{"id":32,"date":"2021-09-07T16:59:11","date_gmt":"2021-09-07T14:59:11","guid":{"rendered":"https:\/\/people.unil.ch\/ericjondeau\/?page_id=32"},"modified":"2025-12-20T21:32:18","modified_gmt":"2025-12-20T20:32:18","slug":"research","status":"publish","type":"page","link":"https:\/\/people.unil.ch\/ericjondeau\/research\/","title":{"rendered":"Research"},"content":{"rendered":"\n<ul class=\"wp-block-list\">\n<li><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/cf_dev\/AbsByAuth.cfm?per_id=141412\" target=\"_blank\">SSRN author page<\/a><\/li>\n\n\n\n<li><a rel=\"noreferrer noopener\" href=\"https:\/\/scholar.google.com\/citations?user=--RIrTgAAAAJ\" target=\"_blank\">Google Scholar citation page<\/a><\/li>\n\n\n\n<li><a rel=\"noreferrer noopener\" href=\"https:\/\/www.researchgate.net\/profile\/Eric-Jondeau\" target=\"_blank\">ResearchGate<\/a><a rel=\"noreferrer noopener\" href=\"https:\/\/scholar.google.com\/citations?user=--RIrTgAAAAJ\" target=\"_blank\"><\/a><\/li>\n\n\n\n<li><a rel=\"noreferrer noopener\" href=\"https:\/\/ideas.repec.org\/f\/pjo225.html\" target=\"_blank\">IDEAS citation page<\/a><\/li>\n<\/ul>\n\n\n\n<p>_________________________________________<\/p>\n\n\n\n<h2 class=\"wp-block-heading\">Current research<\/h2>\n\n\n\n<p><a href=\"https:\/\/cepr.org\/publications\/dp20937\">The Environmental Footprint and Risk Exposure of a Domestic Financial System<\/a> (with L-S. Vall\u00e9e) (2025). CEPR Discussion Paper No. DP20937<\/p>\n\n\n\n<p><a href=\"https:\/\/ssrn.com\/abstract=5475455\">The Dual Strategy of Exclusion and Engagement: Impact on Asset Prices and Green Transition<\/a> (with M. Ayalasomayajula) (2025). Swiss Finance Institute Research Paper No. 25-74<\/p>\n\n\n\n<p><a href=\"https:\/\/ssrn.com\/abstract=5162463\">From Pledges to Portfolios: Integrating Countries&rsquo; Climate Commitments into Sovereign Bond Investments<\/a> (with F. Alessandrini and L.-S. Vall\u00e9e) (2025). Swiss Finance Institute Research Paper No. 25-22<\/p>\n\n\n\n<p><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=4119681\">How Sustainable Is Swiss Real Estate? Evidence from Institutional Property Portfolios<\/a> (with F. Alessandrini, G. Lang, and E. Reins) (2022) Swiss Finance Institute Research Paper No. 22-46<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3911865\" target=\"_blank\">Measuring and Stress-Testing Market-Implied Bank Capital<\/a> (with M. Indergand and A. Fuster) (2022) Swiss Finance Institute Research Paper No. 22-11<\/p>\n\n\n\n<p><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3918201\" target=\"_blank\" rel=\"noreferrer noopener\">Climate-Related Disasters and the Death Toll<\/a> (with V. Chavez-Demoulin and L. Mhalla) (2021) Swiss Finance Institute Research Paper No. 21-63<\/p>\n\n\n\n<p><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3800034\" target=\"_blank\" rel=\"noreferrer noopener\">Greening (Runnable) Brown Assets with a Liquidity Backstop<\/a> (with B. Mojon and C. Monnet) (2021) Swiss Finance Institute Research Paper No. 21-22 <\/p>\n\n\n\n<p>________________________________________<\/p>\n\n\n\n<h2 class=\"wp-block-heading\">Publications<\/h2>\n\n\n\n<p><a href=\"https:\/\/www.bis.org\/publ\/work1127.htm\" data-type=\"link\" data-id=\"https:\/\/www.bis.org\/publ\/work1127.htm\">The Impact of Green Investors on Stock Prices<\/a> (with G. Chen, B. Mojon and Dimitri Vayanos) (2025) forthcoming <em>Review of Finance<\/em><\/p>\n\n\n\n<p><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=4119680\">Environmental Subsidies to Mitigate Transition Risk<\/a> (with G. Levieuge, J.-G. Sahuc, and G. Vermandel) (2025), forthcoming <em>AEJ Macro<\/em><\/p>\n\n\n\n<p><a href=\"https:\/\/www.aimspress.com\/article\/doi\/10.3934\/GF.2025021\">Performance and Challenges of Net-Zero Strategies in the Context of the EU Regulation<\/a> (with F. Alessandrini and L.