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Title
Research
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general
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b702a6fc664a45508ae1080f34ab0be7
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https://people.unil.ch/ericjondeau/research/
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https://people.unil.ch/ericjondeau/
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# Research

**Source**: https://people.unil.ch/ericjondeau/research/
**Parent**: https://people.unil.ch/ericjondeau/

- [SSRN author page](https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=141412)
- [Google Scholar citation page](https://scholar.google.com/citations?user=--RIrTgAAAAJ)
- [ResearchGate](https://www.researchgate.net/profile/Eric-Jondeau)
- [IDEAS citation page](https://ideas.repec.org/f/pjo225.html)

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## Current research

[The Environmental Footprint and Risk Exposure of a Domestic Financial System](https://cepr.org/publications/dp20937) (with L-S. Vallée) (2025). CEPR Discussion Paper No. DP20937

[The Dual Strategy of Exclusion and Engagement: Impact on Asset Prices and Green Transition](https://ssrn.com/abstract=5475455) (with M. Ayalasomayajula) (2025). Swiss Finance Institute Research Paper No. 25-74

[From Pledges to Portfolios: Integrating Countries’ Climate Commitments into Sovereign Bond Investments](https://ssrn.com/abstract=5162463) (with F. Alessandrini and L.-S. Vallée) (2025). Swiss Finance Institute Research Paper No. 25-22

[How Sustainable Is Swiss Real Estate? Evidence from Institutional Property Portfolios](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4119681) (with F. Alessandrini, G. Lang, and E. Reins) (2022) Swiss Finance Institute Research Paper No. 22-46

[Measuring and Stress-Testing Market-Implied Bank Capital](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3911865) (with M. Indergand and A. Fuster) (2022) Swiss Finance Institute Research Paper No. 22-11

[Climate-Related Disasters and the Death Toll](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3918201) (with V. Chavez-Demoulin and L. Mhalla) (2021) Swiss Finance Institute Research Paper No. 21-63

[Greening (Runnable) Brown Assets with a Liquidity Backstop](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3800034) (with B. Mojon and C. Monnet) (2021) Swiss Finance Institute Research Paper No. 21-22

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## Publications

[The Impact of Green Investors on Stock Prices](https://www.bis.org/publ/work1127.htm) (with G. Chen, B. Mojon and Dimitri Vayanos) (2025) forthcoming *Review of Finance*

[Environmental Subsidies to Mitigate Transition Risk](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4119680) (with G. Levieuge, J.-G. Sahuc, and G. Vermandel) (2025), forthcoming *AEJ Macro*

[Performance and Challenges of Net-Zero Strategies in the Context of the EU Regulation](https://www.aimspress.com/article/doi/10.3934/GF.2025021) (with F. Alessandrini and L.-S. Vallée) (2025), *Green Finance*, 7(3), 545–583

[Building Benchmark Portfolios with Decreasing Carbon Footprints](https://www.tandfonline.com/doi/full/10.1080/20430795.2025.2463434)  (with G. Chen and B. Mojon) (2025) *Journal of Sustainable Finance & Investment*, 1–33

[Building Portfolios of Sovereign Securities with Decreasing Carbon Footprints](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4207316) (with G. Chen and B. Mojon) (2024), forthcoming *Journal of Investment Management*

[Large Drawdowns and Long-term Asset Management](https://www.mdpi.com/1911-8074/17/12/552) (with A. Pauli) (2024) *Journal of Risk and Financial Management*, 17(12), 552

[Deconstructing ESG Scores: Investing at the Category Score Level](https://link.springer.com/article/10.1057/s41260-024-00356-1?utm_source=rct_congratemailt&utm_medium=email&utm_campaign=oa_20240420&utm_content=10.1057%2Fs41260-024-00356-1) (with T. Ehlers, U. Elsenhuber, and A. Jegarasasingam) (2024) *Journal of Asset Management*

[Bank Rollover Risk and Liquidity Supply Regimes](https://ssrn.com/abstract=4341965) (with B. Mojon and J.-G. Sahuc) (2024) ([Online Technical Appendix](https://people.unil.ch/ericjondeau/files/2021/09/NewIndicatorBankFundingCost_OnlineAppendix.pdf), [Data](https://people.unil.ch/ericjondeau/files/2024/03/DataNewIndicatorBankFundingCost.xlsx)) *International Journal of Central Banking*

