| The copula-garch model of conditional dependencies: An international stock market application E Jondeau, M Rockinger Journal of international money and finance 25 (5), 827-853, 2006 | 1061 | 2006 |
| Extreme value dependence in financial markets: Diagnostics, models, and financial implications SH Poon, M Rockinger, J Tawn The Review of Financial Studies 17 (2), 581-610, 2004 | 780 | 2004 |
| Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements E Jondeau, M Rockinger Journal of Economic dynamics and Control 27 (10), 1699-1737, 2003 | 751 | 2003 |
| Optimal portfolio allocation under higher moments E Jondeau, M Rockinger European Financial Management 12 (1), 29-55, 2006 | 587 | 2006 |
| Financial modeling under non-Gaussian distributions E Jondeau, SH Poon, M Rockinger Springer Science & Business Media, 2007 | 571 | 2007 |
| Systemic risk in Europe R Engle, E Jondeau, M Rockinger Review of Finance 19 (1), 145-190, 2015 | 368 | 2015 |
| Gram–charlier densities E Jondeau, M Rockinger Journal of Economic Dynamics and Control 25 (10), 1457-1483, 2001 | 349 | 2001 |
| Entropy densities with an application to autoregressive conditional skewness and kurtosis M Rockinger, E Jondeau Journal of Econometrics 106 (1), 119-142, 2002 | 249 | 2002 |
| Testing for differences in the tails of stock-market returns E Jondeau, M Rockinger Journal of Empirical Finance 10 (5), 559-581, 2003 | 224 | 2003 |
| A time varying parameter model to test for predictability and integration in the stock markets of transition economies M Rockinger, G Urga Journal of Business & Economic Statistics 19 (1), 73-84, 2001 | 203 | 2001 |
| 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 | 166 | 2000 |
| Modelling extreme-value dependence in international stock markets SH Poon, M Rockinger, J Tawn Statistica Sinica, 929-953, 2003 | 152 | 2003 |
| Conditional dependency of financial series: An application of copulas M Rockinger, E Jondeau Banque de France Working Paper, 2001 | 152 | 2001 |
| The evolution of stock markets in transition economies M Rockinger, G Urga Journal of Comparative Economics 28 (3), 456-472, 2000 | 140 | 2000 |
| On stock market returns and returns on investment F Restoy, GM Rockinger The Journal of Finance 49 (2), 543-556, 1994 | 129 | 1994 |
| The tail behavior of stock returns: Emerging versus mature markets E Jondeau, M Rockinger Banque de France Working Paper, 1999 | 108 | 1999 |
| 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 | 101 | 2012 |
| Reading PIBOR futures options smiles: The 1997 snap election S Coutant, E Jondeau, M Rockinger Journal of Banking & Finance 25 (11), 1957-1987, 2001 | 65 | 2001 |
| Moment component analysis: An illustration with international stock markets E Jondeau, E Jurczenko, M Rockinger Journal of Business & Economic Statistics 36 (4), 576-598, 2018 | 64 | 2018 |
| Density functionals, with an option-pricing application KM Abadir, M Rockinger Econometric Theory 19 (5), 778-811, 2003 | 63 | 2003 |
Eric JondeauProfessor of Finance, Faculty of Business and Economics (HEC Lausanne), University of LausanneVerified email at unil.ch
