Publications

Eric Jondeau


Book

Financial Modeling Under Non-Gaussian Distributions
Joinlty written with Ser-Huang Poon and Michael Rockinger

(Springer Finance).


Many codes used in this book are available on the webpage: http://www.hec.unil.ch/MatlabCodes/

 

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.

The authors have taken care to make the material accessible to anyone with a basic knowledge of statistics, calculus and probability, while at the same time preserving the mathematical rigor and complexity of the original models.

This book will be an essential reference for practitioners in the finance industry, especially those responsible for managing portfolios and monitoring financial risk, but it will also be useful for mathematicians who want to know more about how their mathematical tools are applied in finance, and as a text for advanced courses in empirical finance; financial econometrics and financial derivatives.


Modeling Asset Prices and Asset Allocation

Predicting Long-Term Financial Returns: VAR vs. DSGE Model - A Horse-Race (with M. Rockinger) (last draft, 2018), forthcoming in Journal of Money, Credit, and Banking. (Online Technical Appendix)

Average Skewness Matters! (with Q. Zhang and X. Zhu) (last draft, 2018), 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), forthcoming in Journal of Business and Economic Statistics.

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, 351368.
Abstract (HTML), Paper (PDF)

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.
Abstract (HTML), Paper (PDF)

The Dynamics of Squared Returns Under Contemporaneous Aggregation of GARCH Models (2015), Journal of Empirical Finance, 32, 80–93.
Abstract (HTML), Paper (PDF)

Systemic Risk in Europe (with R. Engle and M. Rockinger) (2015), Review of Finance, 19(1), 145–190.
Abstract (HTML), Paper (PDF)

Estimating Aggregate Autoregressive Processes When Only Macro Data Are Available (with F. Pelgrin) (2014), Economics Letters, 124(3), 341–347
Abstract (HTML), Pa
per (PDF)

On the Importance of Time-Variability in Higher Moments for Asset Allocation (with M. Rockinger) (2012), Journal of Financial Econometrics.
Abstract (HTML), Paper (PDF)

The Impact of Shocks on Higher Moments (with M. Rockinger) (2009), Journal of Financial Econometrics.
Abstract (HTML), Paper (PDF), Technical Appendix (PDF)

Optimal Portfolio Allocation Under Higher Moments (with M. Rockinger) (2006), European Financial Management.
Abstract (HTML), Paper (PDF)

The Copula-GARCH Model of Conditional Dependencies: An International Stock Market Application (with M. Rockinger) (2006), Journal of International Money and Finance.
Abstract
(HTML), Paper (PDF)

Testing for Differences in the Tails of Stock-Market Returns (with M. Rockinger) (2003), Journal of Empirical Finance.
Abstract (HTML), Paper (PDF)

Conditional Volatility, Skewness, and Kurtosis: Existence, Persistence, and Comovements (with M. Rockinger) (2003), Journal of Economic Dynamics and Control.
Abstract (HTML), Paper (PDF)

User’s Guide (with M. Rockinger) (2003), Journal of Economic Dynamics and Control.
Abstract
(HTML), Paper (PDF)

Entropy Densities with an Application to Autoregressive Conditional Skewness and Kurtosis (with M. Rockinger) (2002), Journal of Econometrics.
Abstract (HTML), Paper (PDF)

Does Correlation Between Stock-Market Returns Really Increase During Turbulent Periods? (with F. Chesnay) (2001), Economic Notes.


Option Pricing Models

Gram-Charlier Densities (with M. Rockinger) (2001), Journal of Economic Dynamics and Control.
Abstract (HTML), Paper (PDF)

Reading PIBOR Futures Options Smiles: The 1997 French Snap Election (with S. Coutant and M. Rockinger) (2001), Journal of Banking and Finance.
Abstract (HTML), Paper (PDF)

Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral Densities (with M. Rockinger) (2000), Journal of International Money and Finance.
Abstract (HTML), Paper (PDF)


Term Structure of Interest Rates

The Expectations Hypothesis: Tests on US, German, French, and UK Euro-Rates (with R. Ricart) (1999), Journal of International Money and Finance.
Abstract (HTML), Paper (PDF)

Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates (with C. Bruneau) (1999), Oxford Bulletin of Economics and Statistics.

