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Eric Jondeau

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Eric Jondeau & Grégory Levieuge & Jean-Guillaume Sahuc & Gauthier Vermandel, 2023. "Environmental Subsidies to Mitigate Net-Zero Transition Costs," Working papers 910, Banque de France.

    Cited by:

    1. Ghassane Benmir & Ivan Jaccard & Gauthier Vermandel, 2023. "Optimal monetary policy in an estimated SIR model," Post-Print hal-04502674, HAL.

  2. Gong Cheng & Eric Jondeau & Benoit Mojon, 2022. "Building portfolios of sovereign securities with decreasing carbon footprints," BIS Working Papers 1038, Bank for International Settlements.

    Cited by:

    1. Gong Cheng & Torsten Ehlers & Frank Packer, 2022. "Sovereigns and sustainable bonds: challenges and new options," BIS Quarterly Review, Bank for International Settlements, September.

  3. 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.

    Cited by:

    1. Finkelstein Shapiro, Alan & Metcalf, Gilbert E., 2023. "The macroeconomic effects of a carbon tax to meet the U.S. Paris agreement target: The role of firm creation and technology adoption," Journal of Public Economics, Elsevier, vol. 218(C).

  4. 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.

    Cited by:

    1. Fabrizio Cumo & Federica Giustini & Elisa Pennacchia & Carlo Romeo, 2022. "The “D2P” Approach: Digitalisation, Production and Performance in the Standardised Sustainable Deep Renovation of Buildings," Energies, MDPI, vol. 15(18), pages 1-28, September.
    2. Mariusz Zieliński & Małgorzata Adamska, 2022. "ESG Assessment from the Perspective of the Management Board and Trade Unions on the Example of the Opole Power Plant," Energies, MDPI, vol. 15(21), pages 1-21, October.
    3. M. Ángeles López‐Cabarcos & Helena Santos‐Rodrigues & Lara Quiñoá‐Piñeiro & Juan Piñeiro‐Chousa, 2023. "How to explain stock returns of utility companies from an environmental, social and corporate governance perspective," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 30(5), pages 2278-2291, September.

  5. 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.

    Cited by:

    1. May Haggag & Eman Rezk & Wael El-Dakhakhni, 2023. "Machine learning prediction of climate-induced disaster injuries," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 116(3), pages 3645-3667, April.

  6. Eric Jondeau & Benoit Mojon & Cyril Monnet, 2021. "Greening (runnable) brown assets with a liquidity backstop," BIS Working Papers 929, Bank for International Settlements.

    Cited by:

    1. Tristan Jourde & Kolotcholoma Kone, 2023. "The exposure of French investment funds to transition climate risks [L’exposition des fonds d’investissement français aux risques climatiques de transition]," Bulletin de la Banque de France, Banque de France, issue 248.
    2. Christian Pfister & Natacha Valla, 2021. "Financial Stability Is Easier to Green Than Monetary Policy," Intereconomics: Review of European Economic Policy, Springer;ZBW - Leibniz Information Centre for Economics;Centre for European Policy Studies (CEPS), vol. 56(3), pages 154-159, May.
    3. Ricardo Crisóstomo, 2023. "Measuring Transition Risk in Investment Funds," CNMV Working Papers CNMV Working Papers no. 8, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
    4. Ho, Kelvin & Wong, Andrew, 2023. "Effect of climate-related risk on the costs of bank loans: Evidence from syndicated loan markets in emerging economies," Emerging Markets Review, Elsevier, vol. 55(C).

  7. 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.

    Cited by:

    1. Gong Cheng & Eric Jondeau & Benoit Mojon, 2022. "Building portfolios of sovereign securities with decreasing carbon footprints," BIS Working Papers 1038, Bank for International Settlements.
    2. Anquetin, Théophile & Coqueret, Guillaume & Tavin, Bertrand & Welgryn, Lou, 2022. "Scopes of carbon emissions and their impact on green portfolios," Economic Modelling, Elsevier, vol. 115(C).
    3. Ricardo Crisóstomo, 2023. "Measuring Transition Risk in Investment Funds," CNMV Working Papers CNMV Working Papers no. 8, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.

  8. Eric Jondeau & Benoit Mojon & Jean-Guillaume Sahuc, 2020. "Bank Funding Cost and Liquidity Supply Regimes," BIS Working Papers 854, Bank for International Settlements.

    Cited by:

    1. Martín Fuentes, Natalia & Di Vito, Luca & Leite, João Matos, 2023. "Understanding the profitability gap between euro area and US global systemically important banks," Occasional Paper Series 327, European Central Bank.
    2. Costola, Michele & Iacopini, Matteo, 2023. "Measuring sovereign bond fragmentation in the Eurozone," Finance Research Letters, Elsevier, vol. 51(C).

  9. 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.

    Cited by:

    1. Federica Ielasi & Paolo Ceccherini & Pietro Zito, 2020. "Integrating ESG Analysis into Smart Beta Strategies," Sustainability, MDPI, vol. 12(22), pages 1-22, November.

  10. E. Jondeau & J-G. Sahuc, 2018. "A General Equilibrium Appraisal of Capital Shortfall," Working papers 668, Banque de France.

    Cited by:

    1. Hibiki Ichiue & Jean-Guillaume Sahuc & Yasin Mimir & Jolan Mohimont & Kalin Nikolov & Olivier de Bandt & Sigrid Roehrs & Valério Scalone & Michael Straughan & Bora Durdu, 2022. "Assessing the Impact of Basel III: Evidence from Structural Macroeconomic Models," Working Papers hal-04159816, HAL.

  11. Nataliya Gerasimova & Eric Jondeau, 2018. "Strategic Interaction between Hedge Funds and Prime Brokers," Swiss Finance Institute Research Paper Series 18-54, Swiss Finance Institute.

    Cited by:

    1. Nina Boyarchenko & Thomas M. Eisenbach & Pooja Gupta & Or Shachar & Peter Van Tassel, 2018. "Bank-intermediated arbitrage," Staff Reports 858, Federal Reserve Bank of New York.

  12. Eric Jondeau & Michael Rockinger, 2016. "Forecasting Financial Returns with a Structural Macroeconomic Model," Swiss Finance Institute Research Paper Series 16-13, Swiss Finance Institute.

    Cited by:

    1. Hasler, Michael & Khapko, Mariana & Marfè, Roberto, 2019. "Should investors learn about the timing of equity risk?," Journal of Financial Economics, Elsevier, vol. 132(3), pages 182-204.

  13. 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.

    Cited by:

    1. 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.
    2. Jondeau, Eric & Khalilzadeh, Amir, 2022. "Predicting the stressed expected loss of large U.S. banks," Journal of Banking & Finance, Elsevier, vol. 134(C).

  14. Eric JONDEAU & Qunzi ZHANG, 2015. "Average Skewness Matters!," Swiss Finance Institute Research Paper Series 15-47, Swiss Finance Institute.

    Cited by:

    1. Serna, Gregorio, 2023. "On the predictive ability of conditional market skewness," The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 186-191.
    2. Robert W. Faff, 2019. "Adopting a Structured Abstract Design to More Effectively Catch Reader Attention: An Application of the Pitching Research® Framework," Capital Markets Review, Malaysian Finance Association, vol. 27(2), pages 1-13.
    3. Yabei Zhu & Xingguo Luo & Qi Xu, 2023. "Industry variance risk premium, cross‐industry correlation, and expected returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(1), pages 3-32, January.
    4. Kingstone Nyakurukwa & Yudhvir Seetharam, 2023. "Higher moment connectedness of cryptocurrencies: a time-frequency approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(3), pages 793-814, September.
    5. Masud Alam, 2021. "Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return," Papers 2107.10455, arXiv.org.
    6. Jian, Zhihong & Li, Xupei, 2021. "Skewness-based market integration: A systemic risk measure across international equity markets," International Review of Financial Analysis, Elsevier, vol. 74(C).
    7. Li, Xiyang & Chen, Xiaoyue & Li, Bin & Singh, Tarlok & Shi, Kan, 2022. "Predictability of stock market returns: New evidence from developed and developing countries," Global Finance Journal, Elsevier, vol. 54(C).
    8. Dai, Yingtong & Harris, Richard D.F., 2023. "Average tail risk and aggregate stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    9. Jiang, Yuexiang & Fu, Tao & Long, Huaigang & Zaremba, Adam & Zhou, Wenyu, 2022. "Real estate climate index and aggregate stock returns: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
    10. Xiaolan Jia & Xinfeng Ruan & Jin E. Zhang, 2021. "The implied volatility smirk of commodity options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 72-104, January.
    11. 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.
    12. Yuan Liao & Xinjie Ma & Andreas Neuhierl & Zhentao Shi, 2023. "Economic Forecasts Using Many Noises," Papers 2312.05593, arXiv.org, revised Dec 2023.
    13. Jungmu Kim & Yuen Jung Park, 2020. "Individual Investors, Average Skewness, and Market Returns," Sustainability, MDPI, vol. 12(20), pages 1-14, October.
    14. Ahmed, Walid M.A. & Al Mafrachi, Mustafa, 2021. "Do higher-order realized moments matter for cryptocurrency returns?," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 483-499.
    15. Li, Mingyi & Onishchenko, Olena & Zhao, Jing, 2020. "Does average skewness matter? Evidence from the Taiwanese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
    16. Kothari, Pratik & O’Doherty, Michael S., 2023. "Job postings and aggregate stock returns," Journal of Financial Markets, Elsevier, vol. 64(C).
    17. Zhen, Fang, 2020. "Asymmetric signals and skewness," Economic Modelling, Elsevier, vol. 90(C), pages 32-42.
    18. Dong, Liang & Kot, Hung Wan & Lam, Keith S.K. & Liu, Ming, 2022. "Co-skewness and expected return: Evidence from international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
    19. Malinská, Barbora, 2022. "Time-varying pricing of risk in sovereign bond futures returns," Finance Research Letters, Elsevier, vol. 47(PA).
    20. Li, Wenhui & Zhu, Qi & Wen, Fenghua & Nor, Normaziah Mohd, 2022. "The evolution of day-of-the-week and the implications in crude oil market," Energy Economics, Elsevier, vol. 106(C).
    21. Xu Chong Bo & Jianlei Han & Yin Liao & Jing Shi & Wu Yan, 2021. "Do outliers matter? The predictive ability of average skewness on market returns using robust skewness measures," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 3977-4006, September.
    22. Luo, Di & Mishra, Tapas & Yarovaya, Larisa & Zhang, Zhuang, 2021. "Investing during a Fintech Revolution: Ambiguity and return risk in cryptocurrencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    23. Dong, Liang & Dai, Yiqing & Haque, Tariq & Kot, Hung Wan & Yamada, Takeshi, 2022. "Coskewness and reversal of momentum returns: The US and international evidence," Journal of Empirical Finance, Elsevier, vol. 69(C), pages 241-264.
    24. Liu, Yiye & Han, Liyan & Wu, You, 2022. "Can skewness predict CNY-CNH spread?," Finance Research Letters, Elsevier, vol. 46(PB).
    25. Jozef Barunik & Josef Kurka, 2021. "Risks of heterogeneously persistent higher moments," Papers 2104.04264, arXiv.org, revised Mar 2024.
    26. Wei Guo & Xinfeng Ruan & Sebastian A. Gehricke & Jin E. Zhang, 2023. "Term spreads of implied volatility smirk and variance risk premium," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 829-857, July.
    27. Carnero, M. Angeles & León, Angel & Ñíguez, Trino-Manuel, 2023. "Skewness in energy returns: estimation, testing and retain-->implications for tail risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 178-189.
    28. Jozef Barunik & Matej Nevrla, 2022. "Common Idiosyncratic Quantile Risk," Papers 2208.14267, arXiv.org, revised Jun 2023.
    29. Dertwinkel-Kalt, Markus & Kasinger, Johannes & Schneider, Dmitrij, 2022. "Skewness preferences: Evidence from online poker," SAFE Working Paper Series 351, Leibniz Institute for Financial Research SAFE.
    30. Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2021. "Realized skewness and the short-term predictability for aggregate stock market volatility," Economic Modelling, Elsevier, vol. 103(C).
    31. Li, Yifan, 2020. "Nearly unbiased estimation of sample skewness," Economics Letters, Elsevier, vol. 192(C).
    32. Markus Dertwinkel-Kalt & Johannes Kasinger & Dmitrij Schneider, 2024. "Skewness Preferences: Evidence from Online Poker," CESifo Working Paper Series 10977, CESifo.
    33. Giuseppe Arbia & Riccardo Bramante & Silvia Facchinetti, 2020. "Least Quartic Regression Criterion to Evaluate Systematic Risk in the Presence of Co-Skewness and Co-Kurtosis," Risks, MDPI, vol. 8(3), pages 1-14, September.
    34. Huang, Dashan & Li, Jiangyuan & Wang, Liyao, 2021. "Are disagreements agreeable? Evidence from information aggregation," Journal of Financial Economics, Elsevier, vol. 141(1), pages 83-101.
    35. Chen, Juan & Ma, Feng & Qiu, Xuemei & Li, Tao, 2023. "The role of categorical EPU indices in predicting stock-market returns," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 365-378.
    36. Annaert, Jan & De Ceuster, Marc & Van Cappellen, Jef, 2023. "Can average skewness really predict financial returns? The euro area case," Finance Research Letters, Elsevier, vol. 52(C).
    37. Yigit Atilgan & K. Ozgur Demirtas & A. Doruk Gunaydin & Imra Kirli, 2023. "Average skewness in global equity markets," International Review of Finance, International Review of Finance Ltd., vol. 23(2), pages 245-271, June.
    38. Lin, Qi & Lin, Xi, 2021. "Cash conversion cycle and aggregate stock returns," Journal of Financial Markets, Elsevier, vol. 52(C).

  15. 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.

    Cited by:

    1. Bernard Candelpergher & Michel Miniconi & Florian Pelgrin, 2015. "Long-memory process and aggregation of AR(1) stochastic processes: A new characterization," Working Papers hal-01166527, HAL.

  16. 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.

    Cited by:

    1. Endres, Sylvia & Stübinger, Johannes, 2017. "Optimal trading strategies for Lévy-driven Ornstein-Uhlenbeck processes," FAU Discussion Papers in Economics 17/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    2. Christopher Krauss & Klaus Herrmann, 2017. "On the Power and Size Properties of Cointegration Tests in the Light of High-Frequency Stylized Facts," JRFM, MDPI, vol. 10(1), pages 1-24, February.
    3. Fischer, Thomas & Krauss, Christopher & Treichel, Alex, 2018. "Machine learning for time series forecasting - a simulation study," FAU Discussion Papers in Economics 02/2018, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    4. Johannes St binger & Jens Bredthauer, 2017. "Statistical Arbitrage Pairs Trading with High-frequency Data," International Journal of Economics and Financial Issues, Econjournals, vol. 7(4), pages 650-662.
    5. Chiyachantana, Chiraphol & Jain, Pankaj K. & Jiang, Christine & Sharma, Vivek, 2017. "Permanent price impact asymmetry of trades with institutional constraints," Journal of Financial Markets, Elsevier, vol. 36(C), pages 1-16.
    6. Endres, Sylvia & Stübinger, Johannes, 2018. "A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns," FAU Discussion Papers in Economics 07/2018, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    7. Clegg, Matthew & Krauss, Christopher, 2016. "Pairs trading with partial cointegration," FAU Discussion Papers in Economics 05/2016, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    8. Johannes Stübinger & Sylvia Endres, 2018. "Pairs trading with a mean-reverting jump–diffusion model on high-frequency data," Quantitative Finance, Taylor & Francis Journals, vol. 18(10), pages 1735-1751, October.
    9. Usman Arief & Zaäfri Ananto Husodo, 2021. "Private Information from Extreme Price Movements (Empirical Evidences from Southeast Asia Countries)," International Symposia in Economic Theory and Econometrics, in: Recent Developments in Asian Economics International Symposia in Economic Theory and Econometrics, volume 28, pages 221-242, Emerald Group Publishing Limited.
    10. Stübinger, Johannes & Endres, Sylvia, 2017. "Pairs trading with a mean-reverting jump-diffusion model on high-frequency data," FAU Discussion Papers in Economics 10/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    11. Pham, Manh Cuong & Anderson, Heather Margot & Duong, Huu Nhan & Lajbcygier, Paul, 2020. "The effects of trade size and market depth on immediate price impact in a limit order book market," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
    12. Stübinger, Johannes & Walter, Dominik & Knoll, Julian, 2017. "Financial market predictions with Factorization Machines: Trading the opening hour based on overnight social media data," FAU Discussion Papers in Economics 19/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.

  17. Robert F. Engle & Eric Jondeau & Michael Rockinger, 2012. "Systemic Risk in Europe," Swiss Finance Institute Research Paper Series 12-45, Swiss Finance Institute.

    Cited by:

    1. Colletaz, Gilbert & Levieuge, Grégory & Popescu, Alexandra, 2018. "Monetary policy and long-run systemic risk-taking," Journal of Economic Dynamics and Control, Elsevier, vol. 86(C), pages 165-184.
    2. Betz, Frank & Hautsch, Nikolaus & Peltonen, Tuomas A. & Schienle, Melanie, 2016. "Systemic risk spillovers in the European banking and sovereign network," Working Paper Series in Economics 79, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    3. Mensah, Jones Odei & Premaratne, Gamini, 2017. "Systemic interconnectedness among Asian Banks," Japan and the World Economy, Elsevier, vol. 41(C), pages 17-33.
    4. Pham, Thach N. & Powell, Robert & Bannigidadmath, Deepa, 2021. "Systemically important banks in Asian emerging markets: Evidence from four systemic risk measures," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
    5. Christian Brownlees & Giuseppe Cavaliere & Alice Monti, 2018. "Evaluating The Accuracy Of Tail Risk Forecasts For Systemic Risk Measurement," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(02), pages 1-25, June.
    6. Rizwan, Muhammad Suhail & Ahmad, Ghufran & Ashraf, Dawood, 2022. "Systemic risk, Islamic banks, and the COVID-19 pandemic: An empirical investigation," Emerging Markets Review, Elsevier, vol. 51(PB).
    7. Berger, Allen N. & Curti, Filippo & Mihov, Atanas & Sedunov, John, 2022. "Operational Risk is More Systemic than You Think: Evidence from U.S. Bank Holding Companies," Journal of Banking & Finance, Elsevier, vol. 143(C).
    8. Banulescu, Georgiana-Denisa & Dumitrescu, Elena-Ivona, 2015. "Which are the SIFIs? A Component Expected Shortfall approach to systemic risk," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 575-588.
    9. Chiara Pederzoli & Costanza Torricelli, 2017. "Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise," Annals of Finance, Springer, vol. 13(3), pages 237-251, August.
    10. Robert Engle & Eric Jondeau & Michael Rockinger, 2015. "Systemic Risk in Europe," Review of Finance, European Finance Association, vol. 19(1), pages 145-190.
    11. Gündüz, Yalin, 2020. "The market impact of systemic risk capital surcharges," Discussion Papers 09/2020, Deutsche Bundesbank.
    12. Lamont K. Black & Ricardo Correa & Xin Huang & Hao Zhou, 2013. "The systemic risk of European banks during the financial and sovereign debt crises," International Finance Discussion Papers 1083, Board of Governors of the Federal Reserve System (U.S.).
    13. Matousek, Roman & Panopoulou, Ekaterini & Papachristopoulou, Andromachi, 2020. "Policy uncertainty and the capital shortfall of global financial firms," Journal of Corporate Finance, Elsevier, vol. 62(C).
    14. André F. Silva, 2019. "Strategic Liquidity Mismatch and Financial Sector Stability," Finance and Economics Discussion Series 2019-082, Board of Governors of the Federal Reserve System (U.S.).
    15. Lucyna Anna Gornicka & Marius Andrei Zoican, 2016. "Too-International-to-Fail? Supranational Bank Resolution and Market Discipline," Post-Print hal-01253632, HAL.
    16. Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2019. "Return spillovers around the globe: A network approach," Economic Modelling, Elsevier, vol. 77(C), pages 133-146.
    17. Paulo Garrido & Pedro Campos & André Dias, 2015. "Balance Sheet Analysis Of Credit And Debt Networks," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 18(05n06), pages 1-18, August.
    18. Yang, Lu & Yang, Lei & Hamori, Shigeyuki, 2018. "Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 19-34.
    19. Ahmet Sensoy, 2016. "Systematic Risk in Conventional and Islamic Equity Markets," International Review of Finance, International Review of Finance Ltd., vol. 16(3), pages 457-466, September.
    20. Shian-Chang Huang & Cheng-Feng Wu & Chei-Chang Chiou & Meng-Chen Lin, 2022. "Intelligent FinTech Data Mining by Advanced Deep Learning Approaches," Computational Economics, Springer;Society for Computational Economics, vol. 59(4), pages 1407-1422, April.
    21. Peter Grundke, 2019. "Ranking consistency of systemic risk measures: a simulation-based analysis in a banking network model," Review of Quantitative Finance and Accounting, Springer, vol. 52(4), pages 953-990, May.
    22. Geraci, Marco Valerio & Gnabo, Jean-Yves, 2018. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(3), pages 1371-1390, June.
    23. Faia, Ester & Ottaviano, Gianmarco I. P. & Sanchez Arjona, Irene, 2017. "International expansion and riskiness of Banks," LSE Research Online Documents on Economics 83615, London School of Economics and Political Science, LSE Library.
    24. Ester Faia & Sebastien Laffitte & Gianmarco Ottaviano, 2018. "Foreign Expansion, Competition and Bank Risk," NBER Chapters, in: NBER International Seminar on Macroeconomics 2018, pages 179-199, National Bureau of Economic Research, Inc.
    25. Hoffmann, Hannes & Meyer-Brandis, Thilo & Svindland, Gregor, 2016. "Risk-consistent conditional systemic risk measures," Stochastic Processes and their Applications, Elsevier, vol. 126(7), pages 2014-2037.
    26. Karolina Puławska, 2021. "Financial Stability of European Insurance Companies during the COVID-19 Pandemic," JRFM, MDPI, vol. 14(6), pages 1-16, June.
    27. Dissem, Sonia & Lobez, Frederic, 2020. "Correlation between the 2014 EU-wide stress tests and the market-based measures of systemic risk," Research in International Business and Finance, Elsevier, vol. 51(C).
    28. Eric Fina Kamani, 2020. "The effect of the trading activities of banks on systemic risk: does banking industry concentration matter?," Economics Bulletin, AccessEcon, vol. 40(1), pages 542-555.
    29. Berger, Allen N. & Roman, Raluca A. & Sedunov, John, 2020. "Did TARP reduce or increase systemic risk? The effects of government aid on financial system stability," Journal of Financial Intermediation, Elsevier, vol. 43(C).
    30. Bats, Joost V. & Houben, Aerdt C.F.J., 2020. "Bank-based versus market-based financing: Implications for systemic risk," Journal of Banking & Finance, Elsevier, vol. 114(C).
    31. John Cotter & Mark Hallam & Kamil Yilmaz, 2017. "Mixed-Frequency Macro-Financial Spillovers," Koç University-TUSIAD Economic Research Forum Working Papers 1704, Koc University-TUSIAD Economic Research Forum.
    32. Gehrig, Thomas Paul & Iannino, Maria Chiara, 2016. "Did the Basel Process of Capital Regulation Enhance the Resiliency of European Banks?," VfS Annual Conference 2016 (Augsburg): Demographic Change 145743, Verein für Socialpolitik / German Economic Association.
    33. Nivorozhkin, Eugene & Chondrogiannis, Ilias, 2022. "Shifting balances of systemic risk in the Chinese banking sector: Determinants and trends," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
    34. Matteo Foglia & Eliana Angelini, 2021. "The triple (T3) dimension of systemic risk: Identifying systemically important banks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 7-26, January.
    35. Armen Hovakimian & Edward J. Kane & Luc Laeven, 2012. "Tracking Variation in Systemic Risk at US Banks During 1974-2013," NBER Working Papers 18043, National Bureau of Economic Research, Inc.
    36. Adnan Safi & Xianrong Yi & Salman Wahab & Yingying Chen & Hassan Hassan, 2021. "CEO overconfidence, firm-specific factors, and systemic risk: evidence from China," Risk Management, Palgrave Macmillan, vol. 23(1), pages 30-47, June.
    37. Stolbov, Mikhail & Shchepeleva, Maria, 2020. "Systemic risk, economic policy uncertainty and firm bankruptcies: Evidence from multivariate causal inference," Research in International Business and Finance, Elsevier, vol. 52(C).
    38. Billio, Monica & Casarin, Roberto & Costola, Michele & Pasqualini, Andrea, 2016. "An entropy-based early warning indicator for systemic risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 45(C), pages 42-59.
    39. Cotter, John & Hallam, Mark & Yilmaz, Kamil, 2023. "Macro-financial spillovers," Journal of International Money and Finance, Elsevier, vol. 133(C).
    40. Liu, Ruicheng & Pun, Chi Seng, 2022. "Machine-Learning-enhanced systemic risk measure: A Two-Step supervised learning approach," Journal of Banking & Finance, Elsevier, vol. 136(C).
    41. Bostandzic, Denefa & Weiß, Gregor N.F., 2018. "Why do some banks contribute more to global systemic risk?," Journal of Financial Intermediation, Elsevier, vol. 35(PA), pages 17-40.
    42. Camilo Eduardo Sánchez-Quinto, 2022. "SRISK: una medida de riesgo sistémico para la banca colombiana 2005-2021," Borradores de Economia 1207, Banco de la Republica de Colombia.
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    54. Chen, Yi-Pei & Chen, Yu-Lun & Chiang, Shu-Hen & Mo, Wan-Shin, 2023. "Determinants of connectedness in financial institutions: Evidence from Taiwan," Emerging Markets Review, Elsevier, vol. 55(C).
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    56. Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2020. "Options-based systemic risk, financial distress, and macroeconomic downturns," LSE Research Online Documents on Economics 118850, London School of Economics and Political Science, LSE Library.
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    59. Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2019. "Effectiveness of policy and regulation in European sovereign credit risk markets: a network analysis," ESRB Working Paper Series 90, European Systemic Risk Board.
    60. ZELDEA, Cristina Georgiana, 2019. "Systemic Risk: An Overview," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 23(3), pages 34-48, September.
    61. Michael Sigmund, 2022. "The capital buffer calibration for other systemically important institutions‐Is the country heterogeneity in the EU caused by regulatory capture?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 69(5), pages 533-563, November.
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    63. Jondeau, Eric & Khalilzadeh, Amir, 2022. "Predicting the stressed expected loss of large U.S. banks," Journal of Banking & Finance, Elsevier, vol. 134(C).
    64. Mikhail Stolbov & Maria Shchepeleva, 2018. "Systemic risk in Europe: deciphering leading measures, common patterns and real effects," Annals of Finance, Springer, vol. 14(1), pages 49-91, February.
    65. Jokivuolle, Esa & Tunaru, Radu & Vioto, Davide, 2018. "Testing the systemic risk differences in banks," Bank of Finland Research Discussion Papers 13/2018, Bank of Finland.
    66. Eric Dor, 2013. "The recapitalization needs of European banks if a new financial crisis occurs," Working Papers 2013-ECO-19, IESEG School of Management.
    67. Iwanicz-Drozdowska, Małgorzata & Rogowicz, Karol, 2022. "Does the choice of monetary policy tool matter for systemic risk? The curious case of negative interest rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    68. Thomas F. Coleman & Alex LaPlante & Alexey Rubtsov, 2018. "Analysis of the SRISK measure and its application to the Canadian banking and insurance industries," Annals of Finance, Springer, vol. 14(4), pages 547-570, November.
    69. S. Tavolaro & F. Visnovsky, 2014. "What is the information content of the SRISK measure as a supervisory tool?," Débats économiques et financiers 10, Banque de France.
    70. Fina Kamani, Eric, 2019. "The effect of non-traditional banking activities on systemic risk: Does bank size matter?," Finance Research Letters, Elsevier, vol. 30(C), pages 297-305.
    71. Martin Eling & David Antonius Pankoke, 2016. "Systemic Risk in the Insurance Sector: A Review and Directions for Future Research," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 19(2), pages 249-284, September.
    72. Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2022. "Assessing the impact of policy and regulation interventions in European sovereign credit risk networks: What worked best?," Journal of International Economics, Elsevier, vol. 139(C).
    73. Apergis, Nicholas & Aysan, Ahmet F. & Bakkar, Yassine, 2022. "Borrower- and lender-based macroprudential policies: What works best against bank systemic risk?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    74. Jacob Kleinow & Tobias Nell, 2015. "Determinants of systemically important banks: the case of Europe," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 7(4), pages 446-476, November.
    75. Dincer, Hasan & Hacioglu, Umit & Tatoglu, Ekrem & Delen, Dursun, 2019. "Developing a hybrid analytics approach to measure the efficiency of deposit banks," Journal of Business Research, Elsevier, vol. 104(C), pages 131-145.
    76. Carmela Cappelli & Francesca Iorio & Angela Maddaloni & Pierpaolo D’Urso, 2021. "Atheoretical Regression Trees for classifying risky financial institutions," Annals of Operations Research, Springer, vol. 299(1), pages 1357-1377, April.
    77. Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2023. "Options-based systemic risk, financial distress, and macroeconomic downturns," Journal of Financial Markets, Elsevier, vol. 65(C).
    78. Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2014. "Forecasting systemic impact in financial networks," International Journal of Forecasting, Elsevier, vol. 30(3), pages 781-794.
    79. Elena Ivona DUMITRESCU & Sullivan HUE & Christophe HURLIN & Sessi TOKPAVI, 2020. "Machine Learning or Econometrics for Credit Scoring: Let’s Get the Best of Both Worlds," LEO Working Papers / DR LEO 2839, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    80. Mauro Bernardi & Leopoldo Catania, 2015. "Switching-GAS Copula Models With Application to Systemic Risk," Papers 1504.03733, arXiv.org, revised Jan 2016.
    81. Abendschein, Michael & Grundke, Peter, 2018. "On the ranking consistency of global systemic risk measures: empirical evidence," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181623, Verein für Socialpolitik / German Economic Association.
    82. Cincinelli, Peter & Pellini, Elisabetta & Urga, Giovanni, 2022. "Systemic risk in the Chinese financial system: A panel Granger causality analysis," International Review of Financial Analysis, Elsevier, vol. 82(C).
    83. Dudek, Jérémy, 2013. "Illiquidité, contagion et risque systémique," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/13236 edited by Le Fol, Gaëlle.
    84. Shumaila Zeb & Abdul Rashid, 2019. "Systemic risk in financial institutions of BRICS: measurement and identification of firm-specific determinants," Risk Management, Palgrave Macmillan, vol. 21(4), pages 243-264, December.
    85. Koliai, Lyes, 2016. "Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 1-22.
    86. Bernardi Mauro & Roy Cerqueti & Arsen Palestini, 2016. "Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall," Papers 1608.02365, arXiv.org.
    87. Laura Garcia-Jorcano & Lidia Sanchis-Marco, 2023. "Measuring Systemic Risk Using Multivariate Quantile-Located ES Models," Journal of Financial Econometrics, Oxford University Press, vol. 21(1), pages 1-72.
    88. Sedunov, John, 2021. "Federal reserve intervention and systemic risk during financial crises," Journal of Banking & Finance, Elsevier, vol. 133(C).
    89. Kolari, James W. & López-Iturriaga, Félix J. & Sanz, Ivan Pastor, 2020. "Measuring systemic risk in the U.S. Banking system," Economic Modelling, Elsevier, vol. 91(C), pages 646-658.
    90. Davidson, Sharada Nia & Moccero, Diego Nicolas, 2024. "The nonlinear effects of banks’ vulnerability to capital depletion in euro area countries," Working Paper Series 2912, European Central Bank.
    91. Michael Sigmund, 2020. "The Capital Buffer Calibration for Other Systemically Important Institutions – Is the Country Heterogeneity in the EU caused by Regulatory Capture? (Michael Sigmund)," Working Papers 232, Oesterreichische Nationalbank (Austrian Central Bank).
    92. Anna Maria Fiori & Francesco Porro, 2023. "A compositional analysis of systemic risk in European financial institutions," Annals of Finance, Springer, vol. 19(3), pages 325-354, September.
    93. Mikhail Stolbov, 2017. "Assessing systemic risk and its determinants for advanced and major emerging economies: the case of ΔCoVaR," International Economics and Economic Policy, Springer, vol. 14(1), pages 119-152, January.
    94. G Andrew Karolyi & John Sedunov & Alvaro G. Taboada, 2023. "Cross-Border Bank Flows and Systemic Risk," Review of Finance, European Finance Association, vol. 27(5), pages 1563-1614.
    95. Sharif Mazumder & Louis R. Piccotti, 2023. "Systemic Risk: Bank Characteristics Matter," Journal of Financial Services Research, Springer;Western Finance Association, vol. 64(2), pages 265-301, October.
    96. Barbaglia, Luca & Croux, Christophe & Wilms, Ines, 2020. "Volatility spillovers in commodity markets: A large t-vector autoregressive approach," Energy Economics, Elsevier, vol. 85(C).
    97. Olena Kostylenko & Helena Sofia Rodrigues & Delfim F. M. Torres, 2019. "The spread of a financial virus through Europe and beyond," Papers 1901.07241, arXiv.org.
    98. Mikhail I. Stolbov & Maria A. Shchepeleva & Alexander M. Karminsky, 2021. "A global perspective on macroprudential policy interaction with systemic risk, real economic activity, and monetary intervention," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-25, December.
    99. Marina Brogi & Valentina Lagasio & Luca Riccetti, 2021. "Systemic risk measurement: bucketing global systemically important banks," Annals of Finance, Springer, vol. 17(3), pages 319-351, September.
    100. Anna Paulson & Richard Rosen, 2016. "The Life Insurance Industry and Systemic Risk: A Bond Market Perspective," Annual Review of Financial Economics, Annual Reviews, vol. 8(1), pages 155-174, October.
    101. Sensoy, Ahmet, 2017. "Firm size, ownership structure, and systematic liquidity risk: The case of an emerging market," Journal of Financial Stability, Elsevier, vol. 31(C), pages 62-80.
    102. Zhang, Xingmin & Fu, Qiang & Lu, Liping & Wang, Qingyu & Zhang, Shuai, 2021. "Bank liquidity creation, network contagion and systemic risk: Evidence from Chinese listed banks," Journal of Financial Stability, Elsevier, vol. 53(C).
    103. Chen, Guojin & Liu, Yanzhen & Zhang, Yu, 2021. "Systemic risk measures and distribution forecasting of macroeconomic shocks," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 178-196.

