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Eric Jondeau

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Personal Details

First Name:Eric
Middle Name:
Last Name:Jondeau
Suffix:
RePEc Short-ID:pjo225
Email:
Homepage:http://www.hec.unil.ch/ejondeau/
Postal Address:Extranef 232 Institute of Banking and Finance 1015 Lausanne Switzerland
Phone:
Location: Lausanne, Switzerland
Homepage: http://www.hec.unil.ch/ibf/
Email:
Phone: +41-21-692.33.84
Fax: +41 21 692 34 35
Postal: Route de Chavannes 33, 1007 Lausanne
Handle: RePEc:edi:ibflsch (more details at EDIRC)
Location: Genève/Zürich, Switzerland
Homepage: http://www.swissfinanceinstitute.ch/
Email:
Phone: 41 22 / 312 09 61
Fax: 41 22 / 312 10 26
Postal: 40 bd. du Pont d'Arve, Case postale 3, CH - 1211 Geneva 4
Handle: RePEc:edi:fameech (more details at EDIRC)
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  1. 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.
  2. Jean Imbs & Eric Jondeau & Florian Pelgrin, 2007. "Aggregating Phillips Curves," Swiss Finance Institute Research Paper Series 07-06, Swiss Finance Institute.
  3. Jondeau, E. & Sahuc, J-G., 2007. "Testing heterogeneity within the euro area," Working papers 181, Banque de France.
  4. Eric Jondeau & Michael Rockinger, 2006. "The Economic Value of Distributional Timing," Swiss Finance Institute Research Paper Series 06-35, Swiss Finance Institute.
  5. Eric Jondeau & Michael Rockinger, 2006. "The Impact of News on Higher Moments," Swiss Finance Institute Research Paper Series 06-28, Swiss Finance Institute.
  6. 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.
  7. 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.
  8. 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.
  9. Jondeau, E. & Rockinger, M., 2004. "Optimal Portfolio Allocation Under Higher Moments," Working papers 108, Banque de France.
  10. Jondeau, E. & Rockinger, M., 2004. "The Bank Bias: Segmentation of French Fund Families," Working papers 107, Banque de France.
  11. Eric JONDEAU & Hervé LE BIHAN, 2003. "ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the "New Phillips Curve")," Econometrics 0303004, EconWPA.
  12. Eric Jondeau & Michael Rockinger, 2002. "The Allocation of Assets Under Higher Moments," FAME Research Paper Series rp71, International Center for Financial Asset Management and Engineering.
  13. 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.
  14. Jondeau, E. & Rockinger, M., 2002. "Asset Allocation in Transition Economies," Working papers 90, Banque de France.
  15. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Testing for differences in the tails of stock-market returns," Les Cahiers de Recherche 739, HEC Paris.
  16. Rockinger, M. & Jondeau, E., 2001. "Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis," Working papers 79, Banque de France.
  17. Clémentine Florens & Eric Jondeau & Hervé Le Bihan, 2001. "Assessing GMM Estimates of the Federal Reserve Reaction Function," Econometrics 0111003, EconWPA.
  18. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Conditional dependency of financial series : an application of copulas," Les Cahiers de Recherche 723, HEC Paris.
  19. Eric Jondeau & Hervé Le Bihan, 2001. "Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US data," Macroeconomics 0111005, EconWPA.
  20. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Portfolio allocation in transition economies," Les Cahiers de Recherche 740, HEC Paris.
  21. ROCKINGER, Michael & JONDEAU, Eric, 2000. "Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence," Les Cahiers de Recherche 710, HEC Paris.
  22. Chesnay, F. & Jondeau, E., 2000. "Does Correlation between Stock Returns Really Increase during Turbulent Period?," Working papers 73, Banque de France.
  23. 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.
  24. ROCKINGER, Michael & JONDEAU, Eric, 2000. "Entropy densities," Les Cahiers de Recherche 709, HEC Paris.
  25. 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.
  26. Avouyi-Dovi, S. & Jondeau, E., 1999. "Interest Rate Transmission and Volatility Transmission along the Yield Curve," Working papers 57, Banque de France.
  27. Avouyi-Dovi, S. & Jondeau, E., 1999. "La modelisation de la volatilite des bourses asiatiques," Working papers 58, Banque de France.
  28. Avouyi-Dovi, S. & Jondeau, E., 1999. "Modelling the French Swap Spread," Working papers 65, Banque de France.
  29. Jondeau, E., 1999. "La mesure du ratio rendement-risque a partir du marche des euro-devises," Working papers 59, Banque de France.
  30. Jondeau, E. & Le Bihan, H. & Sedillot, F., 1999. "Modelisation et prevision des indices de prix sectoriels," Working papers 68, Banque de France.
  31. ROCKINGER, Michael & JONDEAU, Eric, 1999. "The Tail Behavior of Stock Returns: Emerging versus Mature Markets," Les Cahiers de Recherche 668, HEC Paris.
