We evaluate how non-normality of asset returns and the temporal evolution of volatility and higher moments affects the conditional allocation of wealth. We show that if one neglects these aspects, as would be the case in a mean-variance allocation, a significant cost would arise. The performance...

In this paper, we extend the concept of News Impact Curve developed by Engle and Ng (1993) to the higher moments of the multivariate returns' distribution, thereby providing a tool to investigate the impact of shocks on the characteristics of the subsequent distribution. For this purpose, we...

We investigate the consequences for value-at-risk and expected shortfall purposes of using a GARCH filter on various mis-specified processes. In general, we find that the McNeil and Frey (2000) two step procedure has very good forecasting properties. Using an unconditional non filtered tail...

Starting in 1995, we follow for three years the 120 most important companies listed on the paris Bourse and examine the link between stock trading characteristics and different measures of earnings' surprises during annual and semi-annual public disclosures. After a short discussion of market...

[spa] Gestión óptima de las finanzas públicas en presencia de costes de ajuste, . por Jean-François Loué y Eric Jondeau.. . Las modifîcaciones de las reglas fiscales y las modalidades de la acción y de los gastos públicos presentan incertidumbres para el sector privado y, por ende,...

[fre] Les politiques monétaires au sein du SME, . par Patrick Jacq, Eric Jondeau, Frank Sédillot. . . Les contraintes imposées par le SME et les perspectives de l 'union européenne ont permis une convergence spectaculaire des taux d'intérêt de l'ensemble des pays membres. Cette convergence...

[eng] The Sustainability of Budget Policy, . by Eric Jondeau.. . The hypothesis of the sustainability of French budget policy, according to which there is a long-term relationship between receipts and expenses, is tested and rejected. The reason for this is probably the change in the...

This paper focuses on the expectations hypothesis of the term structure on long-term government bonds. Adopting the approach proposed by Campbell and Shiller [1991], we obtain ambiguous results, similar to the puzzle highlighted by these authors with US data. Analyzing stationarity of excess...