  18. 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.

    Cited by:

    1. Assessment of CIS Countries Readiness for Creation of Currency Union & Mironov, Alexey, 2014. "Assessment of CIS Countries Readiness for Creation of Currency Union," Published Papers dok19, Russian Presidential Academy of National Economy and Public Administration.
    2. Lippi, Francesco & Alvarez, Fernando & Ferrara, Andrea & Gautier, Erwan & Le Bihan, Hervé, 2021. "Empirical Investigation of a Sufficient Statistic for Monetary Shocks," CEPR Discussion Papers 16626, C.E.P.R. Discussion Papers.
    3. Jonathan R. W. Temple & Nicolas Van de Sijpe, 2014. "Foreign Aid and Domestic Absorption," CSAE Working Paper Series 2014-01, Centre for the Study of African Economies, University of Oxford.
    4. Byrne, Joseph P. & Kontonikas, Alexandros & Montagnoliz, Alberto, 2010. "International Evidence on the New Keynesian Phillips Curve Using Aggregate and Disaggregate Data," SIRE Discussion Papers 2010-57, Scottish Institute for Research in Economics (SIRE).
    5. Milda Norkute, 2015. "Can the sectoral New Keynesian Phillips curve explain inflation dynamics in the Euro Area?," Empirical Economics, Springer, vol. 49(4), pages 1191-1216, December.
    6. Sophocles Mavroeidis & Mikkel Plagborg-Møller & James H. Stock, "undated". "Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve," Working Paper 84656, Harvard University OpenScholar.
    7. Oleksandr Faryna & Tho Pham & Oleksandr Talavera & Andriy Tsapin, 2020. "Wage Setting and Unemployment: Evidence from Online Job Vacancy Data," Economics Discussion Papers em-dp2020-02, Department of Economics, University of Reading.
    8. Bernard Candelpergher & Michel Miniconi & Florian Pelgrin, 2015. "Long-memory process and aggregation of AR(1) stochastic processes: A new characterization," Working Papers hal-01166527, HAL.
    9. Francisco J. Ruge-Murcia & Alexander L. Wolman, 2022. "Relative Price Shocks and Inflation," Working Paper 22-07, Federal Reserve Bank of Richmond.
    10. 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.
    11. Abbas, Syed K. & Bhattacharya, Prasad Sankar & Sgro, Pasquale, 2016. "The new Keynesian Phillips curve: An update on recent empirical advances," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 378-403.
    12. Petrella, Ivan & Santoro, Emiliano, 2012. "Inflation dynamics and real marginal costs: New evidence from U.S. manufacturing industries," Journal of Economic Dynamics and Control, Elsevier, vol. 36(5), pages 779-794.
    13. Mustafa Caglayan & Oleksandr Talavera & Lin Xiong, 2020. "Female Small Business Owners in China: Discouraged, not Discriminated," Discussion Papers 20-04, Department of Economics, University of Birmingham.
    14. Laura Mayoral, 2013. "Heterogeneous Dynamics, Aggregation, And The Persistence Of Economic Shocks," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 54(4), pages 1295-1307, November.
    15. Johannes Schuffels & Clemens Kool & Lenard Lieb & Tom van Veen, 2022. "Is the Slope of the Euro Area Phillips Curve Steeper than It Seems? Heterogeneity and Identification," CESifo Working Paper Series 10103, CESifo.
    16. Guilloux-Nefussi, Sophie, 2020. "Globalization, market structure and inflation dynamics," Journal of International Economics, Elsevier, vol. 123(C).
    17. Hülya Saygılı, 2020. "The nature of trade, global production fragmentation and inflationary dynamics: Cross‐country evidence," The World Economy, Wiley Blackwell, vol. 43(7), pages 2007-2031, July.
    18. Ida, Daisuke, 2020. "Sectoral inflation persistence and optimal monetary policy," Journal of Macroeconomics, Elsevier, vol. 65(C).
    19. Tiwari, Aviral Kumar & Oros, Cornel & Albulescu, Claudiu Tiberiu, 2014. "Revisiting the inflation–output gap relationship for France using a wavelet transform approach," Economic Modelling, Elsevier, vol. 37(C), pages 464-475.
    20. Carlos Carvalho & Niels Arne Dam & Jae Won Lee, 2020. "The Cross-Sectional Distribution of Price Stickiness Implied by Aggregate Data," The Review of Economics and Statistics, MIT Press, vol. 102(1), pages 162-179, March.
    21. Kato, Ryo & Okuda, Tatsushi & Tsuruga, Takayuki, 2021. "Sectoral inflation persistence, market concentration, and imperfect common knowledge," Journal of Economic Behavior & Organization, Elsevier, vol. 192(C), pages 500-517.
    22. Luengo-Prado, María José & Rao, Nikhil & Sheremirov, Viacheslav, 2018. "Sectoral inflation and the Phillips curve: What has changed since the Great Recession?," Economics Letters, Elsevier, vol. 172(C), pages 63-68.
    23. Siyabonga Mndebele & Devi Datt Tewari & Kehinde Damilola Ilesanmi, 2023. "Testing the Validity of the Quantity Theory of Money on Sectoral Data: Non-Linear Evidence from South Africa," Economies, MDPI, vol. 11(2), pages 1-26, February.
    24. Faryna, Oleksandr & Pham, Tho & Talavera, Oleksandr & Tsapin, Andriy, 2022. "Wage and unemployment: Evidence from online job vacancy data," Journal of Comparative Economics, Elsevier, vol. 50(1), pages 52-70.
    25. Chiang, Shu-Hen & Lee, Chien-Chiang & Liao, Ying, 2021. "Exploring the sources of inflation dynamics: New evidence from China," Economic Analysis and Policy, Elsevier, vol. 70(C), pages 313-332.
    26. Yanli LI, Hongfeng PENG & Hongfeng PENG, 2013. "Inflation Persistence in Nine Latin American Countries: Panel SURKSS Test with a Fourier Function," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 132-143, October.
    27. Liu, Zhen & Ngo, Thanh Quang & Saydaliev, Hayot Berk & He, Huiyuan & Ali, Sajid, 2022. "How do trade openness, public expenditure and institutional performance affect unemployment in OIC countries? Evidence from the DCCE approach," Economic Systems, Elsevier, vol. 46(4).
    28. Hülya Saygılı, 2020. "Sectoral inflationary dynamics: cross-country evidence on the open-economy New Keynesian Phillips Curve," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 156(1), pages 75-101, February.
    29. Nagayasu, Jun, 2012. "Regional inflation and industrial structure in monetary union," MPRA Paper 37310, University Library of Munich, Germany.
    30. Viacheslav Kramkov, 2023. "Does CPI disaggregation improve inflation forecast accuracy?," Bank of Russia Working Paper Series wps112, Bank of Russia.

  19. 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.

    Cited by:

    1. Wanbo Lu & Guanglin Huang & Kris Boudt, 2024. "Estimation of Non-Gaussian Factors Using Higher-order Multi-cumulants in Weak Factor Models," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 24/1085, Ghent University, Faculty of Economics and Business Administration.
    2. Boyao Wu & Difang Huang & Muzi Chen, 2024. "Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect," Papers 2404.04335, arXiv.org.
    3. Domino, Krzysztof, 2020. "Multivariate cumulants in outlier detection for financial data analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 558(C).
    4. Lassance, Nathan & Vrins, Frédéric, 2021. "Portfolio selection with parsimonious higher comoments estimation," LIDAM Reprints LFIN 2021005, Université catholique de Louvain, Louvain Finance (LFIN).
    5. Boyao Wu & Difang Huang & Muzi Chen, 2023. "Estimating contagion mechanism in global equity market with time‐zone effect," Financial Management, Financial Management Association International, vol. 52(3), pages 543-572, September.
    6. Kris Boudt & Dries Cornilly & Tim Verdonck, 2019. "Nearest Comoment Estimation With Unobserved Factors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 19/970, Ghent University, Faculty of Economics and Business Administration.
    7. Junrui Di & Adam Spira & Jiawei Bai & Jacek Urbanek & Andrew Leroux & Mark Wu & Susan Resnick & Eleanor Simonsick & Luigi Ferrucci & Jennifer Schrack & Vadim Zipunnikov, 2019. "Joint and Individual Representation of Domains of Physical Activity, Sleep, and Circadian Rhythmicity," Statistics in Biosciences, Springer;International Chinese Statistical Association, vol. 11(2), pages 371-402, July.
    8. Lassance, Nathan & Vrins, Frédéric, 2019. "Robust portfolio selection using sparse estimation of comoment tensors," LIDAM Discussion Papers LFIN 2019007, Université catholique de Louvain, Louvain Finance (LFIN).

  20. 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.

    Cited by:

    1. Byrne, Joseph P. & Kontonikas, Alexandros & Montagnoliz, Alberto, 2010. "International Evidence on the New Keynesian Phillips Curve Using Aggregate and Disaggregate Data," SIRE Discussion Papers 2010-57, Scottish Institute for Research in Economics (SIRE).
    2. Tiwari, Aviral Kumar & Oros, Cornel & Albulescu, Claudiu Tiberiu, 2014. "Revisiting the inflation–output gap relationship for France using a wavelet transform approach," Economic Modelling, Elsevier, vol. 37(C), pages 464-475.

  21. 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.

    Cited by:

    1. Giacomo Sbrana, 2012. "Aggregation and marginalization of GARCH processes: some further results," METRON, Springer;Sapienza Università di Roma, vol. 70(2), pages 165-172, August.

  22. Jean Imbs & Eric Jondeau & Florian Pelgrin, 2007. "Aggregating Phillips Curves," Swiss Finance Institute Research Paper Series 07-06, Swiss Finance Institute.

    Cited by:

    1. Whelan, Karl & Lawless, Martina, 2007. "Understanding the dynamics of labor shares and inflation," Working Paper Series 784, European Central Bank.
    2. Emmanuel Dhyne & Catherine Fuss & Hashem Pesaran & Patrick Sevestre, 2006. "Lumpy price adjustments : a microeconometric analysis," Working Paper Research 100, National Bank of Belgium.
    3. Byrne, Joseph P. & Kontonikas, Alexandros & Montagnoliz, Alberto, 2010. "International Evidence on the New Keynesian Phillips Curve Using Aggregate and Disaggregate Data," SIRE Discussion Papers 2010-57, Scottish Institute for Research in Economics (SIRE).
    4. Milda Norkute, 2015. "Can the sectoral New Keynesian Phillips curve explain inflation dynamics in the Euro Area?," Empirical Economics, Springer, vol. 49(4), pages 1191-1216, December.
    5. Markus Knell & Alfred Stiglbauer, 2009. "The Impact of Reference Norms on Inflation Persistence When Wages are Staggered," Working Papers 153, Oesterreichische Nationalbank (Austrian Central Bank).
    6. Kapetanios, George & Price, Simon & Tasiou, Menelaos & Ventouri, Alexia, 2021. "State-level wage Phillips curves," Econometrics and Statistics, Elsevier, vol. 18(C), pages 1-11.
    7. Niels Arne Dam & Carlos Carvalho, 2009. "Estimating the Cross-sectional Distribution of Price Stickiness from Aggregate Data," 2009 Meeting Papers 702, Society for Economic Dynamics.
    8. Oleg Korenok & Stanislav Radchenko & Norman R. Swanson, 2010. "International evidence on the efficacy of new‐Keynesian models of inflation persistence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 31-54, January.
    9. Petrella, Ivan & Santoro, Emiliano, 2012. "Inflation dynamics and real marginal costs: New evidence from U.S. manufacturing industries," Journal of Economic Dynamics and Control, Elsevier, vol. 36(5), pages 779-794.
    10. Alvarez González, Luis Julián, 2008. "What Do Micro Price Data Tell Us on the Validity of the New Keynesian Phillips Curve?," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 2, pages 1-36.
    11. Adam Cagliarini & Tim Robinson & Allen Tran, 2010. "Reconciling Microeconomic and Macroeconomic Estimates of Price Stickiness," RBA Research Discussion Papers rdp2010-01, Reserve Bank of Australia.
    12. Stefano Eusepi & Bart Hobijn & Andrea Tambalotti, 2011. "CONDI: A Cost-of-Nominal-Distortions Index," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(3), pages 53-91, July.
    13. Borek Vasícek, 2009. "Inflation dynamics and the New Keynesian Phillips curve in EU-4," Working Papers wpdea0912, Department of Applied Economics at Universitat Autonoma of Barcelona.
    14. Martina Cecioni, 2010. "Firm entry, competitive pressures and the US inflation dynamics," Temi di discussione (Economic working papers) 773, Bank of Italy, Economic Research and International Relations Area.
    15. Kalim Hyder & Stephen G. Hall, 2020. "Estimates of the New Keynesian Phillips Curve for Pakistan," Empirical Economics, Springer, vol. 59(2), pages 871-886, August.
    16. Felipe Schwartzman & Carlos Carvalho, 2008. "Heterogeneous Price Setting Behavior and Monetary Non-neutrality: Some General Results," 2008 Meeting Papers 1040, Society for Economic Dynamics.
    17. Fröhling, Annette & Lommatzsch, Kirsten, 2011. "Output sensitivity of inflation in the euro area: Indirect evidence from disaggregated consumer prices," Discussion Paper Series 1: Economic Studies 2011,25, Deutsche Bundesbank.
    18. Markus Knell & Alfred Stiglbauer, 2012. "Reference Norms, Staggered Wages, And Wage Leadership: Theoretical Implications And Empirical Evidence," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(2), pages 569-592, May.
    19. Kontonikas, Alexandros, 2010. "A new test of the inflation-real marginal cost relationship: ARDL bounds approach," Economics Letters, Elsevier, vol. 108(2), pages 122-125, August.
    20. Mumtaz, Haroon & Zabczyk, Pawel & Ellis, Colin, 2009. "What lies beneath: what can disaggregated data tell us about the behaviour of prices?," Bank of England working papers 364, Bank of England.

  23. Jondeau, E. & Sahuc, J-G., 2007. "Testing heterogeneity within the euro area," Working papers 181, Banque de France.

    Cited by:

    1. Marcin Kolasa, 2008. "Structural heterogeneity or asymmetric shocks? Poland and the euro area through the lens of a two-country DSGE model," NBP Working Papers 49, Narodowy Bank Polski.
    2. Christos Mavrodimitrakis, 2022. "The Policy Mix in a Monetary Union: Who Bears the Burden of Asymmetric Shocks' Stabilisation?," Economics Discussion Papers em-dp2022-12, Department of Economics, University of Reading.
    3. BIKAI, J. Landry & KENKOUO, Guy Albert, 2015. "Analysis and evaluation of the Monetary Policy Transmission Channels in the CEMAC: A SVAR and SPVAR Approaches," MPRA Paper 78227, University Library of Munich, Germany.
    4. Jean-Baptiste Gossé & Cyriac Guillaumin, 2011. "The impact of external shocks on the eurozone: a structural VAR model," Working Papers hal-00610024, HAL.
    5. Jan-Egbert Sturm & Timo Wollmershäuser, 2008. "The Stress of Having a Single Monetary Policy in Europe," KOF Working papers 08-190, KOF Swiss Economic Institute, ETH Zurich.
    6. Ulrich Eydam, 2021. "The Distributional Implications of Climate Policies Under Uncertainty," CEPA Discussion Papers 33, Center for Economic Policy Analysis.
    7. Badarau, Cristina & Huart, Florence & Sangaré, Ibrahima, 2021. "Macroeconomic and policy implications of eurobonds," International Review of Law and Economics, Elsevier, vol. 65(C).
    8. Jean-Baptiste Gossé & Cyriac Guillaumin, 2010. "L'impact des chocs externes sur et dans la zone euro : un modèle VAR structurel," CEPN Working Papers hal-00493384, HAL.
    9. Lee, Jim, 2009. "Evaluating monetary policy of the euro area with cross-country heterogeneity: Evidence from a New Keynesian model," Economic Systems, Elsevier, vol. 33(4), pages 325-343, December.
    10. Christina Badarau & Grégory Levieuge, 2011. "Which policy-mix to mitigate the effects of financial heterogeneity in a monetary union?," Larefi Working Papers 1109, Larefi, Université Bordeaux 4.
    11. BESSO, CHRISTOPHE RAOUL & chameni, celestin, 2016. "Analyse De La Vulnerabilite Macroeconomique De La Zone Franc [Analysis Of The Macroeconomic Vulnerability Of The Franc Zone]," MPRA Paper 75143, University Library of Munich, Germany.
    12. Chortareas, Georgios & Mavrodimitrakis, Christos, 2016. "Can monetary policy fully stabilize pure demand shocks in a monetary union with a fiscal leader?," Economic Modelling, Elsevier, vol. 54(C), pages 463-468.
    13. Kolasa, Marcin, 2013. "Business cycles in EU new member states: How and why are they different?," Journal of Macroeconomics, Elsevier, vol. 38(PB), pages 487-496.
    14. Badarau-Semenescu, Cristina & Ndiaye, Cheikh Tidiane, 2010. "Politique économique et transmission des chocs dans la zone euro," L'Actualité Economique, Société Canadienne de Science Economique, vol. 86(1), pages 35-77, mars.
    15. Chortareas, Georgios & Mavrodimitrakis, Christos, 2017. "Strategic fiscal policies and leadership in a monetary union," European Journal of Political Economy, Elsevier, vol. 47(C), pages 133-147.
    16. Marc-Alexandre Sénégas, 2010. "La théorie des zones monétaires optimales au regard de l'euro : quels enseignements après dix années d'union économique et monétaires en Europe ?," Post-Print hal-00646305, HAL.
    17. Pei-Tha Gan & Nyuk-Ling Lee & Mohammed Yahya Mohammed Hussin & Norimah Rambeli, 2016. "Monetary Policy and External Factors: Empirical Evidence for Association of Southeast Asian Nations 3," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1585-1590.
    18. Sanvi Avouyi-Dovi & Jean-Guillaume Sahuc, 2016. "On the Sources of Macroeconomic Stability in the Euro Area," Post-Print hal-01612702, HAL.
    19. Ulrich Eydam & Francesca Diluiso, 2022. "How to Redistribute the Revenues from Climate Policy? A Dynamic Perspective with Financially Constrained Households," CEPA Discussion Papers 45, Center for Economic Policy Analysis.
    20. Cristina PUIU, 2012. "The Role of Heterogeneity in Creating Imbalances in the Euro Area," EuroEconomica, Danubius University of Galati, issue 1(31), pages 77-85, February.
    21. Florina-Cristina Badarau & Grégory Levieuge, 2011. "Assessing the Effects of Financial Heterogeneity in a Monetary Union : A DSGE Approach," Working Papers hal-00641984, HAL.
    22. Enrique LOPEZ-BAZO & Elisabet MOTELLON, 2010. "Human Capital and Regional Wage Gaps," EcoMod2010 259600106, EcoMod.
    23. Pentecôte, Jean-Sébastien & Huchet-Bourdon, Marilyne, 2012. "Revisiting the core-periphery view of EMU," Economic Modelling, Elsevier, vol. 29(6), pages 2382-2391.

  24. Eric Jondeau & Michael Rockinger, 2006. "The Economic Value of Distributional Timing," Swiss Finance Institute Research Paper Series 06-35, Swiss Finance Institute.

    Cited by:

    1. Luis García-Álvarez & Richard Luger, 2011. "Dynamic Correlations, Estimation Risk, and Porfolio Management During the Financial Crisis," Working Papers wp2011_1103, CEMFI, revised Sep 2011.
    2. Dimitrios Thomakos & Johannes Klepsch & Dimitris N. Politis, 2020. "Model Free Inference on Multivariate Time Series with Conditional Correlations," Stats, MDPI, vol. 3(4), pages 1-26, November.
    3. Campbell Harvey & John Liechty & Merrill Liechty & Peter Muller, 2010. "Portfolio selection with higher moments," Quantitative Finance, Taylor & Francis Journals, vol. 10(5), pages 469-485.
    4. Marie Briere & Alexandre Burgues & Ombretta Signori, 2008. "Volatility Exposure for Strategic Asset Allocation," Working Papers CEB 08-034.RS, ULB -- Universite Libre de Bruxelles.
    5. Tsunehiro Ishihara & Yasuhiro Omori, 2017. "Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage," The Japanese Economic Review, Japanese Economic Association, vol. 68(1), pages 63-94, March.