  32. Jondeau, E. & Rockinger, M., 1998. "Estimating Gram-Charlier Expansions with Positivity Constraints," Working papers 56, Banque de France.
  33. 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.
  34. 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.
  35. 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.
  36. 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.
  37. Jondeau, E. & Rockinger, M., 1998. "Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral," Working papers 47, Banque de France.
  38. C. Bruneau & E. Jondeau, 1997. "Long-run causality, with an application to international links between long-term interest rates," THEMA Working Papers 97-26, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  39. Jondeau, E., 1997. "Représentation VAR et test de la théorie des anticipations de la structure par terme," Working papers 46, Banque de France.
  40. 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.
  41. 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.
  42. Avouyi-Dovi, S. & Jondeau, E. & Lai Tong, C., 1997. "Effets “volume”, volatilité et transmissions internationales sur les marchés boursiers dans le G5," Working papers 42, Banque de France.
  43. C. Bruneau & E. Jondeau, 1996. "Test of persistent causality with an application of the expectations theory of the term structure," THEMA Working Papers 96-14, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  44. Jondeau, E. & Ricart, R., 1996. "The Expectation Theory: Tests on French, German, and American Euro-Rates," Working papers 35, Banque de France.
  45. Avouyi-Dovi, S. & Jondeau, E. & Lai tong, C. & Sedillot, F., 1995. "Les marches boursiers dans le G5 : effets volume et mesures de la volatilite," Papers 1995-05/f, Caisse des Depots et Consignations - Cahiers de recherche.
  46. Jondeau, E., 1994. "Modele de prevision et allocation d'actifs," Papers 1994-05-f, Caisse des Depots et Consignations - Cahiers de recherche.
  47. Jondeau, E., 1993. "Le modele de prevision mensuelle du prix des actifs financiers dans le G5: une analyse des proprietes," Papers 1993-01-f, Caisse des Depots et Consignations - Cahiers de recherche.
  48. Jondeau, E. & Avouyi-Dovi, S., 1993. "Retour sur les determinants fondamentaux des cours boursiers: une formulation a correction d'erreur," Papers 1993-12-f, Caisse des Depots et Consignations - Cahiers de recherche.
  49. Matta, N. & Jondeau, E., 1993. "Politique monetaire et objectifs intermedieres aux Etats-Unis," Papers 1993-14-f, Caisse des Depots et Consignations - Cahiers de recherche.
  50. Avouyi-Dovi, S. & Jondeau, E. & Kaabi, M., 1993. "Analyse des cours boursiers : une premiere approche," Papers 1993-07-f, Caisse des Depots et Consignations - Cahiers de recherche.
  51. 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.
  52. Jondeau, E. & Nocolai, J.P., 1993. "Modelisation du prix des actifs financiers," Papers 1993-16-f, Caisse des Depots et Consignations - Cahiers de recherche.
  53. 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.
  54. Eric JONDEAU & Michael ROCKINGER, . "Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty," Swiss Finance Institute Research Paper Series 10-41, Swiss Finance Institute.
  55. Eric JONDEAU & Emmanuel JURCZENKO & Michael ROCKINGER, . "Moment Component Analysis: An Illustration with International Stock Markets," Swiss Finance Institute Research Paper Series 10-43, Swiss Finance Institute.
  56. Eric JONDEAU & Florian PELGRIN, . "Aggregating Rational Expectations Models in the Presence of Unobserved Micro Heterogeneity," Swiss Finance Institute Research Paper Series 09-30, Swiss Finance Institute.
  1. Jondeau, Eric & Pelgrin, Florian, 2014. "Estimating aggregate autoregressive processes when only macro data are available," Economics Letters, Elsevier, vol. 124(3), pages 341-347.
  2. Imbs, Jean & Jondeau, Eric & Pelgrin, Florian, 2011. "Sectoral Phillips curves and the aggregate Phillips curve," Journal of Monetary Economics, Elsevier, vol. 58(4), pages 328-344.
  3. Eric Jondeau & Michael Rockinger, 2009. "On the Importance of Time Variability in Higher Moments for Asset Allocation," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 10(1), pages 84-123, 2012 10 1.
  4. Eric Jondeau & Michael Rockinger, 2009. "The Impact of Shocks on Higher Moments," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 7(2), pages 77-105, Spring.
  5. 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.
  6. Jondeau, Eric & Sahuc, Jean-Guillaume, 2008. "Testing heterogeneity within the euro area," Economics Letters, Elsevier, vol. 99(1), pages 192-196, April.
  7. 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.
  8. Eric Jondeau & Michael Rockinger, 2006. "Optimal Portfolio Allocation under Higher Moments," European Financial Management, European Financial Management Association, vol. 12(1), pages 29-55.
  9. 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.
  10. 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.
  11. Jondeau E. & Le Bihan H. & Galles C., 2004. "Assessing Generalized Method-of-Moments Estimates of the Federal Reserve Reaction Function," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 225-239, April.