-S. Vall\u00e9e) (2025), <em>Green Finance<\/em>, 7(3), 545\u2013583<\/p>\n\n\n\n<p><a href=\"https:\/\/www.tandfonline.com\/doi\/full\/10.1080\/20430795.2025.2463434\">Building Benchmark Portfolios with Decreasing Carbon Footprints <\/a> (with G. Chen and B. Mojon) (2025) <em>Journal of Sustainable Finance &amp; Investment<\/em>, 1\u201333<\/p>\n\n\n\n<p><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=4207316\">Building Portfolios of Sovereign Securities with Decreasing Carbon Footprints<\/a> (with G. Chen and B. Mojon) (2024), forthcoming <em>Journal of Investment Management<\/em><\/p>\n\n\n\n<p><a href=\"https:\/\/www.mdpi.com\/1911-8074\/17\/12\/552\" target=\"_blank\" rel=\"noreferrer noopener\">Large Drawdowns and Long-term Asset Management<\/a> (with A. Pauli) (2024) <em>Journal of Risk and Financial Management<\/em>, 17(12), 552<\/p>\n\n\n\n<p><a href=\"https:\/\/link.springer.com\/article\/10.1057\/s41260-024-00356-1?utm_source=rct_congratemailt&amp;utm_medium=email&amp;utm_campaign=oa_20240420&amp;utm_content=10.1057%2Fs41260-024-00356-1\">Deconstructing ESG Scores: Investing at the Category Score Level<\/a> (with T. Ehlers, U. Elsenhuber, and A. Jegarasasingam) (2024) <em>Journal of Asset Management<\/em><\/p>\n\n\n\n<p><a href=\"https:\/\/ssrn.com\/abstract=4341965\">Bank Rollover Risk and Liquidity Supply Regimes<\/a> (with B. Mojon and J.-G. Sahuc) (2024) (<a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/NewIndicatorBankFundingCost_OnlineAppendix.pdf\">Online Technical Appendix<\/a>, <a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2024\/03\/DataNewIndicatorBankFundingCost.xlsx\">Data<\/a>) <em>International Journal of Central Banking<\/em><\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3906654\" target=\"_blank\">Greening the Swiss National Bank&rsquo;s Portfolio<\/a> (with R. Fahlenbrach) (2023) <em>Review of Corporate Finance Studies<\/em>, 12, 792-833<\/p>\n\n\n\n<p><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3126905\">Bank Capital Shortfall in the Euro Area<\/a> (with J.-G. Sahuc) (2022) <em>Journal of Financial Stability<\/em>, 2022, 62, 101070<\/p>\n\n\n\n<p><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3966312\">ESG Screening in the Fixed-Income Universe<\/a> (with F. Alessandrini and D. Baptista Balula) (2022) <em>Journal of Investment Management<\/em>, 2022, 20(4), 65-86<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3126896\" target=\"_blank\">Predicting the Stressed Expected Loss of Large U.S. Banks<\/a> (with A. Khalilzadeh) (2021) (<a rel=\"noreferrer noopener\" href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/SEL_TechnicalAppendix.pdf\" data-type=\"URL\" target=\"_blank\">Online Technical Appendix<\/a>), <em>Journal of Banking and Finance, <\/em>2022, 134, 106321<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3578830\" target=\"_blank\">Optimal Strategies for ESG Portfolios<\/a> (with F. Alessandrini) (2021) <em>Journal of Portfolio Management<\/em> , 47 (6), 114\u2013138<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/ abstract_id=3112068\" target=\"_blank\">When are Stocks Less Volatile in the Long Run?<\/a> (with Q. Zhang and X. Zhu) (2021), <em>Journal of Financial and Quantitative Analysis, <\/em>56(4), 1228\u20131258 (<a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/Less_volatile_OnlineAppendix.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Online Technical Appendix<\/a>)<\/p>\n\n\n\n<p><a href=\"https:\/\/hbr.org\/2020\/05\/the-case-for-reopening-economies-by-sector?ab=hero-main-text\" target=\"_blank\" rel=\"noreferrer noopener\">The Case for Reopening Economies by Sector<\/a> (with J.-P. Bonardi, A. Bris, M. Br\u00fclhart, J.-P. Danthine, D. Rohner, and M. Thoenig) (2020), <em>Harvard Business Review<\/em><\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/ssrn.com\/ abstract=3357395\" target=\"_blank\">ESG Investing: From Sin Stocks to Smart Beta<\/a> (with F. Alessandrini) (2020), <em>Journal of Portfolio Management<\/em>, 46(2), 75\u201394 (<a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/ESG_TA.