, "Agency Conflicts around the World," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 11, pages 4232-4287.

2017

  1. 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, volume 52, issue 4, pages 1301-1342, August.
  2. Jondeau, Eric & Khalilzadeh, Amir, 2017, "Collateralization, leverage, and stressed expected loss," Journal of Financial Stability, Elsevier, volume 33, issue C, pages 226-243, DOI: 10.1016/j.jfs.2017.01.005.

2016

  1. Chordia, Tarun & Goyal, Amit & Jegadeesh, Narasimhan, 2016, "Buyers versus Sellers: Who Initiates Trades, and When?," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 51, issue 5, pages 1467-1490, October.
  2. Jondeau, Eric, 2016, "Asymmetry in tail dependence in equity portfolios," Computational Statistics & Data Analysis, Elsevier, volume 100, issue C, pages 351-368, DOI: 10.1016/j.csda.2015.02.014.
  3. Eric Jondeau, 2016, "Book Review: Risk-Based and Factor Investing," Bankers, Markets & Investors, ESKA Publishing, issue 141, pages 1-3, March-Apr.
  4. 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, volume 67, issue 02, pages 49-50, August.
  5. 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.

2015

  1. Goyal, Amit & Wahal, Sunil, 2015, "Is Momentum an Echo?," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 50, issue 6, pages 1237-1267, December.
  2. Jondeau, Eric, 2015, "The dynamics of squared returns under contemporaneous aggregation of GARCH models," Journal of Empirical Finance, Elsevier, volume 32, issue C, pages 80-93, DOI: 10.1016/j.jempfin.2015.03.002.
  3. 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, volume 61, issue S2, pages 205-224, DOI: 10.1016/j.jbankfin.2015.09.005.
  4. Robert Engle & Eric Jondeau & Michael Rockinger, 2015, "Systemic Risk in Europe," Review of Finance, European Finance Association, volume 19, issue 1, pages 145-190.
  5. 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.
  6. Diane Pierret, 2015, "Systemic Risk and the Solvency-Liquidity Nexus of Banks," International Journal of Central Banking, International Journal of Central Banking, volume 11, issue 3, pages 193-227, June.
  7. Hendershott, Terrence & Livdan, Dmitry & Schürhoff, Norman, 2015, "Are institutions informed about news?," Journal of Financial Economics, Elsevier, volume 117, issue 2, pages 249-287, DOI: 10.1016/j.jfineco.2015.03.007.

2014

  1. Dimopoulos, Theodosios & Sacchetto, Stefano, 2014, "Preemptive bidding, target resistance, and takeover premiums," Journal of Financial Economics, Elsevier, volume 114, issue 3, pages 444-470, DOI: 10.1016/j.jfineco.2014.07.013.
  2. Jeffrey A. Busse & Amit Goyal & Sunil Wahal, 2014, "Investing in a Global World," Review of Finance, European Finance Association, volume 18, issue 2, pages 561-590.
  3. Jondeau, Eric & Pelgrin, Florian, 2014, "Estimating aggregate autoregressive processes when only macro data are available," Economics Letters, Elsevier, volume 124, issue 3, pages 341-347, DOI: 10.1016/j.econlet.2014.06.012.
  4. Acharya, Viral & Engle, Robert & Pierret, Diane, 2014, "Testing macroprudential stress tests: The risk of regulatory risk weights," Journal of Monetary Economics, Elsevier, volume 65, issue C, pages 36-53, DOI: 10.1016/j.jmoneco.2014.04.014.
  5. 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, volume 23, issue 12, pages 2103-2117, December.
  6. 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, volume 4, issue 2, pages 162-205.

2013

  1. Luc Bauwens & Christian M. Hafner & Diane Pierret, 2013, "Multivariate Volatility Modeling Of Electricity Futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 28, issue 5, pages 743-761, August.
  2. 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, volume 30, issue C, pages 86-97, DOI: 10.1016/j.irfa.2013.06.003.
  3. Cestau, Dario & Green, Richard C. & Schürhoff, Norman, 2013, "Tax-subsidized underpricing: The market for Build America Bonds," Journal of Monetary Economics, Elsevier, volume 60, issue 5, pages 593-608, DOI: 10.1016/j.jmoneco.2013.04.010.

