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The impact of shocks on higher moments

Jondeau, Eric; Rockinger, Michael - In: Journal of financial econometrics : official journal of … 7 (2009) 2, pp. 77-105

Persistent link: https://www.econbiz.de/10003826483

The impact of news on higher moments

Jondeau, Eric (contributor); Rockinger, Michael (contributor) - 2006

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...

Persistent link: https://www.econbiz.de/10003394353

Les déterminants économiques de l'évolution du dollar

Jondeau, Eric - 1994

Persistent link: https://www.econbiz.de/10000884302

Extreme value dependence in financial markets : diagnostics, models, and financial implications

Poon, Ser-Huang; Rockinger, Michael; Twan, Jonathan - In: The review of financial studies 17 (2004) 2, pp. 581-610

Persistent link: https://www.econbiz.de/10002028108

Modélisation du prix des actifs financiers

Jondeau, Eric; Nicolaï, Jean-Paul - 1993

Persistent link: https://www.econbiz.de/10000871284

The expectation theory : tests on French, German, and American Euro-rates

Jondeau, Eric; Ricart, Roland - 1996

Persistent link: https://www.econbiz.de/10000937563

Long-run causality, with an application to international links between long-term interest rates

Bruneau, Catherine; Jondeau, Eric - 1998

Persistent link: https://www.econbiz.de/10000989563

La prévision des taux longs français et allemands à partir d'un modèle à anticipations rationnelles

Jondeau, Eric; Sédillot, Franck - 1998

Persistent link: https://www.econbiz.de/10000989567

Forecasting French and German long-term rates using a rational expectations model

Jondeau, Eric; Sédillot, Franck - In: Weltwirtschaftliches Archiv : Zeitschrift des Instituts … 135 (1999) 3, pp. 412-436

Persistent link: https://www.econbiz.de/10001408498

Interest rate transmission and volatility transmission along the yield curve

Avouyi-Dovi, Sanvi; Jondeau, Eric - 1999

Persistent link: https://www.econbiz.de/10001363705

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