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Eric Jondeau

Global rank #4555 94%

Institution: Université de Lausanne

Primary Field: Finance (weighted toward more recent publications)

Homepage: http://www.hec.unil.ch/ejondeau/

First Publication: 1999

Most Recent: 2022

RePEc ID: pjo225 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.00 1.68 0.00 1.68
Last 10 Years 0.00 1.34 2.68 0.00 5.36
All Time 0.00 4.02 12.74 0.00 22.29

Publication Statistics

Raw Publications 22
Coauthorship-Adjusted Count 19.86

Publications (22)

Year Article Journal Tier Authors
2022 Predicting the stressed expected loss of large U.S. banks Journal of Banking & Finance B 2
2021 When Are Stocks Less Volatile in the Long Run? Journal of Financial and Quantitative Analysis B 3
2019 Average skewness matters Journal of Financial Economics A 3
2019 Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race Journal of Money, Credit, and Banking B 2
2018 Moment Component Analysis: An Illustration With International Stock Markets Journal of Business & Economic Statistics A 3
2015 Systemic Risk in Europe Review of Finance B 3
2015 Estimating the price impact of trades in a high-frequency microstructure model with jumps Journal of Banking & Finance B 3
2014 Estimating aggregate autoregressive processes when only macro data are available Economics Letters C 2
2011 Sectoral Phillips curves and the aggregate Phillips curve Journal of Monetary Economics A 3
2008 Testing heterogeneity within the euro area Economics Letters C 2
2008 Examining bias in estimators of linear rational expectations models under misspecification Journal of Econometrics A 2
2008 Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-Country Heterogeneity International Journal of Central Banking B 2
2006 The Copula-GARCH model of conditional dependencies: An international stock market application Journal of International Money and Finance B 2
2005 Testing for the New Keynesian Phillips Curve. Additional international evidence Economic Modeling C 2
2003 Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements Journal of Economic Dynamics and Control B 2
2003 User's guide Journal of Economic Dynamics and Control B 2
2002 Entropy densities with an application to autoregressive conditional skewness and kurtosis Journal of Econometrics A 2
2001 Gram-Charlier densities Journal of Economic Dynamics and Control B 2
2001 Reading PIBOR futures options smiles: The 1997 snap election Journal of Banking & Finance B 3
2000 Reading the smile: the message conveyed by methods which infer risk neutral densities Journal of International Money and Finance B 2
1999 Long‐run Causality, with an Application to International Links Between Long‐term Interest Rates Oxford Bulletin of Economics and Statistics B 2
1999 The expectations hypothesis of the term structure: tests on US, German, French, and UK Euro-rates Journal of International Money and Finance B 2