Selected publications
Forthcoming
Danthine, J.P., and André Kurmann, The Macroeconomic Consequences of Reciprocity in Labor Relations, mimeo, University of Lausanne, August 2007. Forthcoming in the Scandinavian Journal of Economics
Beber A., Brandt M., Kavajecz K., Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market, Review of Financial Studies, forthcoming
Dumas, B., Kurshev, A., Uppal, R., Equilibrium portfolio strategies in the presence of sentiment risk and excess volatility, The Journal of Finance
Hugonnier J., Collin Dufresne P., Pricing and Hedging in the Presence of Extraneous Risks, Forthcoming in Stochastic Processes and their Applications, forthcoming.
Morellec, E., Hackbarth, D., Stock returns in mergers and acquisitions, Journal of Finance, forthcoming.
Morellec, E., Zhdanov, A., Financing and takeovers, Journal of Financial Economics, forthcoming.
Morrison, A., White, L., Financial liberalisation and capital regulation in open economies, Journal of Finance, forthcoming.
Rockinger, M., Jalal, A., Predicting tail-related risk measures: The consequences of using GARCH filters for non GARCH data, Journal of Empirical Finance, forthcoming.
2008
Danthine, J-P., Donaldson, J-B. and Siconolfi, P., (2008) Distribution Risk and Equity Returns, in The Handbook of the Equity Risk Premium, R. Mehra, ed., North Holland Handbook of Finance Series, Elsevier, Amsterdam
Jondeau, E., Sahuc, J-G., (2008) Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with cross-country hétérogeneity, International Journal of Central Banking, 4, 23-72
Jondeau, E., Sahuc, J-G., (2008) Testing Heterogeneity within the Euro Area Using a Structural Multi-Country Model, Economics Letters, 99, 192-196
Jondeau, E., Le Bihan, H., (2008) Examining Bias in Estimations of Linear Rational Expectations Models under Misspecification, Journal of Econometrics, 143, 375-395
White, L., (2008) Prudence in Bargaining: The effect of uncertainty in bargaining outcomes" Games and Economic Behavior 2008, vol 62, p 211-231
Danthine, J-P., Jin, X., (2007) Intangible capital, firm valuation and asset pricing, Economic Theory 32, 157-177
Danthine, J-P.,(2007) Superneutrality, The New Palgrave Dictionary of Economics, 2nd ed., S. Durlauf and L. Blume eds., Palgrave Macmillan, London
Hugonnier, J, Morellec, E., (2007) Corporate control and real investment in incomplete markets, Journal of Economic Dynamics and Control 31, 1781-1800.
Imbs, J., (2007) Growth and volatility, Journal of Monetary Economics 54.
Jondeau, E., Rockinger, M., Poon, S-H., (2007) Fiinancial modeling under non-Gaussian distributions, Springer Finance
Morellec, E., Smith, C. W. Jr, (2007) Agency conflicts and risk management, Review of Finance 11, 1-23.
Schuerhoff, N., Green, R., Hollifield, B., (2007) Financial intermediation and the cost of trading in an opaque market, Review of Financial Studies 20, 275-314.
Schuerhoff, N., Green, R., Hollifield, B., (2007) Dealer intermediation and price behavior in the aftermarket for new bond issues,” Journal of Financial Economics 86(3), 643-682
White, L., Nocke, V., (2007) Do vertical mergers facilitate collusion, American Economic Review.
White, L., (2007) Foreclosure with Incomplete Information", Journal of Economics and Management Strategy, Volume 16, p 507-35
Ziegler A., (2007) Why does implied risk aversion smile? Review of Financial Studies 20, 859-904.
Ziegler, A., Habib, M., (2007) Why government bonds are sold by auction and corporate bonds by posted price selling, Journal of Financial intermediation 16 (3), 343-367
Beber, A., Brandt, M., (2006), The effects of macroeconomic news on beliefs and preferences: Evidence from the option markets,” Journal of Monetary Economics 53, 1997-2039.
Hackbarth, D., Miao, J., Morellec, E. “Capital structure, credit risk, and macroeconomic conditions,” Journal of Financial Economics 82, December 519-550.
Imbs, J., (2006) The real effects of financial integration, Journal of International Economics 68, March.