2012

  1. Antonio E. Bernardo & Bhagwan Chowdhry & Amit Goyal, 2012, "Assessing Project Risk," Journal of Applied Corporate Finance, Morgan Stanley, volume 24, issue 3, pages 94-100, September, DOI: j.1745-6622.2012.00393.x.
  2. Amit Goyal, 2012, "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 26, issue 1, pages 3-38, March, DOI: 10.1007/s11408-011-0177-7.
  3. Erwan Morellec & Boris Nikolov & Norman Schürhoff, 2012, "Corporate Governance and Capital Structure Dynamics," Journal of Finance, American Finance Association, volume 67, issue 3, pages 803-848, June, DOI: 10.1111/j.1540-6261.2012.01735.x.

2011

  1. Imbs, Jean & Jondeau, Eric & Pelgrin, Florian, 2011, "Sectoral Phillips curves and the aggregate Phillips curve," Journal of Monetary Economics, Elsevier, volume 58, issue 4, pages 328-344, DOI: 10.1016/j.jmoneco.2011.05.013.
  2. Holly, Alberto & Monfort, Alain & Rockinger, Michael, 2011, "Fourth order pseudo maximum likelihood methods," Journal of Econometrics, Elsevier, volume 162, issue 2, pages 278-293, June.
  3. Morellec, Erwan & Schürhoff, Norman, 2011, "Corporate investment and financing under asymmetric information," Journal of Financial Economics, Elsevier, volume 99, issue 2, pages 262-288, February.

2010

  1. Jeffrey A. Busse & Amit Goyal & Sunil Wahal, 2010, "Performance and Persistence in Institutional Investment Management," Journal of Finance, American Finance Association, volume 65, issue 2, pages 765-790, April, DOI: 10.1111/j.1540-6261.2009.01550.x.
  2. 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, volume 65, issue 5, pages 1669-1702, October, DOI: 10.1111/j.1540-6261.2010.01590.x.
  3. Erwan Morellec & Norman Schürhoff, 2010, "Dynamic Investment and Financing under Personal Taxation," The Review of Financial Studies, Society for Financial Studies, volume 23, issue 1, pages 101-146, January.

2009

  1. Goyal, Amit & Saretto, Alessio, 2009, "Cross-section of option returns and volatility," Journal of Financial Economics, Elsevier, volume 94, issue 2, pages 310-326, November.
  2. Tarun Chordia & Amit Goyal & Gil Sadka & Ronnie Sadka & Lakshmanan Shivakumar, 2009, "Liquidity and the Post-Earnings-Announcement Drift," Financial Analysts Journal, Taylor & Francis Journals, volume 65, issue 4, pages 18-32, July, DOI: 10.2469/faj.v65.n4.3.
  3. Eric Jondeau & Michael Rockinger, 2009, "On the Importance of Time Variability in Higher Moments for Asset Allocation," Journal of Financial Econometrics, Oxford University Press, volume 10, issue 1, pages 84-123, 2012 10 1.
  4. Eric Jondeau & Michael Rockinger, 2009, "The Impact of Shocks on Higher Moments," Journal of Financial Econometrics, Oxford University Press, volume 7, issue 2, pages 77-105, Spring.

2008

  1. Amit Goyal & Sunil Wahal, 2008, "The Selection and Termination of Investment Management Firms by Plan Sponsors," Journal of Finance, American Finance Association, volume 63, issue 4, pages 1805-1847, August, DOI: 10.1111/j.1540-6261.2008.01375.x.
  2. Goyal, Amit & Pérignon, Christophe & Villa, Christophe, 2008, "How common are common return factors across the NYSE and Nasdaq?," Journal of Financial Economics, Elsevier, volume 90, issue 3, pages 252-271, December.
  3. 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, volume 21, issue 4, pages 1455-1508, July.
  4. Jondeau, Eric & Sahuc, Jean-Guillaume, 2008, "Testing heterogeneity within the euro area," Economics Letters, Elsevier, volume 99, issue 1, pages 192-196, April.
  5. Jondeau, Eric & Le Bihan, Hervé, 2008, "Examining bias in estimators of linear rational expectations models under misspecification," Journal of Econometrics, Elsevier, volume 143, issue 2, pages 375-395, April.
  6. 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, volume 4, issue 2, pages 23-72, June.
  7. 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, volume 15, issue 5, pages 868-877, December.