  12. Éric Jondeau, 2004. "Gestion institutionnelle et volatilité des marchés financiers," Revue d'Économie Financière, Programme National Persée, vol. 74(1), pages 157-175.
  13. 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.
  14. Jondeau, Eric & Rockinger, Michael, 2003. "User's guide," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1739-1742, August.
  15. 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.
  16. Eric JONDEAU & Hervé LE BIHAN, 2002. "Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies," Annales d'Economie et de Statistique, ENSAE, issue 67-68, pages 357-388.
  17. Christopher J. FLINN, 2002. "Interpreting Minimum Wage Effects on Wage Distributions : A Cautionary Tale," Annales d'Economie et de Statistique, ENSAE, issue 67-68, pages 309-355.
  18. Rockinger, Michael & Jondeau, Eric, 2002. "Entropy densities with an application to autoregressive conditional skewness and kurtosis," Journal of Econometrics, Elsevier, vol. 106(1), pages 119-142, January.
  19. Éric JONDEAU -, 2001. "La théorie des anticipations de la structure par terme permet-elle de rendre compte de l'évolution des taux d'intérêt sur euro-devise ?," Annales d'Economie et de Statistique, ENSAE, issue 62, pages 139-174.
  20. Héraclès M. POLEMARCHAKIS & Luigi VENTURA, 2001. "The Relevance of Extrinsic Uncertainty," Annales d'Economie et de Statistique, ENSAE, issue 62, pages 175-191.
  21. 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, 02.
  22. 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.
  23. Jondeau, Eric & Rockinger, Michael, 2001. "Gram-Charlier densities," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1457-1483, October.
  24. 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.
  25. Catherine BRUNEAU & Eric JONDEAU, 1999. "Causalité de long terme et amélioration de la prévision : application aux courbes de taux d'intérêt," Annales d'Economie et de Statistique, ENSAE, issue 54, pages 23-45.
  26. Bruneau, Catherine & Jondeau, Eric, 1999. " Long-Run Causality, with an Application to International Links between Long-Term Interest Rates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(4), pages 545-68, November.
  27. Eric Jondeau & Franck Sédillot, 1999. "Forecasting French and German long-term rates using a rational expectations model," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 135(3), pages 413-436, September.
  28. Roland Ricart & Éric Jondeau, 1999. "Le contenu en information de la pente des taux : application au cas des titres publics français," Économie et Prévision, Programme National Persée, vol. 140(4), pages 1-20.
  29. 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.
  30. Eric JONDEAU & Roland RICART, 1998. "La théorie des anticipations de la structure par terme : test à partir de titres publics français," Annales d'Economie et de Statistique, ENSAE, issue 52, pages 1-22.
  31. Éric Jondeau, 1996. "Les modèles monétaires de taux de change : un examen empirique," Économie et Prévision, Programme National Persée, vol. 123(2), pages 53-65.
  32. Éric Jondeau & Nada Villermain-Lécolier, 1996. "La stabilité de la fonction de demande de monnaie aux Etats-Unis," Revue Économique, Programme National Persée, vol. 47(5), pages 1121-1148.
  33. Frank Sédillot & Eric Jondeau & Patrick Jacq, 1993. "Les politiques monétaires au sein du SME," Économie et Prévision, Programme National Persée, vol. 109(3), pages 57-74.
  34. Eric Jondeau, 1992. "La soutenabilité de la politique budgétaire," Économie et Prévision, Programme National Persée, vol. 104(3), pages 1-17.
  35. Eric Jondeau & Jean-François Loué, 1992. "La gestion optimale des finances publiques en présence de coûts d'ajustement," Économie et Prévision, Programme National Persée, vol. 104(3), pages 19-38.
  36. Eric Jondeau & Damien Girardot, 1990. "La substitution entre capital et travail : une évaluation sur données d'entreprises," Économie et Statistique, Programme National Persée, vol. 237(1), pages 135-142.
13 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (4) 2007-03-31 2007-08-08 2007-10-20 2007-10-20. Author is listed
  2. NEP-CFN: Corporate Finance (2) 2002-11-28 2002-11-28
  3. NEP-ECM: Econometrics (3) 2003-03-13 2007-10-20 2008-04-12
  4. NEP-EEC: European Economics (1) 2001-12-04
  5. NEP-ETS: Econometric Time Series (1) 2008-04-12
  6. NEP-FIN: Finance (3) 2002-11-28 2002-11-28 2005-04-16
  7. NEP-FMK: Financial Markets (1) 2002-11-28
  8. NEP-MAC: Macroeconomics (5) 2003-03-10 2003-03-10 2007-03-31 2007-08-08 2007-10-20. Author is listed
  9. NEP-ORE: Operations Research (1) 2008-04-12
  10. NEP-RMG: Risk Management (2) 2002-11-28 2002-11-28
  11. NEP-TRA: Transition Economics (1) 2002-11-28
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