Eric Jondeau Professor of Finance University of Lausanne Swiss Finance Institute Director of the Institute of Banking and Finance

Contact Information:
Institute of Banking and Finance
Ecole des HEC - University of Lausanne
Extranef 232
CH-1015 Lausanne
Phone: ++41 (0)21 692 3349
Fax: ++41 (0)21 692 3435
Email: Eric [dot] Jondeau [at] unil [dot] ch

Curriculum Vitae

Interests:

Financial Econometrics, Empirical finance, Asset management, Risk management, Modeling of asset prices.

Financial Modeling Under Non-Gaussian Distributions Joinlty written with Ser-Huang Poon and Michael Rockinger (Springer Finance). 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:

The Impact of Shocks on Higher Moments (with M. Rockinger) (2009), Journal of Financial Econometrics. [download 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. [download pdf]

Testing Heterogeneity within the Euro Area Using a Structural Multi-Country Model (with J.-G. Sahuc) (2008), Economics Letters. [download pdf]

Examining Bias in Estimators of Linear Rational Expectations Models under Misspecification (with H. Le Bihan) (2008), Journal of Econometrics. [download pdf]

Optimal Portfolio Allocation Under Higher Moments (with M. Rockinger) (2006), European Financial Management. [download pdf]

The Copula-GARCH Model of Conditional Dependencies: An International Stock Market Application (with M. Rockinger) (2006), Journal of International Money and Finance. [download pdf]

Complete List of Publications

Recent Working Papers:

Aggregating Rational Expectations Models In the Presence of Unobserved Micro Heterogeneity (with F. Pelgrin) (2009) [download pdf]

Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias (2008). [download pdf]

Optimal Liquidation Strategies in Illiquid Markets (with A. Perilla and M. Rockinger) (2007). (new version) [download pdf]

Aggregating Phillips Curves (with J. Imbs and F. Pelgrin) (2007). (new version) [download pdf]

Time-Variability in Higher Moments Is Important for Asset Allocation (with M. Rockinger) (2006). (new version) [download pdf]

Complete List of Working Papers

Teaching:

Link to the Center for Financial Documentation at HEC Lausanne (CEDIF).

Link to the Matlab Toolbox (joint website with Michael Rockinger)