Institute of Banking and Finance
Ecole des HEC - University of Lausanne
Phone: ++41 (0)21 692 3349
Fax: ++41 (0)21 692 3435
Email: Eric [dot] Jondeau [at] unil [dot] ch
Financial Econometrics, Empirical finance, Asset management, Risk management, Modeling of asset prices.
Modeling Under Non-Gaussian Distributions
About this Book
Practitioners and researchers who have handled financial market data know that asset returns do not behave according to the bell-shaped curve, associated with the Gaussian or normal distribution. Indeed, the use of Gaussian models when the asset return distributions are not normal could lead to a wrong choice of portfolio, the underestimation of extreme losses or mispriced derivative products. Consequently, non-Gaussian models and models based on processes with jumps, are gaining popularity among financial market practitioners.
Non-Gaussian distributions are the key theme of this book which addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. One of the main aims is to bridge the gap between the theoretical developments and the practical implementations of what many users and researchers perceive as "sophisticated" models or black boxes. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series, such as exchange and interest rates.
Many codes used in this book are available on the webpage: http://www.hec.unil.ch/MatlabCodes/
Recent Publications (Complete List of Publications)
Estimating Aggregate Autoregressive Processes When Only Macro Data Are Available (with F. Pelgrin) (2014), forthcoming Economics Letters.
Systemic Risk in Europe (with R. Engle and M. Rockinger) (2014), forthcoming Review of Finance.
On the Importance of Time-Variability in Higher Moments for Asset Allocation (with M. Rockinger) (2012), Journal of Financial Econometrics.
Sectoral Phillips curves and the aggregate Phillips curve (with J. Imbs and F. Pelgrin) (2011), Journal of Monetary Economics.
The Impact of Shocks on Higher Moments (with M. Rockinger) (2009), Journal of Financial Econometrics.
Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity (with J.-G. Sahuc) (2008), International Journal of Central Banking.
Testing Heterogeneity within the Euro Area Using a Structural Multi-Country Model (with J.-G. Sahuc) (2008), Economics Letters.
Examining Bias in Estimators of Linear Rational Expectations Models under Misspecification (with H. Le Bihan) (2008), Journal of Econometrics.
Optimal Portfolio Allocation Under Higher Moments (with M. Rockinger) (2006), European Financial Management.
The Copula-GARCH Model of Conditional Dependencies: An International Stock Market Application (with M. Rockinger) (2006), Journal of International Money and Finance.
Recent Working Papers (Complete List of Working Papers)
Asymmetry in the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps (with J. Lahaye and M. Rockinger) (2013) (New Version)
Long-Term Portfolio Management with a Structural Macroeconomic Model (with L. Calés and M. Rockinger) (2013) (New Version)
Moment Component Analysis: An Illustration with International Stock Markets (with E. Jurczenko and M. Rockinger) (2010)
Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty (with M. Rockinger) (2010)
Asymmetry in Tail Dependence of Equity Portfolios (2010)
Aggregating Rational Expectations Models In the Presence of Unobserved Micro Heterogeneity (with F. Pelgrin) (2009)
Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias (2008)
Optimal Liquidation Strategies in Illiquid Markets (with A. Perilla and M. Rockinger) (2007). (new version)
Master of Science in Finance
Master of Science in Finance
SFI PhD Program
Link to the Center for Financial Documentation at HEC Lausanne (CEDIF).
Link to the Matlab Toolbox (joint website with Michael Rockinger)Other Links