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Details about Guillaume Roussellet

E-mail:
Homepage:http://www.Guillaumeroussellet.com
Workplace:Desautels Faculty of Management, McGill University, (more information at EDIRC)

Access statistics for papers by Guillaume Roussellet.

Last updated 2020-03-25. Update your information in the RePEc Author Service.

Short-id: pro836


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Working Papers

2020

  1. Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion
    Working Papers, Center for Research in Economics and Statistics Downloads

2015

  1. Staying at Zero with Affine Processes: An Application to Term Structure Modelling
    Working papers, Banque de France Downloads View citations (9)
    See also Journal Article in Journal of Econometrics (2017)

2014

  1. A Quadratic Kalman Filter
    Working papers, Banque de France Downloads
    See also Journal Article in Journal of Econometrics (2015)
  2. Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU countries
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (2)
    Also in CESifo Working Paper Series, CESifo (2012) Downloads View citations (5)
    Working Papers, CEPII research center (2012) Downloads View citations (1)
    Working papers, Banque de France (2013) Downloads
    Post-Print, HAL (2014) Downloads View citations (1)
    Post-Print, HAL (2012) Downloads View citations (2)
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2012) Downloads View citations (1)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2012) Downloads View citations (2)
    Working Papers, HAL (2012) Downloads View citations (1)
    PSE - G-MOND WORKING PAPERS, HAL (2012) Downloads View citations (1)

    See also Journal Article in International Tax and Public Finance (2014)

2013

  1. Credit and Liquidity in Interbank Rates: a Quadratic Approach
    Working papers, Banque de France Downloads View citations (6)
    See also Journal Article in Journal of Banking & Finance (2016)

Journal Articles

2017

  1. Scenario generation for long run interest rate risk assessment
    Journal of Econometrics, 2017, 201, (2), 333-347 Downloads
  2. Staying at zero with affine processes: An application to term structure modelling
    Journal of Econometrics, 2017, 201, (2), 348-366 Downloads View citations (14)
    Also in Rue de la Banque, 2017, (52) (2017) Downloads View citations (8)

    See also Working Paper (2015)

2016

  1. Credit and liquidity in interbank rates: A quadratic approach
    Journal of Banking & Finance, 2016, 68, (C), 29-46 Downloads View citations (8)
    See also Working Paper (2013)

2015

  1. A Quadratic Kalman Filter
    Journal of Econometrics, 2015, 187, (1), 43-56 Downloads View citations (4)
    See also Working Paper (2014)
  2. Disentangling Credit and Liquidity Risks from Interbank Spreads
    Rue de la Banque, 2015, (03) Downloads

2014

  1. Fiscal sustainability in the presence of systemic banks: the case of EU countries
    International Tax and Public Finance, 2014, 21, (3), 436-467 Downloads View citations (2)
    See also Working Paper (2014)

Books

2015

  1. Non-Negativity, Zero Lower Bound and Affine Interest Rate Models
    Economics Thesis from University Paris Dauphine, Paris Dauphine University Downloads
 
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