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Guillaume Roussellet

Personal Details

First Name:Guillaume
Middle Name:
Last Name:Roussellet
Suffix:
RePEc Short-ID:pro836
[This author has chosen not to make the email address public]
https://guillaumeroussellet.quarto.pub/guillaume-roussellet/

Affiliation

Desautels Faculty of Management
McGill University

Montréal, Canada
http://www.mcgill.ca/desautels/
RePEc:edi:fmmcgca (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Books

Working papers

  1. Guillaume Roussellet, 2024. "Exploring the TIPS‑Treasury Valuation Puzzle," Liberty Street Economics 20240701, Federal Reserve Bank of New York.
  2. Alain MONFORT & Jean-Paul RENNE & Guillaume ROUSSELLET, 2020. "Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion," Working Papers 2020-01, Center for Research in Economics and Statistics.
  3. Jean-Paul Renne & Guillaume Roussellet & Gustavo Schwenkler, 2020. "Preventing COVID-19 Fatalities: State versus Federal Policies," Papers 2010.15263, arXiv.org, revised Dec 2020.
  4. A. Monfort & F. Pegoraro & J.-P. Renne & G. Roussellet, 2015. "Staying at Zero with Affine Processes: An Application to Term Structure Modelling," Working papers 558, Banque de France.
  5. Monfort, A. & Renne, J.-P. & Roussellet, G., 2014. "A Quadratic Kalman Filter," Working papers 486, Banque de France.
  6. Dubecq, S. & Monfort, A. & Renne, J-P. & Roussellet, G., 2013. "Credit and Liquidity in Interbank Rates: a Quadratic Approach," Working papers 446, Banque de France.
  7. Bénassy-quéré, A. & Roussellet, A., 2013. "Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries," Working papers 428, Banque de France.

Articles

  1. Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2021. "Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion," Management Science, INFORMS, vol. 67(6), pages 3674-3693, June.
  2. Engle, Robert & Roussellet, Guillaume & Siriwardane, Emil, 2017. "Scenario generation for long run interest rate risk assessment," Journal of Econometrics, Elsevier, vol. 201(2), pages 333-347.
  3. Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2017. "Staying at zero with affine processes : an application to term structure modelling," Rue de la Banque, Banque de France, issue 52, november.
  4. Dubecq, Simon & Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2016. "Credit and liquidity in interbank rates: A quadratic approach," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 29-46.
  5. Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2015. "A Quadratic Kalman Filter," Journal of Econometrics, Elsevier, vol. 187(1), pages 43-56.
  6. Renne, J.-P. & Rousselet, G., 2015. "Disentangling Credit and Liquidity Risks from Interbank Spreads," Rue de la Banque, Banque de France, issue 03, February..
  7. Agnès Bénassy-Quéré & Guillaume Roussellet, 2014. "Fiscal sustainability in the presence of systemic banks: the case of EU countries," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 21(3), pages 436-467, June.

Books

  1. Roussellet, Guillaume, 2015. "Non-Negativity, Zero Lower Bound and Affine Interest Rate Models," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/15295 edited by Monfort, Alain.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Alain MONFORT & Jean-Paul RENNE & Guillaume ROUSSELLET, 2020. "Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion," Working Papers 2020-01, Center for Research in Economics and Statistics.

    Cited by:

    1. Corradin, Stefano & Grimm, Niklas & Schwaab, Bernd, 2021. "Euro area sovereign bond risk premia during the Covid-19 pandemic," Working Paper Series 2561, European Central Bank.
    2. Dumitru, Ana-Maria & Holden, Thomas, 2019. "Quantifying the transmission of European sovereign default risk," EconStor Preprints 193632, ZBW - Leibniz Information Centre for Economics.
    3. Masaru Tsuruta, 2024. "Interaction between Sovereign Quanto Credit Default Swap Spreads and Currency Options," JRFM, MDPI, vol. 17(2), pages 1-33, February.
    4. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François, 2023. "A discrete-time hedging framework with multiple factors and fat tails: On what matters," Journal of Econometrics, Elsevier, vol. 232(2), pages 416-444.
    5. Li, Quan & Zha, Yong & Dong, Yu, 2023. "Subsidize or Not: The Competition of Credit Card and Online Credit in Platform-based Supply Chain System," European Journal of Operational Research, Elsevier, vol. 305(2), pages 644-658.

  2. Jean-Paul Renne & Guillaume Roussellet & Gustavo Schwenkler, 2020. "Preventing COVID-19 Fatalities: State versus Federal Policies," Papers 2010.15263, arXiv.org, revised Dec 2020.

