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Publications
Valuing Downside Risk on International Stock Markets, Finance, forthcoming (with Prince Hikouatcha)
The Changing Landscape of Treasury Auctions, The Journal of Banking and Finance, forthcoming, (with Shehryar Amin)
Operations Revenue Insurance, Foundations and Trends® in Technology, Information and Operations Management, July 2022, 15(3), 225-246, (with Paolo Guiotto and Andrea Roncoroni)
Portfolio Optimization and Asset Pricing Implications under Returns Non-Normality Concerns, Finance, January 2022, 43(1), 47-94, (with Jules Tinang)
Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets, Management Science, October 2021, 67(10), 6266-6293, (with Patrick Augustin)
The Term Structures of Expected Loss and Gain Uncertainty, The Journal of Financial Econometrics, June 2020, 18(3), 473-501, (with Bruno Feunou, Ricardo Lopez Aliouchkin and Lai Xu)
Downside Risks and the Cross-Section of Asset Returns, The Journal of Financial Economics, July 2018, 129(1), 69-86, (with Adam Farago)
Implied Volatility And Skewness Surface, The Review of Derivatives Research, July 2017, 20(2), 167-202, (with Bruno Feunou and Jean-Sébastien Fontaine)
Asymmetries and Portfolio Choice, The Review of Financial Studies, February 2017, 30(2), 667-702, (with Magnus Dahlquist and Adam Farago)
The Long and the Short of the Risk-Return Tradeoff, The Journal of Econometrics, August 2015, 187(2), 580-592, (with Marco Bonomo, René Garcia, and Nour Meddahi)
Real Economic Shocks and Sovereign Credit Risk, The Journal of Financial and Quantitative Analysis, April 2016, 51(2), 541-587, (with Patrick Augustin)
Which Parametric Model for Conditional Skewness?, The European Journal of Finance, 2016, 22(13), 1237-1271, (with Bruno Feunou and Mohammad Jahan-Parvar)
Consumption Volatility and the Cross-Section of Stock Returns, The Review of Finance, March 2015, 19(1), 367-405
Risk Premium, Variance Premium and the Maturity Structure of Uncertainty, The Review of Finance, January 2014, 18(1), 219-269, (with Bruno Feunou, Jean-Sébastien Fontaine and Abderrahim Taamouti)
A Stochastic Volatility Model with Conditional Skewness, The Journal of Business and Economic Statistics, October 2012, 30(4), 576-591, (with Bruno Feunou)
Modeling Market Downside Volatility, The Review of Finance, January 2013, 17(1), 443-481, (with Bruno Feunou and Mohammad Jahan-Parvar)
Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices, The Review of Financial Studies, January 2011, 24, 82-122, (with Marco Bonomo, René Garcia and Nour Meddahi)
© Roméo Tédongap