Jondeau, E., Rockinger, M., The Copula-GARCH Model of Conditional Dependencies: An International Stock-Market Application, Journal of International Money and Finance 25(5), 827-853
Jondeau, E., Rockinger, M., (2006) Optimal Portfolio Allocation Under Higher Moments, European Financial Management, 12(1), 29-55
Schroth, E., (2006) “Product Differentiation and the Choice of an Underwriter: Evidence from Equity Linked Securities,” Review of Financial Studies 19, 1041-1080.
Fabbri, D., Padula, M. (2004), Does Poor Legal Enforcement Make Households Credit-Constrained, Journal of Banking and Finance 28: 2369-2397.
François, P., Morellec, E. (2004), Capital structure and asset prices: Some effects of bankruptcy procedures, Journal of Business 77, Issue 1 (April 2004).
Gordon, S., St-Amour, P. (2004), Asset returns and State-Dependent Risk Preferences, Journal of Business and Economic Statistics, 22 (3), July 2004, 241-252. (Lead Article)
Hugonnier, J., Dufresne P.C., Goldstein, R. (2004), A General Formula for Valuing Defaultable Securities, Econometrica Vol.72, No. 5, 1377-1407.
Hugonnier, J., Kramkov, D.(2004), Optimal Investment with Random Endowments in Incomplete Markets, The Annals of Applied Probability Vol. 14, No.2, 845-864.
Imbs, J. (2004), Trade, Finance, Specialization and Synchronization, Review of Economics and Statistics, August.
Jondeau, E., Gallès, C., Le Bihan, H. (2004), Assessing Generalized Method of Moments Estimates of the Federal Reserve Reaction Function, Journal of Business and Economic Statistics, 22(2), 225-239.
Morellec, E. (2004), Can managerial discretion explain observed leverage ratios, Review of Financial Studies 17, Issue 1 (Spring 2004).
Rockinger, M., Poon, S.-H., Tawn, J., Extreme Values Dependency in International Stock Markets, Review of Financial Studies 17, Issue 2 (Summer 2004)
Danthine, J.P., and André Kurmann, The Macroeconomic Consequences of Reciprocity in Labor Relations, mimeo, University of Lausanne, August 2007. Forthcoming in the Scandinavian Journal of Economics
Beber A., Brandt M., Kavajecz K., Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market, Review of Financial Studies, forthcoming
Dumas, B., Kurshev, A., Uppal, R., Equilibrium portfolio strategies in the presence of sentiment risk and excess volatility, The Journal of Finance
Hugonnier J., Collin Dufresne P., Pricing and Hedging in the Presence of Extraneous Risks, Forthcoming in Stochastic Processes and their Applications, forthcoming.
Morellec, E., Hackbarth, D., Stock returns in mergers and acquisitions, Journal of Finance, forthcoming.
Morellec, E., Zhdanov, A., Financing and takeovers, Journal of Financial Economics, forthcoming.
Morrison, A., White, L., Financial liberalisation and capital regulation in open economies, Journal of Finance, forthcoming.
Rockinger, M., Jalal, A., Predicting tail-related risk measures: The consequences of using GARCH filters for non GARCH data, Journal of Empirical Finance, forthcoming.
2008
Danthine, J-P., Donaldson, J-B. and Siconolfi, P., (2008) Distribution Risk and Equity Returns, in The Handbook of the Equity Risk Premium, R. Mehra, ed., North Holland Handbook of Finance Series, Elsevier, Amsterdam
Jondeau, E., Sahuc, J-G., (2008) Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with cross-country hétérogeneity, International Journal of Central Banking, 4, 23-72
Jondeau, E., Sahuc, J-G., (2008) Testing Heterogeneity within the Euro Area Using a Structural Multi-Country Model, Economics Letters, 99, 192-196
Jondeau, E., Le Bihan, H., (2008) Examining Bias in Estimations of Linear Rational Expectations Models under Misspecification, Journal of Econometrics, 143, 375-395
White, L., (2008) Prudence in Bargaining: The effect of uncertainty in bargaining outcomes" Games and Economic Behavior 2008, vol 62, p 211-231
2007
Danthine, J-P., Jin, X., (2007) Intangible capital, firm valuation and asset pricing, Economic Theory 32, 157-177
Danthine, J-P.,(2007) Superneutrality, The New Palgrave Dictionary of Economics, 2nd ed., S. Durlauf and L. Blume eds., Palgrave Macmillan, London
Hugonnier, J, Morellec, E., (2007) Corporate control and real investment in incomplete markets, Journal of Economic Dynamics and Control 31, 1781-1800.
Imbs, J., (2007) Growth and volatility, Journal of Monetary Economics 54.