[Greening the Swiss National Bank’s Portfolio](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3906654) (with R. Fahlenbrach) (2023) *Review of Corporate Finance Studies*, 12, 792-833

[Bank Capital Shortfall in the Euro Area](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3126905) (with J.-G. Sahuc) (2022) *Journal of Financial Stability*, 2022, 62, 101070

[ESG Screening in the Fixed-Income Universe](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3966312) (with F. Alessandrini and D. Baptista Balula) (2022) *Journal of Investment Management*, 2022, 20(4), 65-86

[Predicting the Stressed Expected Loss of Large U.S. Banks](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3126896) (with A. Khalilzadeh) (2021) ([Online Technical Appendix](https://people.unil.ch/ericjondeau/files/2021/09/SEL_TechnicalAppendix.pdf)), *Journal of Banking and Finance,* 2022, 134, 106321

[Optimal Strategies for ESG Portfolios](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3578830) (with F. Alessandrini) (2021) *Journal of Portfolio Management* , 47 (6), 114–138

[When are Stocks Less Volatile in the Long Run?](https://papers.ssrn.com/ abstract_id=3112068) (with Q. Zhang and X. Zhu) (2021), *Journal of Financial and Quantitative Analysis,* 56(4), 1228–1258 ([Online Technical Appendix](https://people.unil.ch/ericjondeau/files/2021/09/Less_volatile_OnlineAppendix.pdf))

[The Case for Reopening Economies by Sector](https://hbr.org/2020/05/the-case-for-reopening-economies-by-sector?ab=hero-main-text) (with J.-P. Bonardi, A. Bris, M. Brülhart, J.-P. Danthine, D. Rohner, and M. Thoenig) (2020), *Harvard Business Review*

[ESG Investing: From Sin Stocks to Smart Beta](https://ssrn.com/ abstract=3357395) (with F. Alessandrini) (2020), *Journal of Portfolio Management*, 46(2), 75–94 ([Online Technical Appendix](https://people.unil.ch/ericjondeau/files/2021/09/ESG_TA.pdf))

[Skewness and Index Futures Return](https://onlinelibrary.wiley.com/doi/full/10.1002/fut.22112) (with X. Wang, Z. Yan, and Q. Zhang) (2020), *Journal of Futures Markets*, 40(11), 1648–1664

[Average Skewness Matters!](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2689612) (with Q. Zhang and X. Zhu) ([last draft](https://www.hec.unil.ch/ejondeau/Workingpapers/AverageSkewnessMatters_Text.pdf), 2019), *Journal of Financial Economics*, 134(1), 29–47 ([Online Technical Appendix](https://people.unil.ch/ericjondeau/files/2021/09/AverageSkewnessMatters_TechnicalAppendix.pdf), [Data](https://people.unil.ch/ericjondeau/files/2021/09/Data.xlsx), [Codes](https://people.unil.ch/ericjondeau/files/2022/03/PredictiveRegressions.zip))

[Predicting Long-Term Financial Returns: VAR vs. DSGE Model – A Horse-Race](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2741141) (with M. Rockinger) ([last draft](https://www.hec.unil.ch/ejondeau/Publications/Jondeau_Rockinger_2018.pdf), 2019), *Journal of Money, Credit, and Banking*, 51(8), 2239–2291 ([Online Technical Appendix](https://people.unil.ch/ericjondeau/files/2021/09/JR_FFRSMM_TA.pdf))

[Periodic or Generational Actuarial Tables: Which One to Choose?](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3099103) (with S. Arnold-Gaille, A. Jijiie, and M. Rockinger) (2019), *European Actuarial Journal*, 9(2), 519–554

[Moment Component Analysis: An Illustration with International Stock Markets](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1694643) (with E. Jurczenko and M. Rockinger) (2018), *Journal of Business and Economic Statistics,* 36(4), 576–598

[Collateralization, Leverage, and Stressed Expected Loss](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2669455) (with A. Khalilzadeh) (2017), *Journal of Financial Stability*, 33, 226–243

[Asymmetry in Tail Dependence in Equity Portfolios](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2458035) (2016), *Computational Statistics and Data Analysis*, 100, 351–368 ([Technical Appendix](https://people.unil.ch/ericjondeau/files/2021/09/ATD_TA.pdf))