  25. Eric Jondeau & Michael Rockinger, 2006. "The Impact of News on Higher Moments," Swiss Finance Institute Research Paper Series 06-28, Swiss Finance Institute.

    Cited by:

    1. Yannick LE PEN & Benoît SEVI, 2008. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Cahiers du CREDEN (CREDEN Working Papers) 08.09.77, CREDEN (Centre de Recherche en Economie et Droit de l'Energie), Faculty of Economics, University of Montpellier 1.
    2. Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Parameterizing Unconditional Skewness in Models for Financial Time Series," Journal of Financial Econometrics, Oxford University Press, vol. 6(2), pages 208-230, Spring.
    3. Esther B. Del Brio & Trino-Manuel Niguez & Javier Perote, 2009. "Gram-Charlier densities: a multivariate approach," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 855-868.

  26. 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.

    Cited by:

    1. Poutineau, Jean-Christophe & Vermandel, Gauthier, 2017. "Global banking and the conduct of macroprudential policy in a monetary union," Journal of Macroeconomics, Elsevier, vol. 54(PB), pages 306-331.
    2. Michał Brzoza-Brzezina & Marcin Kolasa & Krzysztof Makarski, 2013. "Macroprudential policy and imbalances in the euro area," NBP Working Papers 138, Narodowy Bank Polski.
    3. Giovanni Di Bartolomeo & Patrizio Tirelli & Nicola Acocella, 2010. "Trend inflation, endogenous mark-ups and the non-vertical Phillips curve," Working Papers 186, University of Milano-Bicocca, Department of Economics, revised May 2010.
    4. Moons, Cindy, 2009. "An Estimated Two-Country DSGE Model: losses from UK membership in EMU," Working Papers 2009/23, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
    5. Jondeau, E. & Sahuc, J-G., 2007. "Testing heterogeneity within the euro area," Working papers 181, Banque de France.
    6. 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.
    7. Paolo Angelini & Paolo Del Giovane & Stefano Siviero & Daniele Terlizzese, 2008. "Monetary Policy in a Monetary Union: What Role for Regional Information?," International Journal of Central Banking, International Journal of Central Banking, vol. 4(3), pages 1-28, September.
    8. Chung-Fu Lai & Wen-Fang Wang, 2016. "Fiscal Policy in a Floating Exchange Rate Regime with Consumption Home Bias," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(6), pages 1-24, June.
    9. Thorvardur Tjörvi Ólafsson, 2006. "The New Keynesian Phillips Curve: In Search of Improvements and Adaptation to the Open Economy," Economics wp31_tjorvi, Department of Economics, Central bank of Iceland.
    10. Ivashchenko, S., 2013. "Dynamic Stochastic General Equilibrium Model with Banks and Endogenous Defaults of Firms," Journal of the New Economic Association, New Economic Association, vol. 19(3), pages 27-50.
    11. Carla Soares, 2008. "Impact on Welfare of Country Heterogeneity in a Currency Union," Working Papers w200814, Banco de Portugal, Economics and Research Department.
    12. Lee, Jim, 2009. "Evaluating monetary policy of the euro area with cross-country heterogeneity: Evidence from a New Keynesian model," Economic Systems, Elsevier, vol. 33(4), pages 325-343, December.
    13. Poilly, C. & Sahuc, J-G., 2008. "Welfare Implications of Heterogeneous Labor Markets in a Currency Area," Working papers 199, Banque de France.
    14. Di Bartolomeo Giovanni & Tirelli Patrizio & Acocella Nicola, 2011. "Inflation targets and endogenous wage markups in a New Keynesian model," wp.comunite 0079, Department of Communication, University of Teramo.
    15. Nikolay Hristov & Oliver Hülsewig & Timo Wollmershäuser, 2014. "Financial Frictions and Inflation Differentials in a Monetary Union," Manchester School, University of Manchester, vol. 82(5), pages 549-595, September.
    16. Cindy Moons, 2013. "Losses from Membership in EMU: An Estimated Two-Country DSGE Model," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, vol. 59(1), pages 27-61.
    17. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2010. "On the precision of Calvo parameter estimates in structural NKPC models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1582-1595, September.
    18. Jean-Christophe Poutineau & Gauthier Vermandel, 2015. "Quelle prise en compte des caractéristiques nationales dans les mesures macroprudentielles en zone euro ?," Revue française d'économie, Presses de Sciences-Po, vol. 0(3), pages 95-141.
    19. Jean-Christophe Poutineau & Gauthier Vermandel, 2017. "A Welfare Analysis of Macroprudential Policy Rules in the Euro Area," Post-Print halshs-01315085, HAL.
    20. Di Bartolomeo Giovanni & Tirelli Patrizio & Acocella Nicola, 2011. "Trend inflation, the labor market wedge, and the non-vertical Phillips curve," wp.comunite 0081, Department of Communication, University of Teramo.
    21. Marcin Wolski, 2016. "Welfare-theoretic Optimal Policies in a New-Keynesian Economy with Heterogeneous Regions: Any Role for Financial Integration?," Journal of Common Market Studies, Wiley Blackwell, vol. 54(3), pages 742-761, May.
    22. Brissimis, Sophocles N. & Skotida, Ifigeneia, 2008. "Optimal monetary policy in the euro area in the presence of heterogeneity," Journal of International Money and Finance, Elsevier, vol. 27(2), pages 209-226, March.
    23. Clerc, Laurent & Dellas, Harris & Loisel, Olivier, 2011. "To be or not to be in monetary union: A synthesis," Journal of International Economics, Elsevier, vol. 83(2), pages 154-167, March.
    24. Verstegen, Loes & Meijdam, Lex, 2016. "The Effectiveness of a Fiscal Transfer Mechanism in a Monetary Union : A DSGE Model for the Euro Area," Other publications TiSEM 2963247d-7fe3-4b3a-80b5-c, Tilburg University, School of Economics and Management.
    25. Pei-Tha Gan, 2014. "The Optimal Economic Uncertainty Index: A Grid Search Application," Computational Economics, Springer;Society for Computational Economics, vol. 43(2), pages 159-182, February.
    26. Verstegen, Loes & Meijdam, Lex, 2016. "The Effectiveness of a Fiscal Transfer Mechanism in a Monetary Union : A DSGE Model for the Euro Area," Discussion Paper 2016-023, Tilburg University, Center for Economic Research.

  27. 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.

    Cited by:

    1. Marcin Kolasa, 2008. "Structural heterogeneity or asymmetric shocks? Poland and the euro area through the lens of a two-country DSGE model," NBP Working Papers 49, Narodowy Bank Polski.
    2. 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.
    3. Jan-Egbert Sturm & Timo Wollmershäuser, 2008. "The Stress of Having a Single Monetary Policy in Europe," KOF Working papers 08-190, KOF Swiss Economic Institute, ETH Zurich.

  28. 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.

    Cited by:

    1. Allen, David & Lizieri, Colin & Satchell, Stephen, 2020. "A comparison of non-Gaussian VaR estimation and portfolio construction techniques," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 356-368.
    2. Li, Xiao-Ming & Zou, Li-Ping, 2008. "How do policy and information shocks impact co-movements of China's T-bond and stock markets?," Journal of Banking & Finance, Elsevier, vol. 32(3), pages 347-359, March.
    3. Ángel León & Javier Mencía & Enrique Sentana, 2005. "Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation," Working Papers wp2005_0509, CEMFI.
    4. Wang, Chou-Wen & Liu, Kai & Li, Bin & Tan, Ken Seng, 2022. "Portfolio optimization under multivariate affine generalized hyperbolic distributions," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 49-66.
    5. Karol Szafranek, 2015. "Financialisation of the commodity markets. Conclusions from the VARX DCC GARCH," EcoMod2015 8554, EcoMod.
    6. Del Brio, Esther B. & Ñíguez, Trino-Manuel & Perote, Javier, 2011. "Multivariate semi-nonparametric distributions with dynamic conditional correlations," International Journal of Forecasting, Elsevier, vol. 27(2), pages 347-364, April.
    7. John R. Birge & Luis Chavez-Bedoya, 2016. "Portfolio optimization under a generalized hyperbolic skewed t distribution and exponential utility," Quantitative Finance, Taylor & Francis Journals, vol. 16(7), pages 1019-1036, July.
    8. Haas, Markus & Mittnik, Stefan, 2008. "Multivariate regimeswitching GARCH with an application to international stock markets," CFS Working Paper Series 2008/08, Center for Financial Studies (CFS).
    9. Rihab Bedoui & Houda BenMabrouk, 2017. "CAPM with various utility functions: Theoretical developments and application to international data," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1343230-134, January.
    10. Carnero M. Angeles & Eratalay M. Hakan, 2014. "Estimating VAR-MGARCH models in multiple steps," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 1-27, May.
    11. Hsu, Ching-Chi & Chien, FengSheng, 2022. "The study of co-movement risk in the context of the Belt and Road Initiative," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 1130-1152.
    12. Maria Grazia Zoia & Gianmarco Vacca & Laura Barbieri, 2020. "Modeling Multivariate Financial Series and Computing Risk Measures via Gram–Charlier-Like Expansions," Risks, MDPI, vol. 8(4), pages 1-21, November.
    13. Juliane Proelss & Denis Schweizer, 2014. "Polynomial goal programming and the implicit higher moment preferences of US institutional investors in hedge funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(1), pages 1-28, February.
    14. Markus Haas, 2007. "Do investors dislike kurtosis?," Economics Bulletin, AccessEcon, vol. 7(2), pages 1-9.
    15. Francesco Paolo Natale, 2008. "Optimisation in the presence of tail-dependence and tail risk: A heuristic approach for strategic asset allocation," Journal of Asset Management, Palgrave Macmillan, vol. 8(6), pages 374-400, February.

  29. Jondeau, E. & Rockinger, M., 2004. "Optimal Portfolio Allocation Under Higher Moments," Working papers 108, Banque de France.

    Cited by:

    1. Hautsch, Nikolaus & Voigt, Stefan, 2017. "Large-scale portfolio allocation under transaction costs and model uncertainty," CFS Working Paper Series 582, Center for Financial Studies (CFS).
    2. K. Kerstens, 2005. "Mean-Variance Skewness Portfolio Performance Gauging:A General Shortage Function and Dual Approach," Post-Print hal-00288765, HAL.
    3. Travkin, Alexandr, 2013. "Pair copula constructions in portfolio optimization ploblem," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 32(4), pages 110-133.
    4. Jens J. Krüger, 2021. "Nonparametric portfolio efficiency measurement with higher moments," Empirical Economics, Springer, vol. 61(3), pages 1435-1459, September.
    5. 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.
    6. Boudt, Kris & Lu, Wanbo & Peeters, Benedict, 2015. "Higher order comoments of multifactor models and asset allocation," Finance Research Letters, Elsevier, vol. 13(C), pages 225-233.
    7. Karagiorgis, Ariston & Drakos, Konstantinos, 2022. "The Skewness-Kurtosis plane for non-Gaussian systems: The case of hedge fund returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    8. François Desmoulins-Lebeault & Jean-François Gajewski & Luc Meunier, 2018. "Personality and Risk Aversion," Economics Bulletin, AccessEcon, vol. 38(1), pages 472-489.
    9. Massimo Guidolin & Giovanna Nicodano, 2010. "Ex Post Portfolio Performance with Predictable Skewness and Kurtosis," Carlo Alberto Notebooks 191, Collegio Carlo Alberto.
    10. Platanakis, Emmanouil & Sakkas, Athanasios & Sutcliffe, Charles, 2019. "Harmful diversification: Evidence from alternative investments," The British Accounting Review, Elsevier, vol. 51(1), pages 1-23.
    11. Christopher S. Withers & Saralees Nadarajah, 2023. "Unbiased Estimates for Products of Moments and Cumulants for Finite Populations," Mathematics, MDPI, vol. 11(17), pages 1-36, August.
    12. Javier Mencía & Enrique Sentana, 2009. "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Working Papers 0909, Banco de España.
    13. Chen, Rongda & Zhou, Hanxian & Yu, Lean & Jin, Chenglu & Zhang, Shuonan, 2021. "An efficient method for pricing foreign currency options," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    14. Braga, Maria Debora & Nava, Consuelo R. & Zoia, Maria Grazia, 2022. "Kurtosis-Based Risk Parity: Methodology and Portfolio Effects," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202208, University of Turin.
    15. Krüger, Jens, 2021. "Nonparametric Portfolio Efficiency Measurement with Higher Moments," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 130825, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    16. Massimo Guidolin & Giovanna Nicodano, 2005. "Small Caps in International Equity Portfolios: The Effects of Variance Risk," CeRP Working Papers 41, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    17. Jean-Pierre BERDOT, 2008. "Evaluation of the performance and of the integration of the euro zone stock market: which are the "right moments"?," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 1, pages 29-41, December.
    18. Trung H. Le & Apostolos Kourtis & Raphael Markellos, 2023. "Modeling skewness in portfolio choice," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 734-770, June.
    19. Enrique Sentana, 2008. "The Econometrics of Mean-Variance Efficiency Tests: A Survey," Working Papers wp2008_0807, CEMFI.
    20. Nalpas, Nicolas & Simar, Léopold & Vanhems, Anne, 2016. "Portfolio Selection in a Multi-Input Multi-Output Setting: a Simple Monte-Carlo-FDH Algorithm," TSE Working Papers 16-648, Toulouse School of Economics (TSE).
    21. Sévi, Benoît, 2013. "An empirical analysis of the downside risk-return trade-off at daily frequency," Economic Modelling, Elsevier, vol. 31(C), pages 189-197.
    22. Hou, Yang & Holmes, Mark, 2017. "On the effects of static and autoregressive conditional higher order moments on dynamic optimal hedging," MPRA Paper 82000, University Library of Munich, Germany.
    23. Constantin Zopounidis & Michael Doumpos, 2013. "Multicriteria decision systems for financial problems," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(2), pages 241-261, July.
    24. Massimiliano Caporin & Michele Costola & Gregory Mathieu Jannin & Bertrand Maillet, 2016. "On the (Ab)Use of Omega?," Working Papers hal-01697640, HAL.
    25. Philippe Bernard & Najat El Mekkaoui De Freitas & Bertrand B. Maillet, 2022. "A financial fraud detection indicator for investors: an IDeA," Annals of Operations Research, Springer, vol. 313(2), pages 809-832, June.
    26. Li, Chenxing, 2022. "A multivariate GARCH model with an infinite hidden Markov mixture," MPRA Paper 112792, University Library of Munich, Germany.
    27. Massimo Biasin & Roy Cerqueti & Emanuela Giacomini & Nicoletta Marinelli & Anna Grazia Quaranta & Luca Riccetti, 2019. "Macro Asset Allocation with Social Impact Investments," Sustainability, MDPI, vol. 11(11), pages 1-19, June.
    28. Okou, Cedric & Maalaoui Chun, Olfa & Dionne, Georges & Li, Jingyuan, 2016. "Can Higher-Order Risks Explain the Credit Spread Puzzle?," Working Papers 16-1, HEC Montreal, Canada Research Chair in Risk Management.
    29. H. Kent Baker & Satish Kumar & Nitesh Pandey, 2020. "A bibliometric analysis of European Financial Managementʼs first 25 years," European Financial Management, European Financial Management Association, vol. 26(5), pages 1224-1260, November.
    30. Kerstens, Kristiaan & Mounir, Amine & Van de Woestyne, Ignace, 2011. "Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function," European Journal of Operational Research, Elsevier, vol. 210(1), pages 81-94, April.
    31. Dimitris Andriosopoulos & Michalis Doumpos & Panos M. Pardalos & Constantin Zopounidis, 2019. "Computational approaches and data analytics in financial services: A literature review," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 70(10), pages 1581-1599, October.
    32. Kei Nakagawa & Yusuke Uchiyama, 2020. "GO-GJRSK Model with Application to Higher Order Risk-Based Portfolio," Mathematics, MDPI, vol. 8(11), pages 1-12, November.
    33. Calvo, Clara & Ivorra, Carlos & Liern, Vicente, 2015. "Finding socially responsible portfolios close to conventional ones," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 52-63.
    34. Pierre Bajgrowicz & Olivier Scaillet, 2008. "Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs," Swiss Finance Institute Research Paper Series 08-05, Swiss Finance Institute, revised Jul 2009.
    35. Oindrila Chatterjee & Balagopal Gopalakrishnan & Sanket Mohapatra, 2023. "Gold in household portfolios during a pandemic: Evidence from an emerging economy," IIMA Working Papers WP 2023-06-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
    36. Nicola Loperfido, 2019. "Finite mixtures, projection pursuit and tensor rank: a triangulation," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 13(1), pages 145-173, March.
    37. Briec, Walter & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2013. "Portfolio selection with skewness: A comparison of methods and a generalized one fund result," European Journal of Operational Research, Elsevier, vol. 230(2), pages 412-421.
    38. Marie Briere & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2015. "Towards Greater Diversification in Central Bank Reserves," Working Papers CEB 15-051, ULB -- Universite Libre de Bruxelles.
    39. Taras Bodnar & Wolfgang Schmid & Taras Zabolotskyy, 2013. "Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(8), pages 1105-1134, November.
    40. So, Mike K.P. & Chan, Raymond K.S., 2014. "Bayesian analysis of tail asymmetry based on a threshold extreme value model," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 568-587.
    41. Anthony D Hall & Stephen E Satchell, 2013. "The anatomy of portfolio skewness and kurtosis," Journal of Asset Management, Palgrave Macmillan, vol. 14(4), pages 228-235, August.
    42. Emmanouil Platanakis & Athanasios Sakkas & Charles Sutcliffe, 2017. "Should Portfolio Model Inputs Be Estimated Using One or Two Economic Regimes?," ICMA Centre Discussion Papers in Finance icma-dp2017-07, Henley Business School, University of Reading.
    43. Georges Prat & Remzi Uctum, 2021. "Modeling ex-ante risk premia in the oil market," Working Papers hal-03508699, HAL.
    44. W. Briec & K. Kerstens, 2007. "Portfolio selection in multidimensional general and partial moment space," Post-Print hal-00296711, HAL.
    45. M. Barkhagen & S. García & J. Gondzio & J. Kalcsics & J. Kroeske & S. Sabanis & A. Staal, 2023. "Optimising portfolio diversification and dimensionality," Journal of Global Optimization, Springer, vol. 85(1), pages 185-234, January.
    46. Hung, Chi-Hsiou D. & Azad, A.S.M. Sohel & Fang, Victor, 2014. "Determinants of stock returns: Factors or systematic co-moments? Crisis versus non-crisis periods," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 14-29.
    47. Lassance, Nathan & Vrins, Frédéric, 2021. "Portfolio selection with parsimonious higher comoments estimation," LIDAM Reprints LFIN 2021005, Université catholique de Louvain, Louvain Finance (LFIN).
    48. Bonato, Matteo & Gupta, Rangan & Lau, Chi Keung Marco & Wang, Shixuan, 2020. "Moments-based spillovers across gold and oil markets," Energy Economics, Elsevier, vol. 89(C).
    49. Arouri, Mohamed & M’saddek, Oussama & Nguyen, Duc Khuong & Pukthuanthong, Kuntara, 2019. "Cojumps and asset allocation in international equity markets," Journal of Economic Dynamics and Control, Elsevier, vol. 98(C), pages 1-22.
    50. Çanakoglu, Ethem & Özekici, Süleyman, 2010. "Portfolio selection in stochastic markets with HARA utility functions," European Journal of Operational Research, Elsevier, vol. 201(2), pages 520-536, March.
    51. Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2012. "Independent Factor Autoregressive Conditional Density Model," DEM Working Papers Series 021, University of Pavia, Department of Economics and Management.
    52. Fujiwara, Ippei & Körber, Lena Mareen & Nagakura, Daisuke, 2013. "Asymmetry in government bond returns," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3218-3226.
    53. Bernardi, Mauro & Catania, Leopoldo, 2018. "Portfolio optimisation under flexible dynamic dependence modelling," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 1-18.
    54. Alonso-García, J. & Devolder, P., 2016. "Optimal mix between pay-as-you-go and funding for DC pension schemes in an overlapping generations model," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 224-236.
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  30. Jondeau, E. & Rockinger, M., 2004. "The Bank Bias: Segmentation of French Fund Families," Working papers 107, Banque de France.

    Cited by:

    1. Linh Tran Dieu, 2015. "A comparison of bank and non-bank funds in the French market," Post-Print hal-01698566, HAL.
    2. Coudert, Virginie & Salakhova, Dilyara, 2020. "Do mutual fund flows affect the French corporate bond market?," Economic Modelling, Elsevier, vol. 87(C), pages 496-510.
    3. Raphaëlle Bellando, 2008. "Le conflit d'agence dans la gestion déléguée de portefeuille : une revue de littérature," Revue d'économie politique, Dalloz, vol. 118(3), pages 317-339.
    4. Raphaëlle Bellando & Linh Tran-Dieu, 2011. "La relation entre flux d'entrées nets et performance des fonds. Une étude appliquée au cas des opcvm actions français," Revue économique, Presses de Sciences-Po, vol. 62(2), pages 255-275.

  31. 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.

    Cited by:

    1. Bakhshi, Hasan & Khan, Hashmat & Rudolf, Barbara, 2006. "The Phillips Curve Under State-Dependent Pricing," CEPR Discussion Papers 5945, C.E.P.R. Discussion Papers.
    2. Michael T. Kiley, 2006. "A quantitative comparison of sticky-price and sticky-information models of price setting," Finance and Economics Discussion Series 2006-45, Board of Governors of the Federal Reserve System (U.S.).
    3. Paloviita, Maritta & Mayes, David, 2005. "The use of real-time information in Phillips-curve relationships for the euro area," The North American Journal of Economics and Finance, Elsevier, vol. 16(3), pages 415-434, December.
    4. Farmer, Roger & Henry, Jerome & Marcellino, Massimiliano & Beyer, Andreas, 2005. "Factor Analysis in a New-Keynesian Model," CEPR Discussion Papers 5266, C.E.P.R. Discussion Papers.
    5. Sophocles Mavroeidis, 2006. "Testing the New Keynesian Phillips Curve Without Assuming Identification," Working Papers 2006-13, Brown University, Department of Economics.
    6. Pascale Duran-Vigneron, 2006. "Interactions des politiques monétaire et budgétaires: évaluation dans un cadre nouveau keynésien," Working Papers hal-03551474, HAL.
    7. Florian PELGRIN & Alain GUAY & Richard LUGER, 2004. "The New Keynesian Phillips Curve: An empirical assessment," Econometric Society 2004 North American Summer Meetings 418, Econometric Society.
    8. Sophocles Mavroeidis & Mikkel Plagborg-Møller & James H. Stock, "undated". "Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve," Working Paper 84656, Harvard University OpenScholar.
    9. Peter Tillmann, 2009. "The New Keynesian Phillips curve in Europe: does it fit or does it fail?," Empirical Economics, Springer, vol. 37(3), pages 463-473, December.
    10. James M. Nason & Gregor W. Smith, 2008. "Identifying the new Keynesian Phillips curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 525-551.
    11. Rumler, Fabio, 2005. "Estimates of the open economy New Keynesian Phillips curve for euro area countries," Working Paper Series 496, European Central Bank.
    12. Fabio Milani, 2005. "Adaptive Learning and Inflation Persistence," Macroeconomics 0506013, University Library of Munich, Germany.
    13. Luca Fanelli, 2006. "Testing the New Keynesian Phillips Curve through Vector Autoregressive models : Results from the Euro area," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna.
    14. Ieva Rubene & Paolo Guarda, 2004. "The new Keynesian Phillips curve: empirical results for Luxembourg," BCL working papers 11, Central Bank of Luxembourg.
    15. Andreas Beyer & Roger E. A. Farmer & Jérôme Henry & Massimiliano Marcellino, 2007. "Factor Analysis in a Model with Rational Expectations," NBER Working Papers 13404, National Bureau of Economic Research, Inc.
    16. André Kurmann, 2004. "Maximum Likelihood Estimation of Dynamic Stochastic Theories with an Application to New Keynesian Pricing," Macroeconomics 0409028, University Library of Munich, Germany.
    17. Alain Guay & Florian Pelgrin, 2007. "Using Implied Probabilities to Improve Estimation with Unconditional Moment Restrictions," Cahiers de recherche 0747, CIRPEE.
    18. 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.

  32. 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.

    Cited by:

    1. Alqaralleh, Huthaifa & Canepa, Alessandra & Zanetti Chini, Emilio, 2020. "COVID-19 Pandemic and Stock Market Contagion: A Wavelet-Copula GARCH Approach," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202012, University of Turin.
    2. Dominique Guegan & Jing Zhang, 2007. "Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00188248, HAL.
    3. Su, EnDer, 2013. "Measuring and Testing Tail Dependence and Contagion Risk between Major Stock Markets," MPRA Paper 48444, University Library of Munich, Germany.
    4. Krzysztof Jajuga, 2004. "Application of Copula Functions in a Modelling of Relations in Multivariate Financial Time Series," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 6, pages 15-24.
    5. Su, EnDer, 2014. "Measuring Contagion Risk in High Volatility State between Major Banks in Taiwan by Threshold Copula GARCH Model," MPRA Paper 58161, University Library of Munich, Germany.
    6. Alqaralleh, Huthaifa & Canepa, Alessandra & Chini, Zanetti, 2021. "Financial Contagion During the Covid-19 Pandemic: A Wavelet-Copula-GARCH Approach," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202110, University of Turin.
    7. Cyril Caillault, Dominique Guégan, 2009. "Forecasting VaR and Expected Shortfall Using Dynamical Systems: A Risk Management Strategy," Frontiers in Finance and Economics, SKEMA Business School, vol. 6(1), pages 26-50, April.
    8. ACATRINEI, Marius, 2015. "A Copula-Garch Model For A Proxy Portfolio For Bet-Fi Index," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 19(2), pages 8-16.
    9. EnDer Su, 2018. "Measuring contagion risk in high volatility state among Taiwanese major banks," Risk Management, Palgrave Macmillan, vol. 20(3), pages 185-241, August.
    10. Long Kang, 2011. "Asset allocation in a Bayesian copula-GARCH framework: An application to the ‘passive funds versus active funds’ problem," Journal of Asset Management, Palgrave Macmillan, vol. 12(1), pages 45-66, April.
    11. Michal Adam & Piotr Banbula & Michal Markun, 2015. "International Dependence and Contagion across Asset Classes: The Case of Poland," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(3), pages 254-270, May.
    12. Michał Adam & Piotr Bańbuła & Michał Markun, 2013. "Dependence and contagion between asset prices in Poland and abroad. A copula approach," NBP Working Papers 169, Narodowy Bank Polski.
    13. Denitsa Stefanova, 2012. "Stock Market Asymmetries: A Copula Diffusion," Tinbergen Institute Discussion Papers 12-125/IV/DSF45, Tinbergen Institute.
    14. Yang, Jingping & Cheng, Shihong & Zhang, Lihong, 2006. "Bivariate copula decomposition in terms of comonotonicity, countermonotonicity and independence," Insurance: Mathematics and Economics, Elsevier, vol. 39(2), pages 267-284, October.

