Institute of Banking and Finance
Faculty of Business and Economics (HEC Lausanne)
University of Lausanne
Phone: ++41 (0)21 692 3349
Fax: ++41 (0)21 692 3435
Email: Eric [dot] Jondeau [at] unil [dot] ch
Eric Jondeau is Professor of Finance at the University of Lausanne, Switzerland. He graduated from the French National School of Statistics and Economics (ENSAE, Paris) and holds a PhD in Economics from the University of Paris-Dauphine. He is also fellow of the French Actuaries Institute.
Before joining HEC Lausanne in 2004, he worked in the French banking industry (Caisse des Dépôts et Consignations, Banque Indosuez, and Banque de France). He has been the Director of the Institute of Banking and Finance from 2006 to 2012 and is now the Director of the Center for Risk Management – Lausanne (CRML).
His main research interests are financial econometrics, the modelling of asset prices, portfolio allocation under non-normality, and the estimation of rational expectations models. His papers have been published in a variety of academic journals including the Journal of Econometrics, the Review of Finance, the Journal of Financial Econometrics, and the Journal of Business and Economic Statistics.
Complete Curriculum Vitae
SSRN author page
Google Scholar citation page
IDEAS citation page
Financial Econometrics, Modelling of asset prices, Asset management, Risk management, Asset-Liability Management, Pension funds, Macro-finance Models.
Recent Working Papers (Complete List of Working Papers)
Collateralization, Leverage, and Stressed Expected Loss (with A. Khalilzadeh) (2015)
Moment Component Analysis: An Illustration with International Stock Markets (with E. Jurczenko and M. Rockinger) (2015, New Version)
Optimal Long-Term Allocation with Pension Fund Liabilities (with M. Rockinger) (2014)
Asymmetric Beta Comovement and Systematic Downside Risk (with Q. Zhang) (2014) (Technical Appendix)
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)
Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty (with M. Rockinger) (2010)
Aggregating Rational Expectations Models In the Presence of Unobserved Micro Heterogeneity (with F. Pelgrin) (2009)
Optimal Liquidation Strategies in Illiquid Markets (with A. Perilla and M. Rockinger) (2007)
Recent Publications (Complete List of Publications)
Asymmetry in Tail Dependence in Equity Portfolios (2015), forthcoming in Computational Statistics & Data Analysis. (Working Paper) (Technical Appendix)
The Dynamics of Squared Returns Under Contemporaneous Aggregation of GARCH Models (2015), Journal of Empirical Finance, 32, 80–93. (Working Paper) (Technical Appendix)
Systemic Risk in Europe (with R. Engle and M. Rockinger) (2015), Review of Finance, 19(1), 145–190. (Update in VOX). (Working Paper)
Estimating Aggregate Autoregressive Processes When Only Macro Data Are Available (with F. Pelgrin) (2014), Economics Letters, 124(3), 341–347. (Working Paper)
On the Importance of Time-Variability in Higher Moments for Asset Allocation (with M. Rockinger) (2012), Journal of Financial Econometrics, 10(1), 84–123. (Last Draft)
Sectoral Phillips curves and the aggregate Phillips curve (with J. Imbs and F. Pelgrin) (2011), Journal of Monetary Economics, 58(4), 328–344. (Working Paper) (Last Draft)
The Impact of Shocks on Higher Moments (with M. Rockinger) (2009), Journal of Financial Econometrics, 7(2), 77–105. (Working Paper) (Last Draft)
Examining Bias in Estimators of Linear Rational Expectations Models under Misspecification (with H. Le Bihan) (2008), Journal of Econometrics, 143(2), 375–395. (Working Paper) (Last Draft)
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, 4(2), 23–72. (Working Paper) (Last Draft)
Testing Heterogeneity within the Euro Area Using a Structural Multi-Country Model (with J.-G. Sahuc) (2008), Economics Letters, 199, 192–196. (Working Paper) (Last Draft)
Optimal Portfolio Allocation Under Higher Moments (with M. Rockinger) (2006), European Financial Management, 12(1), 29–55. (Working Paper) (Last Draft)
The Copula-GARCH Model of Conditional Dependencies: An International Stock Market Application (with M. Rockinger) (2006), Journal of International Money and Finance, 25, 827–853. (Working Paper) (Last Draft)
Financial Modeling Under Non-Gaussian Distributions
Joinlty written with Ser-Huang Poon and Michael Rockinger
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/
Master of Science in Finance
Master of Science in Finance
SFI PhD Program
Link to the Center for Risk Management - Lausanne (CRML).
Link to the Center for Financial Documentation at HEC Lausanne (CEDIF).
Link to the Matlab Toolbox (joint website with Michael Rockinger)Other Links