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Online Technical Appendix<\/a>)<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.22112\" target=\"_blank\">Skewness and Index Futures Return<\/a> (with X. Wang, Z. Yan, and Q. Zhang) (2020), <em>Journal of Futures Markets<\/em>, 40(11), 1648\u20131664<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2689612\" target=\"_blank\">Average Skewness Matters!<\/a> (with Q. Zhang and X. Zhu) (<a rel=\"noreferrer noopener\" href=\"https:\/\/www.hec.unil.ch\/ejondeau\/Workingpapers\/AverageSkewnessMatters_Text.pdf\" target=\"_blank\">last draft<\/a>, 2019), <em>Journal of Financial Economics<\/em>, 134(1), 29\u201347 (<a rel=\"noreferrer noopener\" href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/AverageSkewnessMatters_TechnicalAppendix.pdf\" target=\"_blank\">Online Technical Appendix<\/a>, <a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/Data.xlsx\">Data<\/a>, <a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2022\/03\/PredictiveRegressions.zip\">Codes<\/a>)<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2741141\" target=\"_blank\">Predicting Long-Term Financial Returns: VAR vs. DSGE Model &#8211; A Horse-Race<\/a> (with M. Rockinger) (<a href=\"https:\/\/www.hec.unil.ch\/ejondeau\/Publications\/Jondeau_Rockinger_2018.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">last draft<\/a>, 2019), <em>Journal of Money, Credit, and Banking<\/em>, 51(8), 2239\u20132291 (<a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/JR_FFRSMM_TA.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Online Technical Appendix<\/a>)<\/p>\n\n\n\n<p><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3099103\" target=\"_blank\" rel=\"noreferrer noopener\">Periodic or Generational Actuarial Tables: Which One to Choose?<\/a> (with S. Arnold-Gaille, A. Jijiie, and M. Rockinger) (2019), <em>European Actuarial Journal<\/em>, 9(2), 519\u2013554<\/p>\n\n\n\n<p><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1694643\" target=\"_blank\" rel=\"noreferrer noopener\">Moment Component Analysis: An Illustration with International Stock Markets<\/a> (with E. Jurczenko and M. Rockinger) (2018), <em>Journal of Business and Economic Statistics, <\/em>36(4), 576\u2013598<\/p>\n\n\n\n<p><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2669455\" target=\"_blank\" rel=\"noreferrer noopener\">Collateralization, Leverage, and Stressed Expected Loss<\/a> (with A. Khalilzadeh) (2017), <em>Journal of Financial Stability<\/em>, 33, 226\u2013243<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2458035\" target=\"_blank\">Asymmetry in Tail Dependence in Equity Portfolios<\/a> (2016), <em>Computational Statistics and Data Analysis<\/em>, 100, 351\u2013368 (<a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/ATD_TA.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Technical Appendix<\/a>)<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2335280\" target=\"_blank\">Estimating the Price Impact of Trades in a High-Frequency Microstructure Model with Jumps<\/a> (with J. Lahaye and M. Rockinger) (2015), <em>Journal of Banking and Finance<\/em>, 61, S205\u2013S224 (<a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/JondeauLahayeRockinger.pdf\">New Version<\/a>)<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2458202\" target=\"_blank\">The Dynamics of Squared Returns Under Contemporaneous Aggregation of GARCH Models<\/a> (2015), <em>Journal of Empirical Finance<\/em>, 32, 80\u201393 (<a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/DSRCAGM2_TA.