Essec\Faculty\Model\Profile {#2233
#_id: "B00693411"
#_source: array:40 [
"bid" => "B00693411"
"academId" => "1998"
"slug" => "tedongap-romeo"
"fullName" => "Roméo TÉDONGAP"
"lastName" => "TÉDONGAP"
"firstName" => "Roméo"
"title" => array:2 [
"fr" => "Professeur"
"en" => "Professor"
]
"email" => "tedongap@essec.edu"
"status" => "ACTIF"
"campus" => "Campus de Cergy"
"departments" => []
"phone" => "+33 (0)1 34 43 97 34"
"sites" => []
"facNumber" => "1998"
"externalCvUrl" => "http://romeo-tedongap.com/medias/tedongap-cv.pdf"
"googleScholarUrl" => "https://scholar.google.se/citations?user=rALur18AAAAJ&hl=en"
"facOrcId" => "https://orcid.org/0000-0002-2213-6430"
"career" => array:21 [
0 => Essec\Faculty\Model\CareerItem {#2311
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2016-01-01"
"endDate" => "2017-08-31"
"isInternalPosition" => true
"type" => array:2 [
"fr" => "Positions académiques principales"
"en" => "Full-time academic appointments"
]
"label" => array:2 [
"fr" => "Professeur associé"
"en" => "Associate Professor"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
1 => Essec\Faculty\Model\CareerItem {#2312
#_index: null
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#_source: array:7 [
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"type" => array:2 [
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"label" => array:2 [
"fr" => "Professeur"
"en" => "Professor"
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"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
2 => Essec\Faculty\Model\CareerItem {#2313
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2013-11-01"
"endDate" => "2015-12-31"
"isInternalPosition" => true
"type" => array:2 [
"fr" => "Positions académiques principales"
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"label" => array:2 [
"fr" => "Professeur associé"
"en" => "Associate Professor"
]
"institution" => array:2 [
"fr" => "Stockholm School of Economics"
"en" => "Stockholm School of Economics"
]
"country" => array:2 [
"fr" => "Suède"
"en" => "Sweden"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
3 => Essec\Faculty\Model\CareerItem {#2314
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2012-06-01"
"endDate" => "2015-12-31"
"isInternalPosition" => true
"type" => array:2 [
"en" => "Other appointments"
"fr" => "Autres positions"
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"label" => array:2 [
"fr" => "Associé de recherche"
"en" => "Research Associate"
]
"institution" => array:2 [
"fr" => "Swedish House of Finance"
"en" => "Swedish House of Finance"
]
"country" => array:2 [
"fr" => "Suède"
"en" => "Sweden"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
4 => Essec\Faculty\Model\CareerItem {#2315
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2007-07-01"
"endDate" => "2013-10-31"
"isInternalPosition" => true
"type" => array:2 [
"fr" => "Positions académiques principales"
"en" => "Full-time academic appointments"
]
"label" => array:2 [
"fr" => "Professeur assistant"
"en" => "Assistant Professor"
]
"institution" => array:2 [
"fr" => "Stockholm School of Economics"
"en" => "Stockholm School of Economics"
]
"country" => array:2 [
"fr" => "Suède"
"en" => "Sweden"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
5 => Essec\Faculty\Model\CareerItem {#2316
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2006-03-01"
"endDate" => "2006-06-30"
"isInternalPosition" => true
"type" => array:2 [
"en" => "Other Academic Appointments"
"fr" => "Autres positions académiques"
]
"label" => array:2 [
"fr" => "Chargé de cours"
"en" => "Lecturer"
]
"institution" => array:2 [
"fr" => "Université de Montréal"
"en" => "Université de Montréal"
]
"country" => array:2 [
"fr" => "Canada"
"en" => "Canada"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
6 => Essec\Faculty\Model\CareerItem {#2317
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2004-01-01"
"endDate" => "2006-12-31"
"isInternalPosition" => true
"type" => array:2 [
"en" => "Other appointments"
"fr" => "Autres positions"
]
"label" => array:2 [
"fr" => "Assistant de recherche, CIRANO and CIREQ"
"en" => "Research Assistant, CIRANO and CIREQ"
]
"institution" => array:2 [
"fr" => "Université de Montréal"
"en" => "Université de Montréal"
]
"country" => array:2 [
"fr" => "Canada"
"en" => "Canada"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
7 => Essec\Faculty\Model\CareerItem {#2318
#_index: null
#_id: null
#_source: array:7 [
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"endDate" => "2002-08-31"
"isInternalPosition" => true
"type" => array:2 [
"en" => "Professional appointments"
"fr" => "Positions professionnelles"
]
"label" => array:2 [
"fr" => "Stage, National Institute of Economic Analysis"
"en" => "Internship, National Institute of Economic Analysis"
]
"institution" => array:2 [
"fr" => "National Institute of Economic Analysis"
"en" => "National Institute of Economic Analysis"
]
"country" => array:2 [
"fr" => "Maroc"
"en" => "Morocco"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
8 => Essec\Faculty\Model\CareerItem {#2319
#_index: null
#_id: null
#_source: array:7 [
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"type" => array:2 [
"en" => "Other appointments"
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]
"label" => array:2 [
"fr" => "Visite de recherche"
"en" => "Research visit"
]
"institution" => array:2 [
"fr" => "J. Mack Robinson College of Business, Georgia State University"
"en" => "J. Mack Robinson College of Business, Georgia State University"
]
"country" => array:2 [
"fr" => "États-Unis"
"en" => "United States of America"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
9 => Essec\Faculty\Model\CareerItem {#2320
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2013-03-01"
"endDate" => "2013-03-31"
"isInternalPosition" => true
"type" => array:2 [
"en" => "Other appointments"
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"label" => array:2 [
"fr" => "Visite de recherche"
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"fr" => "EDHEC Business School"
"en" => "EDHEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
10 => Essec\Faculty\Model\CareerItem {#2321
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2011-11-01"
"endDate" => "2011-11-30"
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"type" => array:2 [
"en" => "Other appointments"
"fr" => "Autres positions"
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"label" => array:2 [
"fr" => "Visite de recherche"
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"institution" => array:2 [
"fr" => "EDHEC Business School"
"en" => "EDHEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
11 => Essec\Faculty\Model\CareerItem {#2322
#_index: null
#_id: null
#_source: array:7 [
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"label" => array:2 [
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"institution" => array:2 [
"fr" => "INSEAD"
"en" => "INSEAD"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
12 => Essec\Faculty\Model\CareerItem {#2323
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2010-11-01"
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"type" => array:2 [
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"fr" => "Autres positions"
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"label" => array:2 [
"fr" => "Visite de recherche"
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"fr" => "East Carolina University"
"en" => "East Carolina University"
]
"country" => array:2 [
"fr" => "États-Unis"
"en" => "United States of America"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
13 => Essec\Faculty\Model\CareerItem {#2324
#_index: null
#_id: null
#_source: array:7 [
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"endDate" => "2009-02-28"
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"type" => array:2 [
"en" => "Other appointments"
"fr" => "Autres positions"
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"fr" => "Visite de recherche, Département d'Economie"
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"institution" => array:2 [
"fr" => "Duke University"
"en" => "Duke University"
]
"country" => array:2 [
"fr" => "États-Unis"
"en" => "United States of America"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
14 => Essec\Faculty\Model\CareerItem {#2325
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2009-01-01"
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"label" => array:2 [
"fr" => "Visite de recherche"
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"fr" => "Escola de Pós-Graduacao em Economia, Fundacao Getulio Vargas (EPGE/FGV)"
"en" => "Escola de Pós-Graduacao em Economia, Fundacao Getulio Vargas (EPGE/FGV)"
]
"country" => array:2 [
"fr" => "Brésil"
"en" => "Brazil"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
15 => Essec\Faculty\Model\CareerItem {#2326
#_index: null
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#_source: array:7 [
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"fr" => "Fuqua School of Business"
"en" => "Fuqua School of Business"
]
"country" => array:2 [
"fr" => "États-Unis"
"en" => "United States of America"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
16 => Essec\Faculty\Model\CareerItem {#2327
#_index: null
#_id: null
#_source: array:7 [
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"en" => "Université de Dschang"
]
"country" => array:2 [
"fr" => "Cameroun"
"en" => "Cameroon"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
17 => Essec\Faculty\Model\CareerItem {#2328
#_index: null
#_id: null
#_source: array:7 [
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]
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"fr" => "Cameroun"
"en" => "Cameroon"
]
]
+lang: "fr"
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}
18 => Essec\Faculty\Model\CareerItem {#2329
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2017-04-01"
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"label" => array:2 [
"fr" => "Visite de recherche"
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]
"institution" => array:2 [
"fr" => "Goethe University Frankfurt"
"en" => "Goethe University Frankfurt"
]
"country" => array:2 [
"fr" => "Allemagne"
"en" => "Germany"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
19 => Essec\Faculty\Model\CareerItem {#2330
#_index: null
#_id: null
#_source: array:7 [
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"label" => array:2 [
"fr" => "Doyen associé de la Recherche"
"en" => "Associate Dean for Research"
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"fr" => "ESSEC Business School"
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]
"country" => array:2 [
"fr" => "France"
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]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
20 => Essec\Faculty\Model\CareerItem {#2331
#_index: null
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#_source: array:7 [
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"label" => array:2 [
"fr" => "Doyen des professeurs"
"en" => "Dean of faculty"
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"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
]
"diplomes" => array:3 [
0 => Essec\Faculty\Model\Diplome {#2235
#_index: null
#_id: null
#_source: array:6 [
"diplome" => "DIPLOMA"
"type" => array:2 [
"fr" => "Diplômes"
"en" => "Diplomas"
]
"year" => "2008"
"label" => array:2 [
"en" => "Ph.D. in Economics"
"fr" => "Ph.D. en Economie"
]
"institution" => array:2 [
"fr" => "Université de Montréal"
"en" => "Université de Montréal"
]
"country" => array:2 [
"fr" => "Canada"
"en" => "Canada"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
1 => Essec\Faculty\Model\Diplome {#2237
#_index: null
#_id: null
#_source: array:6 [
"diplome" => "DIPLOMA"
"type" => array:2 [
"fr" => "Diplômes"
"en" => "Diplomas"
]
"year" => "2003"