  33. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Testing for differences in the tails of stock-market returns," HEC Research Papers Series 739, HEC Paris.

    Cited by:

    1. Hussain, Saiful Izzuan & Li, Steven, 2015. "Modeling the distribution of extreme returns in the Chinese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 263-276.
    2. Sofiane Aboura, 2014. "When the U.S. Stock Market Becomes Extreme?," Risks, MDPI, vol. 2(2), pages 1-15, May.
    3. da Gama Batista, João & Massaro, Domenico & Bouchaud, Jean-Philippe & Challet, Damien & Hommes, Cars, 2017. "Do investors trade too much? A laboratory experiment," Journal of Economic Behavior & Organization, Elsevier, vol. 140(C), pages 18-34.
    4. 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.
    5. Echaust, Krzysztof, 2021. "Asymmetric tail dependence between stock market returns and implied volatility," The Journal of Economic Asymmetries, Elsevier, vol. 23(C).
    6. Vladimir Petrov & Anton Golub & Richard Olsen, 2019. "Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time," JRFM, MDPI, vol. 12(2), pages 1-31, April.
    7. González-Sánchez, Mariano & Nave Pineda, Juan M., 2023. "Where is the distribution tail threshold? A tale on tail and copulas in financial risk measurement," International Review of Financial Analysis, Elsevier, vol. 86(C).
    8. Joëts, Marc, 2014. "Energy price transmissions during extreme movements," Economic Modelling, Elsevier, vol. 40(C), pages 392-399.
    9. S. T. M. Straetmans & W. F. C. Verschoor & C. C. P. Wolff, 2008. "Extreme US stock market fluctuations in the wake of 9|11," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 17-42.
    10. Carlos Velasco & Xuexin Wang, 2015. "A Joint Portmanteau Test For Conditional Mean And Variance Time-Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(1), pages 39-60, January.
    11. Francq, Christian & Zakoian, Jean-Michel, 2019. "Testing the existence of moments for GARCH processes," MPRA Paper 98892, University Library of Munich, Germany.
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    13. Marco Bee & Debbie J. Dupuis & Luca Trapin, 2016. "US stock returns: are there seasons of excesses?," Quantitative Finance, Taylor & Francis Journals, vol. 16(9), pages 1453-1464, September.
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    24. Cui, Jinxin & Maghyereh, Aktham, 2023. "Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict," International Review of Financial Analysis, Elsevier, vol. 86(C).
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    29. Adrián F. Rossignolo & Víctor A. Álvarez, 2015. "Has the Basel Committee Got it Right? Evidence from Commodity Positions in Turmoil," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 10(1), pages 1-38, Enero-Jun.
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    31. J.L. Geluk & C.G. de Vries, 2004. "Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities," Tinbergen Institute Discussion Papers 04-102/2, Tinbergen Institute.
    32. Yuichi Goto & Tobias Kley & Ria Van Hecke & Stanislav Volgushev & Holger Dette & Marc Hallin, 2021. "The Integrated Copula Spectrum," Working Papers ECARES 2021-29, ULB -- Universite Libre de Bruxelles.
    33. Radu T. Pruna & Maria Polukarov & Nicholas R. Jennings, 2016. "A new structural stochastic volatility model of asset pricing and its stylized facts," Papers 1604.08824, arXiv.org.
    34. Ahmed, Walid M.A., 2022. "On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 135-151.
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    36. Rhee, S. Ghon & Wu, Feng, 2012. "Anything wrong with breaking a buck? An empirical evaluation of NASDAQ's $1 minimum bid price maintenance criterion," Journal of Financial Markets, Elsevier, vol. 15(2), pages 258-285.
    37. Ankudinov, Andrei & Ibragimov, Rustam & Lebedev, Oleg, 2017. "Extreme movements of the Russian stock market and their consequences for management and economic modeling," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 45, pages 75-92.
    38. Ahmed Naeem & Sarfraz Mudassira, 2018. "Stock Market Volatility Measure Using Non-Traditional Tool Case of Germany," Economics and Business, Sciendo, vol. 32(1), pages 126-135, July.
    39. 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.
    40. Straetmans, Stefan & Candelon, Bertrand, 2013. "Long-term asset tail risks in developed and emerging markets," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 1832-1844.
    41. Moore, Kyle & Sun, Pengfei & de Vries, Casper G. & Zhou, Chen, 2013. "The cross-section of tail risks in stock returns," MPRA Paper 45592, University Library of Munich, Germany.
    42. de Vries, Casper & Hartmann, Philipp & Straetmans, Stefan, 2004. "Fundamentals and Joint Currency Crises," CEPR Discussion Papers 4338, C.E.P.R. Discussion Papers.
    43. Charlotte Christiansen, 2013. "Classifying Returns as Extreme: European Stock and Bond Markets," CREATES Research Papers 2013-37, Department of Economics and Business Economics, Aarhus University.
    44. Y. Malevergne & V. Pisarenko & D. Sornette, 2005. "Empirical distributions of stock returns: between the stretched exponential and the power law?," Quantitative Finance, Taylor & Francis Journals, vol. 5(4), pages 379-401.
    45. Angelidis, Timotheos & Benos, Alexandros & Degiannakis, Stavros, 2007. "A Robust VaR Model under Different Time Periods and Weighting Schemes," MPRA Paper 80466, University Library of Munich, Germany.
    46. Candelon, Bertrand & Joëts, Marc & Tokpavi, Sessi, 2013. "Testing for Granger causality in distribution tails: An application to oil markets integration," Economic Modelling, Elsevier, vol. 31(C), pages 276-285.
    47. Timotheos Angelidis & Alexandros Benos, 2008. "Value-at-Risk for Greek Stocks," Multinational Finance Journal, Multinational Finance Journal, vol. 12(1-2), pages 67-104, March-Jun.
    48. Ankudinov, Andrei & Ibragimov, Rustam & Lebedev, Oleg, 2017. "Heavy tails and asymmetry of returns in the Russian stock market," Emerging Markets Review, Elsevier, vol. 32(C), pages 200-219.
    49. Konstantinos Tolikas & Athanasios Koulakiotis & Richard A. Brown, 2007. "Extreme Risk and Value-at-Risk in the German Stock Market," The European Journal of Finance, Taylor & Francis Journals, vol. 13(4), pages 373-395.
    50. Chao Xu & Jinchuan Ke & Xiaojun Zhao & Xiaofang Zhao, 2020. "Multiscale Quantile Correlation Coefficient: Measuring Tail Dependence of Financial Time Series," Sustainability, MDPI, vol. 12(12), pages 1-24, June.
    51. Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
    52. Bax, Karoline & Sahin, Özge & Czado, Claudia & Paterlini, Sandra, 2023. "ESG, risk, and (tail) dependence," International Review of Financial Analysis, Elsevier, vol. 87(C).
    53. Chen, Zhimin & Ibragimov, Rustam, 2019. "One country, two systems? The heavy-tailedness of Chinese A- and H- share markets," Emerging Markets Review, Elsevier, vol. 38(C), pages 115-141.
    54. Krzysztof Echaust & Małgorzata Just, 2020. "Value at Risk Estimation Using the GARCH-EVT Approach with Optimal Tail Selection," Mathematics, MDPI, vol. 8(1), pages 1-24, January.
    55. Echaust, Krzysztof & Just, Małgorzata, 2022. "Is gold still a safe haven for stock markets? New insights through the tail thickness of portfolio return distributions," Research in International Business and Finance, Elsevier, vol. 63(C).
    56. Campbell, Rachel A.J. & Forbes, Catherine S. & Koedijk, Kees G. & Kofman, Paul, 2008. "Increasing correlations or just fat tails?," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 287-309, March.
    57. Karoline Bax & Ozge Sahin & Claudia Czado & Sandra Paterlini, 2021. "ESG, Risk, and (Tail) Dependence," Papers 2105.07248, arXiv.org, revised Nov 2021.
    58. Riedel, Christoph & Wagner, Niklas, 2015. "Is risk higher during non-trading periods? The risk trade-off for intraday versus overnight market returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 53-64.
    59. De Vries, C.G., 2005. "The simple economics of bank fragility," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 803-825, April.
    60. Moore, Kyle & Sun, Pengei & de Vries, Casper G. & Zhou, Chen, 2013. "The drivers of downside equity tail risk," MPRA Paper 45591, University Library of Munich, Germany.
    61. Chihwa Kao & Yongmiao Hong, 2004. "Detecting Neglected Nonlinearity in Dynamic Panel Data with Time-Varying Conditional Heteroskedasticity," Econometric Society 2004 Far Eastern Meetings 753, Econometric Society.
    62. Echaust Krzysztof, 2014. "A Comparison of Tail Behaviour of Stock Market Returns," Folia Oeconomica Stetinensia, Sciendo, vol. 14(1), pages 1-13, June.
    63. Jondeau, Eric, 2016. "Asymmetry in tail dependence in equity portfolios," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 351-368.

  34. Florens, C. & Jondeau, E. & Le Bihan, H., 2001. "Assessing GMM Estimates of the Federal Reserve Reaction Function," Working papers 83, Banque de France.

    Cited by:

    1. Schnabl, Gunther & Danne, Christian, 2005. "The Changing Role of the Yen/Dollar Exchange Rate for Japanese Monetary Policy," Tübinger Diskussionsbeiträge 290, University of Tübingen, School of Business and Economics.
    2. Jean-Guillaume Sahuc, 2002. "A "Hybrid" Monetary Policy Model: Evidence from the Euro Area," Documents de recherche 02-10, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    3. Samira Haddou, 2010. "Non-linéarité de la fonction de réaction des autorités monétaires tunisiennes," Économie et Prévision, Programme National Persée, vol. 195(4), pages 99-110.
    4. P. Siklos & M. Bohl, 2006. "Asset Prices as Indicators of Euro Area Monetary Policy: An Empirical Assessment of Their Role in a Taylor Rule," Working Papers eg0053, Wilfrid Laurier University, Department of Economics, revised 2006.
    5. Antonio Forte, 2010. "The European Central Bank, the Federal Reserve and the Bank of England: Is the Taylor Rule a useful benchmark for the last decade?," Journal of Economics and Econometrics, Economics and Econometrics Society, vol. 53(2), pages 1-31.
    6. Nicolas Moumni & Salma DASSER, 2011. "Relevance of a Taylor-type rule in the active monetary policy of Bank Al-Maghrib ?," EcoMod2011 2766, EcoMod.
    7. Jovanovic Mario & Zimmermann Tobias, 2010. "Stock Market Uncertainty and Monetary Policy Reaction Functions of the Federal Reserve Bank," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-19, July.
    8. Ullrich, Katrin, 2003. "A Comparison Between the Fed and the ECB: Taylor Rules," ZEW Discussion Papers 03-19, ZEW - Leibniz Centre for European Economic Research.
    9. Christina Anderl & Guglielmo Maria Caporale, 2024. "Time-varying parameters in monetary policy rules: a GMM approach," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 51(9), pages 148-176, January.
    10. Grunspan, T., 2005. "The Fed and the Question of Financial Stability: An Empirical Investigation," Working papers 134, Banque de France.
    11. Siklos, Pierre L. & Bohl, Martin T., 2007. "Do actions speak louder than words? Evaluating monetary policy at the Bundesbank," Journal of Macroeconomics, Elsevier, vol. 29(2), pages 368-386, June.
    12. Alvaro Aguiar & Manuel M.F. Martins, 2005. "The Preferences of the Euro Area Monetary Policy‐maker," Journal of Common Market Studies, Wiley Blackwell, vol. 43(2), pages 221-250, June.
    13. Ravenna, Federico & Walsh, Carl E., 2006. "Optimal monetary policy with the cost channel," Journal of Monetary Economics, Elsevier, vol. 53(2), pages 199-216, March.
    14. lahlou, kamal, 2009. "Essai d’estimation de la fonction de réaction de Bank Al-Maghrib [Estimation of Bank Al-Maghrib Reaction Function]," MPRA Paper 98018, University Library of Munich, Germany.
    15. Bohl, Martin T. & Siklos, Pierre L., 2005. "The Role of Asset Prices in Euro Area Monetary Policy: Specification and Estimation of Policy Rules and Implications for the European Central Bank," Working Paper Series 2005,6, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
    16. Jovanović, Mario & Zimmermann, Tobias, 2008. "Stock Market Uncertainty and Monetary Policy Reaction Functions of the Federal Reserve Bank," Ruhr Economic Papers 77, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    17. Abdul RASHID & Farah WAHEED, 2021. "Forward-Backward-Looking Monetary Policy Rules: Derivation and Empirics," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 71-92, December.
    18. Mésonnier, J-S. & Renne, J-P., 2004. "Règle de Taylor et politique monétaire dans la zone euro," Working papers 117, Banque de France.

  35. Rockinger, M. & Jondeau, E., 2001. "Conditional Dependency of Financial Series: An Application of Copulas," Working papers 82, Banque de France.

    Cited by:

    1. Saha, Kunal, 2018. "An investigation into the dependence structure of major cryptocurrencies," EconStor Preprints 181878, ZBW - Leibniz Information Centre for Economics.
    2. Andrea Beltratti & Claudio Morana, 2006. "Comovements in International Stock Markets," ICER Working Papers 3-2006, ICER - International Centre for Economic Research.
    3. Xiaohong Chen & Yanqin Fan, 2002. "Estimation of Copula-Based Semiparametric Time Series Models," Vanderbilt University Department of Economics Working Papers 0226, Vanderbilt University Department of Economics, revised Oct 2004.
    4. Elie, Bouri & Naji, Jalkh & Dutta, Anupam & Uddin, Gazi Salah, 2019. "Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach," Energy, Elsevier, vol. 178(C), pages 544-553.
    5. Andrew Patton, 2002. "(IAM Series No 001) On the Out-Of-Sample Importance of Skewness and Asymetric Dependence for Asset Allocation," FMG Discussion Papers dp431, Financial Markets Group.
    6. Chen, Kuan-Ju & Chen, Kuan-Heng, 2016. "Analysis of Energy and Agricultural Commodity Markets with the Policy Mandated: A Vine Copula-based ARMA-EGARCH Model," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 236028, Agricultural and Applied Economics Association.
    7. Andrew J. Patton, 2004. "On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 130-168.
    8. Markus Junker & Alexander Szimayer & Niklas Wagner, 2004. "Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications," Econometrics 0401007, University Library of Munich, Germany.
    9. Pedro Alberto Morettin & Clélia Maria de Castro Toloi & Chang Chiann & José Carlos Simon de Miranda, 2010. "Wavelet Smoothed Empirical Copula Estimators," Brazilian Review of Finance, Brazilian Society of Finance, vol. 8(3), pages 263-281.
    10. Claudio Morana, 2006. "International Stock Markets Comovements: the Role of Economic and Financial Integration," ICER Working Papers 25-2006, ICER - International Centre for Economic Research.
    11. Anthony S. Tay & Aamir R. Hashmi, 2004. "Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness," Econometric Society 2004 Far Eastern Meetings 634, Econometric Society.
    12. Fermanian, Jean-David & Scaillet, Olivier, 2003. "Nonparametric estimation of copulas for time series," Working Papers unige:41797, University of Geneva, Geneva School of Economics and Management.
    13. Rakesh Gupta & Junhao Yang & Thadavillil Jithendranathan, 2017. "Diversification into Emerging Markets – An Australian and the US Perspective Using a Time-varying Approach," Australian Economic Papers, Wiley Blackwell, vol. 56(2), pages 134-162, June.
    14. Kim, Jong-Min & Jung, Hojin, 2017. "Can asymmetric conditional volatility imply asymmetric tail dependence?," Economic Modelling, Elsevier, vol. 64(C), pages 409-418.
    15. Jean-David Fermanian, 2003. "Goodness of Fit Tests for Copulas," Working Papers 2003-34, Center for Research in Economics and Statistics.
    16. Söehnke Bartram & Stephen Taylor & Yaw-Huei Wang, 2004. "The Euro and European Financial Market Integration," Money Macro and Finance (MMF) Research Group Conference 2004 49, Money Macro and Finance Research Group, revised 13 Oct 2004.
    17. Beatriz Vaz de Melo Mendes, 2005. "Computing Conditional VaR using Time-varying CopulasComputing Conditional VaR using Time-varying Copulas," Brazilian Review of Finance, Brazilian Society of Finance, vol. 3(2), pages 251-265.
    18. Shlomo Yitzhaki, 2003. "Gini’s Mean difference: a superior measure of variability for non-normal distributions," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(2), pages 285-316.
    19. Beatriz V. M. Mendes & Eduardo F. L. De Melo, 2010. "Local Estimation Of Dynamic Copula Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(02), pages 241-258.
    20. Koirala, Krishna H. & Mishra, Ashok K. & D'Antoni, Jeremy M. & Mehlhorn, Joey E., 2015. "Energy prices and agricultural commodity prices: Testing correlation using copulas method," Energy, Elsevier, vol. 81(C), pages 430-436.
    21. Hashmi, Aamir R. & Tay, Anthony S., 2007. "Global regional sources of risk in equity markets: Evidence from factor models with time-varying conditional skewness," Journal of International Money and Finance, Elsevier, vol. 26(3), pages 430-453, April.
    22. Mirza Nazmul Hasan & Roel Braekers, 2022. "Modelling the association in bivariate survival data by using a Bernstein copula," Computational Statistics, Springer, vol. 37(2), pages 781-815, April.
    23. Rodriguez, Juan Carlos, 2007. "Measuring financial contagion: A Copula approach," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 401-423, June.
    24. Eduardo F. L. de Melo & Beatriz Vaz de Melo Mendes, 2009. "Local Estimation of Copula Based Value-at-Risk," Brazilian Review of Finance, Brazilian Society of Finance, vol. 7(1), pages 29-50.
    25. Andrew J. Patton, 2006. "Estimation of multivariate models for time series of possibly different lengths," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 147-173.
    26. Chris Brooks & Simon P. Burke & Gita Persand, 2002. "Augoregressive Conditional Kurtosis," ICMA Centre Discussion Papers in Finance icma-dp2002-05, Henley Business School, University of Reading.
    27. Ines Fortin & Christoph Kuzmics, 2002. "Tail‐dependence in stock‐return pairs," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 11(2), pages 89-107, April.
    28. Bukre Yildirim Kulekci & Gulden Poyraz & Ismail Gur & Ozan Evkaya, 2023. "Dependence Analysis of the ISE100 Banking Sector Using Vine Copula," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, vol. 73(73-1), pages 55-81, June.
    29. Ane, Thierry & Labidi, Chiraz, 2006. "Spillover effects and conditional dependence," International Review of Economics & Finance, Elsevier, vol. 15(4), pages 417-442.
    30. Patton, Andrew J, 2001. "Estimation of Copula Models for Time Series of Possibly Different Length," University of California at San Diego, Economics Working Paper Series qt3fc1c8hw, Department of Economics, UC San Diego.

  36. 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.

    Cited by:

    1. Maritta Paloviita, 2008. "Comparing alternative Phillips curve specifications: European results with survey-based expectations," Applied Economics, Taylor & Francis Journals, vol. 40(17), pages 2259-2270.
    2. Tristani, Oreste & Vestin, David & Hördahl, Peter, 2004. "A joint econometric model of macroeconomic and term structure dynamics," Working Paper Series 405, European Central Bank.
    3. 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.
    4. Paloviita, Maritta, 2005. "Comparing alternative Phillips curve specifications: European results with survey-based expectations," Bank of Finland Research Discussion Papers 22/2005, Bank of Finland.
    5. Olivier Basdevant, 2003. "Learning process and rational expectations: an analysis using a small macroeconomic model for New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2003/05, Reserve Bank of New Zealand.
    6. Muhammad Naveed Tahir, 2011. "Inflation Targeting, Exchange Rate and Financial Globalization," Working Papers 1130, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
    7. Josef Arlt & Miroslav Plašil, 2005. "Empirical Testing of New Keynesian Phillips Curve in Conditions of the Czech Republic in 1994 - 2003," Prague Economic Papers, Prague University of Economics and Business, vol. 2005(2), pages 117-129.
    8. Florian PELGRIN & Alain GUAY & Richard LUGER, 2004. "The New Keynesian Phillips Curve: An empirical assessment," Econometric Society 2004 North American Summer Meetings 418, Econometric Society.
    9. Peter Tillmann, 2009. "The New Keynesian Phillips curve in Europe: does it fit or does it fail?," Empirical Economics, Springer, vol. 37(3), pages 463-473, December.
    10. Vaona, Andrea, 2006. "Merging the purchasing power parity and the Phillips curve literatures: Regional evidence from Italy," Kiel Working Papers 1282, Kiel Institute for the World Economy (IfW Kiel).
    11. Gbaguidi, David, 2012. "La courbe de Phillips : temps d’arbitrage et/ou arbitrage de temps," L'Actualité Economique, Société Canadienne de Science Economique, vol. 88(1), pages 87-119, mars.
    12. Gbaguidi, David Sedo, 2011. "Expectations Impact on the Effectiveness of the Inflation-Real Activity Trade-Off," MPRA Paper 35482, University Library of Munich, Germany.
    13. Basdevant, Olivier, 2005. "Learning process and rational expectations: An analysis using a small macro-economic model for New Zealand," Economic Modelling, Elsevier, vol. 22(6), pages 1074-1089, December.
    14. Mohamed Safouane Ben Aïssa & Olivier Musy, 2011. "The Dynamic Properties Of Alternative Assumptions On Price Adjustment In New Keynesian Models," Bulletin of Economic Research, Wiley Blackwell, vol. 63(4), pages 353-384, October.
    15. Mehrotra, Aaron N. & Peltonen, Tuomas A. & Santos Rivera, Alvaro, 2007. "Modelling inflation in China - a regional perspective," Working Paper Series 829, European Central Bank.
    16. Peacock, Chris & Baumann, Ursel, 2008. "Globalisation, import prices and inflation dynamics," Bank of England working papers 359, Bank of England.
    17. Peter Hördahl & Oreste Tristani & David Vestin, 2006. "The term structure of inflation risk premia and macroeconomic dynamics," Computing in Economics and Finance 2006 203, Society for Computational Economics.
    18. Söderström, Ulf & Söderlind, Paul & Vredin, Anders, 2002. "New-Keynesian Models and Monetary Policy: A Reexamination of the Stylized Facts," SSE/EFI Working Paper Series in Economics and Finance 511, Stockholm School of Economics, revised 01 Oct 2003.
    19. 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.
    20. Söderström, Ulf & Söderlind, Paul & Vredin, Anders, 2002. "Can a Calibrated New-Keynesian Model of Monetary Policy Fit the Facts?," Working Paper Series 140, Sveriges Riksbank (Central Bank of Sweden).
    21. Luca Bindelli, 2005. "Testing the New Keynesian Phillips curve: a frequency domain approach," Money Macro and Finance (MMF) Research Group Conference 2005 69, Money Macro and Finance Research Group.
    22. Peter Hördahl & Oreste Tristani, 2012. "Inflation Risk Premia In The Term Structure Of Interest Rates," Journal of the European Economic Association, European Economic Association, vol. 10(3), pages 634-657, May.
    23. Erwan Gautier, 2009. "Les ajustements microéconomiques des prix : une synthèse des modèles théoriques et résultats empiriques," Revue d'économie politique, Dalloz, vol. 119(3), pages 323-372.
    24. Baghli, Mustapha & Cahn, Christophe & Fraisse, Henri, 2007. "Is the inflation-output Nexus asymmetric in the Euro area?," Economics Letters, Elsevier, vol. 94(1), pages 1-6, January.
    25. Ieva Rubene & Paolo Guarda, 2004. "The new Keynesian Phillips curve: empirical results for Luxembourg," BCL working papers 11, Central Bank of Luxembourg.
    26. Gbaguidi, David Sedo, 2011. "Regime Switching in a New Keynesian Phillips Curve with Non-zero Steady-state Inflation Rate," MPRA Paper 35481, University Library of Munich, Germany.
    27. Muhammad Naveed Tahir, 2011. "Inflation Targeting, Exchange Rate and Financial Globalization," Working Papers halshs-00646601, HAL.
    28. Leu, Shawn, 2004. "A New Keynesian Perspective of Monetary Policy Implementation in Austr alia," Working Papers 1, University of Sydney, School of Economics.
    29. Batini, Nicoletta, 2002. "Euro area inflation persistence," Working Paper Series 201, European Central Bank.
    30. André Kurmann, 2004. "Maximum Likelihood Estimation of Dynamic Stochastic Theories with an Application to New Keynesian Pricing," Macroeconomics 0409028, University Library of Munich, Germany.
    31. Mayer, Eric, 2003. "The mechanics of a reasonably fitted quarterly New Keynesian macro model," W.E.P. - Würzburg Economic Papers 41, University of Würzburg, Department of Economics.
    32. Areosa, Waldyr Dutra & Medeiros, Marcelo, 2007. "Inflation Dynamics in Brazil: The Case of a Small Open Economy," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 27(1), May.

  37. Rockinger, M. & Jondeau, E., 2001. "Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis," Working papers 79, Banque de France.