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Online Technical Appendix<\/a>)<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2192536\" target=\"_blank\">Systemic Risk in Europe <\/a>(with R. Engle and M. Rockinger) (2015), <em>Review of Finance<\/em>, 19(1), 145\u2013190 (<a href=\"https:\/\/www.voxeu.org\/article\/systemic-risk-europe\" target=\"_blank\" rel=\"noreferrer noopener\">Update in VOX<\/a>)<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2464621\" target=\"_blank\">Estimating Aggregate Autoregressive Processes When Only Macro Data Are Available <\/a>(with F. Pelgrin) (2014), <em>Economics Letters<\/em>, 124(3), 341\u2013347 (<a rel=\"noreferrer noopener\" href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/JondeauPelgrin_EL_2014.pdf\" target=\"_blank\">Last Draft<\/a>)<\/p>\n\n\n\n<p><a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/JondeauRockinger_GlobalCreditReview.pdf\">Systemic Risk in Europe<\/a> (with M. Rockinger) (2013), <em>Global Credit Review<\/em>, 3(1), 1\u20136<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2728913\" target=\"_blank\">On the Importance of Time-Variability in Higher Moments for Asset Allocation<\/a> (with M. Rockinger) (2012), <em>Journal of Financial Econometrics<\/em>, 10(1), 84\u2013123 (<a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/JondeauRockinger_JofFE_2012.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Last Draft<\/a>)<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=963988\" target=\"_blank\">Sectoral Phillips curves and the aggregate Phillips curve<\/a> (with J. Imbs and F. Pelgrin) (2011), <em>Journal of Monetary Economics<\/em>, 58(4), 328\u2013344 (<a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/ImbsJondeauPelgrin_JME_2011.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Last Draft<\/a>)<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1365734\" target=\"_blank\">The Impact of Shocks on Higher Moments<\/a> (with M. Rockinger) (2009), <em>Journal of Financial Econometrics<\/em>, 7(2), 77\u2013105 (<a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/JondeauRockinger_JofFE_2009.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Last Draft<\/a>)<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2728910\" target=\"_blank\">Examining Bias in Estimators of Linear Rational Expectations Models under Misspecification<\/a> (with H. Le Bihan) (2008), <em>Journal of Econometrics<\/em>, 143(2), 375\u2013395 (<a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/JondeauLeBihan_JE_2008.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Last Draft<\/a>)<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=598022\" target=\"_blank\">Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity<\/a> (with J.-G. Sahuc) (2008), <em>International Journal of Central Banking<\/em>, 4(2), 23\u201372 (<a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/JondeauSahuc_IJCB_2008.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Last Draft<\/a>)<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=660921\" target=\"_blank\">Testing Heterogeneity within the Euro Area Using a Structural Multi-Country Model<\/a> (with J.-G. Sahuc) (2008), <em>Economics Letters<\/em>, 99, 192\u2013196 (<a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/JondeauSahuc_EL_2008.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Last Draft<\/a>)<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=498322\" target=\"_blank\">Optimal Portfolio Allocation Under Higher Moments<\/a> (with M. Rockinger) (2006), <em>European Financial Management<\/em>, 12(1), 29\u201355 (<a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/JondeauRockinger_EFM_2006.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Last Draft<\/a>)<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1730198\" target=\"_blank\">The Copula-GARCH Model of Conditional Dependencies: An International Stock Market Application<\/a> (with M. Rockinger) (2006), <em>Journal of International Money and Finance<\/em>, 25, 827<em>\u2013<\/em>853 (<a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/JondeauRockinger_JIMF_2006.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Last Draft<\/a>)<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1730173\" target=\"_blank\">Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US Data<\/a> (with H. Le Bihan) (2005), <em>Economic Modelling<\/em> (<a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/JondeauLeBihan_EcoMod_2005.