"label" => array:2 [
"en" => "Engineer’s degree in Statistics and Quantitative Economics"
"fr" => "Diplôme d'ingénieur en Statistiques et Economie Quantitative"
]
"institution" => array:2 [
"fr" => "École Nationale Supérieure de Statistique et d'Économie Appliquée (ENSEA) d'Abidjan"
"en" => "École Nationale Supérieure de Statistique et d'Économie Appliquée (ENSEA) d'Abidjan"
]
"country" => array:2 [
"fr" => "Côte d’Ivoire"
"en" => "Côte d'Ivoire"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
2 => Essec\Faculty\Model\Diplome {#2234
#_index: null
#_id: null
#_source: array:6 [
"diplome" => "DIPLOMA"
"type" => array:2 [
"fr" => "Diplômes"
"en" => "Diplomas"
]
"year" => "2000"
"label" => array:2 [
"en" => "Bachelor’s degree in Mathematics, Specialization: Computer Science"
"fr" => "Bachelor en Mathématiques, Spécialité : Informatique"
]
"institution" => array:2 [
"fr" => "Université de Dschang"
"en" => "Université de Dschang"
]
"country" => array:2 [
"fr" => "Cameroun"
"en" => "Cameroon"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
]
"bio" => array:2 [
"fr" => """
<p><span style="color:black">Professeur de Finance à l'ESSEC Business School Paris-Singapour, Roméo Tédongap est un expert académique expérimenté en évaluation empirique d'actifs et en choix de portefeuille.</span><span style="color:black"> Ses principaux domaines de recherche sont la macro-finance (décisions d'investissement et modèles de valorisation d'actifs basés sur la consommation), la finance comportementale (attitude asymétrique des investisseurs face au risque en présence d'incertitude macroéconomique), la modélisation financière et l'économétrie (modèles affines et à changement de régime).</span> Ses compétences sont confirmées par plusieurs publications de premier plan, notamment dans le Journal of Financial Economics, Review of Financial Studies, Management Science, Journal of Financial and Quantitative Analysis, Review of Finance, Journal of Econometrics et Journal of Business and Economic Statistics. En outre, il a été co-lauréat du prix du meilleur article en 2013 lors des rencontres annuelles de l'Association européenne de gestion financière (EFMA).</p>\n
\n
<p><span style="color:black">Les travaux actuels du professeur Tédongap portent sur les attitudes asymétriques des investisseurs face au risque en présence d'incertitude macroéconomique et de changements systémiques et leurs implications sur les prix des actifs et les décisions d'investissement.</span><span style="color:black"> Les changements systémiques vont de ceux causés par les crises économiques et financières à ceux résultant du changement climatique ou d'événements tels que les migrations, les pandémies, etc. Les applications connexes incluent l'évaluation des investissements à très long terme tels que les infrastructures publiques, le climat et la transition énergétique. Par ailleurs, le professeur Tédongap a développé un fort intérêt de recherche sur l'attractivité des marchés boursiers africains et leur impact sur la croissance économique et le développement. Il possède également une expérience considérable dans le conseil aux institutions africaines de microfinance et d'enseignement supérieur. En outre, il est actuellement rédacteur en chef adjoint de la British Accounting Review (BAR) et membre du comité de rédaction du Pan-African Scientific Research Council (PASRC).</span></p>\n
\n
<p><span style="color:black">Roméo Tédongap est titulaire d'un doctorat</span><span style="color:black"> en économie de l'Université de Montréal.</span> De juillet 2007 à décembre 2015, il a été professeur assistant puis professeur associé avec titularisation à la Stockholm School of Economics (SSE) et chercheur associé à la Swedish House of Finance. Au cours de sa carrière à la SSE, il a été responsable du programme doctoral en finance de janvier 2014 à décembre 2015. À l'ESSEC, il est chercheur associé au Energy and Commodity Finance – Research Center depuis avril 2016 et occupe depuis septembre 2021 le poste de doyen associé, directeur de la recherche. Il a également coordinateur du programme doctoral en finance de septembre 2018 à août 2021. Ses principaux intérêts en matière d’enseignement concernent l'évaluation d’actifs, l'économétrie financière, la modélisation des produits dérivés et l'économie quantitative. Ses cours comprennent la « théorie de l’évaluation d’actifs en temps discret » et l’«évaluation empirique d’actifs» au niveau doctorat, « méthodes empiriques avancées en finance », « marchés financiers », « modélisation financière avancée » et « gestion financière internationale » pour les étudiants en maîtrise. Avant son doctorat, Roméo Tédongap a étudié les mathématiques, la physique et l'informatique à l'Université de Dschang, puis et la statistique et l'économie à l'ENSEA d'Abidjan.</p>\n
"""
"en" => """
<p>Professor of Finance at the ESSEC Business School Paris-Singapore, Roméo Tédongap is an experienced academic expert in empirical asset pricing and portfolio choice. His primary research fields are macro-finance (investment decisions and asset valuation models based on consumption), behavioral finance (asymmetric attitude of investors towards risk in the presence of macroeconomic uncertainty), financial modeling, and econometrics (affine and regime-switching models). His skills are confirmed by several top-rated publications, notably in the Journal of Financial Economics, Review of Financial Studies, Management Science, Journal of Financial and Quantitative Analysis, Review of Finance, Journal of Econometrics, and Journal of Business and Economic Statistics. In addition, he was the co-winner of the 2013 best paper award at the European Financial Management Association (EFMA) annual meetings.</p>\n
\n
<p>Professor Tédongap’s current work focuses on asymmetric investors’ attitudes toward risk in the presence of macroeconomic uncertainty and systemic changes and their implications on asset prices and investment decisions. Systemic changes range from those caused by economic and financial crises to those resulting from climate change or events such as migrations, pandemics, etc. Related applications include evaluating ultra-long investments such as public infrastructure, climate, and energy transition. Besides, Professor Tédongap has developed a strong research interest in the attractiveness of African stock markets and their impact on economic growth and development. He also has substantial experience advising African microfinance and higher education institutions. In addition, he currently serves as associate editor of the British Accounting Review (BAR) and editorial board member of the Pan-African Scientific Research Council (PASRC).</p>\n
\n
<p>Roméo Tédongap holds a Ph.D. in economics from the Université de Montréal. From July 2007 to December 2015, he was an Assistant then Associate Professor with tenure at the Stockholm School of Economics (SSE) and a Research Associate at the Swedish House of Finance. During his SSE career, he was in charge of the Ph.D. program in finance from January 2014 to December 2015. At ESSEC, he has been an Associate Researcher in the Energy and Commodity Finance – Research Center since April 2016 and has served as Associate Dean, Director of Research since September 2021. He also assumed responsibility as head of the Ph.D. program in finance from September 2018 to August 2021. His primary teaching interests are asset pricing, financial econometrics, derivatives modeling, and quantitative economics. His courses include “discrete-time asset pricing theory” and “empirical asset pricing” at the Ph.D. level, “advanced empirical methods in finance,” “financial markets,” “advanced financial modeling,” and “international financial management” for MSc students. Before his Ph.D., Roméo Tédongap studied mathematics, physics, and computer science at the University of Dschang and statistics and economics at the ENSEA of Abidjan.</p>\n
"""
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17 => Essec\Faculty\Model\TeachingItem {#2276
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20 => Essec\Faculty\Model\TeachingItem {#2260
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}
21 => Essec\Faculty\Model\TeachingItem {#2287
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23 => Essec\Faculty\Model\TeachingItem {#2309
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}
24 => Essec\Faculty\Model\TeachingItem {#2310
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}
25 => Essec\Faculty\Model\TeachingItem {#2266
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}
26 => Essec\Faculty\Model\TeachingItem {#2268
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27 => Essec\Faculty\Model\TeachingItem {#2274
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30 => Essec\Faculty\Model\TeachingItem {#2272
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31 => Essec\Faculty\Model\TeachingItem {#2307
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36 => Essec\Faculty\Model\TeachingItem {#2303
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37 => Essec\Faculty\Model\TeachingItem {#2302
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38 => Essec\Faculty\Model\TeachingItem {#2301
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39 => Essec\Faculty\Model\TeachingItem {#2300
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50 => Essec\Faculty\Model\TeachingItem {#2289
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]
]
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}
52 => Essec\Faculty\Model\TeachingItem {#2259
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0 => Essec\Faculty\Model\These {#2344
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2 => Essec\Faculty\Model\These {#2346
#_index: null
#_id: null
#_source: array:9 [
"year" => "2020"
"startDate" => null
"endDate" => "2020"
"student" => "ASSOIL A."
"firstJob" => ""
"label" => array:2 [
"fr" => "La mesure et la gestion du risque de liquidité sur le marché boursier du CAC40"
"en" => "Measuring and managing liquidity risk on the CAC40 stock market"
]
"role" => array:2 [
"fr" => "Rapporteur"
"en" => "Thesis referee"
]
"institution" => array:2 [
"fr" => "Université de Montpellier"
"en" => "Université de Montpellier"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
3 => Essec\Faculty\Model\These {#2347
#_index: null
#_id: null
#_source: array:9 [
"year" => "2013"
"startDate" => null
"endDate" => "2013"
"student" => "Augustin Patrick"
"firstJob" => "Assistant Professor of Finance at McGill University, Desautels Faculty of Management, Montreal, Canada"
"label" => array:2 [
"fr" => "Essays in Sovereign Credit Risk"
"en" => "Essays in Sovereign Credit Risk"
]
"role" => array:2 [
"fr" => "Directeur de thèse"
"en" => "Thesis director"
]
"institution" => array:2 [
"fr" => "Stockholm School of Economics"
"en" => "Stockholm School of Economics"
]
"country" => array:2 [
"fr" => "Suède"
"en" => "Sweden"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
4 => Essec\Faculty\Model\These {#2348
#_index: null
#_id: null
#_source: array:9 [
"year" => "2014"
"startDate" => null
"endDate" => "2014"
"student" => "Breckenfelder Johannes"
"firstJob" => "Economist, European Central Bank, Frankfurt, Germany"
"label" => array:2 [
"fr" => "Empirical Essays in Financial Economics"
"en" => "Empirical Essays in Financial Economics"
]
"role" => array:2 [
"fr" => "Co-directeur de thèse"
"en" => "Thesis co-director"
]
"institution" => array:2 [
"fr" => "Stockholm School of Economics"
"en" => "Stockholm School of Economics"
]
"country" => array:2 [
"fr" => "Suède"
"en" => "Sweden"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
5 => Essec\Faculty\Model\These {#2349
#_index: null
#_id: null
#_source: array:9 [
"year" => "2020"
"startDate" => null
"endDate" => "2020"
"student" => "BUCHWALTER B."