    Cited by:

    1. Sylvia J. Soltyk & Felix Chan, 2023. "Modeling time‐varying higher‐order conditional moments: A survey," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 33-57, February.
    2. Shangmei Zhao & Qing Lu & Liyan Han & Yong Liu & Fei Hu, 2015. "A mean-CVaR-skewness portfolio optimization model based on asymmetric Laplace distribution," Annals of Operations Research, Springer, vol. 226(1), pages 727-739, March.
    3. Stephen Satchell & Susan Thorp & Oliver Williams, 2012. "Estimating Consumption Plans for Recursive Utility by Maximum Entropy Methods," Research Paper Series 300, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. Ser-Huang Poon & Michael Rockinger & J. Tawn, 2001. "New Extreme-Value Dependance Measures and Finance Applications," Working Papers hal-00597018, HAL.
    5. Bogdan Negrea & Bertrand Maillet & Emmanuel Jurczenko, 2002. "Revisited Multi-moment Approximate Option," FMG Discussion Papers dp430, Financial Markets Group.
    6. Shan Lu, 2019. "Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(12), pages 1587-1612, December.
    7. Chan, Felix, 2009. "Modelling time-varying higher moments with maximum entropy density," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2767-2778.
    8. Omid M. Ardakani, 2022. "Option pricing with maximum entropy densities: The inclusion of higher‐order moments," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1821-1836, October.
    9. O'Callaghan, Patrick, 2016. "Measuring utility without mixing apples and oranges and eliciting beliefs about stock prices," MPRA Paper 69363, University Library of Munich, Germany.
    10. Rockinger, M. & Jondeau, E., 2001. "Conditional Dependency of Financial Series: An Application of Copulas," Working papers 82, Banque de France.
    11. Wu, Ximing, 2003. "Calculation of maximum entropy densities with application to income distribution," Journal of Econometrics, Elsevier, vol. 115(2), pages 347-354, August.
    12. Dark Jonathan Graeme, 2010. "Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(2), pages 1-50, March.
    13. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
    14. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    15. Hiroyuki Kawakatsu, 2022. "Modeling Realized Variance with Realized Quarticity," Stats, MDPI, vol. 5(3), pages 1-25, September.
    16. Thomas Chuffart, 2013. "Selection Criteria in Regime Switching Conditional Volatility Models," AMSE Working Papers 1339, Aix-Marseille School of Economics, France, revised 14 Jul 2013.
    17. Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2012. "Independent Factor Autoregressive Conditional Density Model," DEM Working Papers Series 021, University of Pavia, Department of Economics and Management.
    18. Leonidas S. Rompolis & Elias Tzavalis, 2017. "Retrieving risk neutral moments and expected quadratic variation from option prices," Review of Quantitative Finance and Accounting, Springer, vol. 48(4), pages 955-1002, May.
    19. Choi, Pilsun & Nam, Kiseok, 2008. "Asymmetric and leptokurtic distribution for heteroscedastic asset returns: The SU-normal distribution," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 41-63, January.
    20. Wu, Xinyu & Xia, Michelle & Zhang, Huanming, 2020. "Forecasting VaR using realized EGARCH model with skewness and kurtosis," Finance Research Letters, Elsevier, vol. 32(C).
    21. 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.
    22. Maria Eugenia Sanin & Francesco Violante & Maria Mansanet-Bataller, 2015. "Understanding volatility dynamics in the EU-ETS market," Post-Print hal-02878047, HAL.
    23. Ba Chu & Stephen Satchell, 2016. "Recovering the Most Entropic Copulas from Preliminary Knowledge of Dependence," Econometrics, MDPI, vol. 4(2), pages 1-21, March.
    24. Wu, Qi & Yan, Xing, 2019. "Capturing deep tail risk via sequential learning of quantile dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 109(C).
    25. Damir Filipović & Sander Willems, 2020. "A term structure model for dividends and interest rates," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1461-1496, October.
    26. Chalamandaris, Georgios & Rompolis, Leonidas S., 2012. "Exploring the role of the realized return distribution in the formation of the implied volatility smile," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1028-1044.
    27. José L. Vilar-Zanón & Olivia Peraita-Ezcurra, 2019. "A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 259-276, June.
    28. Yi-Ting Chen, 2016. "Testing for Granger Causality in Moments," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(2), pages 265-288, April.
    29. Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002. "Revisited multi-moment approximate option pricing models: a general comparison (Part 1)," LSE Research Online Documents on Economics 24950, London School of Economics and Political Science, LSE Library.
    30. Carol Alexander & José María Sarabia, 2012. "Quantile Uncertainty and Value‐at‐Risk Model Risk," Risk Analysis, John Wiley & Sons, vol. 32(8), pages 1293-1308, August.
    31. Damir Filipovi'c & Sander Willems, 2018. "A Term Structure Model for Dividends and Interest Rates," Papers 1803.02249, arXiv.org, revised May 2020.
    32. Herrmann Klaus & Fischer Matthias, 2010. "An Alternative Maximum Entropy Model for Time-Varying Moments with Application to Financial Returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(3), pages 1-23, May.
    33. Vladimir Zdorovenin & Jacques Pézier, 2011. "Does Information Content of Option Prices Add Value for Asset Allocation?," ICMA Centre Discussion Papers in Finance icma-dp2011-03, Henley Business School, University of Reading.
    34. Shi-jie Jiang & Mujun Lei & Cheng-Huang Chung, 2018. "An Improvement of Gain-Loss Price Bounds on Options Based on Binomial Tree and Market-Implied Risk-Neutral Distribution," Sustainability, MDPI, vol. 10(6), pages 1-17, June.
    35. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2002. "Mixed normal conditional heteroskedasticity," CFS Working Paper Series 2002/10, Center for Financial Studies (CFS).
    36. Wagner, Niklas, 2005. "Autoregressive conditional tail behavior and results on Government bond yield spreads," International Review of Financial Analysis, Elsevier, vol. 14(2), pages 247-261.
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    38. Carol Alexander & Jose Maria Sarabia, 2010. "Endogenizing Model Risk to Quantile Estimates," ICMA Centre Discussion Papers in Finance icma-dp2010-07, Henley Business School, University of Reading.
    39. Chen, Yi-Ting, 2012. "A simple approach to standardized-residuals-based higher-moment tests," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 427-453.
    40. Choe, Kwang-il & Choi, Pilsun & Nam, Kiseok & Vahid, Farshid, 2012. "Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 271-291.
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  38. 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.

    Cited by:

    1. JACQUINOT Pascal & MIHOUBI Ferhat, 2010. "The Optimality of the Taylor Rule in MARCOS: Some Deterministic and Stochastic Experiments," EcoMod2003 330700073, EcoMod.
    2. Luís, Pacheco, 2004. "Asset Prices and Monetary Policy in the Euro Area: a tentative model," MPRA Paper 6579, University Library of Munich, Germany.
    3. Hervé Le Bihan, 2004. "Tests de ruptures : une application au PIB tendanciel français," Économie et Prévision, Programme National Persée, vol. 163(2), pages 133-154.
    4. Marc-Alexandre Sénégas, 2002. "La politique monétaire face à l'incertitude : un survol méthodologique des contributions relatives à la zone euro," Revue d'Économie Financière, Programme National Persée, vol. 65(1), pages 177-200.
    5. Patra, Michael Debabrata & Khundrakpam, Jeevan Kumar & Gangadaran, Sivaramakrishnan, 2017. "The quest for optimal monetary policy rules in India," Journal of Policy Modeling, Elsevier, vol. 39(2), pages 349-370.
    6. Yu Hsing, 2005. "Application of the IS-MP-IA model to the German economy and policy implications," Economics Bulletin, AccessEcon, vol. 15(5), pages 1-10.
    7. Grégory Levieuge & Yannick Lucotte, 2012. "A simple Empirical Measure of Central Bank's Conservatism," Working Papers halshs-00827680, HAL.
    8. Pei-Tha Gan, 2014. "The Optimal Economic Uncertainty Index: A Grid Search Application," Computational Economics, Springer;Society for Computational Economics, vol. 43(2), pages 159-182, February.
    9. Rizki E. Wimanda & Paul M. Turner & Maximilian J.B. Hall, 2012. "Monetary policy rules for Indonesia: which type is the most efficient?," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 39(4), pages 469-484, August.
    10. Grégory LEVIEUGE & Yannick LUCOTTE, 2012. "A Simple Empirical Measure of Central Bank' Conservatism," LEO Working Papers / DR LEO 2258, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.

  39. Chesnay, F. & Jondeau, E., 2000. "Does Correlation between Stock Returns Really Increase during Turbulent Period?," Working papers 73, Banque de France.

    Cited by:

    1. Alderighi, Stefano & Cleary, Siobhan & Varanasi, Padmasai, 2018. "The determinants of cross-border portfolio equity flows: new evidence from emerging markets," Economics Discussion Papers 23310, University of Essex, Department of Economics.
    2. Christos Kollias & Stephanos Papadamou & Costas Siriopoulos, 2013. "European Markets’ Reactions to Exogenous Shocks: A High Frequency Data Analysis of the 2005 London Bombings," IJFS, MDPI, vol. 1(4), pages 1-14, November.
    3. Serge Darolles & Jeremy Dudek & Gaëlle Le Fol, 2012. "Liquidity Contagion. The Emerging Sovereign Debt Markets example," Post-Print hal-01632803, HAL.
    4. Tiwari, Aviral Kumar & Mutascu, Mihai Ioan & Albulescu, Claudiu Tiberiu, 2016. "Continuous wavelet transform and rolling correlation of European stock markets," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 237-256.
    5. Aityan, Sergey K. & Ivanov-Schitz, Alexey K. & Izotov, Sergey S., 2010. "Time-shift asymmetric correlation analysis of global stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(5), pages 590-605, December.
    6. de Bandt, Olivier & Hartmann, Philipp, 2000. "Systemic Risk: A Survey," CEPR Discussion Papers 2634, C.E.P.R. Discussion Papers.
    7. Beine, Michel, 2004. "Conditional covariances and direct central bank interventions in the foreign exchange markets," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1385-1411, June.
    8. Zhaoyuan Li & Maozai Tian, 2017. "A New Method For Dynamic Stock Clustering Based On Spectral Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 50(3), pages 373-392, October.
    9. Marie Brière & Ariane Chapelle & Ariane Szafarz, 2012. "No contagion, only globalization and flight to quality," Post-Print hal-01494525, HAL.
    10. Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model," SSE/EFI Working Paper Series in Economics and Finance 0652, Stockholm School of Economics.
    11. Rajan Sruthi & Santhakumar Shijin, 2020. "Investigating liquidity constraints as a channel of contagion: a regime switching approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-21, December.
    12. Dima Rahman, 2014. "Are banking systems increasingly fragile? Investigating financial institutions' CDS returns extreme co-movements," Quantitative Finance, Taylor & Francis Journals, vol. 14(5), pages 805-830, May.
    13. Dalkir, Mehmet, 2009. "Revisiting stock market index correlations," Finance Research Letters, Elsevier, vol. 6(1), pages 23-33, March.
    14. Seema Narayan, 2019. "The Influence of Domestic and Foreign Shocks on Portfolio Diversification Gains and the Associated Risks," JRFM, MDPI, vol. 12(4), pages 1-26, October.
    15. Ding, Liang & Huang, Yirong & Pu, Xiaoling, 2014. "Volatility linkage across global equity markets," Global Finance Journal, Elsevier, vol. 25(2), pages 71-89.
    16. Dzanic, Enis & Omerbegovic, Sead, 2014. "Impact Of Volatility And Performance Of Major Stock Markets On Sarajevo Stock Exchange In 2008 – 2012 Period," MPRA Paper 70016, University Library of Munich, Germany.
    17. 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.
    18. Johannes Hauptmann & Anja Hoppenkamps & Aleksey Min & Franz Ramsauer & Rudi Zagst, 2014. "Forecasting market turbulence using regime-switching models," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(2), pages 139-164, May.
    19. Suman Das & Saikat Sinha Roy, 2021. "Predicting regime switching in BRICS currency volatility: a Markov switching autoregressive approach," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 48(2), pages 165-180, June.
    20. Nelson Areal & Benilde Oliveira & Raquel Sampaio, 2015. "When times get tough, gold is golden," The European Journal of Finance, Taylor & Francis Journals, vol. 21(6), pages 507-526, April.
    21. Hyeong Kyu Choi, 2018. "Stock Price Correlation Coefficient Prediction with ARIMA-LSTM Hybrid Model," Papers 1808.01560, arXiv.org, revised Oct 2018.
    22. Saleem, Kashif, 2008. "International linkage of the Russian market and the Russian financial crisis: a multivariate GARCH analysis," BOFIT Discussion Papers 8/2008, Bank of Finland Institute for Emerging Economies (BOFIT).
    23. Silvennoinen, Annastiina & Teräsvirta, Timo, 2005. "Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations," SSE/EFI Working Paper Series in Economics and Finance 577, Stockholm School of Economics, revised 01 Oct 2005.
    24. Anna Czapkiewicz & Pawel Jamer & Joanna Landmesser, 2018. "Effects of Macroeconomic Indicators on the Financial Markets Interrelations," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 68(3), pages 268-293, July.
    25. Olbryś Joanna & Majewska Elżbieta, 2015. "Testing Integration Effects Between the Cee and U.S. Stock Markets During the 2007–2009 Global Financial Crisis," Folia Oeconomica Stetinensia, Sciendo, vol. 15(1), pages 101-113, June.
    26. Annastiina Silvennoinen & Timo Teräsvirta, 2012. "Modelling conditional correlations of asset returns: A smooth transition approach," CREATES Research Papers 2012-09, Department of Economics and Business Economics, Aarhus University.
    27. Silvo Dajcman & Mejra Festic & Alenka Kavkler, 2012. "European stock market comovement dynamics during some major financial market turmoils in the period 1997 to 2010 -- a comparative DCC-GARCH and wavelet correlation analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 19(13), pages 1249-1256, September.
    28. Rodriguez, Juan Carlos, 2007. "Measuring financial contagion: A Copula approach," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 401-423, June.
    29. Pami Dua & Divya Tuteja, 2021. "Regime Shifts in the Behaviour of International Currency and Equity Markets: A Markov-Switching Analysis," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 309-336, December.
    30. Nicolas Rautureau, 2004. "Modèles à changement de régime et test de la théorie des anticipations rationnelles de la structure par terme des taux dintérêt en France," Économie et Prévision, Programme National Persée, vol. 163(2), pages 117-129.
    31. Alderighi, Stefano & Cleary, Siobhan & Varanasi, Padmasai, 2019. "Do institutional factors influence cross-border portfolio equity flows? New evidence from emerging markets," Journal of International Money and Finance, Elsevier, vol. 99(C).
    32. Michel Beine & Pierre-Yves Preumont & Ariane Szafarz, 2006. "Sector diversification during crises: a European perspective," DULBEA Working Papers 06-07.RS, ULB -- Universite Libre de Bruxelles.
    33. Saleem, Kashif, 2009. "International linkage of the Russian market and the Russian financial crisis: A multivariate GARCH analysis," Research in International Business and Finance, Elsevier, vol. 23(3), pages 243-256, September.
    34. Radu Lupu, 2014. "Simultaneity of Tail Events for Dynamic Conditional Distributions of Stock Market Index Returns," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 49-64, December.
    35. Serge Darolles & Jeremy Dudek & Gaëlle Le Fol, 2014. "Liquidity risk and contagion for liquid funds," Post-Print hal-01632776, HAL.
    36. Martin Hess, 2006. "Timing and diversification: A state-dependent asset allocation approach," The European Journal of Finance, Taylor & Francis Journals, vol. 12(3), pages 189-204.
    37. Serge Darolles & Jeremy Dudek & Gaëlle Le Fol, 2014. "Contagion in Emerging Markets," Post-Print hal-01632778, HAL.
    38. Dudek, Jérémy, 2013. "Illiquidité, contagion et risque systémique," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/13236 edited by Le Fol, Gaëlle.
    39. L. Bauwens & E. Otranto, 2013. "Modeling the Dependence of Conditional Correlations on Volatility," Working Paper CRENoS 201304, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    40. Campbell, Rachel A.J. & Forbes, Catherine S. & Koedijk, Kees G. & Kofman, Paul, 2008. "Increasing correlations or just fat tails?," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 287-309, March.
    41. Iraj J. Fooladi & John Rumsey, 2006. "Globalization and portfolio risk over time: The role of exchange rate," Review of Financial Economics, John Wiley & Sons, vol. 15(3), pages 223-236.
    42. 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.
    43. Narayan, Seema & Doytch, Nadia & Nguyen, Tri Tung & Kluegel, Karl, 2016. "Trade of goods and services and risk sharing ability in international equity markets: Are these substitutes or complements?," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 485-503.
    44. Li, Xiafei & Wei, Yu, 2018. "The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method," Energy Economics, Elsevier, vol. 74(C), pages 565-581.
    45. Wai‐Sum Chan & Li‐Xin Zhang & Siu Hung Cheung, 2009. "Temporal aggregation of Markov‐switching financial return models," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(3), pages 359-383, May.
    46. Toni Gravelle & Maral Kichian & James Morley, 2003. "Shift Contagion in Asset Markets," Staff Working Papers 03-5, Bank of Canada.
    47. Reboredo, Juan C. & Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu, 2015. "An analysis of dependence between Central and Eastern European stock markets," Economic Systems, Elsevier, vol. 39(3), pages 474-490.

  40. ROCKINGER, Michael & JONDEAU, Eric, 2000. "Entropy densities," HEC Research Papers Series 709, HEC Paris.

    Cited by:

    1. Ser-Huang Poon & Michael Rockinger & J. Tawn, 2001. "New Extreme-Value Dependance Measures and Finance Applications," Working Papers hal-00597018, HAL.
    2. Rockinger, M. & Jondeau, E., 2001. "Conditional Dependency of Financial Series: An Application of Copulas," Working papers 82, Banque de France.
    3. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
    4. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    5. Cayton, Peter Julian A. & Mapa, Dennis S., 2012. "Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology," MPRA Paper 36206, University Library of Munich, Germany.

  41. Jondeau, E. & Rockinger, M., 2000. "Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence," Working papers 77, Banque de France.

    Cited by:

    1. Rockinger, M. & Jondeau, E., 2001. "Conditional Dependency of Financial Series: An Application of Copulas," Working papers 82, Banque de France.
    2. Mantalos, Panagiotis & Karagrigoriou, Alex, 2012. "Testing For Skewness In Ar Conditional Volatility Models For Financial Return Series," Working Papers 2012:4, Örebro University, School of Business.
    3. Ángel León & Gonzalo Rubio & Gregorio Serna, 2004. "Autoregressive Conditional Volatility, Skewness And Kurtosis," Working Papers. Serie AD 2004-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    4. Andrei Leonidov & Vladimir Trainin & Alexander Zaitsev & Sergey Zaitsev, 2006. "Market Mill Dependence Pattern in the Stock Market: Asymmetry Structure, Nonlinear Correlations and Predictability," Papers physics/0601098, arXiv.org, revised Jan 2006.
    5. Chris Brooks & Simon P. Burke & Gita Persand, 2002. "Augoregressive Conditional Kurtosis," ICMA Centre Discussion Papers in Finance icma-dp2002-05, Henley Business School, University of Reading.
    6. Leon, Angel & Rubio, Gonzalo & Serna, Gregorio, 2005. "Autoregresive conditional volatility, skewness and kurtosis," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 599-618, September.
    7. Dr. Ibrahim Onour, "undated". "The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries," API-Working Paper Series 1009, Arab Planning Institute - Kuwait, Information Center.
    8. Ibrahim Onour, "undated". "Exploring Stability of Systematic Risk: Sectoral Portfolio Analysis," API-Working Paper Series 1002, Arab Planning Institute - Kuwait, Information Center.
    9. Tao Pham Dinh & Yi-Shuai Niu, 2011. "An efficient DC programming approach for portfolio decision with higher moments," Computational Optimization and Applications, Springer, vol. 50(3), pages 525-554, December.
    10. Hübner, Georges & Lejeune, Thomas, 2021. "Mental accounts with horizon and asymmetry preferences," Economic Modelling, Elsevier, vol. 103(C).
    11. Onour, Ibrahim, 2008. "Forward-Looking Beta Estimates:Evidence from an Emerging Market," MPRA Paper 14992, University Library of Munich, Germany.

  42. Avouyi-Dovi, S. & Jondeau, E., 1999. "Interest Rate Transmission and Volatility Transmission along the Yield Curve," Working papers 57, Banque de France.

    Cited by:

    1. Zhengyang Chen, 2019. "The Long-term Rate and Interest Rate Volatility in Monetary Policy Transmission," 2019 Papers pch1858, Job Market Papers.
    2. C. Emre Alper & R. Armando Morales & Fan Yang, 2017. "Monetary Policy Implementation and Volatility Transmission Along the Yield Curve: The Case of Kenya," South African Journal of Economics, Economic Society of South Africa, vol. 85(3), pages 455-478, September.

  43. Jondeau, E. & Le Bihan, H. & Sedillot, F., 1999. "Modelisation et prevision des indices de prix sectoriels," Working papers 68, Banque de France.

    Cited by:

    1. Kitov, Ivan & KItov, Oleg, 2013. "Does Banque de France control inflation and unemployment?," MPRA Paper 50239, University Library of Munich, Germany.
    2. Baghli, M. & Brunhes-Lesage, V. & De Bandt, O. & Fraisse, H. & Villetelle, J-P., 2003. "Le modèle de prévision MASCOTTE pour l’économie française : principales propriétés et résultats de variantes," Bulletin de la Banque de France, Banque de France, issue 118, pages 63-86.
    3. Bruneau, C. & De Bandt, O. & Flageollet, A., 2003. "Forecasting Inflation in the Euro Area," Working papers 102, Banque de France.

  44. Jondeau, E. & Rockinger, M., 1999. "The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets," Working papers 66, Banque de France.

    Cited by:

    1. Mr. James Y. Yao & Mr. Jorge A Chan-Lau & Mr. Donald J Mathieson, 2002. "Extreme Contagion in Equity Markets," IMF Working Papers 2002/098, International Monetary Fund.
    2. Taisei KAIZOJI & Matthias LEISS & Alexander I. SAICHEV & Didier SORNETTE, 2015. "Super-Exponential Endogenous Bubbles in an Equilibrium Model of Fundamentalist and Chartist Traders," Swiss Finance Institute Research Paper Series 15-07, Swiss Finance Institute.
    3. Niklas Wagner & Terry Marsh, 2004. "Tail index estimation in small smaples Simulation results for independent and ARCH-type financial return models," Statistical Papers, Springer, vol. 45(4), pages 545-561, October.
    4. Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Economics Working Papers 2008-08, Christian-Albrechts-University of Kiel, Department of Economics.
    5. Manfred Gilli & Evis këllezi, 2006. "An Application of Extreme Value Theory for Measuring Financial Risk," Computational Economics, Springer;Society for Computational Economics, vol. 27(2), pages 207-228, May.
    6. Niklas Wagner & Terry A. Marsh, 2004. "Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes," Econometrics 0401008, University Library of Munich, Germany.
    7. Heng-Chih Chou & David K. Wang, 2014. "Estimation of tail-related value-at-risk measures: range-based extreme value approach," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 293-304, February.
    8. Allen, David E. & Singh, Abhay K. & Powell, Robert J., 2013. "EVT and tail-risk modelling: Evidence from market indices and volatility series," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 355-369.
    9. Singh, Abhay K. & Allen, David E. & Robert, Powell J., 2013. "Extreme market risk and extreme value theory," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 310-328.
    10. Angelidis, Timotheos & Benos, Alexandros & Degiannakis, Stavros, 2007. "A Robust VaR Model under Different Time Periods and Weighting Schemes," MPRA Paper 80466, University Library of Munich, Germany.
    11. Abhay K. Singh & David E. Allen & Robert J. Powell, 2017. "Tail dependence analysis of stock markets using extreme value theory," Applied Economics, Taylor & Francis Journals, vol. 49(45), pages 4588-4599, September.
    12. Timotheos Angelidis & Alexandros Benos, 2008. "Value-at-Risk for Greek Stocks," Multinational Finance Journal, Multinational Finance Journal, vol. 12(1-2), pages 67-104, March-Jun.
    13. Bi, Guang & Giles, David E., 2009. "Modelling the financial risk associated with U.S. movie box office earnings," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2759-2766.
    14. Gu, Zhiye & Ibragimov, Rustam, 2018. "The “Cubic Law of the Stock Returns” in emerging markets," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 182-190.
    15. Faias, José Afonso, 2023. "Predicting the equity risk premium using the smooth cross-sectional tail risk: The importance of correlation," Journal of Financial Markets, Elsevier, vol. 63(C).
    16. Pontines, Victor & Siregar, Reza, 2007. "The Yen, the US dollar, and the trade weighted basket of currencies: Does the choice of anchor currencies matter in identifying incidences of speculative attacks?," Japan and the World Economy, Elsevier, vol. 19(2), pages 214-235, March.
    17. Sornette, Didier, 2001. "Fokker–Planck equation of distributions of financial returns and power laws," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 290(1), pages 211-217.
    18. Evis Këllezi & Manfred Gilli, 2000. "Extreme Value Theory for Tail-Related Risk Measures," FAME Research Paper Series rp18, International Center for Financial Asset Management and Engineering.

  45. Jondeau, E. & Rockinger, M., 1999. "Estimating Gram-Charlier Expansions with Positivity Constraints," Working papers 56, Banque de France.

    Cited by:

    1. Jacques Pézier, 2011. "Rationalization of Investment Preference Criteria," ICMA Centre Discussion Papers in Finance icma-dp2011-12, Henley Business School, University of Reading.

  46. 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.

    Cited by:

    1. Nicolas Rautureau, 2004. "Modèles à changement de régime et test de la théorie des anticipations rationnelles de la structure par terme des taux dintérêt en France," Économie et Prévision, Programme National Persée, vol. 163(2), pages 117-129.

  47. 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.

    Cited by:

    1. van Tilburg, Aad & Kuiper, W. Erno & Swinkels, Rob, 2006. "Market Performance of Potato Auctions in Bhutan," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25520, International Association of Agricultural Economists.
    2. Strauch, Rolf & Paesani, Paolo & Kremer, Manfred, 2006. "Public debt and long-term interest rates: the case of Germany, Italy and the USA," Working Paper Series 656, European Central Bank.
    3. Yiannis Kamarianakis & Vagelis Kaslis, 2005. "Geographical competition-complementarity relationships between Greek regional economies," ERSA conference papers ersa05p552, European Regional Science Association.
    4. Paolo Paruolo, 2006. "The Likelihood Ratio Test for the Rank of a Cointegration Submatrix," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 921-948, December.
    5. Kari Heimonen, 2002. "Substituting a Substitute Currency – The Case of Estonia," International Finance 0209003, University Library of Munich, Germany.
    6. Les Oxley & Marco Reale & Granville Tunnicliffe Wilson, 2008. "Constructing Structural VAR Models with Conditional Independence Graphs," Working Papers in Economics 08/19, University of Canterbury, Department of Economics and Finance.
    7. Fanelli, Luca & Paruolo, Paolo, 2007. "Speed of Adjustment in Cointegrated Systems," MPRA Paper 9174, University Library of Munich, Germany.
    8. Al-Sadoon, M.M., 2009. "Causality Along Subspaces: Theory," Cambridge Working Papers in Economics 0919, Faculty of Economics, University of Cambridge.
    9. Heimonen, Kari, 2001. "Substituting a substitute currency: The case of Estonia," BOFIT Discussion Papers 11/2001, Bank of Finland Institute for Emerging Economies (BOFIT).
    10. William J. Crowder, 2020. "Does the Fed Control Trend Inflation?," Annals of Economics and Finance, Society for AEF, vol. 21(2), pages 241-261, November.

  48. 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.

    Cited by:

    1. Roy Stein & Yoel Hecht, 2003. "Distribution of the Exchange Rate Implicit in Option Prices: Application to TASE," Bank of Israel Working Papers 2003.05b, Bank of Israel.
    2. Wan-Ni Lai, 2014. "Comparison of methods to estimate option implied risk-neutral densities," Quantitative Finance, Taylor & Francis Journals, vol. 14(10), pages 1839-1855, October.

  49. 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.