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Last Draft<\/a>)<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1730197\" target=\"_blank\">Assessing Generalized Method of Moments Estimates of the Federal Reserve Reaction Function<\/a> (with C. Gall\u00e8s and H. Le Bihan) (2004), <em>Journal of Business and Economic Statistics<\/em> (<a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/JondeauLeBihanGalles_JBES_2004.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Last Draft<\/a>)<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=291399\" target=\"_blank\">Testing for Differences in the Tails of Stock-Market Returns<\/a> (with M. Rockinger) (2003), <em>Journal of Empirical Finance<\/em> (<a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/JondeauRockinger_JEF_2003.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Last Draft<\/a>)<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=260910\" target=\"_blank\">Conditional Volatility, Skewness, and Kurtosis: Existence, Persistence, and Comovements<\/a> (with M. Rockinger) (2003), <em>Journal of Economic Dynamics and Control<\/em> (<a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/JondeauRockinger_JEDC_2003a.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Last Draft<\/a>)<\/p>\n\n\n\n<p>User\u2019s Guide (with M. Rockinger) (2003), <em>Journal of Economic Dynamics and Control<\/em> (<a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/JondeauRockinger_JEDC_2003b.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Last Draft<\/a>)<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1730203\" target=\"_blank\">Entropy Densities with an Application to Autoregressive Conditional Skewness and Kurtosis<\/a> (with M. Rockinger) (2002), <em>Journal of Econometrics<\/em> (<a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/JondeauRockinger_JE_2002.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Last Draft<\/a>)<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1734650\" target=\"_blank\">Gram-Charlier Densities<\/a> (with M. Rockinger) (2001), <em>Journal of Economic Dynamics and Control<\/em> (<a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/JondeauRockinger_JEDC_2001.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Last Draft<\/a>)<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=146742\" target=\"_blank\">Reading PIBOR Futures Options Smiles: The 1997 French Snap Election<\/a> (with S. Coutant and M. Rockinger) (2001), <em>Journal of Banking and Finance<\/em> (<a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/CoutantJondeauRockinger_JBF_2001.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Last Draft<\/a>)<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/11\/Chesnay-Jondeau-2001.pdf\" target=\"_blank\">Does Correlation Between Stock-Market Returns Really Increase During Turbulent Periods?<\/a> (with F. Chesnay) (2001), <em>Economic Notes<\/em> (<a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/ChesnayJondeau_EcoNotes_2001.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Last Draft<\/a>)<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=141411\" target=\"_blank\">Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral Densities<\/a> (with M. Rockinger) (2000), <em>Journal of International Money and Finance<\/em> (<a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/JondeauRockinger_JIMF_2000.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Last Draft<\/a>)<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1734758\" target=\"_blank\">The Expectations Hypothesis: Tests on US, German, French, and UK Euro-Rates<\/a> (with R. Ricart) (1999), <em>Journal of International Money and Finance<\/em> (<a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/JondeauRicart_JIMF_1999.