"firstJob" => "Assistant Professor of Finance at SKEMA Business School, Paris, France"
"label" => array:2 [
"fr" => "The Economic Value of Volatility in Traditional and Crypto-asset Markets"
"en" => "The Economic Value of Volatility in Traditional and Crypto-asset Markets"
]
"role" => array:2 [
"fr" => "Directeur de thèse"
"en" => "Thesis director"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
6 => Essec\Faculty\Model\These {#2350
#_index: null
#_id: null
#_source: array:9 [
"year" => "2018"
"startDate" => null
"endDate" => "2018"
"student" => "EKPONON A. B."
"firstJob" => ""
"label" => array:2 [
"fr" => "Essays on Macroeconomic Risk and Asset Pricing"
"en" => "Essays on Macroeconomic Risk and Asset Pricing"
]
"role" => array:2 [
"fr" => "Rapporteur"
"en" => "Thesis referee"
]
"institution" => array:2 [
"fr" => "HEC Montréal"
"en" => "HEC Montréal"
]
"country" => array:2 [
"fr" => "Canada"
"en" => "Canada"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
7 => Essec\Faculty\Model\These {#2351
#_index: null
#_id: null
#_source: array:9 [
"year" => "2014"
"startDate" => null
"endDate" => "2014"
"student" => "Farago Adam"
"firstJob" => "Assistant Professor of Finance at the University of Gothenburg, School of Business, Economics and Law, Gothenburg, Sweden"
"label" => array:2 [
"fr" => "Essays on Disappointment Aversion in Portfolio Choice and Asset Pricing"
"en" => "Essays on Disappointment Aversion in Portfolio Choice and Asset Pricing"
]
"role" => array:2 [
"fr" => "Directeur de thèse"
"en" => "Thesis director"
]
"institution" => array:2 [
"fr" => "Stockholm School of Economics"
"en" => "Stockholm School of Economics"
]
"country" => array:2 [
"fr" => "Suède"
"en" => "Sweden"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
8 => Essec\Faculty\Model\These {#2352
#_index: null
#_id: null
#_source: array:9 [
"year" => "2023"
"startDate" => null
"endDate" => "2023"
"student" => "KLAUSMANN J."
"firstJob" => ""
"label" => array:2 [
"fr" => "Trois essais en finance durable"
"en" => "Three Essays in Sustainable Finance"
]
"role" => array:2 [
"fr" => "Co-directeur de thèse"
"en" => "Thesis co-director"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
9 => Essec\Faculty\Model\These {#2353
#_index: null
#_id: null
#_source: array:9 [
"year" => "2017"
"startDate" => null
"endDate" => "2017"
"student" => "LI B."
"firstJob" => ""
"label" => array:2 [
"fr" => "Essays on Naïve Diversification"
"en" => "Essays on Naïve Diversification"
]
"role" => array:2 [
"fr" => "Rapporteur"
"en" => "Thesis referee"
]
"institution" => array:2 [
"fr" => "University of Melbourne"
"en" => "University of Melbourne"
]
"country" => array:2 [
"fr" => "Australie"
"en" => "Australia"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
10 => Essec\Faculty\Model\These {#2354
#_index: null
#_id: null
#_source: array:9 [
"year" => "2016"
"startDate" => null
"endDate" => "2016"
"student" => "LOPEZ-ALIOUCHKIN R."
"firstJob" => "Assistant Professor of Finance at Syracuse University, Martin J. Whitman School of Management, New York, USA"
"label" => array:2 [
"fr" => "Essays in Financial Economics"
"en" => "Essays in Financial Economics"
]
"role" => array:2 [
"fr" => "Co-directeur de thèse"
"en" => "Thesis co-director"
]
"institution" => array:2 [
"fr" => "Stockholm School of Economics"
"en" => "Stockholm School of Economics"
]
"country" => array:2 [
"fr" => "Suède"
"en" => "Sweden"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
11 => Essec\Faculty\Model\These {#2355
#_index: null
#_id: null
#_source: array:9 [
"year" => "2016"
"startDate" => null
"endDate" => "2016"
"student" => "Moumouni Zoulkiflou"
"firstJob" => null
"label" => array:2 [
"fr" => "Modeling and Hedging Strategies for Agricultural Commodities"
"en" => "Modeling and Hedging Strategies for Agricultural Commodities"
]
"role" => array:2 [
"fr" => "Rapporteur"
"en" => "Thesis referee"
]
"institution" => array:2 [
"fr" => "Université de Montpellier"
"en" => "Université de Montpellier"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
12 => Essec\Faculty\Model\These {#2356
#_index: null
#_id: null
#_source: array:9 [
"year" => "2016"
"startDate" => null
"endDate" => "2016"
"student" => "von Ganske Jakob"
"firstJob" => null
"label" => array:2 [
"fr" => "Forecasting equity returns and volatility with regime-switching partial least squares"
"en" => "Forecasting equity returns and volatility with regime-switching partial least squares"
]
"role" => array:2 [
"fr" => "Rapporteur"
"en" => "Thesis referee"
]
"institution" => array:2 [
"fr" => "EDHEC Business School"
"en" => "EDHEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
13 => Essec\Faculty\Model\These {#2357
#_index: null
#_id: null
#_source: array:9 [
"year" => "2019"
"startDate" => null
"endDate" => "2019"
"student" => "ZHANG Y."
"firstJob" => ""
"label" => array:2 [
"fr" => "Essays on Household Finance and Asset Pricing"
"en" => "Essays on Household Finance and Asset Pricing"
]
"role" => array:2 [
"fr" => "Rapporteur"
"en" => "Thesis referee"
]
"institution" => array:2 [
"fr" => "HEC Paris"
"en" => "HEC Paris"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
]
"indexedAt" => "2024-12-21T11:21:27.000Z"
"contributions" => array:33 [
0 => Essec\Faculty\Model\Contribution {#2359
#_index: "academ_contributions"
#_id: "688"
#_source: array:18 [
"id" => "688"
"slug" => "asymmetries-and-portfolio-choice"
"yearMonth" => "2017-02"
"year" => "2017"
"title" => "Asymmetries and Portfolio Choice"
"description" => "DAHLQUIST, M., FARAGO, A. et TÉDONGAP, R. (2017). Asymmetries and Portfolio Choice. <i>Review of Financial Studies</i>, 30(2), pp. 667-702."
"authors" => array:3 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "DAHLQUIST M."
]
2 => array:1 [
"name" => "FARAGO A."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => "https://academic.oup.com/rfs/article-abstract/30/2/667/2433388?redirectedFrom=fulltext"
"publicationInfo" => array:3 [
"pages" => "667-702"
"volume" => "30"
"number" => "2"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We examine the portfolio choice of an investor with generalized disappointment-aversion preferences who faces log returns described by a normal-exponential model. We derive a three-fund separation strategy: the investor allocates wealth to a risk-free asset, a standard mean-variance efficient fund, and an additional fund reflecting return asymmetries. The optimal portfolio is characterized by the investor’s endogenous effective risk aversion and implicit asymmetry aversion. In empirical applications, we find that disappointment aversion is associated with much larger asymmetry aversion than are standard preferences. Our model explains patterns in popular portfolio advice across both risk appetites and investment horizons."
"en" => "We examine the portfolio choice of an investor with generalized disappointment-aversion preferences who faces log returns described by a normal-exponential model. We derive a three-fund separation strategy: the investor allocates wealth to a risk-free asset, a standard mean-variance efficient fund, and an additional fund reflecting return asymmetries. The optimal portfolio is characterized by the investor’s endogenous effective risk aversion and implicit asymmetry aversion. In empirical applications, we find that disappointment aversion is associated with much larger asymmetry aversion than are standard preferences. Our model explains patterns in popular portfolio advice across both risk appetites and investment horizons."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.9170747
+"parent": null
}
1 => Essec\Faculty\Model\Contribution {#2361
#_index: "academ_contributions"
#_id: "1028"
#_source: array:18 [
"id" => "1028"
"slug" => "downside-risks-and-the-cross-section-of-asset-returns"
"yearMonth" => "2018-07"
"year" => "2018"
"title" => "Downside Risks and the Cross-Section of Asset Returns"
"description" => "FARAGO, A. et TÉDONGAP, R. (2018). Downside Risks and the Cross-Section of Asset Returns. <i>Journal of Financial Economics</i>, 129(1), pp. 69-86."
"authors" => array:2 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "FARAGO A."
]
]
"ouvrage" => ""
"keywords" => array:3 [
0 => "Generalized disappointment aversion"
1 => "Downside risks"
2 => "Cross-section"
]
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => "https://www.sciencedirect.com/science/article/abs/pii/S0304405X18300813"
"publicationInfo" => array:3 [
"pages" => "69-86"
"volume" => "129"
"number" => "1"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "In an intertemporal equilibrium asset pricing model featuring disappointment aversion and changing macroeconomic uncertainty, we show that besides the market return and market volatility, three disappointment-related factors are also priced: a downstate factor, a market downside factor, and a volatility downside factor. We find that expected returns on various asset classes reflect premiums for bearing undesirable exposures to these factors. The signs of estimated risk premiums are consistent with the theoretical predictions. Our most general, five-factor model is very successful in jointly pricing stock, option, and currency portfolios, and provides considerable improvement over nested specifications previously discussed in the literature."
"en" => "In an intertemporal equilibrium asset pricing model featuring disappointment aversion and changing macroeconomic uncertainty, we show that besides the market return and market volatility, three disappointment-related factors are also priced: a downstate factor, a market downside factor, and a volatility downside factor. We find that expected returns on various asset classes reflect premiums for bearing undesirable exposures to these factors. The signs of estimated risk premiums are consistent with the theoretical predictions. Our most general, five-factor model is very successful in jointly pricing stock, option, and currency portfolios, and provides considerable improvement over nested specifications previously discussed in the literature."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.9170747
+"parent": null
}
2 => Essec\Faculty\Model\Contribution {#2363
#_index: "academ_contributions"
#_id: "5289"
#_source: array:18 [
"id" => "5289"
"slug" => "a-cross-sectional-analysis-of-the-variance-risk-premium"
"yearMonth" => "2017-12"
"year" => "2017"
"title" => "A Cross-Sectional Analysis of the Variance Risk Premium"
"description" => "FEUNOU, B., LOPEZ-ALIOUCHKIN, R., TÉDONGAP, R. et XU, L. (2017). A Cross-Sectional Analysis of the Variance Risk Premium. Dans: 11th International Conference on Computational and Financial Econometrics."
"authors" => array:4 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "FEUNOU Bruno"
]
2 => array:1 [
"name" => "LOPEZ-ALIOUCHKIN R."
]
3 => array:1 [
"name" => "XU L."