    Cited by:

    1. Lina M. Cortés & Javier Perote & Andrés Mora-Valencia, 2017. "Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach," Documentos de Trabajo de Valor Público 15923, Universidad EAFIT.
    2. Kabir K. Dutta & David F. Babbel, 2002. "Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions," Center for Financial Institutions Working Papers 02-26, Wharton School Center for Financial Institutions, University of Pennsylvania.
    3. Guimaraes, Bernardo, 2008. "Vulnerability of currency pegs: evidence from Brazil," LSE Research Online Documents on Economics 4909, London School of Economics and Political Science, LSE Library.
    4. Bogdan Negrea & Bertrand Maillet & Emmanuel Jurczenko, 2002. "Revisited Multi-moment Approximate Option," FMG Discussion Papers dp430, Financial Markets Group.
    5. Alexandre Ziegler, 2002. "Why does Implied Risk Aversion Smile?," FAME Research Paper Series rp47, International Center for Financial Asset Management and Engineering.
    6. Glatzer, Ernst & Scheicher, Martin, 2003. "Modelling the implied probability of stock market movements," Working Paper Series 212, European Central Bank.
    7. Andreou, Panayiotis C. & Charalambous, Chris & Martzoukos, Spiros H., 2010. "Generalized parameter functions for option pricing," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 633-646, March.
    8. Rihab Bedoui & Haykel Hamdi, 2010. "Implied Risk-Neutral probability Density functions from options prices : A comparison of estimation methods," EconomiX Working Papers 2010-16, University of Paris Nanterre, EconomiX.
    9. Liu, Xiaoquan & Shackleton, Mark B. & Taylor, Stephen J. & Xu, Xinzhong, 2007. "Closed-form transformations from risk-neutral to real-world distributions," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1501-1520, May.
    10. Roy Stein & Yoel Hecht, 2003. "Distribution of the Exchange Rate Implicit in Option Prices: Application to TASE," Bank of Israel Working Papers 2003.05b, Bank of Israel.
    11. Vähämaa, Sami, 2004. "Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB," Working Paper Series 315, European Central Bank.
    12. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
    13. J. C. Arismendi & Marcel Prokopczuk, 2016. "A moment-based analytic approximation of the risk-neutral density of American options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 23(6), pages 409-444, November.
    14. Halil Ibrahim Aydin & Ahmet Degerli & Pinar Ozlu, 2010. "Recovering Risk-Neutral Densities from Exchange Rate Options: Evidence in Turkey (Kur Opsiyonlarindan Riske Duyarsiz Yogunluk Fonksiyonu Cikarimi: Turkiye Ornegi)," Working Papers 1003, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    15. Alexandre Ziegler, 2007. "Why Does Implied Risk Aversion Smile?," The Review of Financial Studies, Society for Financial Studies, vol. 20(3), pages 859-904.
    16. Chen, Ren-Raw & Hsieh, Pei-lin & Huang, Jeffrey, 2018. "Crash risk and risk neutral densities," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 162-189.
    17. Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 581-656, Elsevier.
    18. Deepa Dhume Datta & Juan M. Londono & Landon J. Ross, 2014. "Generating Options-Implied Probability Densities to Understand Oil Market Events," International Finance Discussion Papers 1122, Board of Governors of the Federal Reserve System (U.S.).
    19. Irving Fisher Committee, 2003. "Proceedings of the IFC Conference on "Challenges to Central Bank Statistical Activities", Basel, August 2002," IFC Bulletins, Bank for International Settlements, number 14.
    20. Äijö, Janne, 2008. "Impact of US and UK macroeconomic news announcements on the return distribution implied by FTSE-100 index options," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 242-258.
    21. Martin Mandler, 2002. "Extracting Market Expectations from Option Prices: Two Case Studies in Market Perceptions of the ECB's Monetary Policy 1999/2000," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(II), pages 165-189, June.
    22. Jondeau, E. & Rockinger, M., 1999. "Estimating Gram-Charlier Expansions with Positivity Constraints," Working papers 56, Banque de France.
    23. Xixuan Han & Boyu Wei & Hailiang Yang, 2018. "Index Options And Volatility Derivatives In A Gaussian Random Field Risk-Neutral Density Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-41, June.
    24. Marie Brière & Kamal Chancari, 2004. "Perception des risques sur les marchés, construction d'un indice élaboré à partir des smiles d'options et test de stratégies," Revue d'économie politique, Dalloz, vol. 114(4), pages 527-555.
    25. Williamson, Brendon & Villano, Renato A. & Fleming, Euan M., 2008. "Structuring Exotic Options Contracts on Water to Improve the Efficiency of Resource Allocation in the Water Spot Market," 2008 Conference (52nd), February 5-8, 2008, Canberra, Australia 5992, Australian Agricultural and Resource Economics Society.
    26. Nessim Souissi, 2017. "The Implied Risk Neutral Density Dynamics: Evidence from the S&P TSX 60 Index," Journal of Applied Mathematics, Hindawi, vol. 2017, pages 1-10, June.
    27. Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002. "Revisited multi-moment approximate option pricing models: a general comparison (Part 1)," LSE Research Online Documents on Economics 24950, London School of Economics and Political Science, LSE Library.
    28. Guimaraes, Bernardo, 2007. "Currency Crisis Triggers: Sunspots or Thresholds?," CEPR Discussion Papers 6487, C.E.P.R. Discussion Papers.
    29. Morel, Christophe & Teïletche, Jérôme, 2008. "Do interventions in foreign exchange markets modify investors' expectations? The experience of Japan between 1992 and 2004," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 211-231, March.
    30. René Garcia & Ramazan Gençay, 1998. "Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint," CIRANO Working Papers 98s-35, CIRANO.
    31. Ben R. Craig & Ernst Glatzer & Joachim G. Keller & Martin Scheicher, 2003. "The forecasting performance of German stock option densities," Working Papers (Old Series) 0312, Federal Reserve Bank of Cleveland.
    32. Fleming, Euan & Villano, Renato & Williamson, Brendon, 2013. "Structuring Exotic Options Contracts on Water to Improve the Efficiency of Resource Allocation in the Australian Water Market," Papers 234295, University of Melbourne, Melbourne School of Land and Environment.
    33. Nikkinen, Jussi, 2003. "Normality tests of option-implied risk-neutral densities: evidence from the small Finnish market," International Review of Financial Analysis, Elsevier, vol. 12(2), pages 99-116.
    34. José Da Fonseca & Edem Dawui, 2021. "Semivariance and semiskew risk premiums in currency markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(3), pages 290-324, March.
    35. Salazar Celis, Oliver & Liang, Lingzhi & Lemmens, Damiaan & Tempère, Jacques & Cuyt, Annie, 2015. "Determining and benchmarking risk neutral distributions implied from option prices," Applied Mathematics and Computation, Elsevier, vol. 258(C), pages 372-387.
    36. Marcello Pericoli, 2005. "Can option smiles forecast changes in interest rates? An application to the US, the UK and the euro area," Temi di discussione (Economic working papers) 545, Bank of Italy, Economic Research and International Relations Area.
    37. Rihab Bedoui & Haykel Hamdi, 2010. "Implied Risk-Neutral probability Density functions from options prices: A comparison of estimation methods," Working Papers hal-04140913, HAL.
    38. Bernardo Guimaraes, 2005. "Market Expectations and Currency Crises: Theory and Empirics," 2005 Meeting Papers 174, Society for Economic Dynamics.
    39. 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.
    40. Marian Micu, 2005. "Extracting expectations from currency option prices: a comparison of methods," Computing in Economics and Finance 2005 226, Society for Computational Economics.
    41. Maxim Ulrich & Lukas Zimmer & Constantin Merbecks, 2023. "Implied volatility surfaces: a comprehensive analysis using half a billion option prices," Review of Derivatives Research, Springer, vol. 26(2), pages 135-169, October.
    42. Cortés, Lina M. & Mora-Valencia, Andrés & Perote, Javier, 2020. "Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    43. Maxim Ulrich & Simon Walther, 2020. "Option-implied information: What’s the vol surface got to do with it?," Review of Derivatives Research, Springer, vol. 23(3), pages 323-355, October.
    44. Maria Grith & Volker Krätschmer, 2010. "Parametric estimation of risk neutral density functions," SFB 649 Discussion Papers SFB649DP2010-045, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    45. Marie Briere, 2006. "Market Reactions to Central Bank Communication Policies :Reading Interest Rate Options Smiles," Working Papers CEB 38, ULB -- Universite Libre de Bruxelles.
    46. Funke, Michael & Loermann, Julius & Tsang, Andrew, 2017. "The information content in the offshore Renminbi foreign-exchange option market: Analytics and implied USD/CNH densities," BOFIT Discussion Papers 15/2017, Bank of Finland Institute for Emerging Economies (BOFIT).
    47. Arturo Leccadito & Pietro Toscano & Radu S. Tunaru, 2012. "Hermite Binomial Trees: A Novel Technique For Derivatives Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-36.
    48. Ruijun Bu & Kaddour Hadri, 2005. "Estimating the Risk Neutral Probability Density Functions Natural Spline versus Hypergeometric Approach Using European Style Options," Working Papers 200510, University of Liverpool, Department of Economics.
    49. Luis Ceballos, 2010. "Implied Probability Distribution in Financial Options," Working Papers Central Bank of Chile 596, Central Bank of Chile.

  50. 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.

    Cited by:

    1. Roy Stein & Yoel Hecht, 2003. "Distribution of the Exchange Rate Implicit in Option Prices: Application to TASE," Bank of Israel Working Papers 2003.05b, Bank of Israel.
    2. Martin Mandler, 2002. "Extracting Market Expectations from Option Prices: Two Case Studies in Market Perceptions of the ECB's Monetary Policy 1999/2000," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(II), pages 165-189, June.
    3. de Vincent-Humphreys, Rupert & Puigvert Gutiérrez, Josep Maria, 2010. "A quantitative mirror on the Euribor market using implied probability density functions," Working Paper Series 1281, European Central Bank.
    4. Wan-Ni Lai, 2014. "Comparison of methods to estimate option implied risk-neutral densities," Quantitative Finance, Taylor & Francis Journals, vol. 14(10), pages 1839-1855, October.

  51. Michael Rockinger & Eric Jondeau, 1998. "Estimating Gram-Charlier Expansions Under Positivity Constraints," Working Papers hal-00601500, HAL.

    Cited by:

    1. Kyriakos Chourdakis, 2002. "Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps," Working Papers 464, Queen Mary University of London, School of Economics and Finance.

  52. Jondeau, E. & Rockinger, M., 1998. "Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral," Working papers 47, Banque de France.

    Cited by:

    1. Rihab Bedoui & Haykel Hamdi, 2010. "Implied Risk-Neutral probability Density functions from options prices : A comparison of estimation methods," EconomiX Working Papers 2010-16, University of Paris Nanterre, EconomiX.
    2. Jondeau, E. & Rockinger, M., 1999. "Estimating Gram-Charlier Expansions with Positivity Constraints," Working papers 56, Banque de France.
    3. Maria Grith & Volker Krätschmer, 2010. "Parametric estimation of risk neutral density functions," SFB 649 Discussion Papers SFB649DP2010-045, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

  53. Michael Rockinger & Eric Jondeau, 1997. "Estimation et interprétation des densités neutres au risque: une comparaison de méthodes," Working Papers hal-00601588, HAL.

    Cited by:

    1. Gunther Capelle-Blancard & Emmanuel Jurczenko, 2000. "Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03723832, HAL.

  54. 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.

    Cited by:

    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.
    2. Nicolas Rautureau, 2004. "Modèles à changement de régime et test de la théorie des anticipations rationnelles de la structure par terme des taux dintérêt en France," Économie et Prévision, Programme National Persée, vol. 163(2), pages 117-129.
    3. Rossi, Giovanni, 2004. "Euro Weakness in the Late Nineties," MPRA Paper 90272, University Library of Munich, Germany.
    4. Chopin, Nicolas & Pelgrin, Florian, 2004. "Bayesian inference and state number determination for hidden Markov models: an application to the information content of the yield curve about inflation," Journal of Econometrics, Elsevier, vol. 123(2), pages 327-344, December.
    5. 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.

  55. 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.

    Cited by:

    1. Nicolas Rautureau, 2004. "Modèles à changement de régime et test de la théorie des anticipations rationnelles de la structure par terme des taux dintérêt en France," Économie et Prévision, Programme National Persée, vol. 163(2), pages 117-129.

  56. Jondeau, E. & Ricart, R., 1996. "The Expectation Theory: Tests on French, German, and American Euro-Rates," Working papers 35, Banque de France.

    Cited by:

    1. Stefan Gerlach & Frank Smets, 1997. "Exchange rate regimes and the expectations hypothesis of the term structure," BIS Working Papers 43, Bank for International Settlements.
    2. Nagayasu, Jun, 2002. "On the term structure of interest rates and inflation in Japan," Journal of Economics and Business, Elsevier, vol. 54(5), pages 505-523.
    3. 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.
    4. 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.

  57. Jondeau, E. & Nocolai, J.P., 1993. "Modelisation du prix des actifs financiers," Papers 1993-16-f, Caisse des Depots et Consignations - Cahiers de recherche.

    Cited by:

    1. Stéphanie Guichard, 1998. "La politique monétaire et la crise japonaise," Working Papers 1998-06, CEPII research center.

  58. 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.

    Cited by:

    1. Marie Podevin, 2001. "Interaction entre taux d'intérêt allemands et français : un réexamen de l'hypothèse de dominance allemande," Économie et Prévision, Programme National Persée, vol. 148(2), pages 49-70.
    2. 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.

  59. 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.

    Cited by:

    1. Marie Podevin, 2001. "Interaction entre taux d'intérêt allemands et français : un réexamen de l'hypothèse de dominance allemande," Économie et Prévision, Programme National Persée, vol. 148(2), pages 49-70.

Articles

  1. Jondeau, Eric & Khalilzadeh, Amir, 2022. "Predicting the stressed expected loss of large U.S. banks," Journal of Banking & Finance, Elsevier, vol. 134(C).

    Cited by:

    1. Kouzez, Marc, 2023. "Political environment and bank performance: Does bank size matter?," Economic Systems, Elsevier, vol. 47(1).

  2. 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.

    Cited by:

    1. Hui Qu & Tianyang Wang & Peng Shangguan & Mengying He, 2024. "Revisiting the puzzle of jumps in volatility forecasting: The new insights of high‐frequency jump intensity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 218-251, February.
    2. Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2021. "Realized skewness and the short-term predictability for aggregate stock market volatility," Economic Modelling, Elsevier, vol. 103(C).
    3. Annaert, Jan & De Ceuster, Marc & Van Cappellen, Jef, 2023. "Can average skewness really predict financial returns? The euro area case," Finance Research Letters, Elsevier, vol. 52(C).
    4. Liyan Han & Xinbei Wei & Sen Yan & Qunzi Zhang, 2022. "Analyst rating matters for index futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(11), pages 2084-2100, November.

  3. Jondeau, Eric & Zhang, Qunzi & Zhu, Xiaoneng, 2019. "Average skewness matters," Journal of Financial Economics, Elsevier, vol. 134(1), pages 29-47.
    See citations under working paper version above.
  4. 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.
    See citations under working paper version above.
  5. Jondeau, Eric & Khalilzadeh, Amir, 2017. "Collateralization, leverage, and stressed expected loss," Journal of Financial Stability, Elsevier, vol. 33(C), pages 226-243.
    See citations under working paper version above.
  6. Jondeau, Eric, 2016. "Asymmetry in tail dependence in equity portfolios," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 351-368.

    Cited by:

    1. Ki-Hong Choi & Seong-Min Yoon, 2020. "Asymmetric Dependence between Oil Prices and Maritime Freight Rates: A Time-Varying Copula Approach," Sustainability, MDPI, vol. 12(24), pages 1-16, December.
    2. Ruan, Qingsong & Huang, Ying & Jiang, Wei, 2016. "The exceedance and cross-correlations between the gold spot and futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 139-151.
    3. Bormann, Carsten & Schienle, Melanie, 2019. "Detecting structural differences in tail dependence of financial time series," Working Paper Series in Economics 122, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    4. Broda, Simon A. & Krause, Jochen & Paolella, Marc S., 2018. "Approximating expected shortfall for heavy-tailed distributions," Econometrics and Statistics, Elsevier, vol. 8(C), pages 184-203.
    5. Aviral Kumar Tiwari & Sangram Keshari Jena & Satish Kumar & Erik Hille, 2022. "Is oil price risk systemic to sectoral equity markets of an oil importing country? Evidence from a dependence-switching copula delta CoVaR approach," Annals of Operations Research, Springer, vol. 315(1), pages 429-461, August.
    6. Han Yang & Ming-hui Wang & Nan-jing Huang, 2021. "The $$\alpha$$ α -Tail Distance with an Application to Portfolio Optimization Under Different Market Conditions," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 1195-1224, December.
    7. Lei Jiang & Esfandiar Maasoumi & Jiening Pan & Ke Wu, 2018. "A test of general asymmetric dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(7), pages 1026-1043, November.
    8. Będowska-Sójka, Barbara & Górka, Joanna, 2022. "The lithium and oil markets – dependencies and volatility spillovers," Resources Policy, Elsevier, vol. 78(C).
    9. Akanksha Jalan & Roman Matkovskyy & Larisa Yarovaya, 2021. "“Shiny” crypto assets: A systemic look at gold-backed cryptocurrencies during the COVID-19 pandemic," Post-Print hal-03512893, HAL.
    10. Marc S. Paolella, 2017. "The Univariate Collapsing Method for Portfolio Optimization," Econometrics, MDPI, vol. 5(2), pages 1-33, May.
    11. Caporale, Guglielmo Maria & You, Kefei & Chen, Lei, 2019. "Global and regional stock market integration in Asia: A panel convergence approach," International Review of Financial Analysis, Elsevier, vol. 65(C).
    12. Arnold Polanski & Evarist Stoja & Ching‐Wai (Jeremy) Chiu, 2021. "Tail risk interdependence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5499-5511, October.
    13. Le, Trung Hai & Do, Hung Xuan & Nguyen, Duc Khuong & Sensoy, Ahmet, 2021. "Covid-19 pandemic and tail-dependency networks of financial assets," Finance Research Letters, Elsevier, vol. 38(C).
    14. Marcela de Marillac Carvalho & Luiz Otávio de Oliveira Pala & Gabriel Rodrigo Gomes Pessanha & Thelma Sáfadi, 2021. "Asymmetric dependence of intraday frequency components in the Brazilian stock market," SN Business & Economics, Springer, vol. 1(6), pages 1-18, June.

  7. Robert Engle & Eric Jondeau & Michael Rockinger, 2015. "Systemic Risk in Europe," Review of Finance, European Finance Association, vol. 19(1), pages 145-190.
    See citations under working paper version above.
  8. 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.
    See citations under working paper version above.
  9. 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.

    Cited by:

    1. Alia Afzal & Philipp Sibbertsen, 2021. "Modeling fractional cointegration between high and low stock prices in Asian countries," Empirical Economics, Springer, vol. 60(2), pages 661-682, February.
    2. Liu, De-Chih & Liu, Chih-Yun, 2016. "The source of stock return fluctuation in Taiwan," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 77-88.
    3. Gil-Alana, Luis A. & Mudida, Robert & Yaya, OlaOluwa S & Osuolale, Kazeem & Ogbonna, Ephraim A, 2019. "Influence of US Presidential Terms on S&P500 Index Using a Time Series Analysis Approach," MPRA Paper 93941, University Library of Munich, Germany.
    4. Luis A. Gil‐Alana & Robert Mudida & OlaOluwa S. Yaya & Kazeem A. Osuolale & Ahamuefula E. Ogbonna, 2021. "Mapping US presidential terms with S&P500 index: Time series analysis approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1938-1954, April.

  10. Jondeau, Eric & Pelgrin, Florian, 2014. "Estimating aggregate autoregressive processes when only macro data are available," Economics Letters, Elsevier, vol. 124(3), pages 341-347.
    See citations under working paper version above.
  11. 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.
    See citations under working paper version above.
  12. 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.

    Cited by:

    1. Sylvia J. Soltyk & Felix Chan, 2023. "Modeling time‐varying higher‐order conditional moments: A survey," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 33-57, February.
    2. Pauwels, Laurent & Radchenko, Peter & Vasnev, Andrey, 2019. "Higher Moment Constraints for Predictive Density Combinations," Working Papers BAWP-2019-01, University of Sydney Business School, Discipline of Business Analytics.
    3. Shackleton, Mark B. & Taylor, Stephen J. & Yu, Peng, 2010. "A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2678-2693, November.
    4. Ruan, Qingsong & Huang, Ying & Jiang, Wei, 2016. "The exceedance and cross-correlations between the gold spot and futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 139-151.
    5. Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2012. "Independent Factor Autoregressive Conditional Density Model," DEM Working Papers Series 021, University of Pavia, Department of Economics and Management.
    6. Bernardi, Mauro & Catania, Leopoldo, 2018. "Portfolio optimisation under flexible dynamic dependence modelling," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 1-18.
    7. Mehmet Balcilar & Rangan Gupta & Duc K. Nguyen & Mark E. Wohar, 2015. "Causal Effects of the United States and Japan on Pacific-Rim Stock Markets: Nonparametric Quantile Causality Approach," Working Papers 201595, University of Pretoria, Department of Economics.
    8. Ubukata, Masato, 2018. "Dynamic hedging performance and downside risk: Evidence from Nikkei index futures," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 270-281.
    9. Renée Fry-McKibbin & Cody Yu-Ling Hsiao, 2014. "Extremal Dependence and Contagion," CAMA Working Papers 2014-38, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    10. Markwat, T.D. & Kole, H.J.W.G. & van Dijk, D.J.C., 2009. "Time Variation in Asset Return Dependence: Strength or Structure?," ERIM Report Series Research in Management ERS-2009-052-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    11. Oscar Espinosa & Fabio Nieto, 2020. "A study on the leverage effect on financial series using a TAR model: a Bayesian approach," Papers 2002.05319, arXiv.org, revised Feb 2020.
    12. Paola Stolfi & Mauro Bernardi & Lea Petrella, 2018. "The sparse method of simulated quantiles: An application to portfolio optimization," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 72(3), pages 375-398, August.
    13. Lai, Jing-yi, 2012. "Shock-dependent conditional skewness in international aggregate stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 72-83.
    14. Jondeau, Eric, 2016. "Asymmetry in tail dependence in equity portfolios," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 351-368.

  13. 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.
    See citations under working paper version above.
  14. Jondeau, Eric & Sahuc, Jean-Guillaume, 2008. "Testing heterogeneity within the euro area," Economics Letters, Elsevier, vol. 99(1), pages 192-196, April.
    See citations under working paper version above.
  15. 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.

    Cited by:

    1. Giovanni Angelini & Luca Fanelli Fanelli, 2015. "Misspecification and Expectations Correction in New Keynesian DSGE Models," Quaderni di Dipartimento 1, Department of Statistics, University of Bologna.
    2. Byrne, Joseph P. & Kontonikas, Alexandros & Montagnoliz, Alberto, 2010. "International Evidence on the New Keynesian Phillips Curve Using Aggregate and Disaggregate Data," SIRE Discussion Papers 2010-57, Scottish Institute for Research in Economics (SIRE).
    3. Sophocles Mavroeidis & Mikkel Plagborg-Møller & James H. Stock, "undated". "Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve," Working Paper 84656, Harvard University OpenScholar.
    4. Jean Imbs & Eric Jondeau & Florian Pelgrin, 2006. "Aggregating Phillips curves," 2006 Meeting Papers 640, Society for Economic Dynamics.
    5. Luca Fanelli, 2010. "Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models," Quaderni di Dipartimento 4, Department of Statistics, University of Bologna.
    6. Giesen, Sebastian & Scheufele, Rolf, 2016. "Effects of incorrect specification on the finite sample properties of full and limited information estimators in DSGE models," Journal of Macroeconomics, Elsevier, vol. 48(C), pages 1-18.
    7. Luca Fanelli, 2009. "Estimation of quasi-rational DSGE monetary models," Quaderni di Dipartimento 3, Department of Statistics, University of Bologna.
    8. Scheufele, Rolf, 2008. "Evaluating the German (New Keynesian) Phillips Curve," IWH Discussion Papers 10/2008, Halle Institute for Economic Research (IWH).
    9. Le Bihan, Hervé, 2008. "1958-2008, avatars et enjeux de la courbe de Phillips [The Phillips curve at fifty]," MPRA Paper 12119, University Library of Munich, Germany.

  16. 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.
    See citations under working paper version above.
  17. 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.