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Last Draft<\/a>)<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1734664\" target=\"_blank\">Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates<\/a> (with C. Bruneau) (1999), <em>Oxford Bulletin of Economics and Statistics<\/em> (<a href=\"https:\/\/www.hec.unil.ch\/ejondeau\/Publications\/BruneauJondeau_OBES_1999.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Last Draft<\/a>)<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1734662\" target=\"_blank\">Forecasting French and German Long-Term Rates Using a Rational Expectations Model<\/a> (with F. S\u00e9dillot) (1999), <em>Weltwirtschaftliches Archiv<\/em> (<a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/JondeauSedillot_WA_1999.pdf\" target=\"_blank\" rel=\"noreferrer noopener\">Last Draft<\/a>)<\/p>\n\n\n\n<p>________________________________________<\/p>\n\n\n\n<h2 class=\"wp-block-heading\">Unpublished Working Papers<\/h2>\n\n\n\n<p><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3365005\" target=\"_blank\" rel=\"noreferrer noopener\"><u>Textual Analysis of Banks&rsquo; Pillar 3 Documents<\/u><\/a> (with M. Dong and M. Rockinger) (2019)<\/p>\n\n\n\n<p><a href=\"https:\/\/ssrn.com\/abstract_id=3236260\" target=\"_blank\" rel=\"noreferrer noopener\">Strategic Interaction between Hedge Funds and Prime Brokers<\/a> (with N. Gerasimova) (2018) Swiss Finance Institute Research Paper No. 18-54<\/p>\n\n\n\n<p><a rel=\"noreferrer noopener\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2511327\" target=\"_blank\">Asymmetric Beta Comovement and Systematic Downside Risk<\/a> (with Q. Zhang) (2014) (<a href=\"https:\/\/people.unil.ch\/ericjondeau\/files\/2021\/09\/ABCSDR_TA.pdf\">Technical Appendix<\/a>) Swiss Finance Institute Research Paper No. 14-59<\/p>\n\n\n\n<p><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2325291\" target=\"_blank\" rel=\"noreferrer noopener\"><\/a><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2511308\" target=\"_blank\" rel=\"noreferrer noopener\">Optimal Long-Term Allocation with Pension Fund Liabilities<\/a> (with M. Rockinger) (2014) Swiss Finance Institute Research Paper No. 14-58<\/p>\n\n\n\n<p><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1468504\" target=\"_blank\" rel=\"noreferrer noopener\">Aggregating Rational Expectations Models In the Presence of Unobserved Micro Heterogeneity<\/a> (with F. Pelgrin) (2009)<\/p>\n\n\n\n<p><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1431869\" target=\"_blank\" rel=\"noreferrer noopener\">Optimal Liquidation Strategies in Illiquid Markets<\/a> (with A. Perilla and M. Rockinger) (2007)<\/p>\n","protected":false},"excerpt":{"rendered":"<p>_________________________________________ Current research The Environmental Footprint and Risk Exposure of a Domestic Financial System (with L-S. Vall\u00e9e) (2025). CEPR Discussion Paper No. DP20937 The Dual Strategy of Exclusion and Engagement: &hellip; <\/p>\n","protected":false},"author":1001118,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"_seopress_robots_primary_cat":"","_seopress_titles_title":"","_seopress_titles_desc":"","_seopress_robots_index":"","footnotes":""},"class_list":["post-32","page","type-page","status-publish"],"_links":{"self":[{"href":"https:\/\/people.unil.ch\/ericjondeau\/wp-json\/wp\/v2\/pages\/32","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/people.unil.ch\/ericjondeau\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/people.unil.ch\/ericjondeau\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/people.unil.ch\/ericjondeau\/wp-json\/wp\/v2\/users\/1001118"}],"replies":[{"embeddable":true,"href":"https:\/\/people.unil.ch\/ericjondeau\/wp-json\/wp\/v2\/comments?post=32"}],"version-history":[{"count":5,"href":"https:\/\/people.unil.ch\/ericjondeau\/wp-json\/wp\/v2\/pages\/32\/revisions"}],"predecessor-version":[{"id":475,"href":"https:\/\/people.unil.ch\/ericjondeau\/wp-json\/wp\/v2\/pages\/32\/revisions\/475"}],"wp:attachment":[{"href":"https:\/\/people.unil.ch\/ericjondeau\/wp-json\/wp\/v2\/media?parent=32"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}