]
]
"ouvrage" => "11th International Conference on Computational and Financial Econometrics"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.9170747
+"parent": null
}
3 => Essec\Faculty\Model\Contribution {#2360
#_index: "academ_contributions"
#_id: "1355"
#_source: array:18 [
"id" => "1355"
"slug" => "implied-volatility-and-skewness-surface"
"yearMonth" => "2017-07"
"year" => "2017"
"title" => "Implied Volatility and Skewness Surface"
"description" => "FENOU, B., FONTAINE, J.B. et TÉDONGAP, R. (2017). Implied Volatility and Skewness Surface. <i>Review of Derivatives Research</i>, 20(2), pp. 167-202."
"authors" => array:3 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "FENOU B."
]
2 => array:1 [
"name" => "FONTAINE J.-B."
]
]
"ouvrage" => ""
"keywords" => array:5 [
0 => "SP500 options"
1 => "Implied skewness"
2 => "Implied volatility"
3 => "Volatility spread"
4 => "Delta-hedged gains"
]
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => "https://link.springer.com/article/10.1007/s11147-016-9127-x"
"publicationInfo" => array:3 [
"pages" => "167-202"
"volume" => "20"
"number" => "2"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "The Homoscedastic Gamma (HG) model characterizes the distribution of returns by its mean, variance and an independent skewness parameter. The HG model preserves the parsimony and the closed form of the Black–Scholes–Merton (BSM) while introducing the implied volatility (IV) and skewness surface. Varying the skewness parameter of the HG model can restore the symmetry of IV curves. Practitioner’s variants of the HG model improve pricing (in-sample and out-of-sample) and hedging performances relative to practitioners’ BSM models, with as many or less parameters. The pattern of improvements in Delta-Hedged gains across strike prices accord with predictions from the HG model. These results imply that expanding around the Gaussian density does not offer sufficient flexibility to match the skewness implicit in options. Consistent with the model, we also find that conditioning on implied skewness increases the predictive power of the volatility spread for excess returns."
"en" => "The Homoscedastic Gamma (HG) model characterizes the distribution of returns by its mean, variance and an independent skewness parameter. The HG model preserves the parsimony and the closed form of the Black–Scholes–Merton (BSM) while introducing the implied volatility (IV) and skewness surface. Varying the skewness parameter of the HG model can restore the symmetry of IV curves. Practitioner’s variants of the HG model improve pricing (in-sample and out-of-sample) and hedging performances relative to practitioners’ BSM models, with as many or less parameters. The pattern of improvements in Delta-Hedged gains across strike prices accord with predictions from the HG model. These results imply that expanding around the Gaussian density does not offer sufficient flexibility to match the skewness implicit in options. Consistent with the model, we also find that conditioning on implied skewness increases the predictive power of the volatility spread for excess returns."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.9170747
+"parent": null
}
4 => Essec\Faculty\Model\Contribution {#2364
#_index: "academ_contributions"
#_id: "5745"
#_source: array:18 [
"id" => "5745"
"slug" => "disappointment-aversion-term-structure-and-predictability-puzzles-in-bond-markets"
"yearMonth" => "2016-12"
"year" => "2016"
"title" => "Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets"
"description" => "AUGUSTIN, P. et TÉDONGAP, R. (2016). Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets. Dans: 14th Paris December Finance 2016 Meeting."
"authors" => array:2 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "AUGUSTIN P."
]
]
"ouvrage" => "14th Paris December Finance 2016 Meeting"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.9170747
+"parent": null
}
5 => Essec\Faculty\Model\Contribution {#2358
#_index: "academ_contributions"
#_id: "5746"
#_source: array:18 [
"id" => "5746"
"slug" => "disappointment-aversion-term-structure-and-predictability-puzzles-in-bond-markets"
"yearMonth" => "2016-06"
"year" => "2016"
"title" => "Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets"
"description" => "AUGUSTIN, P. et TÉDONGAP, R. (2016). Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets. Dans: 2nd BI-SHoF Conference in Asset Pricing and Financial Econometrics."
"authors" => array:2 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "AUGUSTIN P."
]
]
"ouvrage" => "2nd BI-SHoF Conference in Asset Pricing and Financial Econometrics"
"keywords" => []
"updatedAt" => "2021-07-13 14:31:08"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
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]
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}
6 => Essec\Faculty\Model\Contribution {#2362
#_index: "academ_contributions"
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"title" => "Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets"
"description" => "AUGUSTIN, P. et TÉDONGAP, R. (2016). Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets. Dans: 33rd International Conference of the French Finance Association."
"authors" => array:2 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "AUGUSTIN P."
]
]
"ouvrage" => "33rd International Conference of the French Finance Association"
"keywords" => []
"updatedAt" => "2021-07-13 14:31:08"
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"publicationInfo" => array:3 [
"pages" => null
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]
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"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
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}
7 => Essec\Faculty\Model\Contribution {#2365
#_index: "academ_contributions"
#_id: "5748"
#_source: array:18 [
"id" => "5748"
"slug" => "disappointment-aversion-term-structure-and-predictability-puzzles-in-bond-markets"
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"title" => "Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets"
"description" => "AUGUSTIN, P. et TÉDONGAP, R. (2017). Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets. Dans: Energy and Commodity Finance Conference 2017."
"authors" => array:2 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "AUGUSTIN P."
]
]
"ouvrage" => "Energy and Commodity Finance Conference 2017"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
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"support_type" => array:2 [
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"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
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}
8 => Essec\Faculty\Model\Contribution {#2366
#_index: "academ_contributions"
#_id: "5749"
#_source: array:18 [
"id" => "5749"
"slug" => "disappointment-aversion-term-structure-and-predictability-puzzles-in-bond-markets"
"yearMonth" => "2017-07"
"year" => "2017"
"title" => "Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets"
"description" => "AUGUSTIN, P. et TÉDONGAP, R. (2017). Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets. Dans: 2017 Africa Meeting of the Econometric Society."
"authors" => array:2 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "AUGUSTIN P."
]
]
"ouvrage" => "2017 Africa Meeting of the Econometric Society"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
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"support_type" => array:2 [
"fr" => null
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]
"countries" => array:2 [
"fr" => null
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"abstract" => array:2 [
"fr" => null
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]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
+"_type": "_doc"
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+"parent": null
}
9 => Essec\Faculty\Model\Contribution {#2367
#_index: "academ_contributions"
#_id: "7304"
#_source: array:18 [
"id" => "7304"
"slug" => "the-economic-value-of-tips-arbitrage-mispricing"
"yearMonth" => "2016-06"
"year" => "2016"
"title" => "The Economic Value of TIPS Arbitrage Mispricing"
"description" => "DEDES, V. et TÉDONGAP, R. (2016). The Economic Value of TIPS Arbitrage Mispricing. Dans: 2016 Energy and Commodity Finance Conference."
"authors" => array:2 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "DEDES V."
]
]
"ouvrage" => "2016 Energy and Commodity Finance Conference"
"keywords" => []
"updatedAt" => "2021-07-13 14:31:12"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
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]
"type" => array:2 [
"fr" => "Communications dans une conférence"
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"support_type" => array:2 [
"fr" => null
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]
"countries" => array:2 [
"fr" => null
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]
"abstract" => array:2 [
"fr" => null
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]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
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+"parent": null
}
10 => Essec\Faculty\Model\Contribution {#2368
#_index: "academ_contributions"
#_id: "7587"
#_source: array:18 [
"id" => "7587"
"slug" => "variance-premium-downside-risk-and-expected-stock-returns"
"yearMonth" => "2018-06"
"year" => "2018"
"title" => "Variance Premium, Downside Risk, and Expected Stock Returns"
"description" => "FEUNOU, B., LOPEZ ALIOUCHKIN, R., TÉDONGAP, R. et XU, L. (2018). Variance Premium, Downside Risk, and Expected Stock Returns. Dans: 2018 Financial Management Association (FMA) European Conference."
"authors" => array:4 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "FEUNOU Bruno"
]
2 => array:1 [
"name" => "LOPEZ ALIOUCHKIN R."
]
3 => array:1 [
"name" => "XU Lai"
]
]
"ouvrage" => "2018 Financial Management Association (FMA) European Conference"
"keywords" => []
"updatedAt" => "2023-08-16 15:37:34"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => ""
"volume" => ""
"number" => ""
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
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]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
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]
"abstract" => array:2 [
"fr" => ""
"en" => ""
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.9170747
+"parent": null
}
11 => Essec\Faculty\Model\Contribution {#2369
#_index: "academ_contributions"
#_id: "7588"
#_source: array:18 [
"id" => "7588"
"slug" => "variance-premium-downside-risk-and-expected-stock-returns"
"yearMonth" => "2018-04"
"year" => "2018"
"title" => "Variance Premium, Downside Risk, and Expected Stock Returns"
"description" => "FEUNOU, B., LOPEZ ALIOUCHKIN, R., TÉDONGAP, R. et XU, L. (2018). Variance Premium, Downside Risk, and Expected Stock Returns. Dans: 2018 Frontiers of Factor Investing."
"authors" => array:4 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "FEUNOU Bruno"
]
2 => array:1 [
"name" => "LOPEZ ALIOUCHKIN R."
]
3 => array:1 [
"name" => "XU Lai"
]
]
"ouvrage" => "2018 Frontiers of Factor Investing"
"keywords" => []
"updatedAt" => "2023-08-16 15:38:08"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => ""
"volume" => ""
"number" => ""
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => ""
"en" => ""
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.9170747
+"parent": null
}
12 => Essec\Faculty\Model\Contribution {#2370
#_index: "academ_contributions"
#_id: "6585"
#_source: array:18 [
"id" => "6585"
"slug" => "loss-uncertainty-gain-uncertainty-and-expected-stock-returns"
"yearMonth" => "2019-05"
"year" => "2019"
"title" => "Loss Uncertainty, Gain Uncertainty, and Expected Stock Returns"
"description" => "FEUNOU, B., LOPEZ ALIOUCHKIN, R., TÉDONGAP, R. et XU, L. (2019). Loss Uncertainty, Gain Uncertainty, and Expected Stock Returns. Dans: 2019 Financial Econometrics Conference."
"authors" => array:4 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "FEUNOU Bruno"
]
2 => array:1 [
"name" => "LOPEZ ALIOUCHKIN Ricardo"
]
3 => array:1 [
"name" => "XU Lai"
]
]
"ouvrage" => "2019 Financial Econometrics Conference"
"keywords" => []
"updatedAt" => "2023-08-16 15:37:02"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => ""
"volume" => ""
"number" => ""
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => ""
"en" => ""
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.9170747
+"parent": null
}
13 => Essec\Faculty\Model\Contribution {#2371
#_index: "academ_contributions"
#_id: "6822"
#_source: array:18 [
"id" => "6822"
"slug" => "optimal-portfolio-insurance-and-allocation"
"yearMonth" => "2019-09"
"year" => "2019"
"title" => "Optimal Portfolio Insurance and Allocation"
"description" => "GUIOTTO, P., RONCORONI, A. et TÉDONGAP, R. (2019). Optimal Portfolio Insurance and Allocation. Dans: Nonstandard Investment Choice."