[Estimating the Price Impact of Trades in a High-Frequency Microstructure Model with Jumps](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2335280) (with J. Lahaye and M. Rockinger) (2015), *Journal of Banking and Finance*, 61, S205–S224 ([New Version](https://people.unil.ch/ericjondeau/files/2021/09/JondeauLahayeRockinger.pdf))

[The Dynamics of Squared Returns Under Contemporaneous Aggregation of GARCH Models](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2458202) (2015), *Journal of Empirical Finance*, 32, 80–93 ([Online Technical Appendix](https://people.unil.ch/ericjondeau/files/2021/09/DSRCAGM2_TA.pdf))

[Systemic Risk in Europe](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2192536) (with R. Engle and M. Rockinger) (2015), *Review of Finance*, 19(1), 145–190 ([Update in VOX](https://www.voxeu.org/article/systemic-risk-europe))

[Estimating Aggregate Autoregressive Processes When Only Macro Data Are Available](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2464621) (with F. Pelgrin) (2014), *Economics Letters*, 124(3), 341–347 ([Last Draft](https://people.unil.ch/ericjondeau/files/2021/09/JondeauPelgrin_EL_2014.pdf))

[Systemic Risk in Europe](https://people.unil.ch/ericjondeau/files/2021/09/JondeauRockinger_GlobalCreditReview.pdf) (with M. Rockinger) (2013), *Global Credit Review*, 3(1), 1–6

[On the Importance of Time-Variability in Higher Moments for Asset Allocation](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2728913) (with M. Rockinger) (2012), *Journal of Financial Econometrics*, 10(1), 84–123 ([Last Draft](https://people.unil.ch/ericjondeau/files/2021/09/JondeauRockinger_JofFE_2012.pdf))

[Sectoral Phillips curves and the aggregate Phillips curve](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=963988) (with J. Imbs and F. Pelgrin) (2011), *Journal of Monetary Economics*, 58(4), 328–344 ([Last Draft](https://people.unil.ch/ericjondeau/files/2021/09/ImbsJondeauPelgrin_JME_2011.pdf))

[The Impact of Shocks on Higher Moments](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1365734) (with M. Rockinger) (2009), *Journal of Financial Econometrics*, 7(2), 77–105 ([Last Draft](https://people.unil.ch/ericjondeau/files/2021/09/JondeauRockinger_JofFE_2009.pdf))

[Examining Bias in Estimators of Linear Rational Expectations Models under Misspecification](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2728910) (with H. Le Bihan) (2008), *Journal of Econometrics*, 143(2), 375–395 ([Last Draft](https://people.unil.ch/ericjondeau/files/2021/09/JondeauLeBihan_JE_2008.pdf))

[Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=598022) (with J.-G. Sahuc) (2008), *International Journal of Central Banking*, 4(2), 23–72 ([Last Draft](https://people.unil.ch/ericjondeau/files/2021/09/JondeauSahuc_IJCB_2008.pdf))

[Testing Heterogeneity within the Euro Area Using a Structural Multi-Country Model](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=660921) (with J.-G. Sahuc) (2008), *Economics Letters*, 99, 192–196 ([Last Draft](https://people.unil.ch/ericjondeau/files/2021/09/JondeauSahuc_EL_2008.pdf))

[Optimal Portfolio Allocation Under Higher Moments](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=498322) (with M. Rockinger) (2006), *European Financial Management*, 12(1), 29–55 ([Last Draft](https://people.unil.ch/ericjondeau/files/2021/09/JondeauRockinger_EFM_2006.pdf))

[The Copula-GARCH Model of Conditional Dependencies: An International Stock Market Application](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1730198) (with M. Rockinger) (2006), *Journal of International Money and Finance*, 25, 827*–*853 ([Last Draft](https://people.unil.ch/ericjondeau/files/2021/09/JondeauRockinger_JIMF_2006.pdf))

[Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US Data](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1730173) (with H. Le Bihan) (2005), *Economic Modelling* ([Last Draft](https://people.unil.ch/ericjondeau/files/2021/09/JondeauLeBihan_EcoMod_2005.pdf))

[Assessing Generalized Method of Moments Estimates of the Federal Reserve Reaction Function](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1730197) (with C. Gallès and H. Le Bihan) (2004), *Journal of Business and Economic Statistics* ([Last Draft](https://people.unil.ch/ericjondeau/files/2021/09/JondeauLeBihanGalles_JBES_2004.pdf))