    Cited by:

    1. Rebucci, Alessandro & Elenev, Vadim & , & Simeonova, Emilia, 2021. "Direct and Spillover Effects from Staggered Adoption of Health Policies: Evidence from Covid-19 Stay-at-Home Orders," CEPR Discussion Papers 16649, C.E.P.R. Discussion Papers.
    2. Fernández-Villaverde, Jesús & Arias, Jonas & Rubio-Ramírez, Juan Francisco & Shin, Minchul, 2021. "Bayesian Estimation of Epidemiological Models: Methods, Causality, and Policy Trade-Offs," CEPR Discussion Papers 15951, C.E.P.R. Discussion Papers.
    3. Jacek Rothert, 2021. "Optimal federal transfers during uncoordinated response to a pandemic," GRAPE Working Papers 58, GRAPE Group for Research in Applied Economics.
    4. Jonas E. Arias & Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez & Minchul Shin, 2021. "Bayesian Estimation of Epidemiological Models: Methods, Causality, and Policy Trade-Offs," Working Papers 21-18, Federal Reserve Bank of Philadelphia.
    5. Jacek Rothert, 2022. "Optimal federal transfers during uncoordinated response to a pandemic," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 24(5), pages 1124-1153, October.
    6. Mr. Niels-Jakob H Hansen & Rui Mano, 2021. "Mask Mandates Save Lives," IMF Working Papers 2021/205, International Monetary Fund.
    7. Jonas E. Arias & Jesús Fernández-Villaverde & Juan Rubio Ramírez & Minchul Shin, 2021. "The Causal Effects of Lockdown Policies on Health and Macroeconomic Outcomes," NBER Working Papers 28617, National Bureau of Economic Research, Inc.

  3. A. Monfort & F. Pegoraro & J.-P. Renne & G. Roussellet, 2015. "Staying at Zero with Affine Processes: An Application to Term Structure Modelling," Working papers 558, Banque de France.

    Cited by:

    1. Richhild Moessner, 2018. "Effects of asset purchases and financial stability measures on term premia in the euro area," National Institute of Economic and Social Research (NIESR) Discussion Papers 489, National Institute of Economic and Social Research.
    2. Gouriéroux Christian & Monfort Alain & Mouabbi Sarah & Renne Jean-Paul, 2020. "Disastrous Defaults," Working papers 778, Banque de France.
    3. Olesya Grishchenko & Sarah Mouabbi & Jean‐Paul Renne, 2019. "Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(5), pages 1053-1096, August.
    4. Thomas B. King, 2016. "Expectation and Duration at the Effective Lower Bound," Working Paper Series WP-2016-21, Federal Reserve Bank of Chicago.
    5. Bruna, Karel & Tran, Quang Van, 2020. "The central banks’ ability to control variability of money market interest rates: The case of inflation targeting countries," Journal of Economic Behavior & Organization, Elsevier, vol. 176(C), pages 384-402.
    6. Andreasen, Martin M & Meldrum, Andrew, 2015. "Dynamic term structure models: the best way to enforce the zero lower bound in the United States," Bank of England working papers 550, Bank of England.
    7. Lemke, Wolfgang & Vladu, Andreea, 2015. "A Shadow-Rate Term Structure Model for the Euro Area," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113159, Verein für Socialpolitik / German Economic Association.
    8. S. Mouabbi, 2014. "An arbitrage-free Nelson-Siegel term structure model with stochastic volatility for the determination of currency risk premia," Working papers 527, Banque de France.
    9. Benjamin H Cohen & Peter Hördahl & Dora Xia, 2018. "Term premia: models and some stylised facts," BIS Quarterly Review, Bank for International Settlements, March.
    10. Speck, Christian, 2023. "Pricing the Bund term structure with linear regressions – without an observable short rate," Discussion Papers 08/2023, Deutsche Bundesbank.
    11. Januj Amar Juneja, 2021. "How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?," Computational Management Science, Springer, vol. 18(1), pages 73-97, January.
    12. A. Carriero & S. Mouabbi & E. Vangelista, 2016. "UK term structure decompositions at the zero lower bound," Working papers 589, Banque de France.
    13. Bruno Feunou & Cédric Okou, 2018. "Risk‐neutral moment‐based estimation of affine option pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(7), pages 1007-1025, November.
    14. Marcello Pericoli & Marco Taboga, 2018. "Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models," Temi di discussione (Economic working papers) 1189, Bank of Italy, Economic Research and International Relations Area.
    15. Chernov, Mikhail & Augustin, Patrick & Song, Dongho, 2018. "Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads," CEPR Discussion Papers 12857, C.E.P.R. Discussion Papers.
    16. H. Peter Boswijk & Roger J. A. Laeven & Evgenii Vladimirov, 2022. "Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation," Tinbergen Institute Discussion Papers 22-000/III, Tinbergen Institute.
    17. Berardi, Andrea & Plazzi, Alberto, 2022. "Dissecting the yield curve: The international evidence," Journal of Banking & Finance, Elsevier, vol. 134(C).
    18. Brignone, Riccardo & Gonzato, Luca & Lütkebohmert, Eva, 2023. "Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants," Journal of Banking & Finance, Elsevier, vol. 148(C).
    19. Alain MONFORT & Jean-Paul RENNE & Guillaume ROUSSELLET, 2020. "Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion," Working Papers 2020-01, Center for Research in Economics and Statistics.
    20. Sébastien Fries & Jean‐Stéphane Mésonnier & Sarah Mouabbi & Jean‐Paul Renne, 2018. "National natural rates of interest and the single monetary policy in the euro area," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 763-779, September.
    21. Etienne Vaccaro-Grange, 2019. "Quantitative Easing and the Term Premium as a Monetary Policy Instrument," AMSE Working Papers 1932, Aix-Marseille School of Economics, France.
    22. Marcello Pericoli & Marco Taboga, 2015. "Understanding policy rates at the zero lower bound: insights from a Bayesian shadow rate model," Temi di discussione (Economic working papers) 1023, Bank of Italy, Economic Research and International Relations Area.
    23. Hans Dewachter & Leonardo Iania & Jean-Charles Wijnandts, 2016. "The response of euro area sovereign spreads to the ECB unconventional monetary policies," Working Paper Research 309, National Bank of Belgium.
    24. Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2017. "Staying at zero with affine processes : an application to term structure modelling," Rue de la Banque, Banque de France, issue 52, november.
    25. Martin M. Andreasen & Andrew C. Meldrum, 2018. "A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States," Finance and Economics Discussion Series 2018-056, Board of Governors of the Federal Reserve System (U.S.).
    26. Scott Joslin & Anh Le, 2021. "Interest Rate Volatility and No-Arbitrage Affine Term Structure Models," Management Science, INFORMS, vol. 67(12), pages 7391-7416, December.
    27. Christian Gouriéroux & Yang Lu, 2023. "Noncausal affine processes with applications to derivative pricing," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 766-796, July.
    28. Bruno Feunou & Jean-Sébastien Fontaine & Anh Le & Christian Lundblad, 2022. "Tractable Term Structure Models," Management Science, INFORMS, vol. 68(11), pages 8411-8429, November.
    29. Engle, Robert & Roussellet, Guillaume & Siriwardane, Emil, 2017. "Scenario generation for long run interest rate risk assessment," Journal of Econometrics, Elsevier, vol. 201(2), pages 333-347.
    30. Januj Amar Juneja, 2022. "A Computational Analysis of the Tradeoff in the Estimation of Different State Space Specifications of Continuous Time Affine Term Structure Models," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 173-220, June.
    31. Berardi, Andrea, 2023. "Term premia and short rate expectations in the euro area," Journal of Empirical Finance, Elsevier, vol. 74(C).
    32. Martin M. Andreasen & Andrew Meldrum, 2014. "Dynamic term structure models: The best way to enforce the zero lower bound," CREATES Research Papers 2014-47, Department of Economics and Business Economics, Aarhus University.
    33. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François, 2023. "A discrete-time hedging framework with multiple factors and fat tails: On what matters," Journal of Econometrics, Elsevier, vol. 232(2), pages 416-444.
    34. Eric McCoy, 2019. "A Calibration of the Term Premia to the Euro Area," European Economy - Discussion Papers 110, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.

  4. Monfort, A. & Renne, J.-P. & Roussellet, G., 2014. "A Quadratic Kalman Filter," Working papers 486, Banque de France.

    Cited by:

    1. Breach, Tomas & D’Amico, Stefania & Orphanides, Athanasios, 2020. "The term structure and inflation uncertainty," Journal of Financial Economics, Elsevier, vol. 138(2), pages 388-414.
    2. Xi Kleisinger-Yu & Vlatka Komaric & Martin Larsson & Markus Regez, 2019. "A multi-factor polynomial framework for long-term electricity forwards with delivery period," Papers 1908.08954, arXiv.org, revised Jun 2020.
    3. Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2019. "Benchmark Interest Rates When the Government is Risky," NBER Working Papers 26429, National Bureau of Economic Research, Inc.
    4. Jaroslava Hlouskova & Leopold Sogner, 2015. "GMM Estimation of Affine Term Structure Models," Papers 1508.01661, arXiv.org.
    5. Dubecq, Simon & Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2016. "Credit and liquidity in interbank rates: A quadratic approach," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 29-46.
    6. Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2017. "Staying at zero with affine processes : an application to term structure modelling," Rue de la Banque, Banque de France, issue 52, november.

