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 Journal of Financial Economics, Journal of Money, Credit, and Banking, Review of Finance, Journal of Econometrics, and 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)
Strategic Interaction between Hedge Funds and Prime Brokers (with N. Gerasimova) (2018) Swiss Finance Institute Research Paper No. 18-54
A General Equilibrium Appraisal of Capital Shortfall (with J.-G. Sahuc) (2018) Swiss Finance Institute Research Paper No. 18-12
Measuring Capital Shortfall of Large U.S. Banks (with A. Khalilzadeh) (2018) Swiss Finance Institute Research Paper No. 18-11
When are Stocks Less Volatile in the Long Run? (with Q. Zhang and X. Zhu) (2017) Swiss Finance Institute Research Paper No. 18-07
Periodic or Generational Actuarial Tables: Which One to Choose? (with S. Arnold-Gaille, A. Jijie, and M. Rockinger) (2017) Swiss Finance Institute Research Paper No. 17-71
Asymmetric Beta Comovement and Systematic Downside Risk (with Q. Zhang) (2014) (Technical Appendix) Swiss Finance Institute Research Paper No. 14-59
Optimal Long-Term Allocation with Pension Fund Liabilities (with M. Rockinger) (2014) Swiss Finance Institute Research Paper No. 14-58
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)
Predicting Long-Term Financial Returns: VAR vs. DSGE Model - A Horse-Race (with M. Rockinger) (last draft, 2018) Swiss Finance Institute Research Paper No. 16-13, forthcoming in Journal of Money, Credit, and Banking. (Online Technical Appendix)
Average Skewness Matters! (with Q. Zhang and X. Zhu) (last draft, 2018) Swiss Finance Institute Research Paper No. 15-47, forthcoming in Journal of Financial Economics. (Online Technical Appendix, Data, Codes)
Moment Component Analysis: An Illustration with International Stock Markets (with E. Jurczenko and M. Rockinger) (2016), Journal of Business and Economic Statistics, 36(4), 576-598.
Collateralization, Leverage, and Stressed Expected Loss (with A. Khalilzadeh) (2017), Journal of Financial Stability, 33, 226-243.
Asymmetry in Tail Dependence in Equity Portfolios (2016), Computational Statistics and Data Analysis, 100, 351–368. (Working Paper) (Technical Appendix)
Estimating the Price Impact of Trades in a High-Frequency Microstructure Model with Jumps (with J. Lahaye and M. Rockinger) (2015), Journal of Banking and Finance, 61, S205–S224. (New Version)
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)
Systemic Risk in Europe (with M. Rockinger) (2013), Global Credit Review, 3(1), 1–6. (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, 99, 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