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Economics and Finance

D-Index
47
Citations
8317
World Ranking
1600
National Ranking
26

Overview

Eric Jondeau is affiliated with the University of Lausanne in Switzerland and specializes in research within the fields of economics, econometrics, and finance. Their work spans multiple subfields including finance, economics and econometrics, strategy and management, accounting, and global and planetary change.

Their research has been published predominantly in the SSRN Electronic Journal, with a total of 21 publications there. Additional contributions have appeared in The Journal of Portfolio Management, the Journal of Asset Management, the Journal of Sustainable Finance & Investment, and The Review of Corporate Finance Studies.

They have authored and coauthored papers focusing on various aspects of financial markets and investment strategies, sustainable finance and green bonds, climate change policy and economics, market dynamics and volatility, the housing market and economics, banking stability and regulation, as well as credit risk and financial regulations.

  • Financial Markets and Investment Strategies
  • Market Dynamics and Volatility
  • Sustainable Finance and Green Bonds
  • Climate Change Policy and Economics
  • Housing Market and Economics
  • Banking Stability, Regulation, Efficiency
  • Credit Risk and Financial Regulations

Among their recent publications are:

  • ESG Investing: From Sin Stocks to Smart Beta (2020), published in The Journal of Portfolio Management
  • Environmental Subsidies to Mitigate Net-Zero Transition Costs (2022), published in SSRN Electronic Journal
  • Deconstructing ESG scores: How to invest with your own criteria (2022), published in SSRN Electronic Journal
  • Building portfolios of sovereign securities with decreasing carbon footprints (2022), published in SSRN Electronic Journal
  • Deconstructing ESG scores: investing at the category score level (2024), published in Journal of Asset Management

Eric Jondeau has collaborated frequently with several researchers. Key coauthors include Fabio Alessandrini, with whom they have published 10 papers; Benoît Mojon, with six joint publications; Torsten Ehlers and Ulrike Elsenhuber, each with five collaborations; and Anandakumar Jegarasasingam with four coauthored works.

Best Publications

  • The Copula-GARCH model of conditional dependencies: An international stock market application

    Eric Jondeau;Michael Rockinger

  • Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements

    Eric Jondeau;Michael Rockinger;Michael Rockinger;Michael Rockinger

  • Optimal Portfolio Allocation under Higher Moments

    Eric Jondeau;Eric Jondeau;Michael Rockinger;Michael Rockinger;Michael Rockinger

  • Systemic Risk in Europe

    Robert Engle;Eric Jondeau;Michael Rockinger

  • Gram–Charlier densities

    Eric Jondeau;Michael Rockinger

  • Entropy densities with an application to autoregressive conditional skewness and kurtosis

    Michael Rockinger;Eric Jondeau

  • Testing for differences in the tails of stock-market returns

    Eric Jondeau;Michael Rockinger

  • Conditional Dependency of Financial Series: An Application of Copulas

    Michael Rockinger;Eric Jondeau

  • Reading the smile: the message conveyed by methods which infer risk neutral densities

    Eric Jondeau;Michael Rockinger

  • Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-Country Heterogeneity

    Eric Jondeau;Jean-Guillaume Sahuc

  • Testing for the New Keynesian Phillips Curve. Additional international evidence

    Eric Jondeau;Hervé Le Bihan

  • Assessing GMM Estimates of the Federal Reserve Reaction Function

    Clémentine Florens;Eric Jondeau;Hervé Le Bihan

  • Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US data

    Eric Jondeau;Hervé Le Bihan

  • Does Correlation Between Stock Returns Really Increase During Turbulent Periods

    Francois Chesnay;Eric Jondeau

  • Does Correlation between Stock Returns Really Increase during Turbulent Period

    F. Chesnay;Eric Jondeau

  • Testing for a Forward-Looking Phillips Curve: Additional Evidence from European and US Data

    Eric Jondeau;Eric Jondeau;Hervé le Bihan

  • Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election

    Michael Rockinger;Michael Rockinger;Michael Rockinger;S. Coutant;Eric Jondeau;Eric Jondeau

  • Estimating Gram-Charlier Expansions Under Positivity Constraints

    Michael Rockinger;Eric Jondeau

  • The Expectation Theory: Tests on French, German, and American Euro-Rates

    Eric Jondeau;Roland Ricart

  • The Information Content of the French and German Government Bond Yield Curves: Why Such Differences?

    Eric Jondeau;Roland Ricart

  • Modelling the French Swap Spread

    Sanvi Avouyi-Dovi;Eric Jondeau

  • Conditional Dependency of Financial Series: An Application of Copulas

    Michael Rockinger;Michael Rockinger;Michael Rockinger;Eric Jondeau;Eric Jondeau

  • Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies

    Eric Jondeau;Eric Jondeau;Hervé le Bihan

  • Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence

    Michael Rockinger;Eric Jondeau

  • Volume Effect, Volatility, and International Transmission between Stock Markets (In French)

    Sanvi Avouyi-Dovi;Eric Jondeau;Eric Jondeau;Charles Lai-Tong

Frequent Co-Authors

Michael Rockinger
Michael Rockinger University of Lausanne
Benoit Mojon
Benoit Mojon Bank for International Settlements
Robert F. Engle
Robert F. Engle New York University

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