  5. Dubecq, S. & Monfort, A. & Renne, J-P. & Roussellet, G., 2013. "Credit and Liquidity in Interbank Rates: a Quadratic Approach," Working papers 446, Banque de France.

    Cited by:

    1. Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2019. "Benchmark Interest Rates When the Government is Risky," NBER Working Papers 26429, National Bureau of Economic Research, Inc.
    2. Marco Casiraghi & Eugenio Gaiotti & Lisa Rodano & Alessandro Secchi, 2013. "The impact of unconventional monetary policy on the Italian economy during the sovereign debt crisis," Questioni di Economia e Finanza (Occasional Papers) 203, Bank of Italy, Economic Research and International Relations Area.
    3. Gang Bai & Chunhui Chen, 2023. "Managing Information Sensitivity: The Relationship between the Interbank Offered Rate and the Characteristics of Bank-Issued Wealth Management Products in China," Sustainability, MDPI, vol. 15(2), pages 1-19, January.
    4. Tsuruta, Masaru, 2020. "Decomposing the term structures of local currency sovereign bond yields and sovereign credit default swap spreads," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    5. Dombret, Andreas R. & Foos, Daniel & Pliszka, Kamil & Schulz, Alexander, 2019. "What are the real effects of financial market liquidity? Evidence on bank lending from the euro area," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 152-183.
    6. Alexius, Annika & Birenstam, Helene & Eklund, Johanna, 2014. "The interbank market risk premium, central bank interventions, and measures of market liquidity," Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 202-217.
    7. Ananta Raj Kafe & Bidush Nepal & Anuj Acharya & Laxman Tandan, 2022. "Recapitalization and Its Impact on Liquidity Position of Commercial Bank: Evidence from Nepal," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 12(4), pages 47-62.
    8. Fang, Ming & Taylor, Stephen & Uddin, Ajim, 2022. "The network structure of overnight index swap rates," Finance Research Letters, Elsevier, vol. 46(PB).
    9. Marco Casiraghi & Eugenio Gaiotti & Lisa Rodano & Alessandro Secchi, 2016. "ECB Unconventional Monetary Policy and the Italian Economy during the Sovereign Debt Crisis," International Journal of Central Banking, International Journal of Central Banking, vol. 12(2), pages 269-315, June.
    10. Mesias Alfeus, 2019. "Stochastic Modelling of New Phenomena in Financial Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2019, January-A.
    11. David Skovmand & Jacob Bjerre Skov, 2022. "Decomposing LIBOR in Transition: Evidence from the Futures Markets," Papers 2201.06930, arXiv.org, revised Mar 2022.
    12. Renne, J.-P. & Rousselet, G., 2015. "Disentangling Credit and Liquidity Risks from Interbank Spreads," Rue de la Banque, Banque de France, issue 03, February..
    13. Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2015. "A Quadratic Kalman Filter," Journal of Econometrics, Elsevier, vol. 187(1), pages 43-56.
    14. Hans Dewachter & Leonardo Iania & Jean-Charles Wijnandts, 2016. "The response of euro area sovereign spreads to the ECB unconventional monetary policies," Working Paper Research 309, National Bank of Belgium.
    15. C. Cahn & A. Duquerroy & W. Mullins, 2017. "Unconventional Monetary Policy and Bank Lending Relationships," Working papers 659, Banque de France.
    16. Janbaz, M. & Hassan, M.K. & Floreani, J. & Dreassi, A., 2024. "Liquidity pressure and the sovereign-bank diabolic loop," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1039-1057.
    17. Nikolaos Karouzakis, 2021. "The role of time‐varying risk premia in international interbank markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5720-5745, October.
    18. Lartey, Theophilus & James, Gregory A. & Danso, Albert, 2021. "Interbank funding, bank risk exposure and performance in the UK: A three-stage network DEA approach," International Review of Financial Analysis, Elsevier, vol. 75(C).
    19. Gerhart, Christoph & Lütkebohmert, Eva, 2020. "Empirical analysis and forecasting of multiple yield curves," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 59-78.