[Testing for Differences in the Tails of Stock-Market Returns](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=291399) (with M. Rockinger) (2003), *Journal of Empirical Finance* ([Last Draft](https://people.unil.ch/ericjondeau/files/2021/09/JondeauRockinger_JEF_2003.pdf))

[Conditional Volatility, Skewness, and Kurtosis: Existence, Persistence, and Comovements](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=260910) (with M. Rockinger) (2003), *Journal of Economic Dynamics and Control* ([Last Draft](https://people.unil.ch/ericjondeau/files/2021/09/JondeauRockinger_JEDC_2003a.pdf))

User’s Guide (with M. Rockinger) (2003), *Journal of Economic Dynamics and Control* ([Last Draft](https://people.unil.ch/ericjondeau/files/2021/09/JondeauRockinger_JEDC_2003b.pdf))

[Entropy Densities with an Application to Autoregressive Conditional Skewness and Kurtosis](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1730203) (with M. Rockinger) (2002), *Journal of Econometrics* ([Last Draft](https://people.unil.ch/ericjondeau/files/2021/09/JondeauRockinger_JE_2002.pdf))

[Gram-Charlier Densities](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1734650) (with M. Rockinger) (2001), *Journal of Economic Dynamics and Control* ([Last Draft](https://people.unil.ch/ericjondeau/files/2021/09/JondeauRockinger_JEDC_2001.pdf))

[Reading PIBOR Futures Options Smiles: The 1997 French Snap Election](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=146742) (with S. Coutant and M. Rockinger) (2001), *Journal of Banking and Finance* ([Last Draft](https://people.unil.ch/ericjondeau/files/2021/09/CoutantJondeauRockinger_JBF_2001.pdf))

[Does Correlation Between Stock-Market Returns Really Increase During Turbulent Periods?](https://people.unil.ch/ericjondeau/files/2021/11/Chesnay-Jondeau-2001.pdf) (with F. Chesnay) (2001), *Economic Notes* ([Last Draft](https://people.unil.ch/ericjondeau/files/2021/09/ChesnayJondeau_EcoNotes_2001.pdf))

[Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral Densities](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=141411) (with M. Rockinger) (2000), *Journal of International Money and Finance* ([Last Draft](https://people.unil.ch/ericjondeau/files/2021/09/JondeauRockinger_JIMF_2000.pdf))

[The Expectations Hypothesis: Tests on US, German, French, and UK Euro-Rates](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1734758) (with R. Ricart) (1999), *Journal of International Money and Finance* ([Last Draft](https://people.unil.ch/ericjondeau/files/2021/09/JondeauRicart_JIMF_1999.pdf))

[Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1734664) (with C. Bruneau) (1999), *Oxford Bulletin of Economics and Statistics* ([Last Draft](https://www.hec.unil.ch/ejondeau/Publications/BruneauJondeau_OBES_1999.pdf))

[Forecasting French and German Long-Term Rates Using a Rational Expectations Model](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1734662) (with F. Sédillot) (1999), *Weltwirtschaftliches Archiv* ([Last Draft](https://people.unil.ch/ericjondeau/files/2021/09/JondeauSedillot_WA_1999.pdf))

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## Unpublished Working Papers

[Textual Analysis of Banks’ Pillar 3 Documents](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3365005) (with M. Dong and M. Rockinger) (2019)

[Strategic Interaction between Hedge Funds and Prime Brokers](https://ssrn.com/abstract_id=3236260) (with N. Gerasimova) (2018) Swiss Finance Institute Research Paper No. 18-54

[Asymmetric Beta Comovement and Systematic Downside Risk](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2511327) (with Q. Zhang) (2014) ([Technical Appendix](https://people.unil.ch/ericjondeau/files/2021/09/ABCSDR_TA.pdf)) Swiss Finance Institute Research Paper No. 14-59

[Optimal Long-Term Allocation with Pension Fund Liabilities](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2511308) (with M. Rockinger) (2014) Swiss Finance Institute Research Paper No. 14-58

[Aggregating Rational Expectations Models In the Presence of Unobserved Micro Heterogeneity](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1468504) (with F. Pelgrin) (2009)

[Optimal Liquidation Strategies in Illiquid Markets](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1431869) (with A. Perilla and M. Rockinger) (2007)