Jondeau, E., Rockinger, M., Poon, S-H., (2007) Fiinancial modeling under non-Gaussian distributions, Springer Finance
Morellec, E., Smith, C. W. Jr, (2007) Agency conflicts and risk management, Review of Finance 11, 1-23.
Schuerhoff, N., Green, R., Hollifield, B., (2007) Financial intermediation and the cost of trading in an opaque market, Review of Financial Studies 20, 275-314.
Schuerhoff, N., Green, R., Hollifield, B., (2007) Dealer intermediation and price behavior in the aftermarket for new bond issues,” Journal of Financial Economics 86(3), 643-682
White, L., Nocke, V., (2007) Do vertical mergers facilitate collusion, American Economic Review.
White, L., (2007) Foreclosure with Incomplete Information", Journal of Economics and Management Strategy, Volume 16, p 507-35
Ziegler A., (2007) Why does implied risk aversion smile? Review of Financial Studies 20, 859-904.
Ziegler, A., Habib, M., (2007) Why government bonds are sold by auction and corporate bonds by posted price selling, Journal of Financial intermediation 16 (3), 343-367
2006
Beber, A., Brandt, M., (2006), The effects of macroeconomic news on beliefs and preferences: Evidence from the option markets,” Journal of Monetary Economics 53, 1997-2039.
Hackbarth, D., Miao, J., Morellec, E. “Capital structure, credit risk, and macroeconomic conditions,” Journal of Financial Economics 82, December 519-550.
Imbs, J., (2006) The real effects of financial integration, Journal of International Economics 68, March.
Jondeau, E., Rockinger, M., The Copula-GARCH Model of Conditional Dependencies: An International Stock-Market Application, Journal of International Money and Finance 25(5), 827-853
Jondeau, E., Rockinger, M., (2006) Optimal Portfolio Allocation Under Higher Moments, European Financial Management, 12(1), 29-55
Schroth, E., (2006) “Product Differentiation and the Choice of an Underwriter: Evidence from Equity Linked Securities,” Review of Financial Studies 19, 1041-1080.
2005
Hugonnier, J., Kramkov, D., Schachermayer, W. (2005), On the Utility Based Pricing of Contingent Claims in Incomplete Markets, Mathematical Finance 15, April, 203-212.
Imbs, J., H. Mumtaz, M. Ravn, M., Rey, H. (2005), PPP Strikes Back: Aggregation and the Real Exchange Rate, Quarterly Journal of Economics 120, February, 1-44.
Morellec, E., Zhdanov, A., (2005) The dynamics of mergers and acquisitions, Journal of Financial Economics 77, September, 649-672.
Morrison, A., White, L., (2005), Crises and capital requirements in banking, American Economic Review 95, December, 1548-1572.
Szalay, D. (2005), The economics of extreme options and clear advice, Review of Economic Studies 72, October, 1173-1198.
2004
Fabbri, D., Padula, M. (2004), Does Poor Legal Enforcement Make Households Credit-Constrained, Journal of Banking and Finance 28: 2369-2397.
François, P., Morellec, E. (2004), Capital structure and asset prices: Some effects of bankruptcy procedures, Journal of Business 77, Issue 1 (April 2004).
Gordon, S., St-Amour, P. (2004), Asset returns and State-Dependent Risk Preferences, Journal of Business and Economic Statistics, 22 (3), July 2004, 241-252. (Lead Article)
Hugonnier, J., Dufresne P.C., Goldstein, R. (2004), A General Formula for Valuing Defaultable Securities, Econometrica Vol.72, No. 5, 1377-1407.
Hugonnier, J., Kramkov, D.(2004), Optimal Investment with Random Endowments in Incomplete Markets, The Annals of Applied Probability Vol. 14, No.2, 845-864.
Imbs, J. (2004), Trade, Finance, Specialization and Synchronization, Review of Economics and Statistics, August.
Jondeau, E., Gallès, C., Le Bihan, H. (2004), Assessing Generalized Method of Moments Estimates of the Federal Reserve Reaction Function, Journal of Business and Economic Statistics, 22(2), 225-239.
Morellec, E. (2004), Can managerial discretion explain observed leverage ratios, Review of Financial Studies 17, Issue 1 (Spring 2004).
Rockinger, M., Poon, S.-H., Tawn, J., Extreme Values Dependency in International Stock Markets, Review of Financial Studies 17, Issue 2 (Summer 2004)