    Cited by:

    1. Balaev, Alexey, 2014. "The copula based on multivariate t-distribution with vector of degrees of freedom," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 90-110.
    2. Oleg Groshev, 2014. "Time varying vine copulas for multivariate returns (in Russian)," Quantile, Quantile, issue 12, pages 53-67, February.
    3. Yali Dou & Haiyan Liu & Georgios Aivaliotis, 2019. "Dynamic Dependence Modeling in financial time series," Papers 1908.05130, arXiv.org.
    4. Federico Pasquale Cortese, 2019. "Tail Dependence in Financial Markets: A Dynamic Copula Approach," Risks, MDPI, vol. 7(4), pages 1-14, November.
    5. Reboredo, Juan C., 2012. "Modelling oil price and exchange rate co-movements," Journal of Policy Modeling, Elsevier, vol. 34(3), pages 419-440.
    6. Wong, Shiu Fung & Tong, Howell & Siu, Tak Kuen & Lu, Zudi, 2017. "A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach," LSE Research Online Documents on Economics 78515, London School of Economics and Political Science, LSE Library.
    7. Leopoldo Catania & Nima Nonejad, 2016. "Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models," Papers 1605.00230, arXiv.org, revised Nov 2016.
    8. Mensah, Jones Odei & Premaratne, Gamini, 2018. "Dependence patterns among Asian banking sector stocks: A copula approach," Research in International Business and Finance, Elsevier, vol. 45(C), pages 357-388.
    9. Liu, Xiaochun, 2015. "Modeling time-varying skewness via decomposition for out-of-sample forecast," International Journal of Forecasting, Elsevier, vol. 31(2), pages 296-311.
    10. Sylvia J. Soltyk & Felix Chan, 2023. "Modeling time‐varying higher‐order conditional moments: A survey," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 33-57, February.
    11. Aboura, Sofiane & Chevallier, Julien, 2015. "Volatility returns with vengeance: Financial markets vs. commodities," Research in International Business and Finance, Elsevier, vol. 33(C), pages 334-354.
    12. Hafner, Christian & Reznikova, Olga, 2010. "Efficient estimation of a semiparametric dynamic copula model," LIDAM Reprints ISBA 2010033, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    13. Santanu Das, 2016. "Cointegration of Bombay Stock Exchange with Major Asian Markets—A Copula Approach," Global Business Review, International Management Institute, vol. 17(3), pages 566-581, June.
    14. Jiang, Yonghong & Nie, He & Monginsidi, Joe Yohanes, 2017. "Co-movement of ASEAN stock markets: New evidence from wavelet and VMD-based copula tests," Economic Modelling, Elsevier, vol. 64(C), pages 384-398.
    15. Ehouman, Yao Axel, 2021. "Dependence structure between oil price volatility and sovereign credit risk of oil exporters: Evidence using a copula approach," International Economics, Elsevier, vol. 168(C), pages 76-97.
    16. Jacek Osiewalski & Krzysztof Osiewalski, 2016. "Hybrid MSV-MGARCH Models – General Remarks and the GMSF-SBEKK Specification," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 8(4), pages 241-271, December.
    17. Leo Michelis & Cathy Ning, 2010. "The dependence structure between the Canadian stock market and the USD/CAD exchange rate: a copula approach," Canadian Journal of Economics, Canadian Economics Association, vol. 43(3), pages 1016-1039, August.
    18. Abduraimova, Kumushoy, 2022. "Contagion and tail risk in complex financial networks," Journal of Banking & Finance, Elsevier, vol. 143(C).
    19. Bellenzier, Lucia & Vitting Andersen, Jørgen & Rotundo, Giulia, 2016. "Contagion in the world's stock exchanges seen as a set of coupled oscillators," Economic Modelling, Elsevier, vol. 59(C), pages 224-236.
    20. Aloui, Riadh & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2013. "A time-varying copula approach to oil and stock market dependence: The case of transition economies," Energy Economics, Elsevier, vol. 39(C), pages 208-221.
    21. Knyazev, Alexander & Lepekhin, Oleg & Shemyakin, Arkady, 2016. "Joint distribution of stock indices: Methodological aspects of construction and selection of copula models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 42, pages 30-53.
    22. Nathan Lael Joseph & Thi Thuy Anh Vo & Asma Mobarek & Sabur Mollah, 2020. "Volatility and asymmetric dependence in Central and East European stock markets," Review of Quantitative Finance and Accounting, Springer, vol. 55(4), pages 1241-1303, November.
    23. Wang Ruihua & Wang Hongjun, 2020. "Correlation Analysis of Stock Market and Fund Market Based on M-Copula-EGARCH-M-GED Model," Journal of Systems Science and Information, De Gruyter, vol. 8(3), pages 240-252, June.
    24. Sjoerd van den Hauwe & Richard Paap & Dick J.C. van Dijk, 2011. "An Alternative Bayesian Approach to Structural Breaks in Time Series Models," Tinbergen Institute Discussion Papers 11-023/4, Tinbergen Institute.
    25. Cai, Guixin & Zhang, Hao & Chen, Ziyue, 2019. "Comovement between commodity sectors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 1247-1258.
    26. Aloui, Riadh & Aïssa, Mohamed Safouane Ben & Nguyen, Duc Khuong, 2011. "Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 130-141, January.
    27. Weiß, Gregor N.F. & Scheffer, Marcus, 2015. "Mixture pair-copula-constructions," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 175-191.
    28. Laurini, Márcio Poletti & Mauad, Roberto Baltieri & Aiube, Fernando Antônio Lucena, 2020. "The impact of co-jumps in the oil sector," Research in International Business and Finance, Elsevier, vol. 52(C).
    29. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts," Tinbergen Institute Discussion Papers 08-105/4, Tinbergen Institute.
    30. Waël Louhichi & Hassen Rais, 2019. "Refinement of the hedging ratio using copula-GARCH models," Journal of Asset Management, Palgrave Macmillan, vol. 20(5), pages 403-411, September.
    31. Bu, Ruijun & Hadri, Kaddour & Kristensen, Dennis, 2021. "Diffusion copulas: Identification and estimation," Journal of Econometrics, Elsevier, vol. 221(2), pages 616-643.
    32. Dominique Guegan & Jing Zhang, 2010. "Change analysis of a dynamic copula for measuring dependence in multivariate financial data," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368334, HAL.
    33. Ha, Sang su & Welch, J. Mark & Anderson, David P., 2016. "Time Varying Correlation Research Among Corn, Ethanol, And Gasoline: Copula –Garch Approach," 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama 252741, Southern Agricultural Economics Association.
    34. Sehgal, Sanjay & Pandey, Piyush & Diesting, Florent, 2017. "Examining dynamic currency linkages amongst South Asian economies: An empirical study," Research in International Business and Finance, Elsevier, vol. 42(C), pages 173-190.
    35. Huthaifa Alqaralleh & Alessandra Canepa, 2021. "Evidence of Stock Market Contagion during the COVID-19 Pandemic: A Wavelet-Copula-GARCH Approach," JRFM, MDPI, vol. 14(7), pages 1-18, July.
    36. Minoru Tachibana, 2020. "Flight-to-quality in the stock–bond return relation: a regime-switching copula approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(4), pages 429-470, December.
    37. Boubaker, Heni & Raza, Syed Ali, 2016. "On the dynamic dependence and asymmetric co-movement between the US and Central and Eastern European transition markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 459(C), pages 9-23.
    38. Bodnar, Taras & Hautsch, Nikolaus, 2013. "Copula-based dynamic conditional correlation multiplicative error processes," CFS Working Paper Series 2013/19, Center for Financial Studies (CFS).
    39. Li, Songsong & Zhang, Weiqian & Zhang, Wei, 2023. "Dynamic time-frequency connectedness and risk spillover between geopolitical risks and natural resources," Resources Policy, Elsevier, vol. 82(C).
    40. Pawel Janus & Siem Jan Koopman & André Lucas, 2011. "Long Memory Dynamics for Multivariate Dependence under Heavy Tails," Tinbergen Institute Discussion Papers 11-175/2/DSF28, Tinbergen Institute.
    41. Matthias R. Fengler & Ostap Okhrin, 2012. "Realized Copula," SFB 649 Discussion Papers SFB649DP2012-034, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    42. Takaaki Koike & Marius Hofert, 2020. "Modality for Scenario Analysis and Maximum Likelihood Allocation," Papers 2005.02950, arXiv.org, revised Nov 2020.
    43. Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk, 2017. "Forecasting Value-at-Risk under Temporal and Portfolio Aggregation," Journal of Financial Econometrics, Oxford University Press, vol. 15(4), pages 649-677.
    44. Matteo Iacopini & Dominique Guégan, 2018. "Nonparametric Forecasting of Multivariate Probability Density Functions," Working Papers 2018:15, Department of Economics, University of Venice "Ca' Foscari".
    45. Manel Youssef & Khaled Mokni & Ahdi Noomen Ajmi, 2021. "Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-27, December.
    46. Rajan Sruthi & Santhakumar Shijin, 2020. "Investigating liquidity constraints as a channel of contagion: a regime switching approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-21, December.
    47. Mensi, Walid & Shahzad, Syed Jawad Hussain & Hammoudeh, Shawkat & Zeitun, Rami & Rehman, Mobeen Ur, 2017. "Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach," Emerging Markets Review, Elsevier, vol. 32(C), pages 130-147.
    48. Małgorzata Just & Aleksandra Łuczak, 2020. "Assessment of Conditional Dependence Structures in Commodity Futures Markets Using Copula-GARCH Models and Fuzzy Clustering Methods," Sustainability, MDPI, vol. 12(6), pages 1-22, March.
    49. Chen, Qian & Gerlach, Richard & Lu, Zudi, 2012. "Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3498-3516.
    50. Garcia, René & Tsafack, Georges, 2011. "Dependence structure and extreme comovements in international equity and bond markets," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1954-1970, August.
    51. Vahidin Jeleskovic & Claudio Latini & Zahid I. Younas & Mamdouh A. S. Al-Faryan, 2023. "Optimization of portfolios with cryptocurrencies: Markowitz and GARCH-Copula model approach," Papers 2401.00507, arXiv.org.
    52. Hafner, Christian M. & Linton, Oliver, 2010. "Efficient estimation of a multivariate multiplicative volatility model," Journal of Econometrics, Elsevier, vol. 159(1), pages 55-73, November.
    53. Raza, Hamid & Wu, Weiou, 2018. "Quantile dependence between the stock, bond and foreign exchange markets – Evidence from the UK," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 286-296.
    54. Panayiotis Alexakis & Anna Vasila, 2010. "Equity Interconnections in Major European Markets," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 109-132.
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    56. Elif F. Acar & Radu V. Craiu & Fang Yao, 2011. "Dependence Calibration in Conditional Copulas: A Nonparametric Approach," Biometrics, The International Biometric Society, vol. 67(2), pages 445-453, June.
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    58. Pier Francesco Procacci & Tomaso Aste, 2022. "Portfolio optimization with sparse multivariate modeling," Journal of Asset Management, Palgrave Macmillan, vol. 23(6), pages 445-465, October.
    59. Julien Chevallier & Florian Ielpo, 2013. "Volatility spillovers in commodity markets," Applied Economics Letters, Taylor & Francis Journals, vol. 20(13), pages 1211-1227, September.
    60. Gurgul, Henryk & Syrek, Robert, 2010. "Polish stock market and some foreign markets – dependence analysis by regime-switching copulas," MPRA Paper 68576, University Library of Munich, Germany, revised 2010.
    61. Fermanian, Jean-David & Lopez, Olivier, 2018. "Single-index copulas," Journal of Multivariate Analysis, Elsevier, vol. 165(C), pages 27-55.
    62. Arthur Charpentier, 2015. "Prévision avec des copules en finance," Working Papers hal-01151233, HAL.
    63. Nguyen, Hoang & Ausín Olivera, María Concepción & Galeano San Miguel, Pedro, 2017. "Parallel Bayesian Inference for High Dimensional Dynamic Factor Copulas," DES - Working Papers. Statistics and Econometrics. WS 24552, Universidad Carlos III de Madrid. Departamento de Estadística.
    64. Philippas, Dionisis & Siriopoulos, Costas, 2013. "Putting the “C” into crisis: Contagion, correlations and copulas on EMU bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 161-176.
    65. Khaled Mokni, 2018. "Empirical Analysis Of The Relationship Between Oil And Precious Metals Markets," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 1-20, March.
    66. Jian Hu, 2008. "Dependence Structures in Chinese and U.S. Financial Markets: A Time-varying Conditional Copula Approach," Departmental Working Papers 0808, Southern Methodist University, Department of Economics, revised Nov 2008.
    67. Muhammad Naeem & Hao Ji & Brunero Liseo, 2014. "Negative Return-Volume Relationship in Asian Stock Markets: Figarch-Copula Approach," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 2(2), pages 1-20.
    68. Bai, Xiwen & Lam, Jasmine Siu Lee, 2021. "Freight rate co-movement and risk spillovers in the product tanker shipping market: A copula analysis," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 149(C).
    69. Bu, Ruijun & Jawadi, Fredj & Li, Yuyi, 2017. "An empirical comparison of transformed diffusion models for VIX and VIX futures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 116-127.
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    71. Younis, Ijaz & Shah, Waheed Ullah & Hkiri, Besma & Qureshi, Fiza & Longsheng, Cheng, 2023. "Risk co-movements and portfolio strategies between energy, gold and BRICS markets," Resources Policy, Elsevier, vol. 82(C).
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    74. Wang, Chou-Wen & Yang, Sharon S. & Huang, Hong-Chih, 2015. "Modeling multi-country mortality dependence and its application in pricing survivor index swaps—A dynamic copula approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 30-39.
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    1. Ida, Daisuke, 2013. "The gain from commitment in a two-country economy with inflation persistence," Japan and the World Economy, Elsevier, vol. 27(C), pages 58-69.
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    3. 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.
    4. Thibault Lemaire, 2020. "Phillips in A Revolution: Unemployment and Prices in Early 21st Century Egypt," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03948605, HAL.
    5. Fabio Rumler, 2006. "The New Keynesian Phillips Curve for Austria – An Extension for the Open Economy," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 55-69.
    6. Lagoa, Sérgio, 2014. "Inflation dynamics in open economies: Empirical evidence for G7 countries on the role of import prices and the cost channel," Research in Economics, Elsevier, vol. 68(4), pages 354-371.
    7. Katarína Danišková & Jarko Fidrmuc, 2011. "Inflation Convergence and the New Keynesian Phillips Curve in the Czech Republic," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 5(2), pages 099-115, August.
    8. Taheri Bazkhaneh , Saleh & Ehsani , Mohammad Ali & Gilak Hakimabadi , Mohammad Taqi & Farzinvash , Asodollah, 2018. "Analysis of the Relationship between the Business Cycle and Inflation Gap in Time-Frequency Domain," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 13(3), pages 401-422, July.
    9. Choi, Yoonseok, 2021. "Inflation dynamics, the role of inflation at different horizons and inflation uncertainty," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 649-662.
    10. Filippo Altissimo & Michael Ehrmann & Frank Smets, 2006. "Inflation persistence and price-setting behaviour in the euro area : a summary of the Inflation Persistence Network evidence," Working Paper Research 95, National Bank of Belgium.
    11. Rumler, Fabio & Valderrama, Maria Teresa, 2010. "Comparing the New Keynesian Phillips Curve with time series models to forecast inflation," The North American Journal of Economics and Finance, Elsevier, vol. 21(2), pages 126-144, August.
    12. Chengsi Zhang & Denise R. Osborn & Dong Heon Kim, 2008. "The New Keynesian Phillips Curve: From Sticky Inflation to Sticky Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(4), pages 667-699, June.
    13. Jérôme Hericourt, 2005. "And if One Size Fit All after All? A Counterfactual Examination of the ECB Monetary Policy under Duisenberg Presidency," Post-Print halshs-03280963, HAL.
    14. Shawn Chen-Yu Leu, 2006. "A New Keynesian Perspective of Monetary Policy in Australia," Working Papers 2006.01, School of Economics, La Trobe University.
    15. Sandeep Mazumder, 2012. "European Inflation and the New Keynesian Phillips Curve," Southern Economic Journal, John Wiley & Sons, vol. 79(2), pages 322-349, October.
    16. Rannenberg, Ansgar, 2008. "Disinflation and the NAIRU in a New-Keynesian New-Growth Model," MPRA Paper 9753, University Library of Munich, Germany.
    17. Sophocles Mavroeidis & Mikkel Plagborg-Møller & James H. Stock, "undated". "Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve," Working Paper 84656, Harvard University OpenScholar.
    18. Hondroyiannis, George & Swamy, P.A.V.B. & Tavlas, George S., 2009. "The New Keynesian Phillips Curve In A Time-Varying Coefficient Environment: Some European Evidence," Macroeconomic Dynamics, Cambridge University Press, vol. 13(2), pages 149-166, April.
    19. Peter Tillmann, 2009. "The New Keynesian Phillips curve in Europe: does it fit or does it fail?," Empirical Economics, Springer, vol. 37(3), pages 463-473, December.
    20. Carlos Medel, 2015. "Inflation Dynamics and the Hybrid Neo Keynesian Phillips Curve: The Case of Chile," Working Papers Central Bank of Chile 769, Central Bank of Chile.
    21. Julien Matheron, 2006. "Firm-Specific Labor and Firm-Specific Capital: Implications for the Euro-Data New Phillips Curve," International Journal of Central Banking, International Journal of Central Banking, vol. 2(4), December.
    22. Thorvardur Tjörvi Ólafsson, 2006. "The New Keynesian Phillips Curve: In Search of Improvements and Adaptation to the Open Economy," Economics wp31_tjorvi, Department of Economics, Central bank of Iceland.
    23. Abbas, Syed K. & Bhattacharya, Prasad Sankar & Sgro, Pasquale, 2016. "The new Keynesian Phillips curve: An update on recent empirical advances," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 378-403.
    24. Fabrice Orlandi & Werner Roeger & Anna Thum-Thysen, 2018. "The Return of the European Wage Phillips Curve," European Economy - Discussion Papers 085, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
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    26. Henzel, Steffen & Wollmershäuser, Timo, 2008. "The New Keynesian Phillips curve and the role of expectations: Evidence from the CESifo World Economic Survey," Munich Reprints in Economics 19416, University of Munich, Department of Economics.
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    29. Leu, Shawn Chen-Yu, 2011. "A New Keynesian SVAR model of the Australian economy," Economic Modelling, Elsevier, vol. 28(1), pages 157-168.
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    33. Linde, Jesper, 2005. "Estimating New-Keynesian Phillips curves: A full information maximum likelihood approach," Journal of Monetary Economics, Elsevier, vol. 52(6), pages 1135-1149, September.
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    35. Bhavesh Salunkhe & Anuradha Patnaik, 2019. "Inflation Dynamics and Monetary Policy in India: A New Keynesian Phillips Curve Perspective," South Asian Journal of Macroeconomics and Public Finance, , vol. 8(2), pages 144-179, December.
    36. Tiwari, Aviral Kumar & Oros, Cornel & Albulescu, Claudiu Tiberiu, 2014. "Revisiting the inflation–output gap relationship for France using a wavelet transform approach," Economic Modelling, Elsevier, vol. 37(C), pages 464-475.
    37. Moons, Cindy & Garretsen, Harry & van Aarle, Bas & Fornero, Jorge, 2007. "Monetary policy in the New-Keynesian model: An application to the Euro Area," Journal of Policy Modeling, Elsevier, vol. 29(6), pages 879-902.
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    39. Borek Vasícek, 2009. "Inflation dynamics and the New Keynesian Phillips curve in EU-4," Working Papers wpdea0912, Department of Applied Economics at Universitat Autonoma of Barcelona.
    40. Kurmann, Andre, 2007. "VAR-based estimation of Euler equations with an application to New Keynesian pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 767-796, March.
    41. Dieppe, Alistair & Ortega, Eva & D'Agostino, Antonello & Karlsson, Tohmas & Benkovskis, Konstantins & Caivano, Michele & Hurtado, Samuel & Várnai, Tímea, 2011. "Assessing the sensitivity of inflation to economic activity," Working Paper Series 1357, European Central Bank.
    42. Daniela Milučká, 2014. "Inflation dynamics in the Czech Republic: Estimation of the New Keynesian Phillips curve," International Journal of Economic Sciences, Prague University of Economics and Business, vol. 2014(2), pages 53-70.
    43. Kushal Banik Chowdhury & Nityananda Sarkar, 2017. "Is the Hybrid New Keynesian Phillips Curve Stable? Evidence from Some Emerging Economies," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 15(3), pages 427-449, September.
    44. Brissimis, Sophocles N. & Skotida, Ifigeneia, 2008. "Optimal monetary policy in the euro area in the presence of heterogeneity," Journal of International Money and Finance, Elsevier, vol. 27(2), pages 209-226, March.
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    1. Luís Aguiar-Conraria & Manuel M. F. Martins & Maria Joana Soares, 2018. "Estimating the Taylor Rule in the Time-Frequency Domain," NIPE Working Papers 04/2018, NIPE - Universidade do Minho.
    2. Pierre L. Siklos & Diana N. Weymark, 2011. "Data Revisions, Gradualism, and US Inflation Pressure in Real Time," Vanderbilt University Department of Economics Working Papers 1110, Vanderbilt University Department of Economics.
    3. Ceri Davies & Max Gillman & Michal Kejak, 2012. "Deriving the Taylor Principle when the Central Bank Supplies Money," CEU Working Papers 2012_13, Department of Economics, Central European University, revised 23 Jul 2012.
    4. Alina Carare & Robert Tchaidze, 2008. "The Use and Abuse of Taylor Rules: How Precisely Can We Estimate Them?," Working Papers 006-08, International School of Economics at TSU, Tbilisi, Republic of Georgia.
    5. Daria Finocchiaro & Virginia Queijo Heideken, 2013. "Do Central Banks React to House Prices?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(8), pages 1659-1683, December.
    6. Ida Wolden Bache & Øistein Røislanda & Kjersti Næss Torstensen, 2011. "Interest Rate Smoothing and "Calvo-Type" Interest Rate Rules: A Comment on Levine, McAdam, and Pearlman (2007)," International Journal of Central Banking, International Journal of Central Banking, vol. 7(3), pages 79-90, September.
    7. P. Siklos & M. Bohl, 2006. "Asset Prices as Indicators of Euro Area Monetary Policy: An Empirical Assessment of Their Role in a Taylor Rule," Working Papers eg0053, Wilfrid Laurier University, Department of Economics, revised 2006.
    8. Mr. Robert Tchaidze & Ms. Alina Carare, 2005. "The Use and Abuse of Taylor Rules: How Precisely Can We Estimate Them?," IMF Working Papers 2005/148, International Monetary Fund.
    9. Luís Francisco Aguiar-Conraria & Manuel M. F. Martins & Maria Joana Soares, 2014. "Analyzing the Taylor Rule with Wavelet Lenses," NIPE Working Papers 18/2014, NIPE - Universidade do Minho.
    10. Moons, Cindy & Hellinckx, Kevin, 2019. "Did monetary policy fuel the housing bubble? An application to Ireland," Journal of Policy Modeling, Elsevier, vol. 41(2), pages 294-315.
    11. Chengsi Zhang & Denise R. Osborn & Dong Heon Kim, 2006. "Observed Inflation Forecasts and the New Keynesian Phillips Curve," Economics Discussion Paper Series 0632, Economics, The University of Manchester.
    12. Rageh, Rania, 2010. "Interest rate rule for the conduct of monetary policy: analysis for Egypt (1997:2007)," MPRA Paper 26639, University Library of Munich, Germany.
    13. 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.
    14. Lee, Seojeong, 2014. "Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators," Journal of Econometrics, Elsevier, vol. 178(P3), pages 398-413.
    15. Igor Goncharov & Vasso Ioannidou & Martin C. Schmalz, 2017. "(Why) Do Central Banks Care About Their Profits?," CESifo Working Paper Series 6546, CESifo.
    16. David Vera, 2009. "How robust is the Fed reaction function to changes in the output-gap specification?," Applied Economics, Taylor & Francis Journals, vol. 43(9), pages 1059-1065.
    17. Rodrigo De-Losso, 2012. "Did The Taylor Rule Stabilize Inflation in Brazil?," Working Papers, Department of Economics 2012_21, University of São Paulo (FEA-USP).
    18. Partouche, H., 2007. "Time-Varying Coefficients in a GMM Framework: Estimation of a Forward Looking Taylor Rule for the Federal Reserve," Working papers 177, Banque de France.
    19. Katrin Wölfel & Christoph S. Weber, 2017. "Searching for the Fed’s reaction function," Empirical Economics, Springer, vol. 52(1), pages 191-227, February.
    20. Brooks, Robert & Harris, Mark & Spencer, Christopher, 2007. "An Inflated Ordered Probit Model of Monetary Policy: Evidence from MPC Voting Data," MPRA Paper 8509, University Library of Munich, Germany.
    21. Maciej Ryczkowski, 2016. "Poland as an inflation nutter:The story of successful output stabilization," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 34(2), pages 363-392.
    22. 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.
    23. Nikolay Iskrev, 2013. "On the distribution of information in the moment structure of DSGE models," 2013 Meeting Papers 339, Society for Economic Dynamics.
    24. Rodrigo De-Losso, 2012. "Questioning The Taylor Rule," Working Papers, Department of Economics 2012_22, University of São Paulo (FEA-USP).

  20. Éric Jondeau, 2004. "Gestion institutionnelle et volatilité des marchés financiers," Revue d'Économie Financière, Programme National Persée, vol. 74(1), pages 157-175.

    Cited by:

    1. Anne LAVIGNE, 2006. "Gouvernance et investissement des fonds de pension privés aux Etats-Unis," LEO Working Papers / DR LEO 690, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.

  21. 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.
    See citations under working paper version above.
  22. Jondeau, Eric & Rockinger, Michael, 2003. "User's guide," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1739-1742, August.

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    1. Wagner, Joachim, 2004. "Are Young and Small Firms Hothouses for Nascent Entrepreneurs? Evidence from German Micro Data," IZA Discussion Papers 989, Institute of Labor Economics (IZA).
    2. 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.

  23. 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.

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    1. Hamidi Sahneh, Mehdi, 2013. "Testing for Noncausal Vector Autoregressive Representation," MPRA Paper 68867, University Library of Munich, Germany, revised 16 Aug 2014.
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    3. Haas Markus, 2010. "Skew-Normal Mixture and Markov-Switching GARCH Processes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-56, September.
    4. Ahmed Shamiri & Abu Hassan, 2005. "Modeling and Forecasting Volatility of the Malaysian and the Singaporean stock indices using Asymmetric GARCH models and Non-normal Densities," Econometrics 0509015, University Library of Munich, Germany.
    5. Liu, Xiaochun, 2015. "Modeling time-varying skewness via decomposition for out-of-sample forecast," International Journal of Forecasting, Elsevier, vol. 31(2), pages 296-311.
    6. Dominique Guégan & Florian Ielpo, 2008. "Flexible time series models for subjective distribution estimation with monetary policy in view," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 51(1), pages 79-103.
    7. Travkin, Alexandr, 2013. "Pair copula constructions in portfolio optimization ploblem," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 32(4), pages 110-133.
    8. Sylvia J. Soltyk & Felix Chan, 2023. "Modeling time‐varying higher‐order conditional moments: A survey," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 33-57, February.
    9. Grigory Franguridi, 2014. "Higher order conditional moment dynamics and forecasting value-at-risk (in Russian)," Quantile, Quantile, issue 12, pages 69-82, February.
    10. Peter Christoffersen & Mathieu Fournier & Kris Jacobs & Mehdi Karoui, 2015. "Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk," CREATES Research Papers 2015-54, Department of Economics and Business Economics, Aarhus University.
    11. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2020. "The contribution of intraday jumps to forecasting the density of returns," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02505861, HAL.
    12. Srikanth Potharla & Neeraj Kumar & Pooja Choudhary & Surya Kumari Turubilli, 2024. "Is ESG Data Financially Viable? A Case of Stock Price Synchronicity," Management and Labour Studies, XLRI Jamshedpur, School of Business Management & Human Resources, vol. 49(1), pages 62-81, February.
    13. Boudt, Kris & Lu, Wanbo & Peeters, Benedict, 2015. "Higher order comoments of multifactor models and asset allocation," Finance Research Letters, Elsevier, vol. 13(C), pages 225-233.
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    18. Hamidi Sahneh, Mehdi, 2015. "Are the shocks obtained from SVAR fundamental?," MPRA Paper 65126, University Library of Munich, Germany.
    19. Cathy Yi-Hsuan Chen & Thomas C. Chiang & Wolfgang Karl Härdle, 2016. "Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 Countries," SFB 649 Discussion Papers SFB649DP2016-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    20. 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.
    21. María Nieves López-García & Miguel Angel Sánchez-Granero & Juan Evangelista Trinidad-Segovia & Antonio Manuel Puertas & Francisco Javier De las Nieves, 2021. "Volatility Co-Movement in Stock Markets," Mathematics, MDPI, vol. 9(6), pages 1-19, March.
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    32. Jeroen Rombouts & E.W. Rengifo, 2004. "Dynamic Optimal Portfolio Selection in a VaR Framework," Cahiers de recherche 04-05, HEC Montréal, Institut d'économie appliquée.
    33. Shaun Bond & Stephen Satchell, 2006. "Asymmetry and downside risk in foreign exchange markets," The European Journal of Finance, Taylor & Francis Journals, vol. 12(4), pages 313-332.
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    35. Andrew J. Patton & Johanna F. Ziegel & Rui Chen, 2017. "Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk)," Papers 1707.05108, arXiv.org.
    36. Nalpas, Nicolas & Simar, Léopold & Vanhems, Anne, 2016. "Portfolio Selection in a Multi-Input Multi-Output Setting: a Simple Monte-Carlo-FDH Algorithm," TSE Working Papers 16-648, Toulouse School of Economics (TSE).
    37. Bilbao-Terol, Amelia & Arenas-Parra, Mar & Cañal-Fernández, Verónica, 2016. "A model based on Copula Theory for sustainable and social responsible investments," Revista de Contabilidad - Spanish Accounting Review, Elsevier, vol. 19(1), pages 55-76.
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    39. Hou, Yang & Holmes, Mark, 2017. "On the effects of static and autoregressive conditional higher order moments on dynamic optimal hedging," MPRA Paper 82000, University Library of Munich, Germany.
    40. Tsiotas, Georgios, 2012. "On generalised asymmetric stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 151-172, January.
    41. Hong, Yongmiao & Liu, Yanhui & Wang, Shouyang, 2009. "Granger causality in risk and detection of extreme risk spillover between financial markets," Journal of Econometrics, Elsevier, vol. 150(2), pages 271-287, June.
    42. Andrés Eduardo Jiménez Gómez & Luis Fernando Melo Velandia, 2014. "Modelación de la asimetría y curtosis condicionales: una aplicación VaR para series colombianas," Borradores de Economia 834, Banco de la Republica de Colombia.
    43. Anthony S. Tay & Aamir R. Hashmi, 2004. "Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness," Econometric Society 2004 Far Eastern Meetings 634, Econometric Society.
    44. Fantazzini, Dean, 2011. "Analysis of multidimensional probability distributions with copula functions," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 22(2), pages 98-134.
    45. Dark Jonathan Graeme, 2010. "Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(2), pages 1-50, March.
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    47. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
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    Cited by:

    1. A. Durre, 2006. "The Liquidity Premium in the Money Market: A Comparison of the German Mark Period and the Euro Area," Post-Print hal-00171141, HAL.
    2. Durré, Alain & Evjen, Snorre & Pilegaard, Rasmus, 2003. "Estimating risk premia in money market rates," Working Paper Series 221, European Central Bank.
    3. Nicolas Rautureau, 2004. "Modèles à changement de régime et test de la théorie des anticipations rationnelles de la structure par terme des taux dintérêt en France," Économie et Prévision, Programme National Persée, vol. 163(2), pages 117-129.

