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1“...Modeling the dependency between stock market returns is a difficult task when returns follow a complicated dynamics. When returns are non-normal, it is often...”
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2by Jondeau, Eric Zhang, Qunzi Zhu, Xiaoneng Published in Journal of financial economics (01.10.2019)“...Average skewness, which is the average of monthly skewness values across firms, performs well at predicting future market returns. This prediction still holds...”
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3“...This paper considers a U.S. institutional investor who is implementing a long‐term portfolio allocation using forecasts of financial returns. We compare the...”
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4“...Systemic risk may be defined as the propensity of a financial institution to be undercapitalized when the financial system as a whole is undercapitalized. In...”
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5by Jondeau, Eric Wang, Xuewu Yan, Zhipeng Zhang, Qunzi Published in The journal of futures markets (01.11.2020)“...In this paper, we show that the individual skewness, defined as the average of monthly skewness across firms, performs very well at predicting the return of...”
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6by Jondeau, Eric Lahaye, Jérôme Rockinger, Michael Published in Journal of banking & finance (01.12.2015)“...We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction...”
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7“...Recent portfolio-choice, asset-pricing, value-at-risk, and option-valuation models highlight the importance of modeling the asymmetry and tail-fatness of...”
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8by Jondeau, Eric Rockinger, Michael Published in European financial management : the journal of the European Financial Management Association (01.01.2006)“...We evaluate how departure from normality may affect the allocation of assets. A Taylor series expansion of the expected utility allows to focus on certain...”
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9“...The aggregation of individual random AR(1) models generally leads to an AR(∞) process. We provide two consistent estimators of aggregate dynamics based on...”
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10by Arnold, Séverine Jijiie, Anca Jondeau, Eric Rockinger, Michael Published in European actuarial journal (01.12.2019)“...The increase in life expectancy over the past several decades has been impressive and represents a key challenge for institutions that provide life insurance...”
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11“...It is well known that strategies that allow investors to allocate their wealth using return and volatility forecasts, the use of which are termed market and...”
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13“...Sector-level Phillips curves are estimated in French data. There is considerable heterogeneity across sectors, with vastly different estimates of the backward...”
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14“...The Gram–Charlier expansion, where skewness and kurtosis directly appear as parameters, has become popular in Finance as a generalization of the normal...”
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15“...The entropy principle yields, for a given set of moments, a density that involves the smallest amount of prior information. We first show how entropy densities...”
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16“...Most rational expectations models involve equations in which the dependent variable is a function of its lags and its expected future value. We investigate the...”
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17by Jondeau, Eric Published in Computational statistics & data analysis (01.08.2016)“...The asymmetry in the tail dependence between U.S. equity portfolios and the aggregate U.S. market is a well-established property. Given the limited number of...”
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18“...In this paper, we extend the concept of the news impact curve of volatility developed by Engle and Ng (1993) to the higher moments and co-moments of the...”
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19“...The “New Keynesian” Phillips Curve (NKPC) states that inflation has a purely forward-looking dynamics. In this paper, we test whether the inflation dynamics in...”
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20“...In this study we compare the quality and information content of risk neutral densities obtained by various methods. We consider a non-parametric method based...”