"authors" => array:3 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
2 => array:1 [
"name" => "GUIOTTO P."
]
]
"ouvrage" => "Nonstandard Investment Choice"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.9170747
+"parent": null
}
14 => Essec\Faculty\Model\Contribution {#2372
#_index: "academ_contributions"
#_id: "2372"
#_source: array:18 [
"id" => "2372"
"slug" => "real-economic-shocks-and-sovereign-credit-risk"
"yearMonth" => "2016-04"
"year" => "2016"
"title" => "Real Economic Shocks and Sovereign Credit Risk"
"description" => "AUGUSTIN, P. et TÉDONGAP, R. (2016). Real Economic Shocks and Sovereign Credit Risk. <i>Journal of Financial and Quantitative Analysis</i>, 2(51), pp. 541-587."
"authors" => array:2 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "AUGUSTIN P."
]
]
"ouvrage" => ""
"keywords" => array:4 [
0 => "Credit Default Swap Spreads"
1 => "Generalized Disappointment Aversion"
2 => "Sovereign Risk"
3 => "Term Structure"
]
"updatedAt" => "2023-09-06 13:57:23"
"publicationUrl" => "https://www.jstor.org/stable/43862327"
"publicationInfo" => array:3 [
"pages" => "541-587"
"volume" => "2"
"number" => "51"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We provide new empirical evidence that U.S. expected growth and consumption volatility are closely related to the strong comovement in sovereign spreads. We rationalize these findings in an equilibrium model with recursive utility for credit default swap (CDS) spreads. The framework links a reduced-form default process with country-specific sensitivity to expected growth and macroeconomic uncertainty. Exploiting the high-frequency information in the CDS term structure across 38 countries, we estimate the model and find parameters consistent with preference for early resolution of uncertainty. Our results confirm the existence of time-varying risk premia in sovereign spreads as compensation for exposure to common U.S. macroeconomic risk."
"en" => "We provide new empirical evidence that U.S. expected growth and consumption volatility are closely related to the strong comovement in sovereign spreads. We rationalize these findings in an equilibrium model with recursive utility for credit default swap (CDS) spreads. The framework links a reduced-form default process with country-specific sensitivity to expected growth and macroeconomic uncertainty. Exploiting the high-frequency information in the CDS term structure across 38 countries, we estimate the model and find parameters consistent with preference for early resolution of uncertainty. Our results confirm the existence of time-varying risk premia in sovereign spreads as compensation for exposure to common U.S. macroeconomic risk."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.9170747
+"parent": null
}
15 => Essec\Faculty\Model\Contribution {#2373
#_index: "academ_contributions"
#_id: "14165"
#_source: array:18 [
"id" => "14165"
"slug" => "a-cross-sectional-analysis-of-individual-goods-inflation-rates"
"yearMonth" => "2022-10"
"year" => "2022"
"title" => "A Cross-Sectional Analysis of Individual Goods Inflation Rates"
"description" => "XING, B., FEUNOU, B. et TÉDONGAP, R. (2022). A Cross-Sectional Analysis of Individual Goods Inflation Rates. Dans: 63rd Conference of Società Italiana di Economia (SIE) 2022. Turin."
"authors" => array:3 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "XING Bingxin"
]
2 => array:1 [
"name" => "FEUNOU Bruno"
]
]
"ouvrage" => "63rd Conference of Società Italiana di Economia (SIE) 2022"
"keywords" => []
"updatedAt" => "2023-07-21 01:00:38"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => ""
"volume" => ""
"number" => ""
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => ""
"en" => ""
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.9170747
+"parent": null
}
16 => Essec\Faculty\Model\Contribution {#2374
#_index: "academ_contributions"
#_id: "14906"
#_source: array:18 [
"id" => "14906"
"slug" => "empirical-regularities-on-the-heterogeneity-of-inflation-across-consumer-goods"
"yearMonth" => "2024-06"
"year" => "2024"
"title" => "Empirical regularities on the heterogeneity of inflation across consumer goods"
"description" => "XING, B., FEUNOU, B. et TÉDONGAP, R. (2024). Empirical regularities on the heterogeneity of inflation across consumer goods. Dans: 2024 African Meetings of the Econometrics Society. Abidjan."
"authors" => array:3 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "XING Bingxin"
]
2 => array:1 [
"name" => "FEUNOU Bruno"
]
]
"ouvrage" => "2024 African Meetings of the Econometrics Society"
"keywords" => []
"updatedAt" => "2024-07-10 09:53:19"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => ""
"volume" => ""
"number" => ""
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => ""
"en" => ""
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.9170747
+"parent": null
}
17 => Essec\Faculty\Model\Contribution {#2375
#_index: "academ_contributions"
#_id: "10423"
#_source: array:18 [
"id" => "10423"
"slug" => "generalized-disappointment-aversion-long-run-volatility-risk-and-asset-prices"
"yearMonth" => "2011-01"
"year" => "2011"
"title" => "Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices"
"description" => "BONOMO, M., GARCIA, R., MEDDAHI, N. et TÉDONGAP, R. (2011). Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices. <i>Review of Financial Studies</i>, 24(1), pp. 82-122."
"authors" => array:4 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "BONOMO Marco"
]
2 => array:1 [
"name" => "GARCIA René"
]
3 => array:1 [
"name" => "MEDDAHI Nour"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:31:34"
"publicationUrl" => "http://rfs.oxfordjournals.org/content/24/1/82.abstract"
"publicationInfo" => array:3 [
"pages" => "82-122"
"volume" => "24"
"number" => "1"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We propose an asset pricing model with generalized disappointment aversion preferences and long-run volatility risk. With Markov switching fundamentals, we derive closed-form solutions for all returns moments and predictability regressions. The model produces first and second moments of price-dividend ratios and asset returns as well as return predictability patterns in line with the data. Compared to Bansal and Yaron (2004), we generate (i) more predictability of excess returns by price-dividend ratios; (ii) less predictability of consumption growth rates by price-dividend ratios. Our results do not depend on a value of the elasticity of intertemporal substitution greater than one. The Author 2010. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org., Oxford University Press."
"en" => "We propose an asset pricing model with generalized disappointment aversion preferences and long-run volatility risk. With Markov switching fundamentals, we derive closed-form solutions for all returns moments and predictability regressions. The model produces first and second moments of price-dividend ratios and asset returns as well as return predictability patterns in line with the data. Compared to Bansal and Yaron (2004), we generate (i) more predictability of excess returns by price-dividend ratios; (ii) less predictability of consumption growth rates by price-dividend ratios. Our results do not depend on a value of the elasticity of intertemporal substitution greater than one. The Author 2010. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org., Oxford University Press."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.9170747
+"parent": null
}
18 => Essec\Faculty\Model\Contribution {#2376
#_index: "academ_contributions"
#_id: "10445"
#_source: array:18 [
"id" => "10445"
"slug" => "a-stochastic-volatility-model-with-conditional-skewness"
"yearMonth" => "2012-10"
"year" => "2012"
"title" => "A Stochastic Volatility Model with Conditional Skewness"
"description" => "FEUNOU, B. et TÉDONGAP, R. (2012). A Stochastic Volatility Model with Conditional Skewness. <i>Journal of Business and Economic Statistics</i>, 30(4), pp. 576-591."
"authors" => array:2 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "FEUNOU Bruno"
]
]
"ouvrage" => ""
"keywords" => array:5 [
0 => "Affine model"
1 => "Conditional skewness"
2 => "Discrete time"
3 => "GMM"
4 => "Option pricing"
]
"updatedAt" => "2021-07-13 14:31:35"
"publicationUrl" => "http://amstat.tandfonline.com/doi/abs/10.1080/07350015.2012.715958?journalCode=ubes20"
"publicationInfo" => array:3 [
"pages" => "576-591"
"volume" => "30"
"number" => "4"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows current asset returns to be asymmetric conditional on current factors and past information, which we term contemporaneous asymmetry. Conditional skewness is an explicit combination of the conditional leverage effect and contemporaneous asymmetry. We derive analytical formulas for various return moments that are used for generalized method of moments (GMM) estimation. Applying our approach to S&P500 index daily returns and option data, we show that one- and two-factor SVS models provide a better fit for both the historical and the risk-neutral distribution of returns, compared to existing affine generalized autoregressive conditional heteroscedasticity (GARCH), and stochastic volatility with jumps (SVJ) models. Our results are not due to an overparameterization of the model: the one-factor SVS models have the same number of parameters as their one-factor GARCH competitors and less than the SVJ benchmark."
"en" => "We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows current asset returns to be asymmetric conditional on current factors and past information, which we term contemporaneous asymmetry. Conditional skewness is an explicit combination of the conditional leverage effect and contemporaneous asymmetry. We derive analytical formulas for various return moments that are used for generalized method of moments (GMM) estimation. Applying our approach to S&P500 index daily returns and option data, we show that one- and two-factor SVS models provide a better fit for both the historical and the risk-neutral distribution of returns, compared to existing affine generalized autoregressive conditional heteroscedasticity (GARCH), and stochastic volatility with jumps (SVJ) models. Our results are not due to an overparameterization of the model: the one-factor SVS models have the same number of parameters as their one-factor GARCH competitors and less than the SVJ benchmark."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.9170747
+"parent": null
}
19 => Essec\Faculty\Model\Contribution {#2377
#_index: "academ_contributions"
#_id: "10503"
#_source: array:18 [
"id" => "10503"
"slug" => "modeling-market-downside-volatility"
"yearMonth" => "2013-01"
"year" => "2013"
"title" => "Modeling Market Downside Volatility"
"description" => "FEUNOU, B., JAHAN-PARVAR, M. et TÉDONGAP, R. (2013). Modeling Market Downside Volatility. <i>Review of Finance (ex European Finance Review)</i>, 17(1), pp. 443-481."
"authors" => array:3 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "FEUNOU Bruno"
]
2 => array:1 [
"name" => "JAHAN-PARVAR Mohammad"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2023-01-26 14:35:35"
"publicationUrl" => "https://doi.org/10.1093/rof/rfr024"
"publicationInfo" => array:3 [
"pages" => "443-481"
"volume" => "17"
"number" => "1"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We propose a new methodology for modeling and estimating time-varying downside risk and upside uncertainty in equity returns and for assessment of risk–return trade-off in financial markets. Using the salient features of the binormal distribution, we explicitly relate downside risk and upside uncertainty to conditional heteroskedasticity and asymmetry through binormal GARCH (BiN-GARCH) model. Based on S&P 500 and international index returns, we find strong empirical support for existence of significant relative downside risk, and robust positive relationship between relative downside risk and conditional mode."