  6. Bénassy-quéré, A. & Roussellet, A., 2013. "Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries," Working papers 428, Banque de France.

    Cited by:

    1. Lihe Tu & Emanuele Padovani, 2018. "A Research on the Debt Sustainability of China’s Major City Governments in Post-Land Finance Era," Sustainability, MDPI, vol. 10(5), pages 1-21, May.
    2. Paola Bongini & Laura Nieri, 2014. "Identifying and Regulating Systemically Important Financial Institutions," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 43(1), pages 39-62, February.
    3. A. Ahmad & Su-ling Fanelli, 2014. "Fiscal Sustainability in the Euro-Zone: Is There A Role for Euro-Bonds?," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 42(3), pages 291-303, September.
    4. Gruber, Alexander & Kogler, Michael, 2016. "Banks and Sovereigns: A Model of Mutual Contagion," Economics Working Paper Series 1614, University of St. Gallen, School of Economics and Political Science.
    5. Alina Cristina NUTA & Rodica PRIPOAIE & Florian Marcel NUTA, 2014. "Fiscal Policy In And After Crises," Journal of Public Administration, Finance and Law, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 0(Special i), pages 92-95, September.

Articles

  1. Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2021. "Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion," Management Science, INFORMS, vol. 67(6), pages 3674-3693, June.
    See citations under working paper version above.
  2. Engle, Robert & Roussellet, Guillaume & Siriwardane, Emil, 2017. "Scenario generation for long run interest rate risk assessment," Journal of Econometrics, Elsevier, vol. 201(2), pages 333-347.

    Cited by:

    1. Jens H. E. Christensen & Jose A. Lopez & Paul L. Mussche, 2022. "Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement," Management Science, INFORMS, vol. 68(11), pages 8286-8300, November.
    2. Castro-Iragorri, C & Ramírez, J, 2021. "Forecasting Dynamic Term Structure Models with Autoencoders," Documentos de Trabajo 19431, Universidad del Rosario.
    3. Scott Joslin & Anh Le, 2021. "Interest Rate Volatility and No-Arbitrage Affine Term Structure Models," Management Science, INFORMS, vol. 67(12), pages 7391-7416, December.
    4. Bruno Feunou & Jean-Sébastien Fontaine & Anh Le & Christian Lundblad, 2022. "Tractable Term Structure Models," Management Science, INFORMS, vol. 68(11), pages 8411-8429, November.
    5. Carlos Castro-Iragorri & Juan Felipe Peña & Cristhian Rodríguez, 2021. "A Segmented and Observable Yield Curve for Colombia," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 10(2), pages 179-200.

  3. Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2017. "Staying at zero with affine processes : an application to term structure modelling," Rue de la Banque, Banque de France, issue 52, november.
    See citations under working paper version above.
  4. Dubecq, Simon & Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2016. "Credit and liquidity in interbank rates: A quadratic approach," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 29-46.
    See citations under working paper version above.
  5. Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2015. "A Quadratic Kalman Filter," Journal of Econometrics, Elsevier, vol. 187(1), pages 43-56.
    See citations under working paper version above.
  6. Agnès Bénassy-Quéré & Guillaume Roussellet, 2014. "Fiscal sustainability in the presence of systemic banks: the case of EU countries," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 21(3), pages 436-467, June.
    See citations under working paper version above.

Books

    Sorry, no citations of books recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 11 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-BAN: Banking (7) 2012-03-14 2012-12-06 2012-12-10 2013-03-30 2013-10-11 2014-12-08 2020-02-24. Author is listed
  2. NEP-RMG: Risk Management (5) 2012-12-06 2012-12-10 2014-12-08 2020-02-24 2024-07-29. Author is listed
  3. NEP-CBA: Central Banking (4) 2012-12-06 2012-12-10 2013-03-30 2013-06-09
  4. NEP-EEC: European Economics (4) 2012-03-14 2012-12-06 2013-03-30 2014-12-08
  5. NEP-MAC: Macroeconomics (3) 2013-10-11 2015-06-20 2020-02-24
  6. NEP-FMK: Financial Markets (2) 2013-10-11 2024-07-29
  7. NEP-ACC: Accounting and Auditing (1) 2012-12-06
  8. NEP-ECM: Econometrics (1) 2014-06-22
  9. NEP-ETS: Econometric Time Series (1) 2014-06-22
  10. NEP-MON: Monetary Economics (1) 2013-10-11
  11. NEP-ORE: Operations Research (1) 2014-06-22
  12. NEP-PBE: Public Economics (1) 2012-12-06

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