2007

  1. Antonio E. Bernardo & Bhagwan Chowdhry & Amit Goyal, 2007, "Growth Options, Beta, and the Cost of Capital," Financial Management, Financial Management Association International, volume 36, issue 2, pages 1-13, July, DOI: 10.1111/j.1755-053X.2007.tb00084.x.
  2. Green, Richard C. & Hollifield, Burton & Schurhoff, Norman, 2007, "Dealer intermediation and price behavior in the aftermarket for new bond issues," Journal of Financial Economics, Elsevier, volume 86, issue 3, pages 643-682, December.
  3. 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, volume 20, issue 2, pages 275-314.

2006

  1. Doron Avramov & Tarun Chordia & Amit Goyal, 2006, "Liquidity and Autocorrelations in Individual Stock Returns," Journal of Finance, American Finance Association, volume 61, issue 5, pages 2365-2394, October, DOI: 10.1111/j.1540-6261.2006.01060.x.
  2. Doron Avramov & Tarun Chordia & Amit Goyal, 2006, "The Impact of Trades on Daily Volatility," The Review of Financial Studies, Society for Financial Studies, volume 19, issue 4, pages 1241-1277.
  3. Eric Jondeau & Michael Rockinger, 2006, "Optimal Portfolio Allocation under Higher Moments," European Financial Management, European Financial Management Association, volume 12, issue 1, pages 29-55, January, DOI: 10.1111/j.1354-7798.2006.00309.x.
  4. Jondeau, Eric & Rockinger, Michael, 2006, "The Copula-GARCH model of conditional dependencies: An international stock market application," Journal of International Money and Finance, Elsevier, volume 25, issue 5, pages 827-853, August.

2005

  1. 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, volume 18, issue 3, pages 831-873.
  2. Jondeau, Eric & Le Bihan, Herve, 2005, "Testing for the New Keynesian Phillips Curve. Additional international evidence," Economic Modelling, Elsevier, volume 22, issue 3, pages 521-550, May.

2004

  1. Goyal, Amit, 2004, "Demographics, Stock Market Flows, and Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 39, issue 1, pages 115-142, March.
  2. 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, volume 22, pages 225-239, April.
  3. Éric Jondeau, 2004, "Gestion institutionnelle et volatilité des marchés financiers," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 157-175, DOI: 10.3406/ecofi.2004.5037.

2003

  1. Amit Goyal & Pedro Santa‐Clara, 2003, "Idiosyncratic Risk Matters!," Journal of Finance, American Finance Association, volume 58, issue 3, pages 975-1007, June, DOI: 10.1111/1540-6261.00555.
  2. Amit Goyal & Ivo Welch, 2003, "Predicting the Equity Premium with Dividend Ratios," Management Science, INFORMS, volume 49, issue 5, pages 639-654, May, DOI: 10.1287/mnsc.49.5.639.15149.
  3. Jondeau, Eric & Rockinger, Michael, 2003, "Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 10, pages 1699-1737, August.
  4. Jondeau, Eric & Rockinger, Michael, 2003, "User's guide," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 10, pages 1739-1742, August.
  5. Jondeau, Eric & Rockinger, Michael, 2003, "Testing for differences in the tails of stock-market returns," Journal of Empirical Finance, Elsevier, volume 10, issue 5, pages 559-581, December.
  6. Abadir, Karim M. & Rockinger, Michael, 2003, "Density Functionals, With An Option-Pricing Application," Econometric Theory, Cambridge University Press, volume 19, issue 5, pages 778-811, October.

2002

  1. 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.
  2. Rockinger, Michael & Jondeau, Eric, 2002, "Entropy densities with an application to autoregressive conditional skewness and kurtosis," Journal of Econometrics, Elsevier, volume 106, issue 1, pages 119-142, January.