  27. Jondeau, Eric & Rockinger, Michael, 2001. "Gram-Charlier densities," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1457-1483, October.

    Cited by:

    1. Ñíguez, Trino-Manuel & Perote, Javier, 2017. "Moments expansion densities for quantifying financial risk," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 53-69.
    2. Alfredo Trespalacios & Lina M. Cortés & Javier Perote, 2019. "Modeling the electricity spot price with switching regime semi-nonparametric distributions," Documentos de Trabajo de Valor Público 17618, Universidad EAFIT.
    3. Lina Cortés & Juan M. Lozada & Javier Perote, 2019. "Firm size and concentration inequality: A flexible extension of Gibrat’s law," Documentos de Trabajo de Valor Público 17205, Universidad EAFIT.
    4. Bhattacharyya, Malay & Chaudhary, Abhishek & Yadav, Gaurav, 2008. "Conditional VaR estimation using Pearson's type IV distribution," European Journal of Operational Research, Elsevier, vol. 191(2), pages 386-397, December.
    5. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2020. "Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall," International Review of Financial Analysis, Elsevier, vol. 70(C).
    6. Tae-Hwy Lee & Yong Bao & Burak Saltoğlu, 2007. "Comparing density forecast models Previous versions of this paper have been circulated with the title, 'A Test for Density Forecast Comparison with Applications to Risk Management' since October 2003;," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(3), pages 203-225.
    7. Bertholon, H. & Monfort, A. & Pegoraro, F., 2008. "Econometric Asset Pricing Modelling," Working papers 223, Banque de France.
    8. Ulyah, Siti Maghfirotul & Lin, Xenos Chang-Shuo & Miao, Daniel Wei-Chung, 2018. "Pricing short-dated foreign equity options with a bivariate jump-diffusion model with correlated fat-tailed jumps," Finance Research Letters, Elsevier, vol. 24(C), pages 113-128.
    9. Ángel León & Javier Mencía & Enrique Sentana, 2005. "Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation," Working Papers wp2005_0509, CEMFI.
    10. Lina M Cortés & Juan M Lozada & Javier Perote, 2021. "Firm size and economic concentration: An analysis from a lognormal expansion," PLOS ONE, Public Library of Science, vol. 16(7), pages 1-21, July.
    11. Rihab Bedoui & Haykel Hamdi, 2010. "Implied Risk-Neutral probability Density functions from options prices : A comparison of estimation methods," EconomiX Working Papers 2010-16, University of Paris Nanterre, EconomiX.
    12. Fengler, Matthias & Hin, Lin-Yee, 2011. "Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints," Economics Working Paper Series 1136, University of St. Gallen, School of Economics and Political Science, revised May 2013.
    13. T M Niguez & I Paya & D Peel & J Perote, 2011. "On the stability of the CRRA utility under high degrees of uncertainty," Working Papers 615773, Lancaster University Management School, Economics Department.
    14. Ryan Janicki & Tucker S. McElroy, 2016. "Hermite expansion and estimation of monotonic transformations of Gaussian data," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 28(1), pages 207-234, March.
    15. Alessandro Beber & Michael W. Brandt, 2003. "The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market," NBER Working Papers 9914, National Bureau of Economic Research, Inc.
    16. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
    17. Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
    18. Christodoulakis, George A., 2005. "Financial forecasts in the presence of asymmetric loss aversion, skewness and excess kurtosis," Finance Research Letters, Elsevier, vol. 2(4), pages 227-233, December.
    19. Ciprian Necula & Gabriel Drimus & Walter Farkas, 2019. "A general closed form option pricing formula," Review of Derivatives Research, Springer, vol. 22(1), pages 1-40, April.
    20. Cheng, Xixin & Li, W.K. & Yu, Philip L.H. & Zhou, Xuan & Wang, Chao & Lo, P.H., 2011. "Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis," Computational Statistics & Data Analysis, Elsevier, vol. 55(9), pages 2590-2604, September.
    21. Alfredo Trespalacios & Lina M. Cortés & Javier Perote, 2021. "Modeling Electricity Price and Quantity Uncertainty: An Application for Hedging with Forward Contracts," Energies, MDPI, vol. 14(11), pages 1-26, June.
    22. J. C. Arismendi & Marcel Prokopczuk, 2016. "A moment-based analytic approximation of the risk-neutral density of American options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 23(6), pages 409-444, November.
    23. Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2016. "Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach," CREATES Research Papers 2016-20, Department of Economics and Business Economics, Aarhus University.
    24. Hainaut, Donatien, 2016. "Impact of volatility clustering on equity indexed annuities," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 367-381.
    25. Sofiane Aboura & Didier Maillard, 2016. "Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(12), pages 1194-1209, December.
    26. Chateau, Jean-Pierre D., 2011. "Contribution à la réglementation de Bâle-3 : de la consistance interne du continuum du crédit commercial en marquant à la « valeur de modèle » le risque de crédit des engagements de crédit," L'Actualité Economique, Société Canadienne de Science Economique, vol. 87(4), pages 445-479, décembre.
    27. Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2022. "A meta-measure of performance related to both investors and investments characteristics," Annals of Operations Research, Springer, vol. 313(2), pages 1405-1447, June.
    28. Cortés, Lina M. & Mora-Valencia, Andrés & Perote, Javier, 2017. "Measuring firm size distribution with semi-nonparametric densities," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 485(C), pages 35-47.
    29. Andrés Mora-Valencia & Trino-Manuel Ñíguez & Javier Perote, 2017. "Multivariate approximations to portfolio return distribution," Computational and Mathematical Organization Theory, Springer, vol. 23(3), pages 347-361, September.
    30. Sinha, Arunima, 2016. "Monetary policy uncertainty and investor expectations," Journal of Macroeconomics, Elsevier, vol. 47(PB), pages 188-199.
    31. Ángel León & Gonzalo Rubio & Gregorio Serna, 2004. "Autoregressive Conditional Volatility, Skewness And Kurtosis," Working Papers. Serie AD 2004-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    32. Trino-Manuel Ñíguez & Javier Perote, 2016. "Multivariate moments expansion density: application of the dynamic equicorrelation model," Working Papers 1602, Banco de España.
    33. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2014. "VaR performance during the subprime and sovereign debt crises: An application to emerging markets," Emerging Markets Review, Elsevier, vol. 20(C), pages 23-41.
    34. Erik Schlögl & Lutz Schlögl, 2007. "Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing," Research Paper Series 190, Quantitative Finance Research Centre, University of Technology, Sydney.
    35. Chen, Yi-Ting & Ho, Keng-Yu & Tzeng, Larry Y., 2014. "Riskiness-minimizing spot-futures hedge ratio," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 154-164.
    36. Bruno Feunou & Jean-Sébastien Fontaine & Roméo Tédongap, 2017. "Implied volatility and skewness surface," Review of Derivatives Research, Springer, vol. 20(2), pages 167-202, July.
    37. Trino-Manuel Niguez & Ivan Paya & David Peel & Javier Perote, 2013. "Higher-order moments in the theory of diversification and portfolio composition," Working Papers 18297128, Lancaster University Management School, Economics Department.
    38. Brenda Castillo-Brais & Ángel León & Juan Mora, 2022. "Estimating Value-at-Risk and Expected Shortfall: Do Polynomial Expansions Outperform Parametric Densities?," Mathematics, MDPI, vol. 10(22), pages 1-17, November.
    39. Fengler, Matthias R. & Hin, Lin-Yee, 2015. "Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints," Journal of Econometrics, Elsevier, vol. 184(2), pages 242-261.
    40. León, Ángel & Moreno, Manuel, 2015. "Lower Partial Moments under Gram Charlier Distribution: Performance Measures and Efficient Frontiers," QM&ET Working Papers 15-3, University of Alicante, D. Quantitative Methods and Economic Theory.
    41. Choi, ByoungSeon & Kim, Chansoo & Kang, Hyuk & Choi, M.Y., 2020. "General solutions of the heat equation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
    42. Barletta, Andrea & Santucci de Magistris, Paolo & Violante, Francesco, 2019. "A non-structural investigation of VIX risk neutral density," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 1-20.
    43. Trino-Manuel Ñíguez & Javier Perote, 2012. "Forecasting Heavy-Tailed Densities with Positive Edgeworth and Gram-Charlier Expansions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(4), pages 600-627, August.
    44. Peter Julian Cayton & Dennis Mapa, 2015. "Time-varying conditional Johnson Su density in Value-at-Risk methodology," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, vol. 51(1), pages 23-44, June.
    45. Galati, Gabriele & Melick, William & Micu, Marian, 2005. "Foreign exchange market intervention and expectations: The yen/dollar exchange rate," Journal of International Money and Finance, Elsevier, vol. 24(6), pages 982-1011, October.
    46. Rubio Irigoyen, Gonzalo & Ferreira García, María Eva & Gago, Mónica & León, Angel, 2002. "An empirical comparison of the performance of alternative option pricing models," DFAEII Working Papers 1988-088X, University of the Basque Country - Department of Foundations of Economic Analysis II.
    47. Zhu, Ke & Li, Wai Keung, 2013. "A new Pearson-type QMLE for conditionally heteroskedastic models," MPRA Paper 52344, University Library of Munich, Germany.
    48. Vijverberg, Chu-Ping C. & Vijverberg, Wim P.M. & Taşpınar, Süleyman, 2016. "Linking Tukey’s legacy to financial risk measurement," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 595-615.
    49. Damir Filipovi'c & Sander Willems, 2018. "A Term Structure Model for Dividends and Interest Rates," Papers 1803.02249, arXiv.org, revised May 2020.
    50. Ornelas, José Renato Haas & Barbachan, José Santiago Fajardo & Farias, Aquiles Rocha de, 2012. "Estimating relative risk aversion, risk-neutral and real-world densities using brazilian real currency options," EBAPE Working Papers 1, FGV EBAPE - Escola Brasileira de Administração Pública e de Empresas (Brazil).
    51. Carnero, M. Angeles & León, Angel & Ñíguez, Trino-Manuel, 2023. "Skewness in energy returns: estimation, testing and retain-->implications for tail risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 178-189.
    52. Rockinger, M. & Jondeau, E., 2001. "Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis," Working papers 79, Banque de France.
    53. Rodrigo S. Targino & Gareth W. Peters & Georgy Sofronov & Pavel V. Shevchenko, 2013. "Optimal insurance purchase strategies via optimal multiple stopping times," Papers 1312.0424, arXiv.org.
    54. León, Ángel & Ñíguez, Trino-Manuel, 2020. "Modeling asset returns under time-varying semi-nonparametric distributions," Journal of Banking & Finance, Elsevier, vol. 118(C).
    55. León, Angel & Moreno, Manuel, 2017. "One-sided performance measures under Gram-Charlier distributions," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 38-50.
    56. Alfredo Trespalacios & Lina M. Cortés & Javier Perote, 2019. "Uncertainty in Electricity Markets from a seminonparametric Approach," Documentos de Trabajo de Valor Público 17304, Universidad EAFIT.
    57. Zoia, Maria Grazia & Biffi, Paola & Nicolussi, Federica, 2018. "Value at risk and expected shortfall based on Gram-Charlier-like expansions," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 92-104.
    58. Ardia, David & Boudt, Kris, 2015. "Testing equality of modified Sharpe ratios," Finance Research Letters, Elsevier, vol. 13(C), pages 97-104.
    59. Maria Grazia Zoia & Gianmarco Vacca & Laura Barbieri, 2020. "Modeling Multivariate Financial Series and Computing Risk Measures via Gram–Charlier-Like Expansions," Risks, MDPI, vol. 8(4), pages 1-21, November.
    60. Del Brio, Esther B. & Perote, Javier, 2012. "Gram–Charlier densities: Maximum likelihood versus the method of moments," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 531-537.
    61. Leccadito, Arturo & Paletta, Tommaso & Tunaru, Radu, 2016. "Pricing and hedging basket options with exact moment matching," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 59-69.
    62. Del Brio, Esther B. & Ñíguez, Trino-Manuel & Perote, Javier, 2008. "Multivariate Gram-Charlier Densities," MPRA Paper 29073, University Library of Munich, Germany.
    63. Cayton, Peter Julian A. & Mapa, Dennis S., 2012. "Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology," MPRA Paper 36206, University Library of Munich, Germany.
    64. Eva Ferreira & Mónica Gago & Angel León & Gonzalo Rubio, 2005. "An empirical comparison of the performance of alternative option pricing models," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 483-523, September.
    65. Hallam, Mark & Olmo, Jose, 2014. "Forecasting daily return densities from intraday data: A multifractal approach," International Journal of Forecasting, Elsevier, vol. 30(4), pages 863-881.
    66. Marian Micu, 2005. "Extracting expectations from currency option prices: a comparison of methods," Computing in Economics and Finance 2005 226, Society for Computational Economics.
    67. Kwamie Dunbar, 2009. "Solving the Non-Linear Dynamic Asset Allocation Problem: Effects of Arbitrary Stochastic Processes and Unsystematic Risk on the Super Efficient Portfolio Space," Working papers 2009-04, University of Connecticut, Department of Economics.
    68. Alexander Zeitlberger & Alexander Brauneis, 2016. "Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 24(1), pages 149-176, March.
    69. Barletta, Andrea & Santucci de Magistris, Paolo & Sloth, David, 2019. "It only takes a few moments to hedge options," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 251-269.
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  28. 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.

    Cited by:

    1. Vähämaa, Sami, 2004. "Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB," Working Paper Series 315, European Central Bank.
    2. Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2016. "Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach," CREATES Research Papers 2016-20, Department of Economics and Business Economics, Aarhus University.
    3. Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 581-656, Elsevier.
    4. Äijö, Janne, 2008. "Impact of US and UK macroeconomic news announcements on the return distribution implied by FTSE-100 index options," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 242-258.
    5. Abderrahmen Aloulou & Younes Boujelbene, 2019. "Dynamic analysis of implied risk neutral density," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 12(1), pages 39-58.
    6. Barletta, Andrea & Santucci de Magistris, Paolo & Violante, Francesco, 2019. "A non-structural investigation of VIX risk neutral density," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 1-20.
    7. Kostakis, Alexandros & Mu, Liangyi & Otsubo, Yoichi, 2023. "Detecting political event risk in the option market," Journal of Banking & Finance, Elsevier, vol. 146(C).
    8. Nessim Souissi, 2017. "The Implied Risk Neutral Density Dynamics: Evidence from the S&P TSX 60 Index," Journal of Applied Mathematics, Hindawi, vol. 2017, pages 1-10, June.
    9. Vladimir Zdorovenin & Jacques Pézier, 2011. "Does Information Content of Option Prices Add Value for Asset Allocation?," ICMA Centre Discussion Papers in Finance icma-dp2011-03, Henley Business School, University of Reading.
    10. Luiz Vitiello & Ser-Huang Poon, 2014. "Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing," Review of Derivatives Research, Springer, vol. 17(2), pages 241-259, July.
    11. Rihab Bedoui & Haykel Hamdi, 2010. "Implied Risk-Neutral probability Density functions from options prices: A comparison of estimation methods," Working Papers hal-04140913, HAL.
    12. Andrea Barletta & Paolo Santucci de Magistris, 2018. "Analyzing the Risks Embedded in Option Prices with rndfittool," Risks, MDPI, vol. 6(2), pages 1-15, March.
    13. Barletta, Andrea & Santucci de Magistris, Paolo & Sloth, David, 2019. "It only takes a few moments to hedge options," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 251-269.
    14. Jukka Sihvonen & Sami Vähämaa, 2014. "Forward‐Looking Monetary Policy Rules and Option‐Implied Interest Rate Expectations," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(4), pages 346-373, April.
    15. Panigirtzoglou, Nikolaos & Skiadopoulos, George, 2004. "A new approach to modeling the dynamics of implied distributions: Theory and evidence from the S&P 500 options," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1499-1520, July.
    16. José Renato Haas Ornelas & Marcelo Yoshio Takami, 2011. "Recovering Risk-Neutral Densities from Brazilian Interest Rate Options," Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(1), pages 9-26.

  29. 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.
    See citations under working paper version above.
  30. 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.
    See citations under working paper version above.
  31. 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.

    Cited by:

    1. Benjamin Tabak, 2009. "Testing the expectations hypothesis in the Brazilian term structure of interest rates: a cointegration analysis," Applied Economics, Taylor & Francis Journals, vol. 41(21), pages 2681-2689.
    2. Minoas Koukouritakis & Leo Michelis, 2006. "The Term Structure of Interest Rates in the European Union," Working Papers 0611, University of Crete, Department of Economics.
    3. Benjamin Miranda Tabak & Sandro Canesso de Andrade, 2001. "Testing the Expectations Hypothesis in the Brazilian Term Structure of Interest Rates," Working Papers Series 30, Central Bank of Brazil, Research Department.
    4. 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.
    5. Davig, Troy & Leeper, Eric M. & Walker, Todd B., 2011. "Inflation and the fiscal limit," European Economic Review, Elsevier, vol. 55(1), pages 31-47, January.
    6. Koukouritakis, Minoas, 2013. "Expectations hypothesis in the context of debt crisis: Evidence from five major EU countries," Research in Economics, Elsevier, vol. 67(3), pages 243-258.
    7. Tabak, Benjamin M. & Serra, Thiago R. & Cajueiro, Daniel O., 2009. "The expectation hypothesis of interest rates and network theory: The case of Brazil," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(7), pages 1137-1149.
    8. Wright, Jonathan & Gürkaynak, Refet, 2010. "Macroeconomics and the Term Structure," CEPR Discussion Papers 8018, C.E.P.R. Discussion Papers.
    9. Dayong Zhang & Marco R. Barassi & Jijun Tan, 2015. "Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 1118-1140, December.
    10. K. Balcombe, 2006. "Bayesian estimation of cointegrating thresholds in the term structure of interest rates," Empirical Economics, Springer, vol. 31(2), pages 277-289, June.
    11. Harrathi Nizar & Alhoshan Hamed M., 2020. "Validity of the Expectations Hypothesis of the Term Structure of Interest Rates: The Case of Saudi Arabia," Review of Middle East Economics and Finance, De Gruyter, vol. 16(1), pages 1-18, April.
    12. Osmani T. Guillen & Benjamin M. Tabak, 2008. "Characterizing the Brazilian Term Structure of Interest Rates," Working Papers Series 158, Central Bank of Brazil, Research Department.
    13. Bams, D. & Wolff, C., 1998. "Risk Premia in Term Structure of Interest Rates: A Panel Data Approach," Papers 98-50, Southern California - School of Business Administration.
    14. Kelvin Balcombe & Richard Tiffin, 2002. "Bootstrap testing of the expectations hypothesis with the term structure of interest rates," Applied Economics Letters, Taylor & Francis Journals, vol. 9(9), pages 563-566.
    15. A. Durre, 2006. "The Liquidity Premium in the Money Market: A Comparison of the German Mark Period and the Euro Area," Post-Print hal-00171141, HAL.
    16. Jelena Zubkova, 2003. "Interest Rate Term Structure in Latvia in the Monetary Policy Context," Working Papers 2003/03, Latvijas Banka.
    17. Durré, Alain & Evjen, Snorre & Pilegaard, Rasmus, 2003. "Estimating risk premia in money market rates," Working Paper Series 221, European Central Bank.
    18. Drakos, Konstantinos, 2001. "Monetary policy and the yield curve in an emerging market: the Greek case," Emerging Markets Review, Elsevier, vol. 2(3), pages 244-262, September.
    19. Silva Lopes, Artur C. & Monteiro, Olga Susana, 2007. "The Expectations Hypothesis of the Term Structure: Some Empirical Evidence for Portugal," MPRA Paper 6310, University Library of Munich, Germany, revised 14 Dec 2007.
    20. Lanne, Markku, 1999. "Testing the expectations hypothesis of the term structure of interest rates in the presence of a potential regime shift," Bank of Finland Research Discussion Papers 20/1999, Bank of Finland.
    21. Rajnish Mehra & Arunima Sinha, 2016. "The Term Structure of Interest Rates in India," NBER Working Papers 22020, National Bureau of Economic Research, Inc.
    22. Nicholas Addai Boamah, 2016. "Testing the expectations hypothesis of the term structure of interest rate: the case of Ghana," Journal of African Business, Taylor & Francis Journals, vol. 17(1), pages 1-15, January.
    23. Jongen, Ron & Verschoor, Willem F.C. & Wolff, Christian C.P., 2011. "Time-variation in term premia: International survey-based evidence," Journal of International Money and Finance, Elsevier, vol. 30(4), pages 605-622, June.
    24. Vicente Esteve & Manuel Navarro-Ibáñez & Maria A. Prats, 2010. "The Spanish term structure of interest rates revisited: cointegration with multiple structural breaks, 1974-2010," Working Papers 1001, Department of Applied Economics II, Universidad de Valencia.
    25. Nicolas Rautureau, 2004. "Modèles à changement de régime et test de la théorie des anticipations rationnelles de la structure par terme des taux dintérêt en France," Économie et Prévision, Programme National Persée, vol. 163(2), pages 117-129.
    26. Bruno Ducoudre, 2008. "Structure par terme des taux d’intérêt et anticipations de la politique économique," Sciences Po publications info:hdl:2441/5221, Sciences Po.
    27. Panagiotis T. Konstantinou, 2005. "The Expectations Hypothesis of the Term Structure : A Look at the Polish Interbank Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 41(3), pages 70-91, May.
    28. 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.
    29. Musti, Silvana & D'Ecclesia, Rita Laura, 2008. "Term structure of interest rates and the expectation hypothesis: The euro area," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1596-1606, March.
    30. Minoas Koukouritakis & Leo Michelis, 2005. "The Term Structures of Interest Rates in the New and Prospective EU Countries," Working Papers 0505, University of Crete, Department of Economics.
    31. Konstantinou, Panagiotis, 2004. "Term Structure Dynamics: A Daily View from the Hungarian Foreign Currency Deposits Markets," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 57(3), pages 315-331.
    32. Drakos, Konstantinos, 2003. "The term structure of deviations from the interest parity," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(1), pages 57-67, February.
    33. Minoas Koukouritakis, 2010. "Structural breaks and the expectations hypothesis of the term structure: evidence from Central European countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 145(4), pages 757-774, January.
    34. Mohamed Z. M. Aazim & Nawalage S. Cooray, 2010. "Monetary Policy and Yield Curve Dynamics in an Emerging Market: Sri Lankan Perspectives," Working Papers EMS_2010_11, Research Institute, International University of Japan.
    35. Wolff, Christian & Verschoor, Willem F C & Jongen, Ron, 2005. "Time Variation in Term Premia: International Evidence," CEPR Discussion Papers 4959, C.E.P.R. Discussion Papers.
    36. Minoas Koukouritakis & Leo Michelis, 2005. "Term Structure Linkages Among the New EU Countries and the EMU," Working Papers 0515, University of Crete, Department of Economics.
    37. Smant, David / D.J.C., 2010. "Direct tests of the expectations theory of the term structure: Survey expectations, the term premium and coefficient biases," MPRA Paper 19815, University Library of Munich, Germany.
    38. Olga Susana M. Monteiro & Artur C. B. da Silva Lopes, 2010. "Short- and Long-Run Tests of the Expectations Hypothesis: The Portuguese Case," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, vol. 56(3), pages 257-280.
    39. van Bergeijk, Peter A. G. & Berk, Jan Marc, 2000. "Is the yield curve a useful Information variable for the Eurosystem?," Working Paper Series 11, European Central Bank.
    40. Gianna Boero & Costanza Torricelli, 2002. "The information in the term structure of German interest rates," The European Journal of Finance, Taylor & Francis Journals, vol. 8(1), pages 21-45.

  32. 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.
    See citations under working paper version above.
  33. 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.

    Cited by:

    1. Rautureau, Nicolas, 2004. "Measuring the long-term perception of monetary policy and the term structure," Bank of Finland Research Discussion Papers 12/2004, Bank of Finland.
    2. Pami Dua & Nishita Raje & Satyananda Sahoo, 2004. "Interest Rate Modeling and Forecasting in India," Occasional papers 3, Centre for Development Economics, Delhi School of Economics.
    3. Pami Dua & Nishita Raje & Satyananda Sahoo, 2008. "Forecasting Interest Rates in India," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 2(1), pages 1-41, March.

  34. 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.
    See citations under working paper version above.
  35. 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.
    See citations under working paper version above.
  36. 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.
    See citations under working paper version above.
  37. Eric Jondeau, 1992. "La soutenabilité de la politique budgétaire," Économie et Prévision, Programme National Persée, vol. 104(3), pages 1-17.

    Cited by:

    1. Carlos Vieira, 2004. "Unsustainable Fiscal Policies in the EU, A Legacy of the 1970s?," Economics Working Papers 1_2004, University of Évora, Department of Economics (Portugal).
    2. Jérôme Creel & Henri Sterdyniak, 1995. "Les déficits publics en Europe. Causes, conséquences ou remèdes à la crise ?," Revue Économique, Programme National Persée, vol. 46(3), pages 645-656.
    3. Crettez, B. & Michel, P. & Wigniolle, B., 2000. "Jusqu'ou l'Etat peut-il s'endetter? Une approche par les modeles a generations imbriquees d'agents," G.R.E.Q.A.M. 00a11, Universite Aix-Marseille III.
    4. James E. Payne, 2003. "A Survey of the International Empirical Evidence on the Tax-Spend Debate," Public Finance Review, , vol. 31(3), pages 302-324, May.
    5. Pierre-Yves Hénin, 1997. "Soutenabilité des déficits et ajustements budgétaires," Revue Économique, Programme National Persée, vol. 48(3), pages 371-395.

  38. 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.

    Cited by:

    1. Brigitte Dormont, 1994. "Quelle est l'influence du coût du travail sur l'emploi ?," Revue Économique, Programme National Persée, vol. 45(3), pages 399-414.
    2. Brigitte Dormont, 1997. "L'influence du coût salarial sur la demande de travail," Économie et Statistique, Programme National Persée, vol. 301(1), pages 95-109.
    3. Boyer, Robert, 1998. "Le lien salaire-emploi dans la théorie de la régulation. Autant de relations que de configurations institutionnelles," CEPREMAP Working Papers (Couverture Orange) 9814, CEPREMAP.
    4. Robert Boyer, 1999. "Le lien salaire-emploi dans la théorie de la régulation. Autant de relations que de configurations institutionnelles," Cahiers d'Économie Politique, Programme National Persée, vol. 34(1), pages 101-161.

Chapters

  1. 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..
    See citations under working paper version above.Sorry, no citations of chapters recorded.
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