"en" => "We propose a new methodology for modeling and estimating time-varying downside risk and upside uncertainty in equity returns and for assessment of risk–return trade-off in financial markets. Using the salient features of the binormal distribution, we explicitly relate downside risk and upside uncertainty to conditional heteroskedasticity and asymmetry through binormal GARCH (BiN-GARCH) model. Based on S&P 500 and international index returns, we find strong empirical support for existence of significant relative downside risk, and robust positive relationship between relative downside risk and conditional mode."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.9170747
+"parent": null
}
20 => Essec\Faculty\Model\Contribution {#2378
#_index: "academ_contributions"
#_id: "10563"
#_source: array:18 [
"id" => "10563"
"slug" => "risk-premium-variance-premium-and-the-maturity-structure-of-uncertainty"
"yearMonth" => "2014-01"
"year" => "2014"
"title" => "Risk Premium, Variance Premium and the Maturity Structure of Uncertainty"
"description" => "FEUNOU, B., FONTAINE, J.S., TAAMOUTI, A. et TÉDONGAP, R. (2014). Risk Premium, Variance Premium and the Maturity Structure of Uncertainty. <i>Review of Finance (ex European Finance Review)</i>, 18(1), pp. 219-269."
"authors" => array:4 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "FEUNOU Bruno"
]
2 => array:1 [
"name" => "FONTAINE Jean-Sébastien"
]
3 => array:1 [
"name" => "TAAMOUTI Abderrahim"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:31:38"
"publicationUrl" => "http://rof.oxfordjournals.org/content/18/1/219"
"publicationInfo" => array:3 [
"pages" => "219-269"
"volume" => "18"
"number" => "1"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.9170747
+"parent": null
}
21 => Essec\Faculty\Model\Contribution {#2379
#_index: "academ_contributions"
#_id: "10583"
#_source: array:18 [
"id" => "10583"
"slug" => "consumption-volatility-and-the-cross-section-of-stock-returns"
"yearMonth" => "2015-03"
"year" => "2015"
"title" => "Consumption Volatility and the Cross-Section of Stock Returns"
"description" => "TÉDONGAP, R. (2015). Consumption Volatility and the Cross-Section of Stock Returns. <i>Review of Finance (ex European Finance Review)</i>, 19(1), pp. 367-405."
"authors" => array:1 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:31:39"
"publicationUrl" => "http://rof.oxfordjournals.org/content/19/1/367"
"publicationInfo" => array:3 [
"pages" => "367-405"
"volume" => "19"
"number" => "1"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "I derive and test multi-horizon implications of a consumption-based equilibrium model featuring fluctuating expected growth and volatility. My setup allows consumption dynamics to be estimated jointly with covariance risk prices in a single-stage generalized method of moment, and then inferences from asset pricing tests reflect uncertainty coming from factor estimation. I show that changes in consumption volatility are the key driver for explaining major asset pricing anomalies across risk horizons, while other factors play no or a secondary role. Value stocks and past long-term losers pay higher average returns mainly because they covary more negatively with these changes than what other stocks do."
"en" => "I derive and test multi-horizon implications of a consumption-based equilibrium model featuring fluctuating expected growth and volatility. My setup allows consumption dynamics to be estimated jointly with covariance risk prices in a single-stage generalized method of moment, and then inferences from asset pricing tests reflect uncertainty coming from factor estimation. I show that changes in consumption volatility are the key driver for explaining major asset pricing anomalies across risk horizons, while other factors play no or a secondary role. Value stocks and past long-term losers pay higher average returns mainly because they covary more negatively with these changes than what other stocks do."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.9170747
+"parent": null
}
22 => Essec\Faculty\Model\Contribution {#2380
#_index: "academ_contributions"
#_id: "10616"
#_source: array:18 [
"id" => "10616"
"slug" => "the-long-and-the-short-of-the-risk-return-tradeoff"
"yearMonth" => "2015-08"
"year" => "2015"
"title" => "The Long and the Short of the Risk-Return Tradeoff"
"description" => "BONOMO, M., GARCIA, R., MEDDAHI, N. et TÉDONGAP, R. (2015). The Long and the Short of the Risk-Return Tradeoff. <i>Journal of Econometrics</i>, 187(2), pp. 580-592."
"authors" => array:4 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "BONOMO Marco"
]
2 => array:1 [
"name" => "GARCIA René"
]
3 => array:1 [
"name" => "MEDDAHI Nour"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:31:39"
"publicationUrl" => "http://www.sciencedirect.com/science/article/pii/S0304407615000652"
"publicationInfo" => array:3 [
"pages" => "580-592"
"volume" => "187"
"number" => "2"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "The relationship between conditional volatility and expected stock market returns, the so-called risk-return trade-off, has been studied at high- and low-frequency. We propose an asset pricing model with generalized disappointment aversion preferences and short- and long-run volatility risks that captures several stylized facts associated with the risk-return trade-off at short and long horizons. Writing the model in Bonomo et al. (2011) at the daily frequency, we aim at reproducing the moments of the variance premium and realized volatility, the long-run predictability of cumulative returns by the past cumulative variance, the short-run predictability of returns by the variance premium, as well as the daily autocorrelation patterns at many lags of the and of the variance premium, and the daily cross-correlations of these two measures with leads and lags of daily returns. By keeping the same calibration as in this previous paper, we ensure that the model is capturing the first and second moments of the equity premium and the risk-free rate, and the predictability of returns by the dividend yield. Overall adding generalized disappointment aversion to the Kreps–Porteus specification improves the fit for both the short-run and the long-run risk-return trade-offs."
"en" => "The relationship between conditional volatility and expected stock market returns, the so-called risk-return trade-off, has been studied at high- and low-frequency. We propose an asset pricing model with generalized disappointment aversion preferences and short- and long-run volatility risks that captures several stylized facts associated with the risk-return trade-off at short and long horizons. Writing the model in Bonomo et al. (2011) at the daily frequency, we aim at reproducing the moments of the variance premium and realized volatility, the long-run predictability of cumulative returns by the past cumulative variance, the short-run predictability of returns by the variance premium, as well as the daily autocorrelation patterns at many lags of the and of the variance premium, and the daily cross-correlations of these two measures with leads and lags of daily returns. By keeping the same calibration as in this previous paper, we ensure that the model is capturing the first and second moments of the equity premium and the risk-free rate, and the predictability of returns by the dividend yield. Overall adding generalized disappointment aversion to the Kreps–Porteus specification improves the fit for both the short-run and the long-run risk-return trade-offs."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.9170747
+"parent": null
}
23 => Essec\Faculty\Model\Contribution {#2381
#_index: "academ_contributions"
#_id: "10661"
#_source: array:18 [
"id" => "10661"
"slug" => "which-parametric-model-for-conditional-skewness"
"yearMonth" => "2016-11"
"year" => "2016"
"title" => "Which Parametric Model for Conditional Skewness?"
"description" => "FEUNOU, B., JAHAN-PARVAR, M. et TÉDONGAP, R. (2016). Which Parametric Model for Conditional Skewness? <i>The European Journal of Finance</i>, 22(13), pp. 1237-1271."
"authors" => array:3 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "FEUNOU Bruno"
]
2 => array:1 [
"name" => "JAHAN-PARVAR Mohammad"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => "http://www.tandfonline.com/doi/full/10.1080/1351847X.2013.877515?scroll=top&needAccess=true"
"publicationInfo" => array:3 [
"pages" => "1237-1271"
"volume" => "22"
"number" => "13"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "This paper addresses an existing gap in the developing literature on conditional skewness. We develop a simple procedure to evaluate parametric conditional skewness models. This procedure is based on regressing the realized skewness measures on model-implied conditional skewness values. We find that an asymmetric generalized autoregressive conditional heteroscedasticity specification on shape parameters with a skewed generalized error distribution provides the best in-sample fit for the data, as well as reasonable predictions of the realized skewness measure. Our empirical findings imply significant asymmetry with respect to positive and negative news in both conditional asymmetry and kurtosis processes."
"en" => "This paper addresses an existing gap in the developing literature on conditional skewness. We develop a simple procedure to evaluate parametric conditional skewness models. This procedure is based on regressing the realized skewness measures on model-implied conditional skewness values. We find that an asymmetric generalized autoregressive conditional heteroscedasticity specification on shape parameters with a skewed generalized error distribution provides the best in-sample fit for the data, as well as reasonable predictions of the realized skewness measure. Our empirical findings imply significant asymmetry with respect to positive and negative news in both conditional asymmetry and kurtosis processes."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.9170747
+"parent": null
}
24 => Essec\Faculty\Model\Contribution {#2382
#_index: "academ_contributions"
#_id: "11384"
#_source: array:18 [
"id" => "11384"
"slug" => "the-term-structures-of-expected-loss-and-gain-uncertainty"
"yearMonth" => "2020-06"
"year" => "2020"
"title" => "The Term Structures of Expected Loss and Gain Uncertainty"
"description" => "FEUNOU, B., LOPEZ ALIOUCHKIN, R., TÉDONGAP, R. et XU, L. (2020). The Term Structures of Expected Loss and Gain Uncertainty. <i>Journal of Financial Econometrics</i>, 18(3), pp. 473-501."
"authors" => array:4 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "FEUNOU Bruno"
]
2 => array:1 [
"name" => "LOPEZ ALIOUCHKIN Ricardo"
]
3 => array:1 [
"name" => "XU Lai"
]
]
"ouvrage" => ""
"keywords" => array:5 [
0 => "Quadratic payoff"
1 => "quadratic loss"
2 => "quadratic gain"
3 => "quadratic risk premium"
4 => "options"
]
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => "https://doi.org/10.1093/jjfinec/nbaa010"
"publicationInfo" => array:3 [
"pages" => "473-501"
"volume" => "18"
"number" => "3"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We document that the term structures of risk-neutral expected loss and gain uncertainty on the S&P500 returns are upward sloping on average. These shapes mainly reflect the higher premium required by investors to hedge downside risk, and the belief that potential gains will increase in the long-run. The term structures exhibit substantial time series variation with large negative slopes during crisis periods. Through the lens of Andersen et al. (2015)'s framework, we evaluate the ability of existing reduced-form option pricing models to replicate these term structures. We stress that three ingredients are particularly important: (1) the inclusion of jumps; (2) disentangling the price of negative jump risk from its positive analog in the stochastic discount factor speci fication; (3) specifying three latent factors."