Forecasting French and German Long-Term Rates Using a Rational Expectations Model (with F. Sédillot) (1999), Weltwirtschaftliches Archiv.


Econometrics of Rational Expectations Models

Estimating Aggregate Autoregressive Processes When Only Macro Data Are Available (with F. Pelgrin) (2014), forthcoming Economics Letters.

Sectoral Phillips curves and the aggregate Phillips curve (with J. Imbs and F. Pelgrin) (2011), Journal of Monetary Economics.
Abstract
(HTML), Paper (PDF)

Examining Bias in Estimators of Linear Rational Expectations Models under Misspecification (with H. Le Bihan) (2008), Journal of Econometrics.
Abstract (HTML), Paper (PDF)

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.
Abstract (HTML), Paper (PDF)

Testing Heterogeneity within the Euro Area Using a Structural Multi-Country Model (with J.-G. Sahuc) (2008), Economics Letters.
Abstract (HTML), Paper (PDF)

Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US Data (with H. Le Bihan) (2005), Economic Modelling.
Abstract (HTML), Paper (PDF)

Assessing Generalized Method of Moments Estimates of the Federal Reserve Reaction Function (with C. Gallès and H. Le Bihan) (2004), Journal of Business and Economic Statistics.
Abstract (HTML), Paper (PDF)

Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies (with H. Le Bihan) (2002), Annales d’Économie et de Statistique.
Abstract (HTML), Paper (PDF)


Publications in French

La théorie des anticipations permet-elle de rendre compte de l’évolution des taux d’intérêt sur euro-devise ? (2001), Annales d’Économie et de Statistique.

La mesure du ratio rendement-risque à partir du marché des euro-devises (2000), Finance.

Comparaison de méthodes d'extraction d'information à partir d'options de change : le cas du Franc-Deutschemark (with M. Rockinger) (1999), Finance.

Causalité de long terme et amélioration de la prévision : Application aux courbes de taux d’intérêt (with C. Bruneau) (1999), Annales d’Économie et de Statistique.

Le contenu en information de la pente des taux : Application au cas des titres publics français (with R. Ricart) (1999), Économie et Prévision.

La théorie des anticipations de la structure par terme : Test à partir des titres publics français (with R. Ricart) (1998), Annales d’Économie et de Statistique.

Représentation VAR et test de la théorie des anticipations de la structure par terme (1998), Journal de la Société de Statistique de Paris.

Allocation d’actifs et prévision de rendements (1997), Finance.

La stabilité de la fonction de demande de monnaie aux États-Unis (with N. Villermain-Lécolier) (1996), Revue Économique.

Les modèles monétaires de taux de change : un réexamen empirique (1996), Économie et Prévision.

Les politiques monétaires au sein du SME (with P. Jacq and F. Sédillot) (1993), Économie et Prévision.

La gestion optimale des finances publiques en présence de coûts d’ajustement (with J-F. Loué) (1992), Économie et Prévision.

La soutenabilité de la politique budgétaire (1992), Économie et Prévision.

La substituabilité entre capital et travail : une évaluation sur données d’entreprises (with D. Girardot) (1990), Économie et Statistique.


Non-refereed publications

Modeling the Dynamics of Conditional Dependency between Financial Series (with M. Rockinger) (2006), edited by Emmanuel Jurczenko and Bertrand Maillet, Springer Verlag.
Abstract
(HTML)

How Higher Moments Affect the Allocation of Assets, (with M. Rockinger) (2003), Finance Letters.
Abstract (HTML), Paper (PDF)

International Transmission and Volume Effects in G5 Stock Market Returns and Volatility (with S. Avouyi-Dovi) (2000), BIS Conference Papers.


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