Showing 1 - 20 results of 350 for search '"Jondeau, Eric"' Skip to content
Are you a member of Bonn University? Yes: Then connect to the University network via VPN client in order to access the licensed contents. No: You can then access licensed contents using the Service Pcs within the ULB Bonn. Bitte buchen Sie den Arbeitsplatz 'Service-PC o. Scanner'
Lesen Sie bitte unsere aktuellen Informationen zur ULB im geschützten Betrieb.
  • Help
  • Feedback
  • My account
  • My account

    Favorites  Checked out items  Requests / Reservations  Fees Personal data My saved searches
  • Log Out
  • Log In
  • 0 Results in book bag (Full)
  • Language
    • English
    • Deutsch
Advanced |Search History
  • Your search results: "Jondeau, Eric"
Showing 1 - 20 results of 350 for search '"Jondeau, Eric"', query time: 1.64s Narrow search
  • 1
    Cover Image Journal Article
    The Copula-GARCH model of conditional dependencies: An international stock market application
    by Jondeau, Eric   Rockinger, Michael Published in Journal of international money and finance (2006)
    “...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...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 2
    Cover Image Journal Article
    Average skewness matters
    by 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...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 3
    Cover Image Journal Article
    Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race
    by JONDEAU, ERIC   ROCKINGER, MICHAEL Published in Journal of money, credit and banking (01.12.2019)
    “...This paper considers a U.S. institutional investor who is implementing a long‐term portfolio allocation using forecasts of financial returns. We compare the...”
    Fulltext

    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 4
    Cover Image Journal Article
    Systemic Risk in Europe
    by Engle, Robert   Jondeau, Eric   Rockinger, Michael Published in Review of Finance (01.03.2015)
    “...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...”
    Fulltext
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 5
    Cover Image Journal Article
    Skewness and index futures return
    by 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...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 6
    Cover Image Journal Article
    Estimating the price impact of trades in a high-frequency microstructure model with jumps
    by 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...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 7
    Cover Image Journal Article
    Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements
    by Jondeau, Eric   Rockinger, Michael Published in Journal of economic dynamics & control (2003)
    “...Recent portfolio-choice, asset-pricing, value-at-risk, and option-valuation models highlight the importance of modeling the asymmetry and tail-fatness of...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 8
    Cover Image Journal Article
    Optimal Portfolio Allocation under Higher Moments
    by 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...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 9
    Cover Image Journal Article
    Estimating aggregate autoregressive processes when only macro data are available
    by Jondeau, Eric   Pelgrin, Florian Published in Economics letters (01.09.2014)
    “...The aggregation of individual random AR(1) models generally leads to an AR(∞) process. We provide two consistent estimators of aggregate dynamics based on...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 10
    Cover Image Journal Article
    Periodic or generational actuarial tables: which one to choose?
    by 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...”
    Fulltext
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 11
    Cover Image Journal Article
    On the Importance of Time Variability in Higher Moments for Asset Allocation
    by Jondeau, Eric   Rockinger, Michael Published in Journal of financial econometrics (20120000)
    “...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...”
    Fulltext

    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 12
    Cover Image Book
    Financial modeling under non-Gaussian distributions
    by Jondeau, Eric   Poon, Ser-Huang   Rockinger, Michael
    2007
    Description of contents
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:

    Holdings Uni Bonn
  • 13
    Cover Image Journal Article
    Sectoral Phillips curves and the aggregate Phillips curve
    by Imbs, Jean   Jondeau, Eric   Pelgrin, Florian Published in Journal of monetary economics (2011)
    “...Sector-level Phillips curves are estimated in French data. There is considerable heterogeneity across sectors, with vastly different estimates of the backward...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 14
    Cover Image Journal Article
    Gram–Charlier densities
    by Jondeau, Eric   Rockinger, Michael Published in Journal of economic dynamics & control (2001)
    “...The Gram–Charlier expansion, where skewness and kurtosis directly appear as parameters, has become popular in Finance as a generalization of the normal...”
    Fulltext
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 15
    Cover Image Journal Article
    Entropy densities with an application to autoregressive conditional skewness and kurtosis
    by Rockinger, Michael   Jondeau, Eric Published in Journal of econometrics (2002)
    “...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...”
    Fulltext
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 16
    Cover Image Journal Article
    Examining bias in estimators of linear rational expectations models under misspecification
    by Jondeau, Eric   Le Bihan, Hervé Published in Journal of econometrics (2008)
    “...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...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 17
    Cover Image Journal Article
    Asymmetry in tail dependence in equity portfolios
    by 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...”
    Fulltext
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 18
    Cover Image Journal Article
    The Impact of Shocks on Higher Moments
    by Jondeau, Eric   Rockinger, Michael Published in Journal of financial econometrics (20090000)
    “...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...”
    Fulltext

    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 19
    Cover Image Journal Article
    Testing for the New Keynesian Phillips Curve. Additional international evidence
    by Jondeau, Eric   Le Bihan, Hervé Published in Economic modelling (2005)
    “...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...”
    available in Bonn?
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 20
    Cover Image Journal Article
    Reading the smile: the message conveyed by methods which infer risk neutral densities
    by Jondeau, Eric   Rockinger, Michael Published in Journal of international money and finance (2000)
    “...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...”
    Fulltext
    Add to book bag Remove from book bag
    Add to favourites
    Saved in:
  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10
  • 11
  • Next »
  • [18]
Search Tools: Email this search — Save search

Narrow search

Fulltext + Libraries Uni Bonn Fulltext only Uni Bonn Libraries only
  • Fachbibl. Mathematik 1
  • Staatswiss. Sem. 1
  • Journal Article 160
  • Paper 72
  • Book / eBook 49
  • Publication 24
  • Technical Report 21
  • Electronic Resource 10
  • more ...
  • Newspaper Article 9
  • Book Chapter 3
  • Book Review 1
  • Dissertation 1
  • see all ... less ...
  • economics 49
  • business 27
  • mathematics 13
  • statistics 9
  • social sciences 3
  • applied sciences 2
  • more ...
  • computer science 1
  • history & archaeology 1
  • medicine 1
  • political science 1
  • see all ... less ...
  • English 300
  • French 49
  • German 8
  • Japanese 1
  • Spanish 1
  • Further Searchtools

    • Journals - ZDB
    • eJournals - EZB
    • Databases - DBIS
    • Metasearch - DigiBib

    Interlibrary loan service

    • Interlibrary loan - Books
    • Interlibrary loan - Article
    • FAQ Interlibrary loan

    Searchtools

    • Search History
    • Recommandation for acquisition

    Legal Details

    • Privacy Policy
    • Legal Notice
    Help
    News ULB
    Facebook
    Twitter
    Instagram
    Powered by Summon™ from Serials Solutions, a division of ProQuest.@131.220.74.19
    Loading...