"en" => "We document that the term structures of risk-neutral expected loss and gain uncertainty on the S&P500 returns are upward sloping on average. These shapes mainly reflect the higher premium required by investors to hedge downside risk, and the belief that potential gains will increase in the long-run. The term structures exhibit substantial time series variation with large negative slopes during crisis periods. Through the lens of Andersen et al. (2015)'s framework, we evaluate the ability of existing reduced-form option pricing models to replicate these term structures. We stress that three ingredients are particularly important: (1) the inclusion of jumps; (2) disentangling the price of negative jump risk from its positive analog in the stochastic discount factor speci fication; (3) specifying three latent factors."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.9170747
+"parent": null
}
25 => Essec\Faculty\Model\Contribution {#2383
#_index: "academ_contributions"
#_id: "11385"
#_source: array:18 [
"id" => "11385"
"slug" => "disappointment-aversion-term-structure-and-predictability-puzzles-in-bond-markets"
"yearMonth" => "2021-10"
"year" => "2021"
"title" => "Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets"
"description" => "AUGUSTIN, P. et TÉDONGAP, R. (2021). Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets. <i>Management Science</i>, 67(10), pp. 6266–6293."
"authors" => array:2 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "AUGUSTIN Patrick"
]
]
"ouvrage" => ""
"keywords" => array:4 [
0 => "Asset Pricing"
1 => "Macrofinance"
2 => "Numerical Methods"
3 => "Term Structure of Interest Rates"
]
"updatedAt" => "2021-11-10 10:09:55"
"publicationUrl" => "https://pubsonline.informs.org/doi/abs/10.1287/mnsc.2020.3757"
"publicationInfo" => array:3 [
"pages" => "6266–6293"
"volume" => "67"
"number" => "10"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => """
We solve a dynamic equilibrium model with generalized disappointment aversion preferences and continuous state endowment dynamics. We apply the framework to the term structure of interest rates and show that the model generates an upward sloping term structure of nominal interest rates, a downward sloping term structure of real interest rates, and that it accounts for the failure of the expectations hypothesis. The key ingredients are preferences with disappointment aversion, preference for early resolution of uncertainty, and an endowment economy with three state variables: time-varying macroeconomic uncertainty, time-varying expected inflation and inflation\n
uncertainty.
"""
"en" => """
We solve a dynamic equilibrium model with generalized disappointment aversion preferences and continuous state endowment dynamics. We apply the framework to the term structure of interest rates and show that the model generates an upward sloping term structure of nominal interest rates, a downward sloping term structure of real interest rates, and that it accounts for the failure of the expectations hypothesis. The key ingredients are preferences with disappointment aversion, preference for early resolution of uncertainty, and an endowment economy with three state variables: time-varying macroeconomic uncertainty, time-varying expected inflation and inflation\n
uncertainty.
"""
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.9170747
+"parent": null
}
26 => Essec\Faculty\Model\Contribution {#2384
#_index: "academ_contributions"
#_id: "12853"
#_source: array:18 [
"id" => "12853"
"slug" => "portfolio-optimization-and-asset-pricing-implications-under-returns-non-normality-concerns"
"yearMonth" => "2022-03"
"year" => "2022"
"title" => "Portfolio Optimization and Asset Pricing Implications under Returns Non-Normality Concerns"
"description" => "TÉDONGAP, R. et TINANG, J. (2022). Portfolio Optimization and Asset Pricing Implications under Returns Non-Normality Concerns. <i>Finance</i>, 43(1), pp. 47-94."
"authors" => array:2 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "TINANG Jules"
]
]
"ouvrage" => ""
"keywords" => array:3 [
0 => "Endegenous preference parameters"
1 => "non-participation"
2 => "efficient frontier"
]
"updatedAt" => "2023-01-26 14:32:35"
"publicationUrl" => "https://doi.org/10.3917/fina.431.0047"
"publicationInfo" => array:3 [
"pages" => "47-94"
"volume" => "43"
"number" => "1"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Nous étudions les implications de la non-normalité pour l’allocation d’actifs et la tarification. La non-normalité des rendements des actifs est capturée par un modèle normal-exponentiel multivarié ; nous développons une procédure d’estimation basée sur une méthode des moments généralisée. Les préoccupations de non-normalité des investisseurs sont introduites en ajoutant une contrainte de non-normalité linéaire à un cadre moyenne-variance par ailleurs standard. La solution du portefeuille optimal est obtenue sous forme fermée et peut être reformulée comme une stratégie de séparation à trois fonds. Des portefeuilles sous-optimaux qui ignorent la non-normalité ou sont naïfs en termes de diversification peuvent entraîner des coûts de bien-être importants mesurés par l’équivalent certain, notamment pour les investisseurs les plus tolérants au risque qui ciblent des ratios de non-normalité élevés. À l’équilibre, les rendements attendus admettent une représentation à deux bêta dans laquelle le bêta le plus important pour expliquer leur variation transversale est celui capturant la non-normalité (plus de 60 %) tandis que le bêta du MEDAF explique moins de 12 %."
"en" => "We investigate the implications of non-normality for asset allocation and pricing. Asset returns non-normality is captured through a multivariate normal-exponential model; we develop an estimation procedure based on a generalized method of moments. Investors’ non-normality concerns are introduced by adding a linear non-normality constraint to an otherwise standard mean-variance framework. The optimal portfolio solution is obtained in closed form and can be reformulated as a three-fund separation strategy. Suboptimal portfolios that ignore non-normality or are naive in terms of diversification may result in important welfare costs as measured by the certainty equivalent, notably for the most risk-tolerant investors who target large non-normality ratios. In equilibrium, expected returns admit a two-beta representation in which the most important beta in explaining their cross-sectional variation is the one capturing non-normality (more than 60%) while the CAPM beta explains less than 12%."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.9170747
+"parent": null
}
27 => Essec\Faculty\Model\Contribution {#2385
#_index: "academ_contributions"
#_id: "13360"
#_source: array:18 [
"id" => "13360"
"slug" => "the-changing-landscape-of-treasury-auctions"
"yearMonth" => "2023-03"
"year" => "2023"
"title" => "The Changing Landscape of Treasury Auctions"
"description" => "AMIN, S. et TÉDONGAP, R. (2023). The Changing Landscape of Treasury Auctions. <i>Journal of Banking & Finance</i>, 148, pp. 106714."
"authors" => array:2 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "AMIN Shehryar"
]
]
"ouvrage" => ""
"keywords" => array:6 [
0 => "Treasury Auctions"
1 => "Event-Study Analysis"
2 => "Primary Dealers"
3 => "Slow-Moving Capital"
4 => "Mutual Funds"
5 => "Zero-Coupon Inflation Swaps"
]
"updatedAt" => "2023-03-09 13:23:44"
"publicationUrl" => "https://doi.org/10.1016/j.jbankfin.2022.106714"
"publicationInfo" => array:3 [
"pages" => "106714"
"volume" => "148"
"number" => ""
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Contemporary literature attributes the temporary drop in secondary prices before a Treasury auction to primary dealers’ limited risk-bearing capacity and slow-moving capital. We attribute the temporary price pressure to slow-moving capital, but not primary dealer’s limited risk-bearing capacity. We document a decline of more than 45% in the Treasury Inflation-Protected Securities (TIPS) auction amount allocated to primary dealers over the years and uncover empirical evidence inconsistent with dealers being the main contributor to the auction cycle. In contrast, our results suggest strategic trading behavior whereby some direct and indirect bidders deliberately reduce their demand in the days leading to the auction. More specifically, we find that, on average, inflows into inflation-indexed mutual funds before the auction days do not translate into increased demand for the underlying, as opposed to inflows on other days. Our results imply an issuance cost to the US Treasury of over $300 million for issuing TIPS in 2019 alone."
"en" => "Contemporary literature attributes the temporary drop in secondary prices before a Treasury auction to primary dealers’ limited risk-bearing capacity and slow-moving capital. We attribute the temporary price pressure to slow-moving capital, but not primary dealer’s limited risk-bearing capacity. We document a decline of more than 45% in the Treasury Inflation-Protected Securities (TIPS) auction amount allocated to primary dealers over the years and uncover empirical evidence inconsistent with dealers being the main contributor to the auction cycle. In contrast, our results suggest strategic trading behavior whereby some direct and indirect bidders deliberately reduce their demand in the days leading to the auction. More specifically, we find that, on average, inflows into inflation-indexed mutual funds before the auction days do not translate into increased demand for the underlying, as opposed to inflows on other days. Our results imply an issuance cost to the US Treasury of over $300 million for issuing TIPS in 2019 alone."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.9170747
+"parent": null
}
28 => Essec\Faculty\Model\Contribution {#2386
#_index: "academ_contributions"
#_id: "13367"
#_source: array:18 [
"id" => "13367"
"slug" => "operations-revenue-insurance"
"yearMonth" => "2022-09"
"year" => "2022"
"title" => "Operations Revenue Insurance"
"description" => "GUIOTTO, P., RONCORONI, A. et TÉDONGAP, R. (2022). Operations Revenue Insurance. <i>Foundations and Trends in Technology, Information and Operations Management</i>, 15(3), pp. 225-246."
"authors" => array:3 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
2 => array:1 [
"name" => "GUIOTTO Paolo"
]
]
"ouvrage" => ""
"keywords" => array:4 [
0 => "Supply Chain Management"
1 => " Derivatives: Financial Engineering"
2 => "Financial Markets: Security Issuance"
3 => " Risk Analysis"
]
"updatedAt" => "2022-11-17 11:42:14"
"publicationUrl" => "http://dx.doi.org/10.1561/0200000102-1"
"publicationInfo" => array:3 [
"pages" => "225-246"
"volume" => "15"
"number" => "3"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We propose a new framework for the optimal design of a financial instrument to hedge nonclaimable (e.g., background, operational, and nontradable) risk embedded by business and operating revenues. Our method leverages the ability of financial markets to securitize nonfinancial assets and contingent claims written on the related notes. A new array of integrated operational and financial risk management policies is identified and an explicit solution is provided for a class of project allocation decisions."