2001

  1. 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.
  2. Francois Chesnay & Eric Jondeau, 2001, "Does Correlation Between Stock Returns Really Increase During Turbulent Periods?," Economic Notes, Banca Monte dei Paschi di Siena SpA, volume 30, issue 1, pages 53-80, February.
  3. Jondeau, Eric & Rockinger, Michael, 2001, "Gram-Charlier densities," Journal of Economic Dynamics and Control, Elsevier, volume 25, issue 10, pages 1457-1483, October.
  4. Coutant, Sophie & Jondeau, Eric & Rockinger, Michael, 2001, "Reading PIBOR futures options smiles: The 1997 snap election," Journal of Banking & Finance, Elsevier, volume 25, issue 11, pages 1957-1987, November.
  5. 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, volume 19, issue 1, pages 73-84, January.

2000

  1. Chowdhry, Bhagwan & Goyal, Amit, 2000, "Understanding the financial crisis in Asia," Pacific-Basin Finance Journal, Elsevier, volume 8, issue 2, pages 135-152, May.
  2. Jondeau, Eric & Rockinger, Michael, 2000, "Reading the smile: the message conveyed by methods which infer risk neutral densities," Journal of International Money and Finance, Elsevier, volume 19, issue 6, pages 885-915, December.
  3. 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.
  4. Rockinger, Michael & Urga, Giovanni, 2000, "The Evolution of Stock Markets in Transition Economies," Journal of Comparative Economics, Elsevier, volume 28, issue 3, pages 456-472, September.

1999

  1. 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.
  2. 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, volume 61, issue 4, pages 545-568, November, DOI: 10.1111/1468-0084.00143.
  3. 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, volume 18, issue 5, pages 725-750, October.
  4. 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, volume 140, issue 4, pages 1-20, DOI: 10.3406/ecop.1999.5971.
  5. 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), volume 135, issue 3, pages 413-436, September, DOI: 10.1007/BF02707333.

1998

  1. 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.

1997

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

1996

  1. Éric Jondeau, 1996, "Les modèles monétaires de taux de change : un examen empirique," Économie et Prévision, Programme National Persée, volume 123, issue 2, pages 53-65, DOI: 10.3406/ecop.1996.5790.
  2. Éric Jondeau & Nada Villermain-Lécolier, 1996, "La stabilité de la fonction de demande de monnaie aux Etats-Unis," Revue Économique, Programme National Persée, volume 47, issue 5, pages 1121-1148, DOI: 10.3406/reco.1996.409841.

1994

  1. Restoy, Fernando & Rockinger, G Michael, 1994, "On Stock Market Returns and Returns on Investment," Journal of Finance, American Finance Association, volume 49, issue 2, pages 543-556, June.

1993

  1. Patrick Jacq & Eric Jondeau & Frank Sédillot, 1993, "Les politiques monétaires au sein du SME," Économie et Prévision, Programme National Persée, volume 109, issue 3, pages 57-74, DOI: 10.3406/ecop.1993.5622.

1992

  1. Eric Jondeau, 1992, "La soutenabilité de la politique budgétaire," Économie et Prévision, Programme National Persée, volume 104, issue 3, pages 1-17, DOI: 10.3406/ecop.1992.5291.
  2. Jean-François Loué & Eric Jondeau, 1992, "La gestion optimale des finances publiques en présence de coûts d'ajustement," Économie et Prévision, Programme National Persée, volume 104, issue 3, pages 19-38, DOI: 10.3406/ecop.1992.5292.

1990

  1. Damien Girardot & Eric Jondeau, 1990, "La substitution entre capital et travail : une évaluation sur données d'entreprises," Économie et Statistique, Programme National Persée, volume 237, issue 1, pages 135-142, DOI: 10.3406/estat.1990.5507.

Books

2007

  1. Eric Jondeau & Ser-Huang Poon & Michael Rockinger, 2007, "Financial Modeling Under Non-Gaussian Distributions," Springer Finance, Springer, number 978-1-84628-696-4, ISBN: ARRAY(0x7ff9ddc8), October, DOI: 10.1007/978-1-84628-696-4.

Chapters

2021

  1. Bhagwan Chowdhry & Amit Goyal & Syed Anas Ahmed, 2021, "Digital Identity in India," Springer Books, Springer, in: Raghavendra Rau & Robert Wardrop & Luigi Zingales, "The Palgrave Handbook of Technological Finance", DOI: 10.1007/978-3-030-65117-6_30.

2014

  1. Eric Jondeau & Michael Rockinger, 2014, "Systemic Risk in Europe," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, in: Risk Management Institute, "Global Credit Review".

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