The copula-GARCH model of conditional dependencies: An international stock market application E Jondeau, M Rockinger Journal of International Money and Finance 25, 827-853, 2006 | 1044 | 2006 |
Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements E Jondeau, M Rockinger Journal of Economic Dynamics and Control 27 (10), 1699-1737, 2003 | 734 | 2003 |
Optimal Portfolio Allocation Under Higher Moments E Jondeau, M Rockinger European Financial Management, 2006 | 583 | 2006 |
Financial Modeling Under Non-Gaussian Distributions E Jondeau, SH Poon, M Rockinger Springer-Verlag, London, 2007 | 578 | 2007 |
Systemic risk in Europe R Engle, E Jondeau, M Rockinger Review of Finance 19 (1), 145-190, 2015 | 358 | 2015 |
Gram–Charlier densities E Jondeau, M Rockinger Journal of Economic Dynamics and Control 25 (10), 1457-1483, 2001 | 341 | 2001 |
Entropy densities with an application to autoregressive conditional skewness and kurtosis M Rockinger, E Jondeau Journal of Econometrics 106 (1), 119-142, 2002 | 245 | 2002 |
Testing for differences in the tails of stock-market returns E Jondeau, M Rockinger Journal of Empirical Finance 10 (5), 559-581, 2003 | 223 | 2003 |
Reading the smile: the message conveyed by methods which infer risk neutral densities E Jondeau, M Rockinger Journal of International Money and Finance 19 (6), 885-915, 2000 | 167 | 2000 |
Conditional dependency of financial series: an application of copulas M Rockinger, E Jondeau Banque de France Working Paper No. 82, 2001 | 158 | 2001 |
Does correlation between stock returns really increase during turbulent periods? F Chesnay, E Jondeau Economic Notes 30 (1), 53-80, 2001 | 150 | 2001 |
Testing for the new Keynesian Phillips curve. Additional international evidence E Jondeau, H Le Bihan Economic Modelling 22 (3), 521-550, 2005 | 133 | 2005 |
Average Skewness Matters! E Jondeau, Q Zhang, X Zhu Journal of Financial Economics, 134(1), 29-47, 2019 | 120 | 2019 |
ESG investing: From sin stocks to smart beta F Alessandrini, E Jondeau Swiss Finance Institute, 2019 | 116 | 2019 |
On the importance of time variability in higher moments for asset allocation E Jondeau, M Rockinger Journal of Financial Econometrics 10 (1), 84-123, 2012 | 110 | 2012 |
The tail behavior of stock returns: Emerging versus mature markets E Jondeau, M Rockinger Banque de France Working Paper No. 66, 1999 | 107 | 1999 |
Testing for a forward-looking Phillips curve: Additional evidence from European and US data E Jondeau, H Le Bihan Banque de France working paper, 2001 | 93 | 2001 |
Long-run Causality, with an Application to International Links Between Long‐term Interest Rates C Bruneau, E Jondeau Oxford Bulletin of Economics and Statistics 61 (4), 545-568, 1999 | 91 | 1999 |
The expectations hypothesis of the term structure: tests on US, German, French, and UK euro-rates E Jondeau, R Ricart Journal of International Money and Finance 18 (5), 725-750, 1999 | 81 | 1999 |
Sectoral Phillips curves and the aggregate Phillips curve J Imbs, E Jondeau, F Pelgrin Journal of Monetary Economics 58 (4), 328-344, 2011 | 77 | 2011 |