"en" => "We propose a new framework for the optimal design of a financial instrument to hedge nonclaimable (e.g., background, operational, and nontradable) risk embedded by business and operating revenues. Our method leverages the ability of financial markets to securitize nonfinancial assets and contingent claims written on the related notes. A new array of integrated operational and financial risk management policies is identified and an explicit solution is provided for a class of project allocation decisions."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.9170747
+"parent": null
}
29 => Essec\Faculty\Model\Contribution {#2387
#_index: "academ_contributions"
#_id: "13419"
#_source: array:18 [
"id" => "13419"
"slug" => "valuing-downside-risk-on-international-stock-markets"
"yearMonth" => "2024-05"
"year" => "2024"
"title" => "Valuing downside risk on international stock markets"
"description" => "HIKOUATCHA, P. et TÉDONGAP, R. (2024). Valuing downside risk on international stock markets. <i>Finance</i>, In press."
"authors" => array:2 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "HIKOUATCHA Prince"
]
]
"ouvrage" => ""
"keywords" => array:4 [
0 => "General Disappointment Aversion"
1 => "Downside risk"
2 => "International Asset Pricing"
3 => "Covid-19"
]
"updatedAt" => "2024-10-31 13:51:19"
"publicationUrl" => "https://doi.org/10.3917/fina.pr.022"
"publicationInfo" => array:3 [
"pages" => null
"volume" => "In press"
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Recent and growing asset pricing literature identifies downside risk factors in an economy where the representative investor has generalized disappointment aversion (GDA) preferences. We investigate and find that global GDA factors are statistically signi"
"en" => "Recent and growing asset pricing literature identifies downside risk factors in an economy where the representative investor has generalized disappointment aversion (GDA) preferences. We investigate and find that global GDA factors are statistically significant sources of risk in international stock markets. Nevertheless, other sources of risk, such as skewness and cokurtosis, are still relevant in the presence of global GDA factor risks. Our results survive several robustness checks. The GDA asset pricing theory is empirically validated globally as each global GDA factor risk premium estimate has the theoretically predicted sign. Furthermore, long-short portfolio strategies based on sorting countries on financial indicators such as digital payment or financial inclusion generate significantly sizeable risk premia mainly driven by their global downstate component. It is also the case when sorting countries on economic indicators such as per capita gross domestic product, ease of doing business, or country competitiveness."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.9170747
+"parent": null
}
30 => Essec\Faculty\Model\Contribution {#2388
#_index: "academ_contributions"
#_id: "14159"
#_source: array:18 [
"id" => "14159"
"slug" => "volatility-and-long-run-dynamics-of-major-vegetable-oil-prices"
"yearMonth" => "2023-08"
"year" => "2023"
"title" => "Volatility and Long-run Dynamics of Major Vegetable Oil Prices"
"description" => "DECLERCK, F., HIKOUATCHA, P., TCHOFFO, G. et TÉDONGAP, R. (2023). Volatility and Long-run Dynamics of Major Vegetable Oil Prices. Dans: 2023 European Association of Agricultural Economics Annual Congress. Rennes."
"authors" => array:4 [
0 => array:3 [
"name" => "DECLERCK Francis"
"bid" => "B00000143"
"slug" => "declerck-francis"
]
1 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
2 => array:1 [
"name" => "HIKOUATCHA Prince"
]
3 => array:1 [
"name" => "TCHOFFO Guillaume"
]
]
"ouvrage" => "2023 European Association of Agricultural Economics Annual Congress"
"keywords" => []
"updatedAt" => "2023-09-28 10:51:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => ""
"volume" => ""
"number" => ""
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => ""
"en" => ""
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.9170747
+"parent": null
}
31 => Essec\Faculty\Model\Contribution {#2389
#_index: "academ_contributions"
#_id: "14585"
#_source: array:18 [
"id" => "14585"
"slug" => "biofuel-policies-and-their-ripple-effects-an-analysis-of-vegetable-oil-price-dynamics-and-global-consumer-responses"
"yearMonth" => "2023-12"
"year" => "2023"
"title" => "Biofuel policies and their ripple effects: An analysis of vegetable oil price dynamics and global consumer responses"
"description" => "DECLERCK, F., HIKOUATCHA, P., TCHOFFO, G. et TÉDONGAP, R. (2023). Biofuel policies and their ripple effects: An analysis of vegetable oil price dynamics and global consumer responses. <i>Energy Economics</i>, 128, pp. 107127."
"authors" => array:4 [
0 => array:3 [
"name" => "DECLERCK Francis"
"bid" => "B00000143"
"slug" => "declerck-francis"
]
1 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
2 => array:1 [
"name" => "HIKOUATCHA Prince"
]
3 => array:1 [
"name" => "TCHOFFO Guillaume"
]
]
"ouvrage" => ""
"keywords" => array:6 [
0 => "Biofuel policy"
1 => "Long run"
2 => "Consumer confidence"
3 => "Transition"
4 => "EGARCH-DCC"
5 => "VECM"
]
"updatedAt" => "2024-03-04 11:57:14"
"publicationUrl" => "https://doi.org/10.1016/j.eneco.2023.107127"
"publicationInfo" => array:3 [
"pages" => "107127"
"volume" => "128"
"number" => ""
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "The paper analyzes the price dynamics of Palm, Soybean, Rapeseed, and Sunflower oils due to their extensive uses in the food and fuel sectors and recent considerable price increases. We consider the impact of biofuel policies and consumers’ responses. Using Johansen cointegration and VECM, we identify two long-term equilibrium relationships that arise from biofuel policies as our first key finding. In our second insight, an asymmetric AR-EGARCH-DCC model results show heightened volatility and correlation responses to vegetable oil price deviations, especially post-biofuel. Biofuel policies significantly influence shifts in time-varying correlations among these price shocks. Finally, we examine how household consumers in nine countries respond to price shocks with a structural VAR model. The post-biofuel policy era markedly influenced consumer reactions regarding vegetable oil price fluctuations. While most nations show decreased sentiment with price hikes, China and Germany see increased consumer sentiment. South Africa’s response varies by oil type. Biofuel policies amplify these effects on consumer confidence across all studied countries. These findings have significant implications for policymakers trying to balance the energy transition and global food security while promoting sustainable growth in vegetable oil demand across both sectors and ensuring price stability for global agricultural commodities."
"en" => "The paper analyzes the price dynamics of Palm, Soybean, Rapeseed, and Sunflower oils due to their extensive uses in the food and fuel sectors and recent considerable price increases. We consider the impact of biofuel policies and consumers’ responses. Using Johansen cointegration and VECM, we identify two long-term equilibrium relationships that arise from biofuel policies as our first key finding. In our second insight, an asymmetric AR-EGARCH-DCC model results show heightened volatility and correlation responses to vegetable oil price deviations, especially post-biofuel. Biofuel policies significantly influence shifts in time-varying correlations among these price shocks. Finally, we examine how household consumers in nine countries respond to price shocks with a structural VAR model. The post-biofuel policy era markedly influenced consumer reactions regarding vegetable oil price fluctuations. While most nations show decreased sentiment with price hikes, China and Germany see increased consumer sentiment. South Africa’s response varies by oil type. Biofuel policies amplify these effects on consumer confidence across all studied countries. These findings have significant implications for policymakers trying to balance the energy transition and global food security while promoting sustainable growth in vegetable oil demand across both sectors and ensuring price stability for global agricultural commodities."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.9170747
+"parent": null
}
32 => Essec\Faculty\Model\Contribution {#2390
#_index: "academ_contributions"
#_id: "14620"
#_source: array:18 [
"id" => "14620"
"slug" => "international-asset-pricing-with-heterogeneous-agents-estimation-and-inference"
"yearMonth" => "2024-01"
"year" => "2024"
"title" => "International asset pricing with heterogeneous agents: Estimation and inference"
"description" => "TÉDONGAP, R. et TINANG, J. (2024). International asset pricing with heterogeneous agents: Estimation and inference. <i>Journal of Empirical Finance</i>, 75, pp. 101459."
"authors" => array:2 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "Tinang Jules"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2024-01-05 01:01:29"
"publicationUrl" => "https://doi.org/10.1016/j.jempfin.2023.101459"
"publicationInfo" => array:3 [
"pages" => "101459"
"volume" => "75"
"number" => ""
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "This paper empirically validates (Constantinides and Ghosh’s, 2017) heterogeneous-agents consumption-based asset pricing model for predicting expected returns in international equity markets. Using the model’s implications, we proxy the unobservable state variable driving income shocks with the principal component of consumption growth cumulants across agents. We confirm that both the level and changes in this cross-sectional consumption risk serve as pricing factors, emphasizing the importance of higher moments like skewness. The estimated structural parameters obtained from the Euler equations are statistically significant and plausible, while the factor risk premium estimates align with theoretical expectations. Our approach effectively explains the emerging versus developed premium, outperforming traditional methods reliant on cross-sectional variance. Our findings, robust across different model specifications and asset menus, highlight the imprecision of consumption-based factor risk premia estimates when limited to developed markets, a limitation mitigated by including emerging markets. The model demonstrates a 60% explanatory power, surpassing the global Fama–French model."
"en" => "This paper empirically validates (Constantinides and Ghosh’s, 2017) heterogeneous-agents consumption-based asset pricing model for predicting expected returns in international equity markets. Using the model’s implications, we proxy the unobservable state variable driving income shocks with the principal component of consumption growth cumulants across agents. We confirm that both the level and changes in this cross-sectional consumption risk serve as pricing factors, emphasizing the importance of higher moments like skewness. The estimated structural parameters obtained from the Euler equations are statistically significant and plausible, while the factor risk premium estimates align with theoretical expectations. Our approach effectively explains the emerging versus developed premium, outperforming traditional methods reliant on cross-sectional variance. Our findings, robust across different model specifications and asset menus, highlight the imprecision of consumption-based factor risk premia estimates when limited to developed markets, a limitation mitigated by including emerging markets. The model demonstrates a 60% explanatory power, surpassing the global Fama–French model."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-21T11:21:48.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 5.9170747
+"parent": null
}
]
"avatar" => "https://faculty.essec.edu/wp-content/uploads/avatars/B00693411.jpg"
"contributionCounts" => 33
"personalLinks" => array:2 [
0 => "<a href="https://orcid.org/0000-0002-2213-6430" target="_blank">ORCID</a>"
1 => "<a href="https://scholar.google.se/citations?user=rALur18AAAAJ&hl=en" target="_blank">Google scholar</a>"
]
"docTitle" => "Roméo TÉDONGAP"
"docSubtitle" => "Professeur"
"docDescription" => "Département: Finance<br>Campus de Cergy"
"docType" => "cv"
"docPreview" => "<img src="https://faculty.essec.edu/wp-content/uploads/avatars/B00693411.jpg"><span><span>Roméo TÉDONGAP</span><span>B00693411</span></span>"
"academ_cv_info" => ""
]
#_index: "academ_cv"
+lang: "fr"
+"_type": "_doc"
+"_score": 5.0369525
+"parent": null
}
